New Trading Platform for ASX 24 Market Participants Compliance Briefing February 2017
Agenda • Introductions • Key System Changes • Rule Changes Overview • Questions
Summary of Key System Changes • Session State changes • Limit Order and Market to Limit Order functionality • New Allowed Time Conditions • Pre-Trade Risk Management Controls • Removal of the Message Facility • Account Identifier cannot be updated on trades • Unintentional Crossing Prevention (UCP) • User Defined Combinations (UDCs) replace Custom Market Orders (CMOs) 3
Connectivity Diagram TPS = Transactions Per Second 4
Rule Changes
Rule Changes GENERAL • Procedures follow Rules rather than having their own section • R eferences to “Exchange” have been changed to “Market Operator” • The Message Facility no longer exists. Expression of Interest (EOIs) and Request for Quotes (RFQs) are entered using the Request for Quote Facility • References to de-listed contracts have been removed • Rules related to grains transition or grains tender process are no longer relevant and have been removed • Addition of new definitions as well as the deletion of redundant definitions 6
Rule Changes SECTION 2 - PRODUCTS DETERMINATION OF DAILY SETTLEMENT PRICE • 2500.1 - Removal of any references to an “Interim” Daily Settlement Price (DSP) • Note there is no change to the objection process on the DSP 7
Rule Changes SECTION 3 – TRADING RULES CANCELLATIONS AND DEALING DISPUTES • Procedure 3200.10 – some updates to the procedure for trade cancellations to reflect functional changes to the spread order algorithm. • Improvements result in leg prices being closer to the real-time market. NOW FUTURE NTP STATE SYCOM will not adjust leg prices before Under the NTP if a leg is outside the AOT it will executing outside the AOT. adjust the leg prices to within the AOT whilst maintaining the net price. If it cannot satisfy all prices some may still be outside the AOT. • Note there is no change to the process for requesting a trade cancellation. 8
Rule Changes SECTION 4 – ORDER ENTRY AND EXECUTION, DISPLAY, REPORTING AND SERVICES ORDER ENTRY AND EXECUTION • 4013 - table detailing session state parameters, removal of the “Levelling” phase Session State/Phase Description Pre-Open A period of 10 minutes prior to the Open in respect of a particular Futures Contract or Option Contract during which bids and offers may be entered into the system. Open Open Trading where orders on all contract types can be entered, overlapping orders from the Pre-Open (auction) will be matched at the equilibrium price. New orders can be matched and trades can be executed. Close Trading day is over and the Market is closed, no orders can be entered or modified at this time. Maintenance Relevant orders are purged. Expired instruments are deleted (including day only UDC contracts), the trading business day is incremented and pre-trade risk limits are reset. 9
Rule Changes SECTION 4 – ORDER ENTRY AND EXECUTION, DISPLAY, REPORTING AND SERVICES ORDER ENTRY AND EXECUTION • Order types available in NTP will be: Standard Orders Strategy Orders Market Operator Defined User Defined Combination Limit Market to Limit (MOD) (UDC) Spread Strip Fixed Leg Net Leg Price Orders Orders Price Combinations Combinations • UDCs replace the ASX Trade24 Custom Market Order (CMO) for trading multiple leg strategies. • UDCs cannot be created where there already exists a MOD. • At the end of each trading session all UDCs are deleted. 10
Rule Changes SECTION 4 – ORDER ENTRY AND EXECUTION, DISPLAY, REPORTING AND SERVICES ORDER ENTRY AND EXECUTION 4020 - Limit order and Market to Limit order functionality Limit Order • Requires the user to enter an order with a volume and limit price specified Note New Behaviour - Limit price can be priced aggressively to cross the spread at any price within the allowed user defined Trading Protection Limits (TPL) or (Anomalous Order Threshold) (AOT) limits. Behaves as a sweep order type and will fill level by level adhering to the limit price Market-to-Limit • Requires the user to enter an order with volume but without a price • Where there is volume on the opposing side of the order book, the order will fill immediately at the touch price, any remaining volume on the order will rest passively at the executed limit price in order book 11
Rule Changes SECTION 4 – ORDER ENTRY AND EXECUTION, DISPLAY, REPORTING AND SERVICES ORDER ENTRY AND EXECUTION Pre-trade risk management controls • NTP will introduce mandatory pre-trade risk management for all Users accessing ASX 24 market; and • ASX’s Administration and Risk Terminal will allow ASX 24 Participants to: • Manage user access to products • Set up shared order groups • Set account limits against real-time net positions- net long positions, net short positions and max order volume. Account limits are now hard limits, with low-level and high-level warning messages as positions increase. • Set Trading Protection Limits (TPLs) – maximum price deviation from current market. TPL is a hard limit. 12
Rule Changes SECTION 4 – ORDER ENTRY AND EXECUTION, DISPLAY, REPORTING AND SERVICES ORDER ENTRY AND EXECUTION Mandatory order requirements • 4021(e) “Client Identifier” has been replaced with “Account Identifier”, the unique identifier assigned by a Trading Participant to each Client or principal account. • The way NTP processes trades requires a change regarding account identifier requirements. NOW FUTURE NTP STATE ASX 24 Trading Platform permits an account NTP will permit an account identifier to be identifier to be recorded/updated: recorded/updated: when the order is entered; when the order is entered; and 1. 1. whilst the order remains active; and whilst the order remains active 2. 2. for a period of 10 minutes after trade 3. There is NO functionality to amend trades to execution. record the account identifier. • Under NTP, participants will still have a ten minute period after order entry to record the client identifier subject to certain provisions under Rule 4021(e). 13
Rule Changes SECTION 4 – ORDER ENTRY AND EXECUTION, DISPLAY, REPORTING AND SERVICES ORDER ENTRY AND EXECUTION Mandatory order requirements • A participant must ALWAYS enter the Account Identifier at the time of entering an Order into the Trading Platform unless: • The order represents an Aggregated Order (preferably enter SPLIT); • The order is a Principal Order in which case the Account Identifier should relate to the principal account; or • Where the participant can demonstrate to ASX’s satisfaction that circumstances existed that prevented the participant from entering an Account Identifier at the time of order entry. The participant must within 10 minutes update the Account Identifier if the order remains active or if the order has executed then centrally record the Account Identifier in its system with the corresponding Order identifier. 14
Rule Changes SECTION 4 – ORDER ENTRY AND EXECUTION, DISPLAY, REPORTING AND SERVICES ORDER ENTRY AND EXECUTION • 4021(b) - Optional order requirements: Time Conditions specify how long the order remains in effect and can be applied to both Limit and Market-To-Limit order types. In the absence of a Time Condition being specified the order is defaulted to Good For Day. The following Time Conditions are supported: Code Time Condition Details Change GFD Good For Day Order is valid for current session Default Time Condition GTC Good Till Cancel Order remains live until contract expiry No change FOK Fill Or Kill Order is filled immediately if the order can be fully No longer a 20 second filled if not the order is cancelled wait to execute the order IOC Immediate Or Cancel Order fills against available quantity any remaining New time condition unfilled volume is subsequently cancelled GTD Good Till Date Order remains in the order book until a specified date New time condition GTT Good Till Time Order remains in the order book until a specified time New time condition in the current session 15
Rule Changes SECTION 4 – ORDER ENTRY AND EXECUTION, DISPLAY, REPORTING AND SERVICES ORDER ENTRY AND EXECUTION • 4021(b) - Optional order requirements: Time Conditions Order Type /TIF Futures Options Spreads UDC’s Pack, Bundles & Strips Limit Market-To-Limit# GFD GTC FOK# IOC (FAK)# GTD (Good Till Date) * * GTT (Good Till Time) # Not permitted during auctions 16 *Orders purged on change of session state
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