Millennium Exchange Migration Oslo Brs cash equities and fixed - PowerPoint PPT Presentation

Millennium Exchange Migration – Oslo Børs cash equities and fixed income markets Developer Forum - Oslo, 1 March 2012

Agenda • 12:15-12:25 Introduction to the project, project plan • 12:30-12:40 Different protocols and gateways • 12:45-13:05 Trading • 13:10-13:20 Market data • 13:25-13:35 Pause • 13:35-13:45 Equities • Order types • Order validity types • Order behavior & management (cancel on disconnect) • Order priority and execution (icebergs, hidden orders, pegged orders) • Internalisering • 13:50-14:00 Fixed income (same as equities) • 14:05-14:20 Reference data • 14:25-14:35 Enablement, trader groups and participant structure • 14:40-14:50 Testing • 14:50-15:00 Network • Participants’ feedback on further activity for the Oslo Børs developer forum • Participants’ feedback on the project plan 2

Oslo Børs Migration to Millennium Exchange Migration from TradElect to Millennium Exchange, covering • Listed equities (shares, equity certificates, ETPs, warrants) What? • Fixed income • To continue on the same trading platform as LSE • State-of-the-art system Why? • Facilitate common memberships LSE-Oslo Børs • First step: LSE/Oslo Børs strategic partnership launched Q1 2009 • Second step: Oslo Børs migrated to SOLA Q4 2009 & to TradElect Q2 2010 When? • Third step: LSE migrated to Millennium Q1 2011 • Next step: • Borsa Italiana will migrate to Millennium in Q2 2012 • Oslo Børs plans to migrate to Millennium Q4 2012 3 3

Migration to Millennium Q4 2012 Q2/2012 Q3/2012 Q4/2012 Q1/2012 Define Market Model & Functionality Design & Development Network & Integrating Infrastructure Millennium to ISVs and Customers Testing Upgrade Oslo Børs 3 Dress ISVs and Customers Rehearsals Conformance Dialogue with Customers and ISVs (Independent Software Vendors) Time schedule is subject to market and system readiness and will be confirmed in May 2012. 4

Millennium Main Milestones Q4 2012 Go Live September 2012 All Customers Conformed May 2012 Go Live Date Confirmed May 2012 Customer Test Environment opened (CDS) February / March 2012 Documentation published 5

To-Do for customers / members • Software/systems – adapt to become compatible with Oslo Børs Millennium - Members ’ internal development and ISVs (Independent Software Vendors) • Network /infrastructure - implement any needed changes • New enablements - connect to Oslo Børs Millennium customer test service (CDS) • Test – utilise the planned test services - Including planned evening and weekend tests • Carry out mandatory conformance before the first dress rehearsal - Conformance based on self certification • New enablements - connect to Oslo Børs Millennium production environment • Participate actively in all dress rehearsals (mandatory) - 3 DRs planned in September/October (Saturdays) 6

Communication during the migration process • All important material will be posted on the “Delta web” - www.oslobors.no/ob_eng/Oslo-Boers/Trade/ Delta/Millennium-Exchange - Subscription service – enter your e-mail address at the website to receive information • Technical helpdesk: - technicalsupport@oslobors.no / Tel. +47 22 34 19 90 • Member Reference Group • Developer Forum for ISVs, vendors & members with internal development • Information meetings will be organised in Oslo and London - Members, vendors and ISVs will be invited - Held in advance of important events • Further group meetings and 1:1 meetings will be organised 7

Documentation

Documentation General Other OSLMIT Oslo Børs Market Model Equities OSLMIT 501 Testing OSLMIT Oslo Børs Market Model Fixed Income OSLMIT 502 Guide to Application Certification OSLMIT 504 Guide to Customer Enablement Trading OSLMIT 601 Guide to Trading Services Disaster OSLMIT 201 Guide to New Trading System Recovery OSLMIT 202 FIX Trading Gateway (FIX 5.0 SP2) OSLMIT 602 Network Guide OSLMIT 203 Native Trading Gateway OSLMIT 603 Business Parameters OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) OSLMIT 604 Technical Parameters OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) OSLMIT 605 Live Environment Connectivity OSLMIT 606 CDS Environment Connectivity Market Data OSLMIT 302 FIX/FAST Gateway OSLMIT 303 ITCH Gateway OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT 401 Reference Data 9

Documentation - structure • Separate market models for equities and fixed income • All technical parameters (e.g. logon limitations): - OSLMIT 604 Technical Parameters • All business parameters (e.g. off-book trade types): - OSLMIT 603 Business Parameters • All IP adresses: - OSLMIT 605 Live Environment Connectivity - OSLMIT 606 CDS Environment Connectivity 10

Documentation - status Released OSLMIT Oslo Børs Market Model Fixed Income To be released in March OSLMIT 202 FIX Trading Gateway (FIX 5.0 SP2) OSLMIT 201 Guide to New Trading System OSLMIT 203 Native Trading Gateway OSLMIT 501 Testing OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) OSLMIT 502 Guide to Application Certification OSLMIT 303 ITCH Gateway OSLMIT 504 Guide to Customer Enablement OSLMIT 401 Reference Data OSLMIT 601 Guide to Trading Services Disaster OSLMIT 602 Network Guide Recovery OSLMIT 603 Business Parameters T o be released the next week OSLMIT 604 Technical Parameters OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) OSLMIT 605 Live Environment Connectivity OSLMIT 302 FIX/FAST Gateway OSLMIT 606 CDS Environment Connectivity OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT Oslo Børs Market Model Equities 11

Trading: Different gateways and protocols

Protocols Trading: • FIX (also for Drop Copy and Post Trade) • Native Market data: • FIX/FAST • Native/ITCH Reference data: • File based, both XML and CSV • FIX/FAST and ITCH has some, limited reference data 13

Please note that the FIX Trading Gateway may be used for both equities 14 and fixed income

Trading Gateways – common information • The FIX Trading Gateway may be used for both equities and fixed income • The Native Trading Gateway may only be used for equities • All timestamps will be in UTC • Millennium supports more than one partition (matching engine), you will find references to partitions in all the interface documents. Oslo Børs will from go-live only use one partition 15

Trading Gateways – common information: ClientOrderId • Order ID created by the client, unique per order across trading days • Failure to comply with the uniqueness requirement can have a serious impact for the client, e.g. if you have two orders will the same ClientOrderId you will only be able to cancel the last of the two orders • May be used for requests on both Drop Copy and Post Trade as well 16

Trading Gateways – common information: Free text fields • TraderID - Limited to 11 characters - The first character should define the trade flow (like trader groups does in TradElect), e.g.: - 0 = Manual trading - 1 = DMA - 2 = Algo - 3 = tbd - Definitions to be decided and documented later - The next 10 characters is free text - Supports ASCII characters 0-127 • Account - Limited to 10 characters - Supports ASCII characters 0-127 + 145(æ), 146(Æ), 155(ø), 157(Ø), 134(å) and 143(Å) 17

FIX Trading Gateway • Order handling • Unsolicited order updates • Connecting with a CompID, just login privileges • Entering/modifying orders on behalf of a trader group 18

FIX Trading Gateway: Mass Order Cancellation • ClientOrderID is mandatory • Order mass cancellations, may be used to cancel orders for: - An instrument - A segment - A trader group - A firm - A combination of the options above • Order cancellation messages for a Mass Order Cancellation will be sent to the client on the protocol the order was first entered 19

Native Trading Gateway • Order handling • Unsolicited order updates • Logging in and entering/amending with username • Mass cancellations 20

Native Trading Gateway: Mass Order Cancellation • ClientOrderID is optional, but recommended (if provided, it will be reflected in all response messages) • Order mass cancellations may be used to cancel orders for: - An instrument - A segment - A trader group - A firm - A combination of the options above • Order cancellation messages for a Mass Order Cancellation will be sent to the client on the protocol the order was first entered 21

Drop Copy Gateway • Provides a copy of all order updates • The identity of the CompID that transmitted the order a particular drop copy relates to will be specified in the header field OnBehalfOfCompID(115) . • Both real-time and query based • May be used for recovery purposes by using the Order Mass Status Request 22

Drop Copy Gateway Real time connection: • Execution reports • Different exec types • Open order download Query based connection: • Open order download 23

Drop Copy Gateway: Open Order Download • Order Mass Status may be requested for: - All open orders for a specified instrument - All open orders for a specified segment - All open orders for a specified trader group • The number of times per day you are able to do an Order Mass Status Request is limited per CompId. Please refer to OSLMIT 604 Technical Parameters 24