Xetra Vienna Member Meeting for IT Coordinators and IT Project Managers

Transcription

1 Xetra Vienna Member Meeting for IT Coordinators and IT Project Managers OCTOBER 20, 2017, 11:00 OCTOBER 18, 2017, 11:00 WIENER BOERSE, SÄULENHALLE LONDON CAPITAL CLUB, BOARD ROOM WALLNERSTRASSE 8, 1010 VIENNA 15 ABCHURCH LANE, LONDON EC4N 7BW

2 Xetra Vienna Member Meeting for IT Coordinators and IT Project Managers OCTOBER 20, 2017, 11:00 OCTOBER 18, 2017, 11:00 WIENER BOERSE, SÄULENHALLE LONDON CAPITAL CLUB, BOARD ROOM WALLNERSTRASSE 8, 1010 VIENNA 15 ABCHURCH LANE, LONDON EC4N 7BW Agenda Welcome & IT Strategy Update Ludwig Nießen Xetra Vienna System Load Andreas Kronlachner T7 & Xetra Classic: Roadmap Andreas Kronlachner T7 6.0 / Xetra Classic 17.0 Implementation Status Markus Brantner, Andreas Kronlachner MiFID II - Regulatory Readiness Trading Members Karl Brauneis Miscellaneous and Q&A Session Sandwich Lunch 2

3 Xetra Vienna Member Meeting for IT Coordinators and IT Project Managers OCTOBER 20, 2017, 11:00 OCTOBER 18, 2017, 11:00 WIENER BOERSE, SÄULENHALLE LONDON CAPITAL CLUB, BOARD ROOM WALLNERSTRASSE 8, 1010 VIENNA 15 ABCHURCH LANE, LONDON EC4N 7BW Agenda Welcome & IT Strategy Update Ludwig Nießen Xetra Vienna System Load Andreas Kronlachner T7 & Xetra Classic: Roadmap Andreas Kronlachner T7 6.0 / Xetra Classic 17.0 Implementation Status Markus Brantner, Andreas Kronlachner MiFID II - Regulatory Readiness Trading Members Karl Brauneis Miscellaneous and Q&A Session Sandwich Lunch 3

4 Xetra Vienna System Load Backend processing / roundtrip times (Daily Avg. / Month) massively improved Seconds (Xetra Classic) Milliseconds (T7 ) Xetra 16.0 ( ) Last Member Meeting End of June % Percentile in Transaction processing in T7 nearly 100-times faster than in old Xetra Classic! Sep 2017: T Milliseconds, Xetra Classic 27 Milliseconds

5 Xetra Vienna System Load - Synchronous Transactions 1, Deltas 2, Price Broadcasts 3 & Matching Engine Requests 4 increase overall Xetra 16.0 ( ) Last Member Meeting End of June A "Synchronous Transaction" is a Xetra Classic system message triggered by a user (e.g. trader) and which was sent to the system, e.g. login, logout, inquiries, order und quote transactions. Only completed transactions are counted, rejected ones are excluded. 2 A Delta" (provided via EnBS) is a Xetra Classic orderbook update, which is sent out immediately after it was triggered, e.g. by a new order/quote, order modification, order/quote deletetion, trade, trading state change, etc. 3 Price Broadcasts (provided via Xetra Classic VALUES API) are sent out by the Xetra system based on a sliding window approach with a configurable maximum delay (currently set to 500ms) 4 A Matching Engine Request is a T7 system message triggered by a user (e.g. trader) and which was sent to the system and is processed by the matching core, e.g. order und (mass) quote transactions. Only completed transactions are counted, rejected ones are excluded.

6 Xetra Vienna & T7 System Load Number of Trades (Daily Avg. / Month) Xetra Trades LJSE, ZSE, PSE, BSE Xetra Vienna and T7 Trades Xetra 16.0 ( ) Last Member Meeting End of June No severe impact on Number of Trades due to start of Zagreb Stock Exchange and T7

7 Xetra System Load Number of tradable Instruments (total per month) grows steadily Xetra Vienna overall and WBAG LJSE, PSE and BSE Xetra 16.0 ( ) Last Member Meeting End of June Record number of tradable insturments on the Xetra Vienna Backend end of September 2017:

8 Xetra Vienna Member Meeting for IT Coordinators and IT Project Managers OCTOBER 20, 2017, 11:00 OCTOBER 18, 2017, 11:00 WIENER BOERSE, SÄULENHALLE LONDON CAPITAL CLUB, BOARD ROOM WALLNERSTRASSE 8, 1010 VIENNA 15 ABCHURCH LANE, LONDON EC4N 7BW Agenda Welcome & IT Strategy Update Ludwig Nießen Xetra Vienna System Load Andreas Kronlachner T7 & Xetra Classic: Roadmap Andreas Kronlachner T7 6.0 / Xetra Classic 17.0 Implementation Status Markus Brantner, Andreas Kronlachner MiFID II - Regulatory Readiness Trading Members Karl Brauneis Miscellaneous and Q&A Session Sandwich Lunch 8

9 T7 and Xetra Classic Roadmap Trading System Project Portfolio gives outlook for 2018 Bonds, Warrants, Certificates 9

10 Xetra Vienna Member Meeting for IT Coordinators and IT Project Managers OCTOBER 20, 2017, 11:00 OCTOBER 18, 2017, 11:00 WIENER BOERSE, SÄULENHALLE LONDON CAPITAL CLUB, BOARD ROOM WALLNERSTRASSE 8, 1010 VIENNA 15 ABCHURCH LANE, LONDON EC4N 7BW Agenda Welcome & IT Strategy Update Ludwig Nießen Xetra Vienna System Load Andreas Kronlachner T7 & Xetra Classic: Roadmap Andreas Kronlachner T7 6.0 / Xetra Classic 17.0 Implementation Status Markus Brantner, Andreas Kronlachner MiFID II - Regulatory Readiness Trading Members Karl Brauneis Miscellaneous and Q&A Session Sandwich Lunch 10

11 Major functional developments and changes will be implemented 1 Liquidity Provision Passive/ Aggressive Indicator Tick Sizes Algorithmic Trading Indicator Xetra Business Clocks Audit Trail Pre-Trade Controls 1 Where the changes require amendments of the rules and regulations of the respective Exchange Operating Company, they can be subject to approval by the Exchange Supervisory Authority (in Austria FMA Finanzmarktaufsicht). 11

12 Orders and quotes, which provide liquidity 1 specifying the requirements on market making agreements and schemes, can be entered with a Liquidity Provision label Xetra Classic 17.0 & T7 6.0 Implementation A new flag for order and quote entry requests was created for this purpose Liquidity Provision Indicator The value of the flag can either be set to ( liquidity provision ) or the flag can be skipped ( no liquidity provision ). 1 according to the Commission delegated regulation (EU) 2017/578 of 13 June 2016 supplementing Directive 2014/65/EU of the European Parliament and of the Council on markets in financial instruments with regard to regulatory technical standards 12

13 New Tick Size regime to apply for shares, depository receipts and certain ETFs as of January 2 nd, 2018 Xetra Classic 17.0 & T7 6.0 implementation The tick sizes, which are specified with regard to the regulatory technical standards on the tick size regime for shares, depositary receipts and ETFs will be implemented A potential update of the tick size (liquidity band) leads to deletion of all active orders in the book in the respective instrument In order to identify the reason for the deletion due to tick size amendment, a new deletion reason code is introduced Liquidity bands

14 Operators of trading venues and their members/participants shall synchronize the business clocks they use to record the date and time of any reportable event with UTC Xetra Classic 17.0 implementation Timestamps in Xetra will change to UTC (Coordinated Universal Time) The conversion to the UTC timestamp is effective by January 2 nd, From this date on, Xetra will use the UTC timestamp for all transaction interfaces and market data interfaces. Timestamps of existing orders will not be converted. (however deletion of all open order will be performed end of day on December 29, 2017) 14

15 Organizational requirements of trading venues Three pre-trade controls need to apply for all orders and quotes before they are entering the order book Xetra Classic 17.0 implementation Price Collar Check Price reasonability check automatically blocks orders and executable quotes that do not meet preset price parameters on an order-by-order basis. Already existing eg. in Continuous Trading with Auctions and will now be implemented in trading procedure Continuous Auction as well. Maximum Order Value Maximum Order Quantity already exists and remains unchanged prevents orders and executable quotes with uncommonly large order value (in EUR) from entering the order book Set on trader level the value will apply to all instruments the respective trader is allowed to trade. prevents orders and executable quotes with uncommonly large order quantity from entering the order book. Set on trader level the value will apply to all instruments the respective trader is allowed to trade. 15

16 Organizational requirements of trading venues Three pre-trade controls need to apply for all orders and quotes before they are entering the order book T7 6.0 implementation Price Collar Check already exists and remains unchanged Covered by the existing Price reasonability check automatically blocks orders and executable quotes that do not meet preset price parameters on an order-by-order basis. Maximum Order Value already exists and remains unchanged prevents orders and executable quotes with uncommonly large order value (in EUR) from entering the order book Set on trader level the value will apply to all instruments the respective trader is allowed to trade. Maximum Order Quantity already exists and remains unchanged prevents orders and executable quotes with uncommonly large order quantity from entering the order book. Set on trader level the value will apply to all instruments the respective trader is allowed to trade. 16

17 In order to fulfill the audit trail requirement according to RTS 24, additional fields will be introduced in order and quote entry requests Xetra Classic 17.0 & T Within the scope of a European harmonization, socalled Short Codes need to be used when entering an order or a quote: Client ID Mandatory only for account Agent Customer of the Xetra member, for whom the order has been entered. Executing Trader Person/used algo of the Xetra member responsible for the execution of the order Executing Trader Indicator Indicates whether a person or an algorithm has been entered into the field Executing Trader. Investment Decision Maker States who (person/used algo of the Xetra member) is responsible for the investment decision. Investment Decision Indicator Indicates whether a person or an algorithm is responsible for the investment decision. 17

18 Post-trade Transparency Provision - Market data will be enhanced by the Algorithmic trading indicator which states whether an algorithmic order and/or quote has participated within a matching event Xetra Classic 17.0 & T7 6.0 New Field Algorithmic Trade indicator In order to show whether a trade is an algorithmic trade, the new field Algorithmic Trade indicator will be available (if at least one order or quote with an algorithmic identifier flag participates in the execution event.) Trade can be marked as algorithmic Trades in equities, ETFs, ETCs and ETNs, where at least one algorithmic order and/or quote with an algorithmic identifier responsible for the execution decision was involved, the trade will be marked as algorithmic. If an order/quote which has the code of the algorithmic identifier in the field Executing Trader - specified by the Executing Trader indicator -, then the trade price will be marked as algorithmic in the field Algorithmic Trade indicator. 18

19 Passive/aggressive indicator states whether the underlying order has been aggressively or passively executed Xetra Classic 17.0 In continuous trading in the trading model Continuous Trading with Auctions trade confirmations for a matched incoming order/quote will be marked as aggressive and trade confirmations for a matched sitting order/quote will be marked as passive. If a triggered stop order matches immediately after triggering, then this Passive/aggressive indicator will be aggressive. For partial order/quote executions, each partial match is considered on its own. In contrary to match events during continuous trading, all trades resulting from an auction in Continuous Trading with Auctions will neither be marked as aggressive nor as passive the Passive/aggressive indicator will be set to none. T7 6.0 This functionality already exists and remains unchanged 19

20 T7 6.0 / Xetra Classic 17.0 Implementation Status Interface related Topics No backwards compatibility to T7 5.0 and Xetra Classic 16.0 inhouse and 3 rd party software needs to be adapted details to be found in interface specifications and modification announcements final version to be published soon T7 ETI specification aligned between Vienna and Frankfurt Field FIX Client Order ID now also available in ETI Sessions for FWB 1 Same ETI software can be run for Vienna and Frankfurt market Xetra Classic 17.0 VALUES API Update Kit 1 in place since October 11, 2017 Extension of Trade confirmation broadcast by utctrantimestamp (Transaction Timestamp in milliseconds) matchid (unique number for order book crossing which results in trades) No changes in GUIs CEESEG FIX Simulation to start one week earlier Begin scheduled now for October 20, FWB: Frankfurter Wertpapierboerse

21 T7 6.0 / Xetra Classic 17.0 Implementation Status Simulation related Topics Testing and Readiness Mandatory tests for all members according to ESMA Guidelines (ESMA/2012/122) WBAG ordered by NCA (FMA Finanzmarktaufsicht) to ensure compatibility of participants trading systems (see also circular 29/2017) WBAG s IT Helpdesk performs Member Tracking Orderly Trading (Order & Quote Management, Generation of Trades) => Get on our tracking list to proof compatibility of your software WBAG informs on tracking status on request (it_helpdesk@wienerborse.at) Failed compatibility proof (e.g. no activity in simulation) forces WBAG to deny trading access in the production environment of T7 / Xetra Classic! 21

22 T7 6.0 / Xetra Classic 17.0 Implementation Status Simulation related Topics Readiness Member to declare readiness for GO LIVE with T7 6.0 and Xetra Classic 17.0 separately Please reply for Xetra Classic 17.0 not later than November 9, 2017 Please reply for T7 Release 6.0 not later than November 23, 2017 Signed Member Readiness Statement to be provided via mailto:it_helpdesk@wienerborse.at Circular including readiness declaration form scheduled for begin of CW 44 Missing Readiness Statement forces WBAG to deny trading access in T7 and Xetra Classic production environments 22

23 T7 6.0 / Xetra Classic 17.0 Implementation Status Simulation related Topics Simu Calendars T7 and Xetra Classic Simu run in parallel with separate simulation calendars No operational interdependence Xetra Classic Simu can run when T7 Xetra Simu is down and vice versa In general 1 : Batch schedule congruence on calendar day basis BUT: Batch times are different due to longer software mainenance windows in T7 Also Focus days are different 1 batch schedule may deviate also on calendar day basis during software release conversion process and due to exceptional situations 23

24 T7 6.0 / Xetra Classic 17.0 Implementation Status Production Introduction Milestone Overview T7 Release 6.0 GO LIVE Schedule Xetra Classic Release 17.0 GO LIVE Schedule Thursday, November 23, 2017 Readiness Deadline Members CW 47: Production Introduction Circular with detailed rollout information Saturday, December 2, 2017 Connection Test (in the afternoon) Monday, December 4, 2017 GO LIVE T7 Release 6.0 Tuesday, December 5, 2017 In case of successful GO LIVE End of Cloud Simulation for T7 Release 5.0 Thursday, November 9, 2017 Readiness Deadline Members CW 45: Production Introduction Circular with detailed rollout information Friday, November 10, 2017 Distribution of VALUES API Software Kits (Windows, Solaris) for Production Saturday, November 18, 2017 Connection Test (in the afternoon) Monday, November 20, 2017 GO LIVE Xetra Classic Release 17.0 Note: Long term orders will be kept in both systems. New fields will be nullified 24

25 Xetra Vienna Member Meeting for IT Coordinators and IT Project Managers OCTOBER 20, 2017, 11:00 OCTOBER 18, 2017, 11:00 WIENER BOERSE, SÄULENHALLE LONDON CAPITAL CLUB, BOARD ROOM WALLNERSTRASSE 8, 1010 VIENNA 15 ABCHURCH LANE, LONDON EC4N 7BW Agenda Welcome & IT Strategy Update Ludwig Nießen Xetra Vienna System Load Andreas Kronlachner T7 & Xetra Classic: Roadmap Andreas Kronlachner T7 6.0 / Xetra Classic 17.0 Implementation Status Markus Brantner, Andreas Kronlachner MiFID II - Regulatory Readiness Trading Members Karl Brauneis Miscellaneous and Q&A Session Sandwich Lunch 25

26 Collection of Member Reference Data at WBAG RTS 24: Specifying the organisational requirements for the maintenance of relevant data

27 Short Code Solution In order to comply with RTS 24 Record Keeping Requirements for Trading Venues WBAG needs to obtain additional data from its trading members WBAG follows the EU-wide industry short code solution Members of the WBAG shall insert Client ID, execution and investment decision using the logic described as follows 27

28 Short Codes for client identification codes ( Client ID ) Client order Proprietary order Market maker order / quote Account ( Act ) = A Account ( Act ) = P Account ( Act ) = M (Xetra / T7) D (Xetra Classic) ClientI D (mandatory) ClientID (empty) ClientID (empty) Short Codes for: LEI (legal entity) National ID (natural person) AGGR (aggregated order) PNAL (pending allocation) Short code Short code

29 Execution ID and Execution Qualifier Execution decision taken within / outside of the member Execution decision is taken by Execution Qualifier Execution Identifier Reporting of Execution decision to NCA within registered trader who submits order / quote natural pers. 2 (ETS, GUI) 24 (ETI) empty National ID of the entering trader within natural person, who isn t the registered trader who submits order / quote natural pers. 2 (ETS) 24 (ETI) short code National ID within primarily an algorithm algorithm 1 (ETS, GUI) Algo ID Algo ID 22 (ETI) natural pers. outside client 2 (ETS, GUI) 3 CLIENT 24 (ETI) 29

30 Investment ID and Investment Qualifier Investment decision taken within / outside of the member within within within outside Investment decision is taken by registered trader who submits order / quote natural person different from registered trader who submits order / quote algorithm client ( acting on any capacity ) Investment Qualifier natural pers. 2 (ETS, GUI) 24 (ETI) natural pers. 2 (ETS, GUI) 24 (ETI) algorithm 1 (ETS, GUI) 22 (ETI) Investment Identifier empty short code Algo ID Reporting of Investment decision to NCA National ID of the entering trader National ID of the decision maker Algo ID blank blank blank 30

31 Data collection (1) Data decision ID ID of the entity which submitted the order ID of the registered trader who submitted the order ID of natural person within member, who isn t registered trader Investment Execution Investment Execution LEI of the member National ID Code within the system Member ID Trader ID Data collection by Collection by Market Operations Collection by Market Operations National ID Short code Upload file Initial collection until Already completed End of November End of November Future process Part of the admission process of a new member Part of the admission process of a new trader daily Test certification of an algorithm Investment Execution Algo ID Short code Upload file End of November Only in case of updates Client ID Investment Execution Client ID Short Code Upload file End of November daily 31

32 Data collection (2) Member IDs (LEI) and Trader IDs (National ID) are collected manually by Market Operations IDs of natural persons within a member who are not registered traders (National ID) are collected by a separate file INHOUSE Certification of testing the algorithms prior to the deployment or substantial update of a trading algorithm or trading strategy by submitting the AlgoID plus information of upload in production environment by a separate file ALGO Please note: provision is only necessary in case of updates (e.g. releases, new algorithms, substantial changes of existing algorithms) IDs of clients (Client ID) of a member are collected by a separate file CLIENT 32

33 File processing INHOUSE daily file CLIENT daily file Upload Upload Confirmation MiFID II SFTP Confirmation Feedback Feedback Upload Confirmation Feedback 33 ALGO Initial + only after updates

34 Member related Info (Examples) Short Code Identification Bank A None LEI (member ID) Reg. Trader: John Doe (citizen of GB) None (Trader ID) UK Insurance No Non-Reg. Person: Thomas Swift (citizen of GB) 1234 UK Insurance No Algorithm 12 3 Algo ID ALGO12 Bank B None LEI (member ID) Reg. Trader: Peter Mustermann (citizen of Austria) None (Trader ID) AT CONCAT PETERMUSTE Non-Reg. Person: Franz Schiller (citizen of Germany) 3567 DE CONCAT FRANZSCHIL Algorithm 5 2 Algo ID ALGO5 34

35 Client related Info (Examples) Short Code Identification Bank A None LEI (member ID) Maximilian Headroom (citizen of GB) 4711 UK Insurance No Hypercorp Ltd 1891 LEI Client Algorithm 7 3 Algo ID ALGO7 Bank B None LEI (member ID) Franz Schubert (citizen of Austria) 7890 AT CONCAT FRANZSCHUB Megainvest AG 5486 LEI

36 Timeline for daily upload and check routines 16:00 CET 19:00 CET 16:00 CET 19:00 CET T T + 1 T 2 T 3 Confirmation Files for T -1 Confirmation Files for T Confirmation Files for T Confirmation Files for T + 1 Feedback Files for T - 1 Feedback Files for T (actual trading day Feedback Files for T Feedback Files for T + 1 Time to correct incomplete data Audit Trail File For NCA For T -1 Audit Trail File For NCA For T 36

37 Format specification Client Info Reporting File Header part: ###<Member-ID> Example: ###ABCVI Footer part: ###<Date and time of creation>;<num_data_records> Date and time of creation: Format "YYYY-MM-DD hh:mm:ss" (in CET) Num_data_records: Number of data lines (not including header and footer lines) Common properties: Field separator: Tab (ASCII 09) Filename-convention: CLIENT_INFO_<Member-ID>_<yyyymmdd>.DAT Data record format: Req. Field Name Field Length Field Type Valid Values Example Content Yes MIC Char(4) Alphanumeric MIC acc. to ISO XVIE Yes StatusIndicator Char(1) Uppercase Letter N (new) M (modify) D (delete) N Yes ValidFrom Char(10) Date Date Format yyyy-mm-dd Yes ShortCodeID 8 bytes Numeric Yes Classification Char(1) Uppercase Letter L (for LEI) N (for National ID) N Yes NatIDCtryCode Char(2) Capital Alpha Values Country Code according to ISO alpha 2 No NatIDPrio Char(1) Numeric AT 1 Yes ClientLongValue Char(35) Alphanumeric FRANZMUSTE 37

38 Format specification Confirmation File for Client Info Header part: ###<Member-ID>;<Status> Example: ###ABCVI;OK or ###ABCVI;ERROR Footer part: Same as for Client Info Reporting File Filename-convention: CLIENT_INFO_CONFIRMATION<Member-ID>_<yyyymmdd>.DAT Data record format: same as for Client Info Reporting File + 2 additional fields Req. Field Name Field Length Field Type Valid Values Example Content. Yes Confirmed Char(1) Boolean Y / N (Yes/No) Y No Error Char(50) Alphanumeric Error in Field <Field Name> Missing Field <Field Name> Error in Field Valid From 38

39 Format specification Feedback File for Client Info Header and Footer Part: Same as for Client Info Reporting File Filename-conv.: CLIENT_INFO_FEEDBACK_<MEMBER_ID>_<TRADING_DATE>.DAT Field Spec Description MIC Char(4) MIC code of the place of trade (e.g. XVIE ) TraderID Char(11) Name of Trader in trading system (e.g. "ABCVITRDABC") ShortCodeID 8 bytes numeric ID in trading system (short code) 39

40 Format specification Inhouse Info Reporting File Header part: ###<Member-ID> Example: ###ABCVI Footer part: ###<Date and time of creation>;<num_data_records> Date and time of creation: Format "YYYY-MM-DD hh:mm:ss" (in CET) Num_data_records: Number of data lines (not including header and footer lines) Common properties: Field separator: Tab (ASCII 09) Filename-convention: INHOUSE_INFO_<Member-ID>_<yyyymmdd>.DAT Data record format: Req. Field Name Field Length Field Type Valid Values Example Content Yes MIC Char(4) Alphanumeric MIC acc. to ISO XVIE Yes StatusIndicator Char(1) Uppercase Letter N (new) M (modify) D (delete) N Yes ValidFrom Char(10) Date Date Format yyyy-mm-dd Yes ShortCodeID 8 bytes Numeric Yes Classification Char(1) Uppercase Letter L (for LEI) N (for National ID) N Yes NatIDCtryCode Char(2) Capital Alpha Values Country Code according to ISO alpha 2 No NatIDPrio Char(1) Numeric AT 1 40 Yes ClientLongValue Char(35) Alphanumeric JOSEFMUSTE

41 Format specification Confirmation File for Inhouse Info Header part: ###<Member-ID>;<Status> Example: ###ABCVI;OK or ###ABCVI;ERROR Footer part: Same as for Inhouse Info Reporting File Filename-convention: INHOUSE_INFO_CONFIRMATION<Member-ID>_<yyyymmdd>.DAT Data record format: same as for Inhouse Info Reporting File + 2 additional fields Req. Field Name Field Length Field Type Valid Values Example Content. Yes Confirmed Char(1) Boolean Y / N (Yes/No) Y No Error Char(50) Alphanumeric Error in Field <Field Name> Missing Field <Field Name> Error in Field Valid From 41

42 Format specification Feedback File for Inhouse Info Header and Footer Part: Same as for Inhouse Info Reporting File Filename-conv.: INHOUSE_INFO_FEEDBACK_<MEMBER_ID>_<TRADING_DATE>.DAT Field Spec Description MIC Char(4) MIC code of the place of trade (e.g. XVIE ) TraderID Char(11) Name of Trader in trading system (e.g. "ABCVITRDABC") ShortCodeID 8 bytes numeric ID in trading system (short code) 42

43 Format specification Algo Info Reporting File Header part: ###<Member-ID> Example: ###ABCVI Footer part: ###<Date and time of creation>;<num_data_records> Date and time of creation: Format "YYYY-MM-DD hh:mm:ss" (in CET) Num_data_records: Number of data lines (not including header and footer lines) Common properties: Field separator: Tab (ASCII 09) Filename-convention: ALGO_INFO_<Member-ID>_<yyyymmdd>.DAT Data record format: Req. Field Name Field Length Field Type Valid Values Example Content Yes MIC Char(4) Alphanumeric MIC acc. to ISO XVIE Yes AlgoID 8 bytes Numeric Yes UploadTime Char(19) yyyy-mm-dd hh:nn:ss Time format :00:12 Yes BeginTime Char(19) yyyy-mm-dd hh:nn:ss Time format :00:12 Yes EndTime Char(19) yyyy-mm-dd hh:nn:ss Time format :59:59 Yes Uploader Char(50) Alphanumeric HARALD ALGOTRADER 43

44 Format specification Confirmation File for Algo Info Header part: ###<Member-ID>;<Status> Example: ###ABCVI;OK or ###ABCVI;ERROR Footer part: Same as for Client Info Reporting File Filename-convention: ALGO_INFO_CONFIRMATION<Member-ID>_<yyyymmdd>.DAT Data record format: same as for Algo Info Reporting File + 2 additional fields Req. Field Name Field Length Field Type Valid Values Example Content. Yes Confirmed Char(1) Boolean Y / N (Yes/No) Y No Error Char(50) Alphanumeric Error in Field <Field Name> Missing Field <Field Name> Missing Field Uploader 44

45 Format specification Feedback File for Algo Info Header and Footer Part: Same as for Client Info Reporting File Filename-conv.: ALGO_INFO_FEEDBACK_<MEMBER_ID>_<TRADING_DATE>.DAT Field Spec Description MIC Char(4) MIC code of the place of trade (e.g. XVIE ) TraderID Char(11) Name of Trader in trading system (e.g. "ABCVITRDABC") ShortCodeID 8 bytes numeric ID in trading system (short code) 45

46 SFTP account for members deadline to provide SFTP information (IP addresses, contact data) (Annex V of circular 30/2017or annex of circular 34/2017) Please note: the sooner the questionnaire is returned, the earlier WBAG can setup the account! SFTP account will not be charged service for members deadline to provide initial Full-Files TESTING your account: SFTP will be setup with two folders SIMU and PROD Testing can be performed in the folder SIMU Technical certification: can be done by the members via up- and download of a test file Functional certification: WBAG plans to provide Confirmation and Feedback Files by end of November 2017 (members will be informed in time) 46

47 Riskless Principal Account at WBAG MiFID II: Art. 19 (5) and Art. 47 (2)

48 Legal basis MiFID II Art. 47 (2) Member States shall not allow market operators to execute client orders against proprietary capital, or to engage in matched principal trading on any markets they operate. MiFID II Art. 19 (5) Member States shall not allow investment firms or market operators operating an MTF to execute client orders against proprietary capital, or to engage in matched principal trading. 48

49 Riskless Principal Account If agent orders needs to be booked on a principal account due to reasons of internal infrastructure (e.g.: VWAP-guaranteed business) a new account type R ( Riskless Principal Account ) will be provided with Xetra / T7 6.0 New account type will not be provided with Xetra / Classic 17.0 Riskless principal is defined as a trade in which a member who has received a client order immediately executes an identical order in the marketplace, while taking on the role of principal, in order to fill the customer order. WBAG will map all orders and trades booked on the account type R onto agent orders and trades (account type A ) No changes in billing as trades on account R will be billed as agent trades Orders placed on the account R have to include ClientID 49

50 Pre- and Post-Trade Controls at WBAG RTS 7: Specifying organisational requirements of trading venues

51 Scope of MiFID II Pre-Trade and Post-Trade Controls Based on RTS 7 Art. 18 trading venues shall have at least the following arrangement s in place to prevent disorderly trading and breaches of capacity limits: Limits per member of the number of orders sent per second Throttle Mechanism Mechanisms to manage volatility Volatility Interuptions (normal and extended) Pre-trade controls RTS 7 Art

52 RTS 7 Article 20: Pre-Trade and Post-Trade Controls Trading venues are required to implement three pre-trade controls adapted for each financial instrument Pre-trade control Price collars Maximum order value Maximum order quantity Description automatically block order that do not meet pre-set price parameters on an orderby order basis Prevents orders and firm quotes with uncommonly large order values (order size in EUR) from entering the order book by reference to notional values per financial instruments Prevents orders and firm quotes with uncommonly large order size (in units or notional) from entering the order book Trading venues may establish post-trade controls that they deem appropriate on the basis of a risk assessment of their members activity 52

53 Price Collars Price collars which automatically block orders and firm quotes that do not meet preset price parameters on an order-by-order basis Requirement is already fulfilled with the existing Price Reasonability Check functionality in Xetra / Classic and Xetra / T7 Price Reasonability Check is linked to the corridors for the volatility interruptions on the level for each security 53

54 Maximum Order Value As functionality conflicts with risk assessment of each individual member, WBAG provides a two step process: Maximum Order Value functionality in Xetra / Classic and Xetra / T7 in order to fulfill the individual risk assessments of the trading members An overall maximum order value defined by the exchange For shares and ETFs where WBAG is the most important market in terms of liquidity the values are based on the Average Daily Value of the each single instrument For shares and ETFs where WBAG is not the most important market in terms of liquidity one value will be set for the whole group of instruments For bonds one value will be set for the whole group of instruments For securitized derivatives one value will be set for the whole group of instruments Values set by WBAG will be published and maintained once a year Maximum Order Value set by the members on trader level must be less than value defined by the exchange 54

55 Maximum Order Value Prevents orders and firm quotes with uncommonly large order size (in units or notional) from entering the order book Maximum Order Value in line with MiFIDII WBAG defines the maximum order value Determination based on different parameters (mainly institutional or retail business; underlying for derivative contracts; continuous trading or single auction; etc.) Defined maximum order values are published and maintained by WBAG Individual risk assessment Within Xetra the maximum order value is set to a global maximum value for all users Member Supervisor can change the maximum order value for each trader via the Admin GUI based on the compliance rules Individual settings of Maximum Order Values for each trader must be less than values defined by WBAG Must be > otherwise alarm! 55

56 Maximum Order Quantity As functionality conflicts with risk assessment of each individual member, WBAG provides a two step process: Maximum Order Quantity functionality in Xetra / Classic and Xetra / T7 in order to fulfill the individual risk assessments of the trading members An overall maximum order quantity defined by the exchange For shares and ETFs where WBAG is the most important market in terms of liquidity the values are based on the Average Daily Quantity of the each single instrument For shares and ETFs where WBAG is not the most important market in terms of liquidity one value will be set for the whole group of instruments For bonds one value will be set for the whole group of instruments For securitized derivatives one value will be set for the whole group of instruments Values set by WBAG will be published and maintained once a year Maximum Order Quantity set by the members on trader level must be less than value defined by the exchange 56

57 Maximum Order Quantity Prevents orders and firm quotes with uncommonly large order size (in units or notional) from entering the order book Maximum Order Quantity in line with MiFIDII WBAG defines the maximum order quantity Determination based on different parameters (mainly institutional or retail business; underlying for derivative contracts; continuous trading or single auction; etc.) Defined maximum order quantities are published and maintained by WBAG Individual risk assessment Within Xetra the maximum order quantity is set to a global maximum quantity for all users Member Supervisor can change the maximum order quantity for each trader via the Admin GUI based on the compliance rules Individual settings of maximum order quantity for each trader must be less than quantities defined by WBAG Must be > otherwise alarm! 57

58 Market making agreements and schemes at WBAG RTS 8: Specifying the requirements on market making agreements and schemes

59 Existing Market Maker regimes and MiFID II Today, market making programs are already in place on WBAG to secure liquidity Design of market making depends on market segment and liquidity (Specialist & Market Maker in Prime Market, Market Maker in Standard Continuous, etc.) Role of Market Maker is voluntary, includes official registration, performance measurement and an incentive scheme Market makers are required to flag order and quotes which are submitted to WBAG with a liquidity provision flag in order to distinguish them from other order flows 59

60 New Market Maker requirements under MiFID II With effect of January 3, 2018 MiFID II requires that investment firms that pursue a market making strategy have to sign a market making requirement and are obliged to meet requirements as defined by the trading venue The requirements apply for liquid instruments traded in continuous auction order book Also MiFID-Market makers are required to flag order and quotes which are submitted to WBAG with a liquidity provision flag in order to distinguish them from other order flows 60

61 RTS 8 Article 5: Obligation for trading venues to have market making schemes in place 1. Trading venues shall not be required to have market making scheme as referred to in Article 48(2)(b) of Directive 2014/65/EU in place except for any of the following classes of financial instruments traded through a continuous auction order book trading system: (a) shares and exchange traded funds for which there is a liquid market as defined in accordance with Article 2(1)(17) of Regulation (EU) No 600/2014 and as specified in [reference to Commission Delegated Regulation under MIFIR articles 1 and 3 determining liquid markets for the above instruments]; (b) options and futures directly related to the financial instruments set out in point (a); (c) equity index futures and equity index options for which there is a liquid market as specified in accordance with point (c) of Article 9(1) and point (c) of Article 11(1) of Regulation (EU) No 600/2014 and [reference to Commission Delegated Regulation on transparency requirements in respect of bonds, structured finance products, emission allowances and derivatives]. 2. For the purposes of paragraph 1, a continuous auction order book trading system means a system that by means of an order book and a trading algorithm operated without human intervention matches sell orders with buy orders on the basis of the best available price on a continuous basis Relevance for WBAG YES (liquid shares as defined in the ESMA-database) NO NO YES Continuous auction order book trading (= continuous trading in WBAG terminology) 61

62 RTS 8 Article 1: Obligation for investment firms to enter into a market making agreement Investment firms shall enter into a market making agreement regarding the financial instrument or instruments in which they pursue a market making strategy with the trading venue or venues at which this strategy takes place where, during half of the trading days over a one month period, in execution of the market making strategy (a) post firm, simultaneous two-way quotes of comparable size and competitive prices (b) deal on their own account in at least one financial instrument on one trading venue for at least 50% of the daily trading hours of continuous trading at the respective trading venue, excluding opening and closing auctions. For market makers that have to sign an agreement due to their market activity, but are not willing to take more risk as quoted, MiFID Market Maker scheme will apply It is the investment firm s duty to notify the venue if it intends to pursue a market making strategy in any of the tradeable financial instruments WBAG will not permanently monitor potential market making activities of members 62

63 Market Maker regime in MiFID II under special conditions Under MiFID II there are two special conditions which have to be considered: Stressed market conditions (SMC) RTS 8 Art. 5 Only affect liquid instruments and liquid ETFs & ETPs as defined in accordance with MiFIR Art. 2(1)(17) Exceptional circumstances RTS 8 Art. 3 and 4 Affect Market Making in all financial products traded at WBAG 63

64 Stressed Market Conditions (SMC) for Liquid Instruments RTS 8 Art 6 (2): Trading venues shall set out the parameters to identify stressed market conditions in terms of significant short-term changes of price and volume. Trading venues shall consider the resumption of trading after volatility interruptions as stressed market conditions. Stressed market phase will only affect liquid equities and liquid ETFs & ETPs as defined in accordance with MiFIR Article 2(1)(17) that are tradable on Xetra markets in trading system Continuous Trading with Intra-Day Auctions Instrument list can be loaded from the ESMA webpage Initially WBAG will identify liquid equities and ETFs Further, once a year (by each end of March) WBAG will make a review based on new data provided by ESMA 64

65 RTS 8 Article 6: Identification of Stressed Market Conditions (1/2) Short-term changes in price Stressed market condition Condition 1 Condition 2 Short-term changes in volume WBAGs concept to determine SMCs starts in the case of an extended volatility interruption occurs WBAG calculates deviation of indicative price from the current reference price If theoretical price is outside double extended corridor -> short-term change of price (condition 1) Next WBAG will take into consideration average volume of last year in respective instrument If quantity of potential trade is at least 5 times as high as average volume -> short term change of volume (condition 2) If both conditions are true stressed market conditions! WBAG informs market 65

66 RTS 8 Article 6: Identification of Stressed Market Conditions (2/2) WBAG follows the concept of narrow volatility corridors in order to prevent potential erroneous trades at an early stage already Normal volatility interruption are assumed not to be significant short-term changes in price and will therefor not trigger a stressed market condition Determination of condition 1 and 2 (based on info of volatility monitor) should take place after each end of an extended volatility interruption If both conditions are fulfilled, alert is shown in volatility monitor Market Operations set the phase to Trade with the additional flag SMC to true Information of stressed market condition is distributed in the Xetra trading system accordingly Stressed Market Condition will last for one hour If within that hour again stressed market condition is determined, time of one hour starts again at trigger-point 66

67 MiFID II compliant Market Making Concept of WBAG for liquid shares & ETFs in continuous trading For providing liquidity in stressed markets, investment firms shall be rewarded for the additional risk they undergo through the market maker scheme Current incentive model remains as is (or will be adjusted in terms of concept and/or pricing) and is extended by stressed market incentives Normal Market Phase Specialist Market Maker MiFID Market Maker Stressed Market Phase Specialist Market Maker MiFID Market Maker Continuous Trading 80% 80% 50% 80% 80% 50% Spread Y - committed spread Y Y (Y - committed spread)*2 Y * 2 Y * 2 Size A + committed size A A (A + committed size) / 2 A / 2 A / 2 Incentive No Trading Fees & Kick Back 1 bp 3 bp (Prime Market Fee) No Trading Fees & Kick Back 1 bp 1 bp 67

68 No Market Maker obligation in Exceptional Circumstances (1/3) The obligation to provide liquidity (MM) does not apply in exceptional circumstances RTS 8 Art. 3 lists all potential Exceptional Circumstances All circumstance from RTS Art. 3 (b) to (e) will be managed manually by WBAG WBAG implements a process to announce decisions of the board via news messages including: Start of exceptional circumstances Time of resumption of normal trading (RTS 8 Art. 4 (2)) 68

69 No Market Maker obligation in Exceptional Circumstances (2/3) Situation of extreme volatility (RTS 8 Art. 3 (a) Trigger for EMC if > 50 % of shares and ETFs tradeable in Continuous Trading with Market Making are in a volatility interruption at the same time Volatility interruptions (regular and extended) Volatility interruptions in scheduled auctions (e.g.: opening and closing auctions) will be considered Potential volatility interruptions will not be considered An automated news board message in Xetra (based on a predefined template) will be triggered in case of extreme volatility The end of the EMC and the resumtion of the market maker observation shall be triggered manually via the existing market maker supervision mechanism Fast Market Rule for Market Making in Austrian shares remains 11 Obligations in Continuous Trading of Trading Rules for the Automated Trading System (3) In the case of a significant deviation of the ATX level during a trading day versus the closing level of the ATX of the preceding trading day, the market maker (specialist) quotation commitment is suspended for the respective current trading day. The size of a significant deviation is defined by the exchange operating company and promulgated separately. 69

70 No Market Maker obligation in Exceptional Circumstances (3/3) Exceptional Circumstances (RTS 8 Article 3) Trigger Communication a) Extreme Volatility If > 50 % of shares and ETFs tradeable in Continuous Trading with market making are in a volatility interruption b) War, industrial action, civil unrest, cyber sabotage c) Disorderly trading conditions Significant delay performance of trading system Multiple erroneous orders/transactions d) Member has problems to maintain prudent risk management practices Technological issues Problems risk management Short selling restrictions e) For non-equity instruments, if FMA temporarily suspends the pre-trade transparency requirements (MiFIR Art. 9(4)) Start/End: Board of Management decision Start/End: Board of Management decision Start/End: Member detects problem Start/End: FMA informs WBAG Xetra News Message START Xetra News Message END Xetra News Message START Xetra News Message END Xetra News Message START Xetra News Messge END Bilateral communication member firm with WBAG (START, END) No public information required Xetra News Message START Xetra News Messge END 70

71 RTS 8 Article 7: Fair and non-discriminatory market making schemes Check Article 7 WBAG Fulfilled already Fulfilled already Fulfilled already Fulfilled already Fulfilled already Work in progress Publication on Webpage: terms of the market making schemes names of the firms that have signed market making agreements communicate any changes to the terms of the market making schemes to the participants in at least one month prior to their application Trading venues shall provide the same incentives to all participants who perform equally in terms of presence, size and spread Trading venues shall not limit the number of participants Trading venues shall continuously monitor the effective compliance of the participants with the market making schemes. Trading venues shall establish procedures to communicate the existence of stressed market conditions on its trading venue to all participants in a market making scheme through readily accessible channels. WBAG provides following on webpage: Specialist and Market Maker Model, MM announcements Schedule of Fees List of market makers WBAG always informs in Trader Group ahead of changes In any case WBAG will inform 1 month ahead All market makers / Specialists are treated equal No limitation Monthly performance measurement -> see Stressed Market Concept 71

72 RTS 8 Article 2: Minimum Content of Market Making Agreement Minimum required content (Article 2) Currently in place Comment a) Financial instrument Yes No action required b) Minimum obligations Size & spread 50% trading time Yes No action required c) Terms of market making scheme Yes No action required d) Obligation to resume quoting after volatility interruptions e) surveillance, compliance and audit obligations for MM company No No To be added in the overall terms and conditions To be added in the overall terms and conditions f) Obligation to flag firm quotes Yes New: liquidity provision flag g) Obligation to maintain records of firm quotes & transactions related to market making activities No To be added in the overall terms and conditions 72

73 Tick Size Regime at WBAG RTS 11: Tick size regime for shares, depositary receipts and exchange traded funds

74 Current WBAG Tick Size Regime for different Asset Classes Instrument Type Equities ETFs (Investment Funds) Listing in units: Bonds Certificates & Warrants Listing in percentage: Bonds Certificates & Warrants Tick Size from to Tick Size EUR 0,001 EUR 9,999 0,001 EUR 10,- EUR 49,995 0,005 EUR 50.- EUR 99,99 0,01 EUR 100,- 0,05 price > EUR 1 -> 0,01 price EUR 1 -> 0,001 Changes for MiFID II Yes! No! 0,01 percentage points No! 74

75 Scope of MiFID II Tick Size Regulation According to Article 48 (6) and Article 49 of Directive 2014/65/EU as well as according to RTS 11 a mandatory change in the tick size regime is required in respect of Shares ETFs (having as sole underlying equities or a basket of equities) and depository receipts Tick size has to be applied which are equal to or greater than the one corresponding to the liquidity band of Tick Size Table under MiFID II according to RTS 11 Annex Liquidity bands are defined in accordance to the average daily number of transactions in the most relevant market *) in terms of liquidity for that instrument and the price range in that liquidity band resultant to the price of the order and quote *) The most relevant market in terms of liquidity for a share, depositary receipt, ETF, certificate or other similar financial instrument shall be the trading venue with the highest turnover within the Union for that financial instrument (RTS 1 Article 4 (1)) 75

76 Tick Size table under MiFID II according to RTS 11 6 Liquidity Bands up to 4 decimals (currently 3) 76 shares, depository receipts ETFs Shares and DRs Tick Size according to liquidity band of most relevant market 6 Liquidity Bands (LB1 to LB6) e.g. daily average number of transactions = 4,593 -> LB5 ETFs (continuous and auction trading) all ETFs in LB6

77 General Remarks Adjustment of current tick size regime for all instruments of mentioned asset classes Adjustment of current tick size regime for shares and DRs in continuous and auction trading Tick Size will be set on ISIN level and is valid for all types of orders and quotes Xetra/T7 MIFiD II releases will ensure that it is possible to set tick size on single ISIN Tick Size table applies regardless of currency of the instrument effected WBAG instruments are all trade in Euro Tick Size adjustments will not be possible intraday adjustments can be performed only through batch processing 77

78 Timeline of new MiFID II Tick Size Regime implementation Instrument list expected to be published by ESMA on December 1, 2017 and will contain ISINR and average number of transactions WBAG will then map ESMA output with listed/traded equities WBAG will adjust new tick size regime in the trading system and downstream systems in the night batch process by December 29, 2017 with effect of January 2, 2018 By adjusting tick sizes throughout night batch one business day ahead of January 3, 2018 ALL orders will be deleted by a bulk deletion all WBAG products will be affected (also bonds and securitized derivatives) because to have a clean system (deletion of dummy data like Client IDs, etc.) WBAG will inform market participants in due time ahead about the changes and order deletions and provide a list of all instruments effected 78

79 Transitional provision of Tick Size Regime Instruments that have been initially listed within the Union 16 weeks before , will be covered by regular timeline, later listings are subject to transitional provisions NCA (where share or DR was first admitted to trading for the first time) calculates an publishes average daily number of transactions by December 1, 2017 (if instrument was traded first before October 21, 2017) by January 3, 2018 (if instrument was traded first between October 21, 2017 and January 2, 2018) Calculation methodology: 1st time Trading within Union Calculation Period for average turnover min. 16 weeks before weeks, starting from ( weeks) to ( weeks) within 10 weeks before first 4 weeks of trading based on trading history of similar instrument 79

80 Yearly updates for shares and DRs as of April 1, 2019 Regular classification of the instruments to liquidity bands has to be done every year by end of March starting in 2019 Average turnover for shares and DRs expected to be delivered each year by ESMA by mid of March, starting 2019 Observation period will be first of March of year T to first of March of subsequent year T+1 If not full period of one year, available data will be taken into consideration Shall not apply if share/dr first admitted to trading after 30 November of preceding year Tick sizes to be adjusted by WBAG valid as of April 1, starting 2019 Process will be similar to initial adjustment of tick sizes (mapping, order deletion, ) 80

81 Tick Size for shares and DRs in case of an IPO In case of an IPO, NCA is expected to publish the estimated average daily number of transactions at least one day before the first trading date If first listing/trading on WBAG, NCA is expected to estimate and publish average daily number of transactions (basically based on trading history of similar instruments) Not later then 6 weeks after first trading day, NCA calculates average daily turnover of first 4 weeks Basis for possible re-adjustment of Tick Size This tick size will then be valid until next regular yearly update Communication process NCA <-> WABG to be installed 81

82 Tick Size for shares and DRs in case of corporate actions If NCA is of the opinion that corporate action may modify the average daily number of transactions and would trigger new liquidity band, NCA shall determine and make public new applicable liquidity band Treating as if admitted first for trading with respect to estimating liquidity and process of re-calculating 82

83 Xetra Vienna Member Meeting for IT Coordinators and IT Project Managers OCTOBER 20, 2017, 11:00 OCTOBER 18, 2017, 11:00 WIENER BOERSE, SÄULENHALLE LONDON CAPITAL CLUB, BOARD ROOM WALLNERSTRASSE 8, 1010 VIENNA 15 ABCHURCH LANE, LONDON EC4N 7BW Agenda Welcome & IT Strategy Update Ludwig Nießen Xetra Vienna System Load Andreas Kronlachner T7 & Xetra Classic: Roadmap Andreas Kronlachner T7 6.0 / Xetra Classic 17.0 Implementation Status Markus Brantner, Andreas Kronlachner MiFID II - Regulatory Readiness Trading Members Karl Brauneis Miscellaneous and Q&A Session Sandwich Lunch 83

84 Support contacts and information sources Trading Helpdesk trading@wienerborse.at MiFID II Project /184 mifidproject@wienerborse.at Technical Helpdesk / Connectivity it_helpdesk@wienerborse.at Xetra Vienna Project Office xetra@wienerborse.at Closed User Group (CUG) for Members & 3rd Parties CUG-access via personalized login personal contact data required - please contact: trading@wienerborse.at or xetra@wienerborse.at 84

85 Closed User Group Insight 85

86 Xetra Vienna Member Meeting for IT Coordinators and IT Project Managers OCTOBER 20, 2017, 11:00 OCTOBER 18, 2017, 11:00 WIENER BOERSE, SÄULENHALLE LONDON CAPITAL CLUB, BOARD ROOM WALLNERSTRASSE 8, 1010 VIENNA 15 ABCHURCH LANE, LONDON EC4N 7BW Agenda Welcome & IT Strategy Update Ludwig Nießen Xetra Vienna System Load Andreas Kronlachner T7 & Xetra Classic: Roadmap Andreas Kronlachner T7 6.0 / Xetra Classic 17.0 Implementation Status Markus Brantner, Andreas Kronlachner MiFID II - Regulatory Readiness Trading Members Karl Brauneis Miscellaneous and Q&A Session Sandwich Lunch 86