jse market communication session

Copyright© JSE Limited 2005 www.jse.co.za

JSE – Africa’s premier exchange

JSE MARKET COMMUNICATION SESSION

06 August 2008

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DERIVATIVES REPLACEMENT SOLUTION AGENDA

Results of 02 August Dress Rehearsal

Status and Planned Way Forward

Questions

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DERIVATIVES REPLACEMENT SOLUTION Results of 2 August Dress Rehearsal

ED Market

350 unique trading and clearing users

8 information subscribers

9 API software vendors across multiple members using conformed applications

AD Market

290 Unique users logins

8 information subscribers

10 API software vendors across multiple members using conformed applications

Trading volumes (orders / deals) were roughly double of a normal production day in each market

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Issues found on ED Market

# Issue What caused this issue? How will this issue be fixed?

1. Timeout (During the 02 August 2008 dress rehearsal this occurred 3 times on EDM)

The issue is brought about when there is more than 1 timeout item to be cancelled at exactly the same time. This causes the trading engine to go into a loop. After this no further messages will be handled by the trading engine.

During the 02 August 2008 dress rehearsal this occurred twice in the continuous trading phase and in the auction period.

The timeout item is dealt with at the time of cancellation and removed from the list directly.

This version of the code was deployed during the dress rehearsal – and the error did not re-occur.

2. Response Problem It was noted in tests conducted after the dress rehearsal that the screen update queue grows when sending display updates to information vendors. The code used in recreating the problem was the version of code complied with the optimization switch disabled.

When recompiling the code with the compiler update issued by Microsoft, and thus allowing us to recompile the code with the optimization switch re-enabled, we found that this screen update queue no longer appears.

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Issues found on AD Market

# Issue What caused this issue? How will this issue be fixed?

1. Timeout The issue is brought about when there is more than 1 timeout item to be cancelled at exactly the same time. This causes the trading engine to go into a loop. After this no further messages will be handled by the trading engine.

The timeout item is dealt with at the time of cancellation and removed from the list directly.

This version of the code was deployed during the dress rehearsal – and the error did not re-occur.

2. APD Market failed to move from the open order period into continuous trading

An invalid dealer code was received by the trading engine and a fatal error occurred when the trading engine attempted to read and process these connection details

A further open order period scheduled after this failure completed successfully.

Code has been put in place to guard against badly formatted messages.

3. MSMQ’s build-up resulted in multiple market announcements sent

A setup issue at the JSE resulted in a number of messages queued in the Microsoft message queuing mechanism to be released upon the market startup on the day of the dress rehearsal

Microsoft Message Queuing configurations have been verified and tested.

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Issues Highlighted in ED Checklists

− Autosave of windows only functional on selected windows

− Auto-update in the trades file : If you double click on a trade in order to perform a function and the trades window updates, the highlighted trade may not be the trade originally selected

− Popup messages when loading clients should not appear on every terminal

− Separate deal tickers for APD and EDM

− Colours for buys and sells in ticker as per market ticker

− Need to be able to sort per code or full name in quick reference boxes

− Some Subscription groups were unsubscribed on the day

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Issues Highlighted in AD Checklists

− the sort/filter criteria on any of the files ( trades, various positions, orders etc) does not save when you close the window resulting in the user having to resort/filter each time the view is opened

− the deal ticker does not include client code and/or sub account

− when loading a “double”, can only insert single quantity

− same request as EDM, require sort functionality on the “Prin” quick reference box

− Various Subscription groups or messages, particularly 36 (full file download) were unsubscribed on the day

− When options were exercise the member including branch office experienced performance issues

− The response time of the local machine when the consolidated members position file containing a number of entries was kept open

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DERIVATIVES REPLACEMENT SOLUTIONStatus and Planned Way Forward

Major Work Streams Apr 08 May 08 June

08July 08 Aug 08 Sept 08 Oct 08 Nov 08 Dec 08

JSE TINT

Final Regression Testing and UAT

CM Parallel Run

Checkpoint and Comms

Refresher Training

1st Internal Dress Rehearsal

Code Change & Regr Testing

2nd Internal Dress Rehearsal

Checkpoint and Comms

Combined Friendly DR FCO

Pre Go-Live Parallel Run ED

ED DR’s

Pre Go-Live Parallel Run AD FCO

AD DR’s

ED Contingency

19 May – 30 Jun

7

21

25

2

23cont

25Cont

18

20

12

19

4 18

19

2

2

18

01 - 11 (EDM)

1 - 15

16

3 - 10

6 - 18

Post go livePar. Run

Post go livePar. Run

10 - 20

Cont

Cont

Cont

21 - 25 (APD)

Prep.

15

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DERIVATIVES REPLACEMENT SOLUTIONStatus and Way Forward

Testing planned by the JSE prior to the 16 August 2008 Dress Rehearsal

Testing of auction (EDM) and open order (APD) periods in simulation environment

Stress testing of trading engine using isolated simulation environment

Stress testing of trading engine using simulation environment with selected user participation

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DERIVATIVES REPLACEMENT SOLUTIONStatus and Way Forward

Additional Testing requiring user involvement

Inclusion of all AD Participants in 16 August Dress Rehearsal

Test the auction (EDM) and open order (APD) periods with full market participation

− EDM – 12 August 2008 – Pre-production environment (IP 10.3.5.131 Port 2003)

− 17h00 - Market in download only – all users may login

− 18h20 – All ALSI expiries move into opening auction

− 18h30 – ALSI opening auction closes, all instruments move into continuous trading

− 18h50 – EDM Market closes

− APD – 12 August 2008 – Pre-production environment (IP 10.3.5.131 Port 2210)

− 17h00 - Market in download only – all users may login

− 18h20 – All Agricultural instruments move into Open Order period

− 18h29 – Open Order period closes

− 18h30 – All instruments move into continuous trading

− 18h50 – APD Market closes



Questions?

Refer all queries to:

[email protected]



Thank you

jse market communication session

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