migration to millenium exchange
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TRANSCRIPT
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Technical User GroupThursday November 3rd, 2011
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Agenda
• IntroductionEric Benedetti
• Migration to Millennium IT Exchange – Business UpdateGabriele Villa
• Migration to Millennium IT Exchange – Technical UpdateSimona Cervi
• Information servicesEdward Rainer
• Q&A session
Millennium Migration UpdateBorsa Italiana
Gabriele VillaEquity and Derivatives Markets - LSEG
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MIT Migration – Business update recap
Order Imbalance during Auction Calls
Stamping VWAP in Execution Reports of Orders & Quotes
Stop and Stop Limit Orders
Market to Limit Orders
Cross Orders / Block Trade Facilities
Order cancel on disconnect
Introduction of Named Orders for Specialists
Key messages from June TUG about main functional differences between TradElect and Millennium Exchange:
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MIT Migration – November Business update
Agenda
Auctions uncrossing algorithm
Orders type
Iceberg behaviour
Incoming source
BTF parameters
Connectivity solutions and pricing
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Auctions - Uncrossing algorithm
– The auction price will be the price at which the largest number of instruments can be executed. I.e. The price at which volume is maximized.
– If the volume is maximized at multiple prices then the auction price will be the price at which the Order Imbalance is minimized.
– If the Order Imbalance is minimized at multiple prices then the concept of Market Pressure will be used.
The Order Imbalance at a particular price will be the difference between the following two quantities:- for the buy side the aggregate quantity of all the Market Orders as together with all the Limit Orders’ having a price greater than or equal to the price being considered;- for the sell side the aggregate quantity of all the Market Orders as together with all the Limit Orders’ having a price less than or equal to the price being considered.- During any of the auction call sessions (which can be Opening, Closing, etc) the imbalance quantity and the imbalance side will be disseminated via the market data feeds
Market Pressure will be calculated as follows:- if all the prices at which the Order Imbalance is minimized have a buy imbalance, then the highest price will be the auction price. (An Order Imbalance on the buy side means there will be a remaining quantity in the buy side; this remaining buy pressure is likely to cause the price to rise after the auction; hence the highest price is taken);- if all the price points at which the Order Imbalance is minimized has a sell imbalance, then the lowest price will be the auction price (an Order Imbalance on the sell side means there will be a remaining quantity in the sell side; this remaining sell pressure is likely to cause the price to fall after the auction; hence the lowest price is taken);- if the prices at which the Order Imbalance is minimized have buy and sell imbalances, then the highest price out of the prices with buy imbalances and lowest price out of the prices with sell imbalances will be chosen.
Step 1
Step 2
Step 3
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Auctions - Uncrossing algorithm: MIT additional step
If step 3 resulted in two prices then the auction price is determined as below:
– if the STATIC Reference Price is equal or greater than the highest price, then the highest price is chosen as the auction price;
– if the STATIC Reference Price is equal or less than the lowest price, then the lowest price is chosen as the auction price;
– if the STATIC Reference Price is in between the two prices, then the STATIC Reference Price is chosen as the auction price.
– This is a different step introduced with MIT Trading
Step 4
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Millennium Exchange - Time In Force
DAY Specified as GFD on TradElect Orders with the DAY time in force will be expired at the end of the trading on the day they are submitted.
GTC GTC will be used in case of Take Over Bid (OPA)
Orders with the GTC time in force will remain in the system until cancelled by the trading party or a market operations user.
GTD Deleted at the end of trading on the day specified in the order. If the specified day is a non-business day then the order will expire before start of trading on the next business day.
GTT GTT must be specified in UTC Orders with the GTT time in force will expire at the time specified in the order or at the end of the trading day. These orders must contain a valid expiry time that can be specified down to seconds.
IOC Immediate or Cancel –equivalent to Execute and Eliminate on TradElect
Executed on entry and any remaining unexecuted volume deleted.
FOK Executed in full on entry or immediately expired. An FOK order may not be partially filled.
Time in Force TradElect gap Behaviour
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Millennium Exchange - Time In Force (cont.)
OPG Specified as ATO on TradElect OPG time in force is used to direct orders to the Opening Auction. OPG orders participate in the Opening Auction. The remainder of these orders will expire once the Opening Auction is completed.
GFA GFA time in force is used to direct orders to the next auction. GFA orders submitted during the Continuous Trading session will be parked until the next auction call period starts at which point they will be injected into the order book. Any remaining volume deleted after uncrossing and they will not be executed during Continuous Trading.If no auctions in a trading day then deleted after end of trading.
ATC ATC time in force is used to direct orders to the Closing auction. ATC orders submitted during the Continuous Trading session will be parked until the Closing Auction Call period starts at which point they will be injected into the order book.
Time in Force TradElect gap Behaviour
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Order Type - Time In Force / Trading Session combinations
Trading Sessions
Start of Trading
Opening/Reopening
Auction CallContinuous
Trading
Resume Auction
Call
Closing Auction
Call HaltPost Close
TIF
IOC N N Y N N N NFOK N N Y N N N NDAY N Y Y Y Y N NGFA N Y Y** Y Y N NOPG N Y*** N N N N NATC N Y** Y** Y** Y N NGTC N Y Y Y Y N NGTD N Y Y Y Y N N
GTT N Y Y Y Y N N
Ord
er T
ype
Market N Y Y Y Y N NLimit N Y Y Y Y N N
Stop / Stop Limit N Y** Y* Y** Y** N N
Iceberg N N Y N N N NNamed N Y Y Y Y N NQuote N Y Y Y Y N NMTL N Y N Y Y N N
* Parked or Injected on the Order Book** Parked*** Valid in case of opening auction call not in reopening
Trading Sessions
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Iceberg Order Execution
Same behaviour of TradElect
New MIT behaviour
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Order Source
Order Source
Agency
Institutional Client
Interconnected
Branch of bank
Private Client Interconnected
Retail Trading Online
Principal Authorized Direct Member
When a new order is submitted , the source of the incoming order must be specified by the customer (Order Source). The purpose of this field is to be able to map the origin of the order flow (as a category) and it is intended to anticipate the future development of Financial Markets Regulatory framework.
- Details on what is expectedfor each category willfollow
- The order Source will bemandatory
- Field not distribuitedthrough the marketmessages
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Crossing Functionalities
– Cross Order functionality to enter an already agreed/identified trade to the trading system. The Cross Order functionality is of two types: Cross Orders and Block Trade Facility (BTF). Both are allowed only during the Continuous Trading session.
– If the trade is agreed or identified within a single member firm, it will be considered as an “Internal Cross/BTF” whereas if the trade is agreed or identified by two different member firms, it will be referred to as a “Committed Cross/BTF”.
- the price of the order must be within the visible best bid price and the visible best ask price (including them) in the order book at the time of the Cross Order being submitted by the member firm.
- The last traded price is updated by a trade resulting from Cross Orders (means Stop or Stop Limit Orders can be elected based on that trade); Cross Orders trades will not be considered for any closing price calculation.
- Cross Order trades will update the statistics such as High Price, Low Price, Volume and Turnover for on-book trades.
Cross Order
- the price of the order must be within the spread defined by:
Visible best bid - a configurable percentage AND visible best offer + a configurable percentage. The above will include the extreme values of the spread as well.
- The last traded price is not updated by a trade resulting from BTF Orders (means Stop or Stop Limit Orders will not be elected based on a BTF Order trade).
- Also BTF trades will not be considered for any closing price calculation (either as the final automatic trade or as part of the VWAP).
BTF
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BTF Functionalities – crossing parameters
• Considering the feedbacks received by market participants so far, we would like to introduce the following parameters for crossing activity (to be confirmed, figures are indicative):
• FTSE MIB components
• All MTA shares
• AIM Italy / MAC
• TAH
Cross Orders and BTF will be available for all the markets; details on crossing parameters available on other markets will follow
MTA
SMEs
TAH
3.5% 10 * EMS
5 % or 7.5% 5 * EMS
10% 5 * EMS
7.5% 10 * EMS
Spread Min Size
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New Connectivity Pricing
• The migration of Italian cash markets to Millennium-IT will require an increase in the bandwidth requirements, especially for the ones who will subscribe the ITCH protocol
• To meet the new requirements, Borsa Italiana will have to extend the current BItNet product offering to lines with additional capacity adopting, for high bandwidth, the point-to-point technology
• New pricing guidelines:– Extension of the leased 100mb lines to all members, where today they are offered
only to Borsa Italiana’s Service Providers
– Substitution of 40mb Mpls lines with 40mb point-to-point technology (if applicable)
– Extension of the offering to 40mb not resilient and 100mb not resilient (only for backup
sites)
– Maintenance of lighter solutions for smaller clients
– Extension of the offering to 1Gb lines
– Greater flexibility in the provision of bandwidth capacity for Off-Net sites
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New Connectivity Pricing (cont.)
€28,000
€24,000
€45,000
€42,000
€76,800
€64,000
€94,200
€76,000
-14,3%
-6,7%
-16,7%
-19,3%
2MbMI-TO-RO
10MbMI-TO-RO
40Mb Milano
100Mb Milano
- VPN connections and non-resilient Mpls lines: unchanged fees
- The go-live date is set for April 1st, 2012, although new configurations which will be put in place in advance will be charged according to the new pricing scheme.
2Mb resilient MI-TO-RO € 28.000 € 24.000 -14,3%National € 32.000 € 28.000 -12,5%International € 38.000 € 32.000 -15,8%
10Mb resilient MI-TO-RO € 45.000 € 42.000 -6,7%National € 48.000 € 45.000 -6,3%
International € 52.000 = € 52.000 0,0%
40Mb resilient Milano € 76.800 € 64.000 -16,7%Torino-Roma € 76.800 € 70.000 -8,9%National € 82.000 € 70.000 -14,6%International € 88.000 € 75.000 -14,8%
100Mb resilient Milano € 94.200 € 76.000 -19,3%National
New € 84.000
International € 90.000
Borsa Italiana - Millennium Migration Update
Technical User Group – 3 Novembre 2011
Simona Cervi
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Introduction
During the presentation we did on June 29 we announced the migration of the MTA, ETF Plus, MOT, ExtraMOT, Sedex, TAH, AIM, MIV and MAC markets from Tradelect to the Millenium IT trading platform detailing the performance benefits of the new trading platform.
Today we would like to provide an update on the activities undertaken, the ones in progress and the timeline for completing the migration of the markets by the end of the second quarter of 2012.
In particular, we remind you that there will be two major releases that will be deployed in CDS in two different steps.
1) MIT CDS for the Trading After Hours market
2) MIT CDS for MTA, AIM, MAC, ETF Plus, MOT and Sedex markets
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Undertaken and ongoing activities
• August: publication of the first draft of the Technical Specifications (trading and market data) for Borsa Italiana markets
• September: availability of the early CDS test environment for Italian ISVs and Italian market participants; the software and the market model were the ones currently available for the LSE markets
• October 17: Updated version of the Technical Specifications available on Borsa Italiana website
• Customer enablement forms available on Borsa Italiana website
• November 7: availability of MIT CDS for the TAH market
• First week of November: availability of DDM Plus for MIT
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New MIT CDS environment (1)
Exchange Gateway (Trading) Services Customer InformationService Exchange IP Address TCP Port
Fix Trading GW 01 - Channel 1 194.169.10.131 51411Fix Trading GW 01 - Channel 1 Alternate 194.169.10.132 51411Fix Trading GW 01 - Channel 2 194.169.10.131 51412Fix Trading GW 01 Channel 2 - Alternate 194.169.10.132 51412Fix Trading GW 02 - Channel 1 194.169.10.133 51413Fix Trading GW 02 - Channel 1 Alternate 194.169.10.134 51413Fix Trading GW 02 - Channel 2 194.169.10.133 51414Fix Trading GW 02 Channel 2 - Alternate 194.169.10.134 51414Native Trading 01 194.169.10.135 51441Native Trading 02 194.169.10.136 51442Native Trading 01 Recovery 194.169.10.135 51451Native Trading 02 Recovery 194.169.10.136 51452Post Trade Router 01 - Channel 1 194.169.10.139 51421Post Trade Router 01 - Channel 1 Alternate 194.169.10.140 51421Post Trade Router 01 - Channel 2 194.169.10.139 51422Post Trade Router 01 -Channel 2 Alternate 194.169.10.140 51422Drop Copy 01 - Channel 1 194.169.10.143 51431Drop Copy 01 - Channel 1 Alternate 194.169.10.144 51431Drop Copy 01 - Channel 2 194.169.10.143 51432Drop Copy 01 - Channel 2 Alternate 194.169.10.144 51432Drop Copy 02- Channel 1 194.169.10.145 51433Drop Copy 02 - Channel 1 Alternate 194.169.10.146 51433Drop Copy 02 - Channel 2 194.169.10.145 51434Drop Copy 02 - Channel 2 Alternate 194.169.10.146 51434
Multicast Feed A Multicast Feed B Replay Service (Active) Recovery Service (Active)
Channel name Config type
Multicast address (Active)
Multicast Source IP Address
Service Port (UDP)
Multicast address (Active)
Multicast Source IP Address
Service Port (UDP) LSEG VIP IP External
TCP Port LSEG VIP IP External TCP Port
ITCH Gateway 1 ITCH 224.4.4.192194.169.10.200 61200
224.4.5.192 194.169.10.230 61200194.169.10.210194.169.10.240 53201
194.169.10.210194.169.10.240 54201
ITCH Gateway 2 ITCH 224.4.4.193194.169.10.200 61200
224.4.5.193 194.169.10.230 61200194.169.10.210194.169.10.240 53202
194.169.10.210194.169.10.240 54202
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New MIT CDS environment (2)
• The software available on CDS from November 7 will include all the instruments and the functionalities available on the TAH market
• The existing TAH market structure (e.g. instruments, rules etc.) will also be maintained
• CompID dedicated to TAH market will be configured, following the standard naming convention:Market (2 char) + CED Code (4 digits) + “FT” (for FIX users)/”NT” (for native users) + “0” (for standard users)/”S” (for specialist users) + progressive code (2 digits)i.e. TH1234NTS01, TH1234FT002
• Customers configurations requests (users and connectivity) should be addressed to [email protected]
• Conformance tests on MIT platform will be scheduled starting from the end of February 2012
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MDF/DDM Plus test environment
• The market data of the markets that will move to MIT will be distributed through:
• ITCH: Realtime Dissemination of full order book and trades (UDP multicast)
Extremely fast, suggested for latency sensitive applications
• MDF- DDM Plus service : 5, 10, 20 level of prices snapshot, all the depth of the market real team (A5 level)
• ITCH will disseminate data for the first drop of CDS via one service channel
• The new version of MDF-DDM Plus connected to MIT will be available on the CDS environment starting from November 7
• Conformance tests on MDF-DDM Plus will be mandatory. They will be scheduled starting from the end of February 2012
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Technical documentation available
– MIT201 - BIT - Guide to New Trading System - Issue 1.0
– MIT202 - BIT - Trading Gateway (FIX 5.0) Specification - BIT - Issue 2.0
– MIT203 - BIT - Native Trading Gateway Specification - BIT - Issue 2.0
– MIT204 - BIT - Post Trade Gateway (FIX 5.0) Specification - BIT - Issue 2.0
– MIT205 - BIT - Drop Copy Gateway (FIX 5.0) Specification - BIT - Issue 2.0
– MIT301 - BIT - Guide to Market Data Services - Issue 1.0
– MIT303 - BIT - Market Data Feed _ITCH_ Specification - BIT - Issue 2.0
– MIT305 - BIT - FTP Services Reference Data Specification - BIT - Issue 2.0
– MIT501 - BIT - Guide to Customer Testing on Millennium Exchange Issue 1.0
http://www.borsaitaliana.it/borsaitaliana/intermediari/gestione-mercati/migrazionemillenniumit-mit/millenniumitmigration.htm
http://www.borsaitaliana.it/borsaitaliana/intermediari/gestione-mercati/migrazionemillenniumit-mit/millenniumitmigration.en.htm
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Accessing the Service
• The central systems (Trading Matching Engine) will be located in Italy, the Primary Data Centre will be in Milan where the IDEM central systems are already located. The Secondary Data Centre will be also located in Milan.
• The connection to the markets will be available through– the LSE group networks (BIt Network and/or Extranex)
– The co-location service provided by Borsa Italiana
• A new BIt Network topology will be delivered for bandwidth sizes higher than 10Mb.
• Bandwidth sizes available will be:
– 2 Mb (Mpls)
– 10 Mb (Mpls)
– 40 Mb (point to point links)
– 100 Mb (point to point links) – minimum requirement for receiving ITCH
– 1 Gb (point to point links)
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Access via Co-Location Service (1)
• Space in the same datacentre where the Millennium Exchange Primary Datacentre, the IDEM market and the MDF/DDM+ services are located
• Direct ultra low latency connection (1 or 10 Gb fibre, according to customer request) to all Borsa Italiana’s trading and information systems:
– MTA, MOT, ETF Plus and SeDeX
– IDEM Market
– MDF/DDM+
• Open connectivity model providing access through:
– Customer proprietary lines (wide range of available carriers)
– Borsa Italiana’s provided network (BIt Network)
– Internet VPN
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Access via Co-Location Service (2)
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Access via Co-Location Service (3)
• Added value services– Remote Hands Service (Installation of customer equipment)
– Hands & Eye Service (e.g. HW Reboot)
– HW Monitor
– Local Intervention Team
– Highest datacentre security, power and cooling standards
• For further information:– http://www.borsaitaliana.it/exchangehosting
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Trading Front-End - BTS
• New BTS Client with:
– New user-friendly Layout
– New Functionalities
• Available in CDS environment for all the Borsa Italiana markets
The production upgrade will take place between 15th October - 30th November 2011
Migration plan
•From the second quarter of 2012 mandatory public test sessions will be performed in production environment
•Dress Rehearsals for TAH market
•Go-Live TAH market
•Dress Rehearsals for MTA, MOT, SEDEX, ETF plus, AIM Italia, MAC markets
•Go-Live MTA, MOT, SEDEX, ETF plus, AIM Italia, MAC markets
•The official live date of the new service will be communicated to market participants in due time, and confirmed according to the outcome of the public test sessions.
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Migration Plan (2)
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Contact details
– Client Technology Services Italy – Borsa Italiana
– Client Services Team
Tel: 02/72426606/647/348
– Client Technology Services Italy – Borsa Italiana
– Service Desk Italy
Toll free: 0080026772000
From Mobile: +39 0245411399
Milan Technical User GroupReal Time Information Services UpdateEd RainerGroup Product Manager
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London Stock Exchange Group Real Time DataDDM-Plus Update
• DDM-Plus will be maintained as part of the Borsa Italiana migration to the Millennium Exchange solution;
• The Group has now started a programme of enhancements – both software and hardware – to ensure the DDM-Plus solution remains robust and can manage the anticipated increases in message flow volume following the migration of Borsa Italiana markets to the Millennium Exchange solution;
• The latest DDM-Plus release (Vrsn 2.6), supporting the additional functionality provided by Millennium Exchange, will be made available shortly;
• The Group expects to further communicate a number of additional DDM-Plus product releases prior to the go-live of Borsa Italiana markets on the Millennium Exchange solution;
• The legacy DDM-Plus product (Vrsn 2.5) will continue to be available until further notice.
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London Stock Exchange Group Real Time DataAn Introduction to Level 2-ITCH
• Industry standard protocol with variants used by NasdaqOMX, Bats and Chi-X;
• Employed by the London Stock Exchange Group for the first time as part the London Cash Equity Market migration to the Millennium Exchange solution;
• Highly performant, fixed-width binary protocol which is well suited for large data transfers due to its small messages and low encoding;
• Perfectly suited to latency sensitive clients – the London ‘Optimised Data Delivery’ service is currently recording world leading latency statistics;
• Incremental, full depth service in Milan;
• Each order will be communicated in a dedicated message. The full order book depth will be disseminated;
• Replay and Recovery capabilities facilitating client allignment following short or long term outage;
• Most popular protocol for London based clients and is fundamental to the Group’s longer term market data strategy.
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London Stock Exchange Group Real Time DataGroup Tickerplant
• The Group has now started work on the much anticipated Group Tickerplant;
• The Group Tickerplant will be offered in both London and Milan;
• The Group Tickerplant will replace DDM-Plus;
• The Group Tickerplant will be a functionally rich, efficient and scalable solution. It will mirror the critical functionality of the DDM-Plus product.
• The new Group Tickerplant is anticipated to launch in Q4 2012.
• The Group will initiate client consultations in due course and would invite any Italian client wanting to be involved to contact the Product Management team via Clients Services (Italy).
• Clients should expect documentation to be released in Q1 2012.