Technical User Group. Milan. Date: 26 November 2008

Transcript

1 Technical User Group Milan Date: 26 November 2008

2 Mercati MOT, SedeX, ETF Plus e MAC Migrazione alla piattaforma TradElect Simona Cervi Date: 26 November 2008

3 Fase 1: I segmenti interessati Lunedì 10 novembre 2008 con la migrazione dei mercati MTA ed Expandi alla piattaforma TradElect abbiamo completato con successo la prima fase del processo di integrazione con il London Stock Exchange. Questi i segmenti interessati: Blue Chips (Azioni, Warrants, Obblig. Conv, Diritti) STAR (Azioni, Warrants, Obblig. Conv, Diritti) MTA International STANDARD 1 e 2 (Azioni, Warrants, Obblig. Conv, Diritti) Expandi 1 e 2 (Azioni, Warrants, Obblig. Conv, Diritti) OICR Chiusi 3

4 Fase 2: I mercati interessati E ora iniziata la seconda fase della migrazione che come noto riguarderà i seguenti mercati: ETF Plus SeDex MOT (Domestic MOT e EuroMOT) MAC E inoltre prevista l implementazione del segmento per la gestione dell OPA e la validazione del prezzo dell ordine all immissione. Scopo della presentazione di oggi è quello di fornire maggiori dettagli e comunicare la tempistica del piano di migrazione. 4

5 Infrastruttura tecnologica centrale Anche per la fase 2 i Sistemi centrali TradElect/Infolect saranno ubicati a Londra in due centri di elaborazione in configurazione active-active. I Siti di accesso (Market Hubs) situati presso i due centri di elaborazione di Milano e Torino ospiteranno i sistemi centrali MDF/DDM Plus e i sistemi di clearing di CCG. I 4 siti di Londra/Londra e Milano/Torino saranno collegati tramite collegamenti in fibra ottica ad alta capacità (10 Gbps) forniti da carriers differenziati e costituiranno un unico ambiente operativo distribuito (backbone). Il backbone comprenderà come peraltro avviene per i mercati MTA ed Expandi anche i 2 siti centrali di SIA-SSB dove sono situati i sistemi centrali di Post-Trading (X-TRM, Express). 5

6 Connettività ai mercati L accesso ai mercati avverrà sia tramite la rete di Borsa Italiana (BIt-Network) sia tramite la rete del London Stock Exchange (Extranex). Non sono previsti interventi presso le sedi degli operatori sulla infrastruttura di rete periferica della rete BIt-Net ed Extranex. 6

7 Accesso alle funzioni di negoziazione (1) L accesso logico avviene tramite il nuovo protocollo applicativo TradElect. L accesso alle funzionalità di negoziazione avverrà tramite lo stesso USAP (User Service Access Point) già utilizzato per negoziare sui mercati MTA ed Expandi, salvo specifica richiesta dell operatore. Dedicati USAP verranno invece assegnati agli operatori che svolgono attività di Market Maker e/o Specialist. La segregazione dell attività effettuata su tali mercati verrà invece garantita da Tradergroup separati. Ad ogni cliente verrà attribuito di default un Trader Group per mercato (11 caratteri alfanumerici) che sarà così composto: SD (Sedex) + codice Ced MOT - DM (Domestic MOT) + codice Ced EM (EuroMOT) + codice Ced ET (ETF Plus) + codice Ced AC (MAC) + codice Ced

8 Accesso alle funzioni di negoziazione (2) Come per MTA a ciascun Tradergroup viene associato uno USAP di default a cui verranno inviate le notifiche di eventualicancellazionidiordinie contratti effettuate dalla Market Supervision. Per Operatori Market Makers/Specialist verrà assegnato un Trader Group aggiuntivo che consentirà di identificare l attività svolta per ottemperare a tali obblighi. Il passaggio alla nuova piattaforma potrebbe richiedere l adeguamento delle applicazioni interconnesse degli operatori ed ISV. 8

9 Accesso alle funzioni di informativa Con il completamento della fase 2 l informativa di tutti i mercati di Borsa Italiana (fatta eccezione per quella relativa al mercato IDEM che sarà disponibile esclusivamente tramite il servizio MDF/DDM+ fino all introduzione della nuova versione del servizio Infolect) sarà diffusa sia tramite il servizio MDF/DDM+ sia attraverso il servizio Infolect del London Stock Exchange. Le caratteristiche principali del servizio Infolect sono le seguenti: flusso informativo completo di tutte le variazioni (ordini e contratti) avvenute sul book di negoziazione (full orderbook depth) Profili disponibili: nuovi Service Channel in aggiunta a quelli del mercato MTA(30 Mbps per SETS +mercati di Borsa Italiana) accesso logico tramite protocollo di comunicazione UDP multicast con servizi interattivi tramite TCP/IP (query e riallineamento) snapshot service book a 5, 10 e 20 livelli disponibile nella seconda metà del

10 Piano di migrazione (1) Le principali milestones del piano di migrazione sono le seguenti: 15 dicembre: disponibilità della documentazione Tecnico/funzionale relativa alla migrazione 15 dicembre: disponibilità delle specifiche tecniche di interfaccia MDF/DDM+ Gennaio: disponibilità del servizio di avviamento (Customer Development Service o CDS) TradElect, Infolect e MDF/DDM Plus. A partire da tale data l ambiente di test Tradelect per i mercati MOT, Sedex, ETF Plus e MAC sarà collegato al servizio X- TRM. Febbraio: disponibilità del servizio di conformance test (Conformance Test Service o CTS). Le sessioni di conformance test avverranno in un ambiente operativo dedicato (CTS) e verranno pianificate come di consueto da BIt Systems nel corso del mese di febbraio

11 Piano di migrazione (2) Il conformance test è obbligatorio per tutte le applicazioni interconnesse proprietarie o di terze parti non ancora compatibili con i servizi TradElect, Infolect e MDF/DDM+ o per le quali verrà rilasciata una nuova versione di software. BIt Systems fornisce supporto tecnico locale sull utilizzo del nuovo protocollo applicativo, supporto funzionale sull utilizzo della nuova piattaforma di negoziazione ed esegue i conformance test. Durante il mese di marzo 2009 sono previste 2/3 sessioni pubbliche di collaudo in ambiente di produzione. La data ufficiale di avvio in produzione del nuovo servizio, prevista per inizio del secondo trimestre 2009, verrà confermata subordinatamente agli esiti delle sessioni pubbliche di collaudo. 11

12 Contatti Per qualsiasi informazione potete contattare: Clients Services Technical Support Desk: Technical Account Managers a Milano e Londra 12

13 Accredited Proximity and Hosting Services An overview of the new connectivity services available from the London Stock Exchange Group Nigel Harold Date: 26 November 2008

14 Introduction Member firms connect to the London Stock Exchange Group to receive real-time trading, information and other services. The Group has a range of connectivity solutions suitable for customers with different trading strategies and budgets: Direct Exchange Connection (BIT Network and Extranex) Accredited Service Providers or Group Service Providers Accredited Proximity Hosting by an approved provider (new) Full Hosting solution within the Exchange Data Centre (new). 14

15 System and network latencies BIT NET: 12ms BIT NET TradElect: 5ms TradElect: 2ms Infolect: 2ms 15

16 Accredited Proximity Hosting To assist our clients identify suitable hosting providers, the Exchange has introduced a formal accreditation policy. This helps to identify suitable datacentre partners and provides visibility of the accreditation status of a client s chosen hosting solution provider. We currently have two providers who meet the criteria, and we are in discussions with a number of other solution providers. Contact: Andrew Nunn Telephone: +44 (0) andrew.j.nunn@bt.com Contact: Greg McCullogh Telephone: +44 (0) gregm@interxion.com 16

17 Accredited Proximity Hosting 17

18 Accredited Proximity Hosting This gives confidence to the Group and to the proximity hosting providers clients that the service complies with our minimum requirements: physical location and site access connectivity services security including physical security, CCTV and fire detection minimum power allocation per cabinet resilience of the service in terms of power and air conditioning backup available space support. All commercial agreements for the provision of these services will be between the proximity hosting provider and their client. 18

19 Hosting Hosting is the ultimate in low latency connectivity, providing the fastest possible connection to the Group s trading and information systems. It is hosted physically within the Exchange s data centre - as close as possible to the matching engines. It minimises the overall latency between the Exchange s TradElect and Infolect systems and the customer s own trading applications: propagation delay: reduced components for packets to pass through transmission delay: physically close to the matching engines and infrastructure processing delay: significantly less components for packets to be processed by. Hosting covers access to all London Stock Exchange Group markets that are based in London, including MTA and Expandi. The service and facility is managed entirely by the Exchange. 19

20 Hosting Service offering Phase 1 Phase 2* Access to London Stock Exchange Group Services Production TradElect Production Infolect (Performance and Service Channels) Customer Development Service Conformance Environment Available from Aug-08 May-09 Power usage (per cabinet) 3 kw average 5 kw (TBC) Trading connections (per cabinet) 4 resilient 4 resilient (TBC) External data feeds Management services Management connectivity Internet VPN Leased line System monitoring Intelligent hands available Limited * Phase 2 offering subject to change based on client demand The Exchange is expecting a high level of demand for the Hosting Services due to the improved performance benefits, and will aim to encourage market efficiency by allocating space to market participants who will benefit most from the Hosting Service and therefore generate more liquidity to the advantage of the market as a whole. 20

21 Hosting Location central London, purpose built datacentre Security and access 24/7 on-site security team intelligent CCTV and access control pre-arranged access available Facilities management 24/7 automated Building Management Systems (BMS) monitoring 24/7 on-site engineering support Facility owned and managed by the Group Power capacity and configuration diversely routed incoming HV and UPS power supplies backup generation (redundancy of N+2) availability for 3kW average per cabinet Network and cabling configuration resilient Cisco 6509 Switches for low latency cross connection to TradElect and Infolect systems approx 4 resilient (8 physical ports) Exchange ports per cabinet Cat 6 cabling is used throughout the data centre connectivity to customer site via resilient VPN connections: primary management connection - 10mb of existing 100mb Extranex back-up line leased line or internet connection third party connectivity also being investigated. 21

22 Further information If you are interested in Accredited Proximity Hosting then please contact the proximity hosting providers directly. If you are interested in Hosting then please contact Nigel Harold on or via 22

23 FIX 5.0 Interface for TradElect Functional design overview Mark Reece Date: 26 November 2008

24 Contents Service overview Key differences between the Native and FIX 5.0 interface FIX session and connectivity Retransmission services Business layer Business layer (cont d) - Security identification Message mapping Testing services Next steps and timescales 24

25 Service overview Optional FIX 5.0 interface for TradElect Performant and functionally rich interface for TradElect approved by FPL technical committee. FIXT1.1 Transport layer and FIX 5.0 SP2 specification offering number of features specifically designed for participant/exchange communication. Our goal is for the fully integrated FIX 5.0 interface to be at least as performant as the current Native interface*. Existing functionality remains supported, including Own Order Book, Own Trades Book Download and Copy To. Participants will be able to access all markets currently operating on TradElect via the FIX 5.0 interface. * Technical testing due to be completed Q

26 Key differences between the Native and FIX 5.0 interface Message Security Basket functionality Instrument Identification Order identification Chaining Session identification Iceberg order upon execution Re-Request message response Parking of orders The practice of MAC keys and encryption obsolete. MAC keys not present on any FIX message. IPSEC based option available if required. Not supported via the FIX interface. 4 - Way Key of ISIN, Currency, Country of Register and Segment mapped to the SecurityID (48) field as a concatenation of the four constituents. ClOrdID (11) is the unique Order ID designated by the Participant upon order entry. Uniqueness must be guaranteed across a Trader Group. Upon submission of an order modification, the Participant will provide a new ClOrdID (11) and reference the original by populating the OrigClOrdID (41). USAP and Trader Group cannot be shared across Native and FIX interface connections. When the peak of a passive Iceberg order is executed, only the new public order code is returned when using FIX and not the original. The Native (5FR) message contains the Re-Request High Sequence Number field. This is not included in the FIX equivalent (35 = BX). In the event that an order is required to be Parked a FIX ExecutionReport (35=8) message will be sent with the OrdStatus (39) = Suspended. 26

27 FIX session and connectivity Fully compliant FIXT1.1 session layer employed Session valid for 1 trading day and will begin with MsgSeqNum (34) = 1 FIX session layer encryption will not be used (optional IPSEC hardware based solution available) Separate FIX session should be used for OOBD, OTBD and Re-Request Market Data USAP and Trader Group cannot be shared across Native and FIX interface connections FIX Message fragmentation is supported for ExecutionReport (35=8) using MaxMessageSize (383) Copy To supported RELATIONSHIP MODEL - Multiple CompID s can be associated with a FIX enabled USAP MemberID Trader Group USAP CompID TraderID 27

28 Business layer TradElect will assign a globally unique identifier to each order, OrderID (37). ClOrdID (11) is the unique ID assigned by the Participant upon order entry. It must be unique across a Trader Group. OrigClOrdID (41) is used to chain cancellation and modification messages to the previous order message. MassQuote (35=i) message is used to cater for dual sided quotes. Multiple fills will be reported within one Execution Report message (35=8) by the use of the Fills Group component block. Parties component blocks used for the following: Trader Group and Trader ID of the participant Member ID Buy and Member ID Sell details. Example New Order Single (Parties Component Block): 28

29 Business layer(cont d)- Security identification Orders - the security will be identified using: SecurityIDSource (22) = 8 (Exchange Key) SecurityID (48) = 4 Way Key Quotes - the security will be identified using: UnderlyingSecurityIDSource (305) = 8 (Exchange Key) UnderlyingSecurityID (309) = 4 Way Key Order Type Quantity Price Side Currency Capacity New Order Single Std Header Id Block Party Block Order Data Instrument Data SecurityIDSource SecurityID Std Trailer ISIN Country CurrencySegment GB00B16GWD56 GB GBX SET1 (Vodafone UK) 22=8 48=GB00B16GWD56GBGBXSET1 (Vodafone UK) 305=8 309=GB00B16GWD56GBGBXSET1 QuoteID MassQuote Std Header Id Block Party Block Quote Set Quote Entry QuoteEntryID Quantity Price Side Currency Underlying Instrument Data UnderlyingSecurityIDSource UnderlyingSecurityID Std Trailer 29

30 Retransmission services A participant may request the following retransmission services via the FIX 5.0 interactive. Retransmission of Broadcast Market Data messages supporting Fixed Width or FAST in Encoded Text Own Order Book Download Own Trades Book Download 30

31 Message mapping The following summary table provides an example of valid session and application messages that form part of the service: Message level Function FIX msg type FIX message description Session Logon 35=A Logon 5LI Infrastructure Re-Request Market 35=BW Application Message Request 5RR Data Trade Order Entry 35=D New Order Single 5EO Pre-Trade Quote Entry 35=i Mass Quote 5EQ Post Trade Trade Report Entry 35=AE Trade Capture Report 5ET Equivalent Native message Trade Post Trade Own Order Book Download Request Own Trades Book Download request 35=AF Order Mass Status Request 5RO 35=AD Trade Capture Report Request 5RT 31

32 Testing services Customer Development Service (CDS) FIX 5.0 interface will be introduced to the CDS environment in parallel to the current Native interface. Conformance environment Currently under consideration. One such approach would be to introduce a web-based platform for FIX counterparty certification which would support: multiple concurrent users testing in parallel extended hours of availability a faster and more efficient on boarding process user customisable tests based on the results of a Q&A session progress tracking of certifying users in real-time scripted tests for our implementation of FIX v5.0 SP2. 32

33 Next steps and timescales Testing services and go live dates detailed below are for the London market. Dates for Milan TBC. Jan 2009 Guide to the FIX 5.0 Interface for TradElect Q Go live for London Nov 08 Milan Technical User Group Q Testing services available and results of technical testing 33

34 Infolect/DDM Plus integration Technical update Ollie Cadman Date: 26 November 2008

35 Overview Following the merger, our vision is to create a bridge between London and Milan through a single technology platform that enables customers to access a deeper pool of liquidity and take advantage of new trading and investment opportunities. During the second half of 2009 an enriched version of Infolect will become the single information delivery mechanism for both Borsa Italiana and London Stock Exchange market data, taking us a step closer to achieving our vision. Infolect is the Exchange s low latency market data system, publishing real time full depth order and trade information in only 2ms. Launched in September 2005, Infolect is built on next generation technology, providing a flexible, scalable platform which is one of the fastest market data systems in the world. Infolect currently publishes Level 1 and full depth Level 2 data for MTA and Expandi, and following the migration of the remaining Affari markets in Q this data will also be available on Infolect, as well as MDF/DDM Plus. 35

36 Infolect a technical introduction Infolect is built on the same platform as TradElect and the two are completely integrated. Market data is published as a series of Service Channels, which are logically grouped. A Service Channel will publish a series of fixed width messages on a specific multicast IP address. Each channel is identified by a unique Service Code, and each message on a channel is uniquely sequenced. Any missed messages can be requested again from the Interactive Gateway on a dedicated TCP session. Multicast IP: Service Code: D01 TradElect Infolect Description; MTA & Expandi Level 1 Includes; Best price, trades, etc Interactive Gateway Multicast IP: Service Code: D03 Description; MTA & Expandi Level 2 Includes; Full depth 36

37 Infolect Snapshot Services Infolect is being enhanced to support Aggregated and Non-aggregated Order Book Snapshot Services at 5, 10 and 20 depth levels. Each will be a new message type 5ST Order Book Snapshot (Non-aggregated) and 5AS Aggregate Snapshot. These will be new fixed width message types, published on FAST compressed Snapshot Service Channels for each market on TradElect. Broadcast message header Snapshot message header Buy orders by level Sell orders by level Variable depending on the number of orders on the book, ie 0 to depth level 37

38 5ST Order Book Snapshot Message Field Name Offset Length Format Segment Code 37 4 A Tradable Instrument Code A Country of Register 53 2 A Currency Code 55 3 A Volume of Orders at Best Bid Price N Volume of Orders at Best Offer Price N Number of Orders at Best Bid Price 82 3 N Number of Orders at Best Offer Price 85 3 N Best Price Bid N Best Price Offer N Order book Depth N Number of Buy Orders N Number of Sell Orders N Order Message String 130 * A Total Length 130 bytes minimum Field Name Offset Length Format Order Price 0 18 N Aggregate Size N Member ID A Total Length 41 bytes 38

39 5AS Aggregate Snapshot Message Field Name Offset Length Format Segment Code 37 4 A Tradable Instrument Code A Country of Register 53 2 A Currency Code 55 3 A Order book Depth 58 2 N Best Price Bid N Best Price Offer N Number of Buy Price Levels 96 2 N Number of Sell Price Levels 98 2 N Price Level Message String 100 * A Total Length 100 bytes minimum Field Name Offset Length Format Price Level 0 18 N Price Level Aggregate Size N Number of Orders 30 6 N Total Length 36 bytes 39

40 Snapshot Service Channels Dedicated Order Book and Aggregate Snapshot Service Channels will be configured for each Borsa Italiana market on TradElect. The messages on each channel will be compressed using FAST v1.1 (FIX Adapted for Streaming) and the Group will provide templates for each channel to uncompress the messages back in to fixed width. A full list of Service Channels is outlined on the next two slides. 40

41 Snapshot Service Channels (cont d) MTA & Expandi MTA & Expandi Level 2 Snapshot 5 (Blue Chip) MTA & Expandi Level 2 Snapshot 10 (Blue Chip) MTA & Expandi Level 2 Snapshot 20 (Blue Chip) MTA & Expandi Level 2 Snapshot 5 (Other) MTA & Expandi Level 2 Snapshot 10 (Other) MTA & Expandi Level 2 Snapshot 20 (Other) MTA & Expandi Level 2 Snapshot 5 (Blue Chip) Aggregate MTA & Expandi Level 2 Snapshot 10 (Blue Chip) Aggregate MTA & Expandi Level 2 Snapshot 20 (Blue Chip) Aggregate MTA & Expandi Level 2 Snapshot 5 (Other) Aggregate MTA & Expandi Level 2 Snapshot 10 (Other) Aggregate MTA & Expandi Level 2 Snapshot 20 (Other) Aggregate Sedex Sedex Level 2 Snapshot 5 Sedex Level 2 Snapshot 10 Sedex Level 2 Snapshot 20 Sedex Level 2 Snapshot 5 Aggregate Sedex Level 2 Snapshot 10 Aggregate Sedex Level 2 Snapshot 20 Aggregate 41

42 Snapshot Service Channels (cont d) MOT MOT Level 2 Snapshot 5 MOT Level 2 Snapshot 10 MOT Level 2 Snapshot 20 MOT Level 2 Snapshot 5 Aggregate MOT Level 2 Snapshot 10 Aggregate MOT Level 2 Snapshot 20 Aggregate ETF Plus ETF Plus Level 2 Snapshot 5 ETF Plus Level 2 Snapshot 10 ETF Plus Level 2 Snapshot 20 ETF Plus Level 2 Snapshot 5 Aggregate ETF Plus Level 2 Snapshot 10 Aggregate ETF Plus Level 2 Snapshot 20 Aggregate 42

43 IDEM IDEM data will also be available on Infolect as a Level 1, Level 2 full depth or Level 2 Snapshot service. The messages on each channel will be compressed using FAST v1.1 (FIX Adapted for Streaming) and the Group will provide templates for each channel to uncompress the messages back in to fixed width. In line with DDM Plus today snapshot data will be disseminated at one second intervals. Full details on the message types and channels will be available in the Service and Technical Description, which will be published in due course. 43

44 Italian market data - migration timeline Nov 2008 Q2, 2009 H2, 2009 MTA and Expandi markets migrated to TradElect. ETF Plus, SEDEX, MOT, and MAC migrate to TradElect, not IDEM. L1 and L2 (full depth) available on Infolect. DDM Plus/MDF (all Italian markets) Infolect (MTA and Expandi) Infolect (All ex-affari Markets) DDM Plus/MDF decommissioned. FAST compression and Snapshot functionality added to Italian data channels on Infolect. IDEM data channels added to Infolect. Enhanced Infolect One integrated feed based on Infolect, disseminating data from all ex-affari markets and IDEM. 44

45 Questions? 10 Paternoster Square London EC4M 7LS T +44 (0)