M I T 9 0 1 MILLENNIUM EXCHANGE Guide to Millennium Exchange Functional Release:- Q1 2012 Issue 1.1 December 2011
Contents Guide to Millennium Exchange Functional Release:- Q1 2012... 1 1. Release Overview... 4 1.1. Purpose... 4 1.2. Document Series... 4 1.3. Document History... 5 2. Key Enhancements... 5 2.1. Enhancement 1- Introduction of a Closing Price Crossing Session... 5 2.1.1. Brief summary of the service... 5 2.1.2. Closing Price Publication (CPP) Session... 6 2.1.3. Commencement of the Closing Price Crossing (CPX) Session... 6 2.1.4. Operation of the CPX for SETS... 6 2.1.5. Operation of the CPX for IOB... 7 2.1.6. Order Management during the CPP session... 7 2.1.7. Order Management during the CPP session cont/d... 8 2.1.8. Orders that are parked during the CPP session:... 8 2.1.9. Commencing the CPX session... 8 2.1.10. Order Management during the CPX session... 9 2.1.11. Amending inactive and active orders during the CPX... 11 2.1.12. Trade Cancellation during CPP and CPX... 12 2.1.13. Introduction of a new Trade Type for CPX... 12 2.1.14. Market Data Feed for CPP session... 12 2.1.15. Market Data Feed for CPX session... 12 2.1.16. Market Data Feed for the uncrossing at the start of the CPX session.... 13 2.1.17. Market Data Feed for Executions taking place during the CPX session... 13 2.2. Enhancement 2: Introduction of an automated process to update Restricted Instrument Lists for users of Sponsored Access and a CFD Give up dealing capacity... 13 2.2.1. Introduction of a CFD Give-Up flag on the Dealing Capacity... 17 2.2.2. Native Trading Gateway Capacity Code field added to Execution Report Message 17 2.3 Enhancement 3- Introduction of additional off book Trade Types... 17 2.3.1. Introduction of 2 off book cancellation Trade Types... 17 Introducing new trade types for MTFs (reserved for future use)... 18 2.3.2.... 18 2.4. Enhancement 4: Start and End of Day activities... 20 2.4.1. Suppression of Previous Days Closing Price for subset of securities... 20 2.4.2. Dissemination of End of Post Close trading status... 20 2.4.3. Dissemination of No Active Session trading status... 20 Reference Data file format change... 20 2.4.4.... 20 2.5 Enhancement 5: Level 2-ITCH message format changes... 21 2
Disclaimer The London Stock Exchange Group has taken reasonable efforts to ensure that the information contained in this publication is correct at the time of going to press, but shall not be liable for decisions made in reliance on it. The London Stock Exchange Group will endeavour to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only. 3
1. Release Overview Millennium Exchange delivers world class performance to customers of the London Stock Exchange Group, and we continue to develop the platform by updating the service with functional and technical enhancements to improve the overall customer experience. 1.1. Purpose The following document outlines the content of our next functional release, scheduled for Q1 2012. Customers are advised to also refer to the existing Millennium Exchange specifications to identify how these changes will technically impact the interfaces and services. The document includes the business rationale for the functional enhancements and the technical changes that will be implemented to deliver the release. 1.2. Document Series Specification Number MIT 201 MIT 202 MIT 203 MIT 204 MIT 205 MIT 302 MIT 303 MIT 401 MIT 701 Millennium Exchange Business Parameters Document Title Guide to Trading Service FIX Trading Interface Native Trading Gateway Post Trade Gateway Drop Copy Gateway FIX/FAST Specification Level 2-ITCH Specification Guide to Reference Data Services Guide to Sponsored Access The most updated version of these technical documents can be found at:- http://www.londonstockexchange.com/products-and-services/millenniumexchange/technicalinformation/technicalinformation.htm Please contact either Client Technology Services or your Technical Account Manager if you have any functional questions about the Millennium Exchange services outlined in this document. Client Technology Services (UK) can be contacted at: Telephone: +44 (0)20 7797 1500 Email: support@londonstockexchange.com 4
As part of these functional and technical upgrades there are no planned changes to the current Rules of the London Stock Exchange. The rules can be found at http://www.londonstockexchange.com/traders-and-brokers/rules-regulations/orderbook-trading/order-book-trading.htm 1.3. Document History This document has been through the follow iterations: Issue Date Description 1.0 15 December 2011 Initial version 1.1 21 December 2011 Updated Trade Subtypes. Added section 2.2.2. In subsequent issues, where amendments have been made to the previous version, these changes will be identified using a series of side bars as illustrated opposite. 2. Key Enhancements 2.1. Enhancement 1- Introduction of a Closing Price Crossing Session Following customer feedback we are pleased to announce the creation of a Closing Price Crossing session which will take place immediately following the generation of an uncrossing trade (UT) at the Closing Auction, allowing participants a further opportunity to execute business at the day s closing price. 2.1.1. Brief summary of the service As part of the introduction of this new enhancement we will be creating two additional sessions to the SETS and IOB trading services. 1. Closing Price Publication Session (CPP). The purpose of which is to disseminate the closing price set by the Closing Auction. It will run immediately following the Closing Auction. 2. Closing Price Crossing Session (CPX). This session will provide a further continuous trading session where trading can take place fixed at the closing price. 5
Use of these sessions will be optional and the algorithm used to calculate the uncrossing price at the end of the Closing Auction for individual instruments will remain unchanged. 2.1.2. Closing Price Publication (CPP) Session This session is specifically designed for dissemination of the closing price for an individual instrument at the end of the closing auction, following the successful completion of the uncrossing algorithm. The Closing Price Publication session will commence after the Closing Auction. If there are any Price Monitoring, or Market Order Extensions triggered the CPP will commence following the completion of all triggered extensions. The CPP session will be a scheduled session and will last for 1 second in duration. Immediately following this session the system will transition into the CPX Session. 2.1.3. Commencement of the Closing Price Crossing (CPX) Session The Closing Price Crossing Session will commence immediately after the completion of the CPP session. 2.1.4. Operation of the CPX for SETS The CPX session for instruments traded on SETS will start no earlier than 16.35 (12.35 on early close sessions on the final trading days before Christmas and New Year). The exact start and end time of the CPX will be determined by the number of Price Monitoring/Market Order extensions an instrument enters into ahead of the completion of the closing auction uncrossing algorithm. Please note the random uncrossing period at the end of the closing auction call will take place, but will be ignored when determining the end time for the CPX. Finishing times for the CPX session If the instrument doesn t enter into any extensions the CPX will end at 16:40:00 (12:40:00 on early close sessions). If the instrument experiences one extension (regardless of whether it is a market order or price monitoring extension) the CPX will end at 16:45:00 (12:45:00 on early close sessions). If the instrument experiences two extensions or more the CPX will end at 16:50:00 (12:50:00 on early close sessions). Where there are three extensions less time will be allocated to the CPX. If there is no closing auction execution due to an uncrossed book, or following a price monitoring and/or market order extensions where the price is still outside the ruling 6
parameters and any ruling minimum auction volume has not been satisfied, the Closing Price Crossing session will not occur. 2.1.5. Operation of the CPX for IOB The CPX session for instruments traded on the International Order Book (IOB) will start no earlier that 15:40:00 (12:40:00 on early close sessions i.e. the day before Christmas and New Year). The exact start and end time of the CPX will be determined by the number of extensions (Price Monitoring /Market Order). The random uncrossing period at the end of the closing auction call will be ignored for the purpose of determining the end time of the CPX session. Finishing times for the CPX session for IOB If the instrument doesn t enter into any Extensions the CPX will end at 15:45:00 (12:45:00 on early close sessions) If the instrument experiences one Extension (regardless of whether it is a market order or price monitoring extension) the CPX will end at 15:50:00 (12:50:00 on early close sessions) If the instrument experiences two Extensions or more the instrument will close at 15:55:00 (12:55:00 on early close sessions). Where there are three extensions less time will be allocated to the CPX. If there is no closing auction execution due to an uncrossed book, or following a price monitoring and/or market order extensions where the price is still outside the ruling parameters and any ruling minimum auction volume has not been satisfied, the Closing Price Crossing session will not be triggered. 2.1.6. Order Management during the CPP session Injecting Stop and Stop Limit Orders at the start of the CPP. Qualifying Stop and Stop Limit Orders which were parked during the closing auction call will be injected based upon the last traded price (UT price) immediately after the uncrossing but before the commencement of the CPP. For example a buy Stop Order with stop price greater than or equal to the last traded price (UT price) and sell Stop Orders with stop price less than or equal to the last traded price (i.e. UT price) will be injected to the order book. Upon injection, Stop Orders will become Market Orders. Upon injection Stop Limit Orders will become Limit Orders. Injected Stop Limit Orders will be added to the order book based on standard price time priority. Injected Stop Orders and Stop Limit Orders having a better limit price than the closing auction price can result in a crossed book. This crossed book is carried over to the CPP session. However at the start of the CPX session this book will be uncrossed at the closing auction price in order to 7
ensure that there are no executable orders at the closing auction price sitting on both sides of the order book. 2.1.7. Order Management during the CPP session cont/d No trading will take place during the CPP session. Any incoming order will be parked (based on time priority) during this session. Hence when an order is submitted:- An Execution Report with OrdStatus (39) = 9 (Suspended) and ExecType (150) = 9 (Suspended) will be sent via FIX Gateway An Execution Report with Order Status = 9 (Suspended), Exec Type = 9 (Suspended) and Container = 5 (parked) will be sent via Native Gateway An Execution Report with OrdStatus (39) = 9 (Suspended) and ExecType (150) = 9(Suspended) will be sent via Drop Copy Gateway All quotes submitted during this session will be rejected Via a Quote Status Report in with Quote Status (297) = 5 (Rejected), QuoteReject Reason (300) = 114500, Text (58) = Invalid Session (Quotes are not allowed) in FIX Gateway Via an Execution Report with ExecType (150) = 8 (Rejected), Order Status = 8 (Rejected) in Native Gateway. Any order amendments requests sent via Order Management Gateways to amend order quantity, displayed quantity, expiration time, expiration date, stop price, limit price will be rejected as follows An Order Cancel Reject message with CxlRejReason (102) = 113200, Text (58) = Invalid Amend (Order Amendments are not allowed during CPP) will be sent via FIX Gateway An Order Cancel Reject Message with Cancel Reject Reason = 113200 will be sent via the Native Gateway Order Cancel Request messages received via both Native and FIX gateways will be accepted and processed as normal. 2.1.8. Orders that are parked during the CPP session: Orders that are parked during the CPP session will be injected into the order book at the start of the CPX. All such orders will be treated the same as any other order submitted during the CPX session. 2.1.9. Commencing the CPX session At the start of the CPX session, the existing order book for the instrument will be carried forward and uncrossed at the closing auction price, this allows newly injected Stop Order and Stop Limit Orders with a price better than the closing auction price to 8
enter the session and qualify for immediate execution, ensuring a crossed book will become uncrossed. The uncrossing algorithm used during the uncrossing will be similar to that of any LSE auction, except for the fact that the volume maximizing algorithm is not used to derive the auction price, the uncrossing will take place at the closing auction price. Any new order injected during the CPX session will not be considered for the uncrossing (Please note Market Orders not executed in the Closing Auction Process will expire before the market transitions into the CPX). At the end of the uncrossing and at the start of the CPX, if there are any remaining Market Orders (i.e. which are injected Stop Orders), they will remain as passive orders based on time priority on the order book. 2.1.10. Order Management during the CPX session Market Orders injected as part of the CPX (Stop Orders) Any Market Order left over from the uncrossing at the start of the CPX (injected Stop Orders) will take execution priority over any Limit Order in the order book during the CPX session. If any of these Market Orders has a Time in Force (TIF) that extends into the next trading day and remains unfilled following the CPX session, it will be carried forward to the next day s opening auction call. Any other unfilled Market Orders that has any other TIF (i.e. Day) and remains unfilled after the CPX session they will expire at the market close. Any new Market Order entered during the CPX session will have the same behaviour of Market Orders in Continuous trading and will not persist following aggression. 9
Limit Orders carried forward from the Closing Auction Un-expired and non-cancelled Limit Orders carried forward from the uncrossing at the start of the CPX session will remain in the order book subject to their time in force. Only buy or sell orders with a limit price equal to or better than in the case of injected Stop Limit Orders the closing auction price will participate in the CPX. Orders with a limit price worse than the closing auction price will remain inactive in the order book. Partial or fully Hidden Orders (including Icebergs) that remain following the closing auction at the correct price will qualify for the session. Newly entered orders Once the CPX has commenced newly submitted Market and Limit Orders (including orders in the parked during the CPP) with a price equal to the closing auction price will be accepted. o An Execution report will be received via FIX Gateway with OrdStatus (39) = 0 (New) and ExecType (150) = 0 (New) o An Execution Report with Order Status = 0 (New), Exec Type = 0 (New) will be sent via Native Gateway o An Execution Report with OrdStatus (39) = 0 (New) and ExecType (150) = 0 (New) will be sent via Drop Copy Gateway Limit Orders with any other price than the qualifying price will be rejected by an Execution Report with the reject code 111201 - Invalid limit price (not equal to the closing auction price). o Native Gateway Order Reject Code (67)= 111201 o FIX Gateway OrdRejReason (103)= 111201 o Drop Copy Gateway OrdRejReason (103) = 111201 The qualifying TIF has to be DAY, IOC or FOK. Any other TIF will be rejected with the reject code 111502 Invalid TIF (not allowed for the session). DAY, IOC and FOK TIFs will behave in the usual manner during the CPX session. There is not a TIF value to allow orders to be submitted before the CPX for the commencement of the session. Order book priority for new incoming visible orders will work on time priority and not price. Hidden Orders (carried over to the CPX session) will continue to have lower priority compared with visible orders; 10
Hidden Orders (including Icebergs) Entry of new Iceberg or Hidden Orders will not be permitted during the session Hence the submission of such an order will be rejected by an Execution Report with the reject code 111104 Iceberg and Hidden orders are not allowed. o Native Gateway Order Reject Code (67)= 111104 o FIX Gateway OrdRejReason (103)= 111104 Drop Copy Gateway OrdRejReason (103) = 111104 2.1.11. Amending inactive and active orders during the CPX An inactive order can only be amended if the new price is equal to the closing auction price (but not better than it). Where an order remains inactive it will continue with the time in force it was entered with. Otherwise the amendment will be rejected with the reject code 113201 Invalid Amendment (price is not equal to the closing price). Order quantity or display quantity changes of inactive orders will only be accepted if the price is also being changed to be the closing auction price; o Native Gateway Cancel Reject Reason (41)= 113201 o FIX Gateway CxlRejReason (102)= 113201 Active orders (both orders submitted during the CPX and those carried forward that meet the price criteria) can be amended to change quantity or display quantity but not price. The same order book logic will be applied to these orders i.e. if they are amended to increase their order quantity they lose time priority (but not if the volume is reduced). Amendments to the Time in Force including changes of expiry date for GTD orders, expiry time for GTT orders or client reference will not be permitted for either active or inactive orders. Such an attempt will be rejected with the reject code 111500 - Invalid amend (cannot amend TIF) or 113700 - Invalid Amend (Cannot amend Client Reference) respectively. o Native Gateway Cancel Reject Reason (41)= 111500 o FIX Gateway CxlRejReason (102)= 111500 o Native Gateway - Cancel Reject Reason (41)= 113700 o FIX Gateway CxlRejReason (102)= 113700 Any existing order (both active and inactive) can be cancelled at any time during the CPX; Amendments and cancellation that take place with respect to all orders in the order book will be disseminated via the ITCH and FIX/FAST market data feed. 11
All the eligible Market and Limit orders will be executed at the closing auction price (where there is sufficient volumes); Orders submitted during the CPX will not be carried forward to the next trading day. They will be expired at the end of the day since only DAY orders are allowed to be submitted for the session as persistent orders. Trades and order book updates that take place during this session will update all relevant order book related statistics (i.e. turnover, VWAP, high price, low price etc in FIX/FAST) 2.1.12. Trade Cancellation during CPP and CPX Trade Cancellations are possible during CPP and CPX sessions and are initiated in the standard way. 2.1.13. Introduction of a new Trade Type for CPX All trades that take place during the CPX (including those that take place during the uncrossing at the start of the session) will be assigned a new trade type of PT. 2.1.14. Market Data Feed for CPP session The beginning of the CPP session will be communicated via both the Level 2-ITCH and the FIX/FAST market data feeds. Level 2-ITCH will communicate the commencement of the session through the use of the Symbol Status message of value v. FIX/FAST will communicate the commencement of the session using the Security Status message of value 125. 2.1.15. Market Data Feed for CPX session The beginning of the CPX session will be communicated via Level 2-ITCH feed and over the FIX/FAST market data feeds. To indicate the beginning of the new CPX session in the Level 2-ITCH feed, a Symbol Status message will be sent with trading status set to u to denote the transition into the CPX. A new value 120 will be introduced to the SecurityTradingStatus(326) field of security status message in the FIX/FAST feed. At the beginning of the CPX session a security status message will be sent with the SecurityTradingStatus(326) is set to 120. 12
2.1.16. Market Data Feed for the uncrossing at the start of the CPX session. Level 2- ITCH feed During the uncrossing at the start of the CPX, all executions will be notified to the market via individual Level 2-ITCH Order Executed with Price/Size messages. There will be no amalgamated uncrossing Auction Trade disseminated. Market Orders which are executed during the CPX uncrossing will be notified via order executed with price size messages. Execution of Limit Orders will be notified to the market via order executed message when their limit price = execution price (CPX price) and via order executed with price size messages when the limit price is different to the execution price (CPX price) for Stop Limits. FIX/FAST feed All executions taking place during the uncrossing will be notified to the market via Market Data Incremental Refresh (Trade) messages where MDEntryPx (270) is the executed price of the orders. (No bulk trade auction message will be disseminated each trade will be sent out via a separate MDIR trade message). 2.1.17. Market Data Feed for Executions taking place during the CPX session Execution of Limit Orders submitted during the CPX will be notified via the order executed message. Execution of Market Orders submitted during the CPX will be notified via the order executed with Price/Size message on the Level 2-ITCH feeds. Execution of Limit Orders with a better price than the closing auction price and added to the order book before the commencement of the CPX session in the form of Stop Limit will be modified via the Order Executed with Price/Size message via the ITCH feed. On FIX/FAST Execution of Market or Limit Orders will be broadcast via the Market Data Incremental Refresh Message with MDUpdateAction (279) of New (0) and MDEntryType (269) of Trade (2) in the feed. 2.2. Enhancement 2: Introduction of an automated process to update Restricted Instrument Lists for users of Sponsored Access and a CFD Give up dealing capacity The Restricted Instrument List allows a Sponsoring Firm to restrict orders entered by a Sponsored User to a limited set of instruments, in the form of a negative permission list (set for an individual Sponsored User). This Restricted Instrument List is the list of 13
instruments the Sponsored User cannot trade, if a Sponsored User attempts to submit an order in a restricted instrument, it will be rejected. The initial list is created (following notification from the Sponsored Firm) by the Exchange s Market Operations team. The restricted instruments on each list are then maintained either: by the Market Operations team; o Sponsoring Firms must submit a request to the Exchange s Market Operations Team for changes to the Restricted Instrument Lists of Sponsored Users. o Where an instrument becomes restricted intraday by the Market Operations Team, the Exchange will cancel any open orders of the Sponsored User in the restricted instrument. or by the Sponsoring Firm by uploading a.csv file via SFTP (via LSE Extranex or Hosting). This SFTP fill upload is a new feature to the service that allows Sponsoring Firms to update their restricted lists themselves (intra or inter-day) using a.csv file by applying for an LSEG managed SFTP account. Once the SFTP account has been set up and the Restricted List shell has been created and assigned to the Sponsored User (or Users) by the Exchange s Market Operations team, Sponsoring Firms can drop off CSV files to add or remove Instruments from a particular Restricted List. Please note that when a new list is uploaded into the SFTP and into Millennium Exchange via this automated process, existing orders in the affected instruments will not be automatically deleted and firms should arrange for existing orders to be deleted by themselves. The SFTP server should be available 24 hours a day, 365 days a year for file submission, but will only process files between 0600 and 1800 (UK Time) on trading days. Files can be submitted outside of this time window. The SFTP will have the following directories: Directories Outbox Inbox_Audit Inbox_Current Description This is where users can drop off updated Restricted List.csv files This is where users can see what happened to every file (with a correct name and valid size) that they have asked the Exchange to process This is where users can see the most recent list successfully processed The.csv file uploaded, must adopt the following characteristics: 14
The Restricted List name will be provided by the Exchange s Market Operations team and must be used in the file name submitted and within the file itself. The file must have the following naming convention: o [RestrictedListName]_[YYYYMMDDHHMMSS].csv e.g. [XXXX]{YYY}[SP/ST]_20111130142535.csv o X Represents the Sponsoring Firm (member firm) o Y Represents the Sponsored User OR Group of Sponsored Users o SP= Sponsored Access Production/ST = Sponsored Access Test o The timestamp used must be unique and should be current. The file must not exceed a size of 200KB. The file should contain a list of all the instruments that the Sponsoring Firm would like to restrict on a given Restricted List. o For example: To add an instrument, you would add it to the list of instruments previously submitted. To remove an instrument, you would delete it from the list of instruments previously submitted. All Restricted Lists will persist overnight, meaning a file should only be submitted if there is a change required to a given Restricted List. It is expected that each file will result in at least one addition or one removal of an instrument from the specified Restricted List. A file should only include updates to a single Restricted List. It is not possible to update more than one Restricted List with a single file. Each Restricted List can contain up to 100 instruments. The.csv file should be comma delimited. The first row of the file should contain the following format: o <Restricted List Name>,<Instrument A>,<Instrument B>, o The Instrument ID should be used to identify the instrument(s) to be restricted. Up to 10 attempts can be made to update each Restricted List per day( with files that are not out of date). Upon successful processing of a file, we will deliver: A file with the same name with a.ok file extension (replacing.csv) to the Inbox_Audit directory; AND If a file for the same Restricted List exists in the Inbox_Current directory, it will be updated with the new Restricted List. 15
The content of the file in both directories will contain the original contents provided on line 1. Upon unsuccessful processing of a file, we will either: Do nothing (i.e. not provide an error file) where: o The file has been named with an incorrect Restricted List name prefix o A file exceeds the permitted size o On the second error where a firm has already exceeded their 10 attempts. i.e. on the 12th attempt. Deliver a file with the same name with a.err file extension (replacing.csv) to the Inbox_Audit directory. Where a filename is not unique a timestamp will be added to the.err extension to make it unique e.g. FirmName_RL1_20111130142535.err_20111130142540. o The file will contain the original contents provided on line 1 and an error code and description on line 2. The error code provided will be the first error detected. The following table summarises all of the errors that can be provided. Error Code 1 2 Description Reason for error Example entry on.err file File cannot be processed Instrument Group not found File contains expression based instrument(s) File is not formatted correctly or file is corrupt Restricted list does not exist or is incorrect 1 0002, Inst_Grp_x 3 Instrument not found Instrument provided is invalid 0003, Inst_Grp_1, Inst_x 4 System unavailable There was an error processing the file 4 There is an issue in the way the Restricted List has been set up, as 5 a query has been used. 0005, Inst_Grp_1, Inst_x Market Operations will need to be contacted to resolve this issue 6 Out-dated file File has an out of date timestamp 6 7 8 9 10 No update from previous file Update rejected by system Max Instrument Group updates exceeded Max Instruments per Group exceeded File has not changed 7 There was an error in processing the file The maximum number of Restricted List updates has been exceeded for the day. No further updates will be accepted or.err files provided The maximum number of Instruments within the file have been exceeded 8 0009, InstGrp_20111103035100 10 16
11 Instrument Group does not match file name The Instrument Group Name in the File Name, does not match the Instrument Group Name within the file 12 Duplicate file The file is a duplicate 12 11 2.2.1. Introduction of a CFD Give-Up flag on the Dealing Capacity To reflect the trading activity of Sponsoring Firms and their clients a new Dealing Capacity will be added as part of Release 7.0 entitled CFD give-up. This is to enable a Sponsored User to submit an order indicating it requires a CFD give up from their Sponsoring Firm. The order containing the new flag is subsequently converted into a Principal and is then entered into the order book. Sponsored Users will need to be configured to allow them to use the new dealing capacity. If the Sponsored User is configured and subsequently uses this conversion capacity every order they submit with CFD Give Up capacity flagged, their order will be converted to Principal for submission to the order book. If the Capacity Conversion is not enabled for the individual Sponsored User and an order with CFD Give Up is submitted, the dealing capacity will still be converted but the order will be subsequently rejected by the system with:- LSE: Order Reject Code= 111903 Invalid Capacity (Capacity Conversion Disabled 2.2.2. Native Trading Gateway Capacity Code field added to Execution Report Message A Capacity Code field will be added to the Execution Report message for the Native Trading Gateway. For further details, please refer to the MIT203 Native Trading Gateway Specification. 2.3. Enhancement 3- Introduction of additional off book Trade Types 2.3.1. Introduction of 2 off book cancellation Trade Types Off book trades are only retained in the trading system up to and including the day of publication. The process for cancelling a trade report therefore depends on the day the trade is due to publish. When submitting a cancellation before or on the day the trade is due to publish the process to cancel the original trade report by submitting a cancellation message using the original trade code, remains unchanged. The process for cancelling a trade when submitting an amendment after the day of publication (or after the date of submission where the trade is never due to publish) will now be amended to ensure that the cancellation trade type follows the same 17
publication regime as the originally submitted trade. This has led to the creation of 2 new trade types and the amendment of when the existing LC trade type is used. TradeSubType Purpose Publication GC NC Cancellation of on-exchange trade after date of submission where cancelling trades in Gilts and Order Book for Retail Bonds (Gilts). Cancellation of on-exchange trade after date of submission where original submitted trade was a NM Follows same regime as submitted trade Not Published The GC Trade Type should be used to cancel an off book trade report that falls under the publication regime that currently applies only to Gilts and Order Book for Retail Bonds (Gilts). From a publication perspective the GC will follow the same rules as the trade being cancelled. The NC Trade Type can be used to cancel an off book trade report (NM) that itself was never due for publication. LC trade type should now be used for all other cancellation of on-exchange trade after date of submission not covered by above. The new trade types will be represented in the Trade Capture Report as the following TradeSubTypes:- Value TradeSubTypes 1032 GC 1033 NC Trade Type 2.3.2. Introducing new trade types for MTFs (reserved for future use) To facilitate the trade reporting of Broker MTF business we are creating a number of new trade types to facilitate this business. These are not expected to be used initially and a further announcement will be made when they are about to be used in live service. The following trade types will be added to the system: Trade Type Publication Equivalent current Trade Type Purpose BT Immediate OT OTC Trade BK Delayed TK OTC Trade- delayed publication request IF Inter fund cross- delayed publication BF Delayed request 18
OC Cancellation of OTC Trade after date of BC Immediate publication QT Immediate OT OTC Trade QK Delayed TK OTC Trade-delayed publication requested QF Delayed IF Inter fund cross- delayed publication request QC Immediate OC Cancellation of OTC Trade after date of publication MT Immediate OT OTC Trade MK Delayed TK OTC Trade- delayed publication request MF Delayed IF Inter fund cross- delayed publication request MC Immediate OC Cancellation of OTC Trade after date of publication CT Immediate OT OTC Trade CK Delayed TK OTC Trade-delayed publication requested CF Delayed IF Inter fund cross- delayed publication request CC Immediate OC Cancellation of OTC Trade after date of publication The following TradeSubTypes will now be available via the post trade gateway TRADESUBTYPES Value Trade Type 2001 BT 3001 BK 1018 BF 1019 BC 1020 QT 1021 QK 1022 QF 1023 QC 1024 MT 1025 MK 1026 MF 1027 MC 1028 CT 1029 CK 2002 CF 1031 CC 19
2.4. Enhancement 4: Start and End of Day activities 2.4.1. Suppression of Previous Days Closing Price for subset of securities The London Stock Exchange does not derive a closing price for securities residing on our European Quoting Service (EQS) and International Trade Reporting (ITR) segments. As such we will no longer disseminate previous days closing prices for these two segments. This release will halt the dissemination of the Previous Days Closing Price for all EQS and ITR securities. The Previous Days Close was historically disseminated on both the FIX-FAST and Level 2-ITCH market data protocols each morning. 2.4.2. Dissemination of End of Post Close trading status The FIX-FAST market data protocol and Level 2-ITCH market data protocols will introduce new trading statuses of 103 and x respectively, to indicate the end of the Post Close trading session to indicate the end of trading for the day. Following the transition out of the Post Close trading session client order book interaction is prohibited. Prior to Functional Release Q1 2012 the market data protocols did not communicate this change in order book logic. 2.4.3. Dissemination of No Active Session trading status The FIX-FAST market data protocol and Level 2-ITCH market data protocols will introduce new trading statuses of 199 and w respectively to indicate when an instrument has No Active Session available. Clients who perform a Recovery request for a suspended instrument will receive the aforementioned trading status in the Symbol Status and Security Status messages. 2.4.4. Reference Data file format change The London Stock Exchange Instrument reference data file (YYYYMMDD_XLON_Instrument.csv) will be updated to introduce an additional four columns. The four columns will identify the allocation of a particular instrument to relevant market data channels across all London Stock Exchange market data protocols. This enhancement will facilitate the identification of instrument-channel allocation through the potential removal of the manual LoadID/MDS Channel ID mapping process. Clients should refer to MIT401 Guide to Reference Data Services (Issue 9.0) for further information. 20
2.5. Enhancement 5: Level 2-ITCH message format changes In response to client feedback and as a further enhancement to our highly performant Level 2-ITCH market data protocol, the London Stock Exchange will shortly introduce the unique instrument identifier, InstrumentID, to both the Level 2-ITCH Order Delete and Level 2-ITCH Trade Break messages. Clients should consult the relevant technical specifications to identify the position of this new field in the message format. This enhancement facilitates client order book management through immediate identification of the affected security, thus allowing clients to quickly target the required update rather than purging all order books. The Group is keen to receive feedback on this enhancement. If client feedback is positive we may investigate the provision of InstrumentID across additional Level 2- ITCH real time market data messages. Post Functional Release Q1 2012 the Level 2-ITCH market data protocol will stamp the current execution date in the Off-Book Trade message; currently, only off-book trades of previous date have this field populated. 21
Copyright December 2011 London Stock Exchange plc. Registered in England and Wales No. 2075721. London Stock Exchange plc has used all reasonable efforts to ensure that the information contained in this publication is correct at the time of going to press, but shall not be liable for decisions made in reliance on it. London Stock Exchange and the coat of arms device are registered trade marks of London Stock Exchange plc. London Stock Exchange 10 Paternoster Square London EC4M 7LS Telephone: +44 (0)20 7797 1000 www.londonstockexchange.com 22