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trading services description - London Stock Exchange Group

1. are in the money T IOB by more than the Al eee exercise fee payable Allin the money All in the money UK series series Manual exercise can be performed through the members clearing application for example on a Norwegian series that is less than 1 in the money 20 4 8 Settlement and Delivery for Physical Settled Contracts If the Member holds a net Short Futures position Exchange shall make available normally prior to 22 00 London time on the day in question through the Clearing Application the report Expired Futures Positions to be settled MD51 This report provides details relating to the Settlement Delivery obligations for the Underlying Stock in respect of its own Account Transactions and of Transactions executed on behalf of a Client together with the Settlement Amount payable to the Member in respect thereof If the Member holds a net Long Futures position Exchange shall make available normally prior to 22 00 London time on the day in question through the Clearing Application BCS the report Expired Futures Positions to be settled MD51 This report provides details relating to the receipt obligations for the Underlying Stock in respect of its own Account Transactions and of Transactions executed on behalf of a Client together with the Settlement Amount due to the Member in respect thereof Where a Member Exercises an Option and the Exercise is accepted by Exchange or the Member is Assigned Exchange s
2. Exchange Group 2 4 3 Norwegian Market a OBX Options a Minimum ITM strikes Minimum OTM Expiration generated strikes generated Bid price Increment 0 150 3 00 150 500 5 00 se montns 500 1000 10 00 2 2 1000 20 00 0 150 6 00 150 500 10 00 e manths 500 1000 20 00 1000 40 00 b Norwegian Stock Options Minimum ITM strikes Minimum OTM p 2 Expiration generated strikes generated Bid price Increment 0 2 0 10 2 5 0 25 5 10 0 50 10 30 1 00 30 50 2 00 lt 6 months 50 80 3 00 80 200 5 00 200 400 10 00 400 600 20 00 600 30 00 0 2 0 20 2 5 0 50 5 10 1 00 10 30 2 00 30 50 4 00 6 months gt 50 80 600 80 200 10 00 200 400 20 00 400 600 40 00 600 60 00 2 4 4 UK Market FTSE 100 options Expiration Minimum ITM strikes Minimum OTM strikes Strike price increment generated generated used 1 month 10 10 25 points lt 3 months 10 10 50 points S 1 year 10 10 100 points S 2 years 20 20 100 points gt 2 years 0 0 2 5 Strategy instruments 2 5 1 User generated strategies On all orderbook traded Futures and Options the London Stock Exchange Derivatives Market has enabled SOLA functionality that allows users to create their own 2 legged strategy instruments and list them for trading by the rest of the market 2 5 2 Automatically generated strategies For orderbook traded Futures the
3. Matching requirements Committed interbank Price type Matching facility to support reporting of executions negotiated between different members for the purpose of trade publication and clearing Trades must specify the intended counterparty and do not interact with the anonymous multilateral orderbook Trades stay in the committed book until the end of the day unless matched or deleted Cross intrabank Trade is pre arranged by one member acting on behalf of each side and reported to the London Stock Exchange Derivatives Market Trades do not interact with the anonymous multilateral orderbook Trades must meet certain quantity and price threshold determined by the London Stock Exchange Derivatives Market on a product specific basis Trades contribute to the Market Data Feed with quantity and price updates Both sides must enter a committed trade with opposing buy and sell sides same price same quantity and the correct counterparty or the trades will not match Committed trades not matched by the end of the trading session are automatically deleted Matching not required as trade details are entered by one participant only A London Stock Exchange Group 29 10 Appendix Controls 10 1 Price and Quantity Restrictions So super Orderbook price control Block Trade price control Orderbook quantity control Block trade quantity con
4. all physical delivered contracts excluding the London Stock Exchange Derivatives Market Norwegian contracts will be allowed under the Equityclear Service Members will have the ability to choose an option or combination of options in a participating Corporate Action giving more control over their investments as opposed to the current default option process 4 4 Account Structure Members can request the following types of account from the London Stock Exchange Derivatives Market Operations e Client account e House account e Market Maker account for members under provision obligations and able to use bulk quote protection Market Operations will supply the member with a Static Data Form upon request on which account set up requirements can be specified The member can then segregate business as required 4 5 Market Operations and Clearing Processing Timetable Times may vary depending on market conditions 4 7 Exercise and Assignment guide Currently the London Stock Exchange Derivatives Market offers two Options styles on its derivatives markets with the following Start of consultation period Members 05 30 can delete orders Start of Intervention Period Members can retrieve Bulk Quote ID for certain 07 30 products Start of Trade Reporting hours 07 30 End of Trade Reporting hours 17 30 Surveillance intervention period ends for LSE Derivatives products Members 18 00 can no longer
5. be made to Market Operations Requests for cancellation trades done via the orderbook should be made to Market Surveillance All requests for cancellations must follow the rules set out in the Rulebook 23 6 6 Drop Copy The drop copy feature allows drop copy participants to receive a copy of all order acknowledgements and trade notifications that belong to a specific Member Drop copy messages are all sent using the SOLA Access Interface Language SAIL even where the Member s original order protocol was FIX SAIL messages included in the drop copy are Message Order Acknowledgement Order Modification Acknowledgement Order Cancellation Acknowledgement Order Cancellation Notice Execution Notice Leg Execution Notice Execution Cancellation notice Leg Execution Cancellation Notice contains flag For more information on drop copy functionality please refer to the following document on the London Stock Exchange Derivatives Market website LSEDM302 SAIL Drop Copy 6 7 Bulk Quoting Protection Bulk quoting protection is a London Stock Exchange Derivatives Market provided function that will result in an automatic cancellation of all quotes in particular instrument class The feature protects only assigned Market Makers against any excessive trades due to the following e Technical problems at participants end preventing normal
6. delete orders Surveillance intervention period ends exercise windows Exercise Option window style Exercise Open Close Any business day from American trade date until day 07 30 18 00 style before expiry European style and Expiry day only 18 10 18 40 American style for Oslo Derivatives products 18 20 Members can no longer delete orders Clearing closes 18 00 read only access available in BCS Clearing batches begin 18 45 BCS inaccessible Clearing reports available 19 30 Official closing prices disseminated 21 00 can be amended over night All times are London times Until clearing closes at 18 00 daily members are able to perform trade administration such as give ups takes ups position transfers and close outs in the clearing system 4 6 Clearing reports Members can extract reports summarising their activity on the London Stock Exchange Derivatives Market from the clearing API and clearing applications including the CC amp G FTP Server For more detail on these reports and how to access them please refer to the Connectivity and Access section All times are London times The London Stock Exchange Derivatives Market applies the following automatic exercise rules on expiration Market Index Options Stock DR Options All series that are in the money All series that Norway by more than the are 1 or more exercise fee in the money payable All series that
7. in the symbology section The Market Identifier Code MIC for the London Stock Exchange Derivatives Market is XLOD 4 2 Central Counterparty Protection All Future and Option Contracts traded reported the London Stock Exchange Derivatives Market will have LCH Clearnet Limited acting as Central Counterparty At the point of trade registration trades are novated to LCH Clearnet Limited whereby the trade by assuming a long position against the short counterparty to the trade and a short position against the long counterparty 4 3 Margining Initial margin is calculated and collected by LCH Clearnet Limited using London SPAN V 4 0 which is a portfolio based margining system There are three major inputs to the London SPAN margin calculation Positions Prices and Parameters determined by LCH Clearnet and reviewed on a continual basis Any change to any one of these parameters will result in a change to the margin requirement The London Stock Exchange Derivatives Market calculate daily variation margin of a members profits or losses using the Daily Settlement Price to mark to market open positions The collection return of variation margin is administered by LCH Clearnet Limited Derivative outurns with the exception of the London Stock Exchange Derivatives Market Norwegian contracts benefit from margin offsets and optional cross trade source netting through LCH Clearnet EquityClear Service Buyer elections on
8. is given is Appendix A Such trades are subject to different risk control parameters in addition to quantity and entry requirements A summary of minimum block sizes on a product basis is provided in Appendix B Block trades do contribute price and quantity updates to the Market Data Feed HSVF 2 6 3 Trade Reporting London Stock Exchange Derivatives Market Cleared only service offers reporting of bilaterally negotiated trades These can be reported either in a Listed Series or Tailor made all with the guarantee of CCP Clearing with LCH Clearnet Limited A template is provided to report trades to the Market Operations team via email at etd tradereporting 2Ilseg com Transactions in Tailor made contracts are reported to London Stock Exchange Derivatives Market through templates provided by London Stock Exchange Derivatives Market and available on the website For Listed Series trades can be reported to London Stock Exchange Derivatives Market as a Cross or Committed transactions provided that the trade complies with the minimum block size Details are available within Appendix For hidden series Contracts these transactions not published Principal vs Agency trades when a member trades against a client who clears through a London Stock Exchange Derivatives Market member the Executing Broker needs to report the trade as across Both sides of the trades must be marked appropriately House Client and the
9. market updates e Quoting errors at participant s end due to erroneous underlying price information e Unintentionally being swept by another Market Maker 6 8 System Protection Methodology Users may opt for one of two types of bulk quoting protection e Standard protection If protection is triggered on an instrument class quoting will be restarted and counters detailed below reset the next time the Market Maker sends a bulk quote message to any instrument in the class e Advanced protection If protection is triggered on an instrument class any subsequent quote update is rejected and quoting can only be resumed after the Market Maker has sent a new Market Maker protection subscription RP message Once protection is triggered the London Stock Exchange Derivatives Market will automatically cancel all quotes posted by the trader on all instruments in the class and send a Notice of cancellation of all quotes NP message Bulk quoting protection is active on all quotes sent using the Bulk Quote message functionality The London Stock Exchange Derivatives Market provides five protection counters which can be set by firms specifically assigned as Market Makers in a specific instrument class Any number of counters can be activated simultaneously Traders must define a Time 24 Interval The protection counters are reset in the event that the time elapsed between any two trades is longer than the u
10. whether its Order is to buy or to sell e the case of an Options Contract whether it is a Call or a Put e the price for the Order e Order s volume e whether it is a Limit Order Market Order or a Combination Order e the Account to which the transaction if executed is to be allocated if appropriate the identification code of the Client for whom the Order has been placed On placing an Order into the orderbook Members should ensure that the value of the Order does not exceed the maximum permitted size for the Contract in question Members should note that any Order placed on the orderbook which exceeds the applicable maximum permitted size shall be rejected Members will receive a message stating this Price and Quantity restrictions are detailed in the London Stock Exchange Derivatives Market Trading Services Description on the London Stock Exchange Derivatives Market website The Tick size applicable for trading on the orderbook is described in the relevant Contract Specification A Committed or Cross Trade can however be registered on the orderbook at a Tick size that differs from the one specified in Contract Specifications The primary Rule for ranking of Orders stored on the orderbook is that priority is given to the Order having the best price Where two or more Orders are entered at the same price priority is given to the Order which has been stored on the orderbook longest period of tim
11. 0 7382 7690 London Stock Exchange Group 27 9 Appendix A Order Types 9 1 Order types for electronic anonymous orderbook trading Order type Description Limit order Enters orderbook at specified price and will execute at that level or better Residual is retained on order book unless designated as an immediate order until withdrawn or traded Market order Executes at best available price until all volume on opposite side has been traded Residual is converted to a limit order at last price that original order was executed 2 Top order Executes at best available price against any single contra order Residual is E converted to a limit order at price just traded 8 Stop loss order Order enters book to prevent further loss once either the Last price or Bid or Ask as selected reaches stated trigger price Entering order set as limit order by entering a specific order price Alternatively it can be set as a market order by leaving the order price field blank Residual is retained on order book If Touched order Order enters book seeking to capitalise once either the Last price or Bid or Ask as selected reaches a stated trigger price Entering order can be set as limit order by entering a specific order price Alternatively it can be set as a market order by leaving the order price field blank Residual is retained on order book Minimum Tries to execute at the s
12. Client side should also include the appropriate clearing reference the template London Stock Exchange Derivatives Market will register each side of the trade and confirm that they are now on the appropriate accounts as per the template received If required the client side can be given up to the clients clearing broker When one side of the trade needs to be given up to another London Stock Exchange Derivatives Market member it is the responsibility of the reporting member to request that both the buy and sell side of the trade go onto their own account they will then be required to manage any give ups with their GCM directly London Stock Exchange Derivatives Market should be provided with details of the transaction to include e type of and class of a Listed or Non Standardised Contract e the term if a Tailor made Contract e the Strike Price e style e whether it wishes to buy or to sell e the name account s of the Counterparty Counterparties addition the London Stock Exchange Derivatives Market permits certain aspects of the product can be following flexible parameters Price Premium product dependent up to four decimals for single stock derivatives e The Strike Price up to four decimals for single stock derivatives e Expiration configurable to exact day up to five years for Stock or Depositary Receipts and a lesser term of two years for Index Products The Lon
13. London Stock Exchange Derivatives Market automatically lists Roll strategy instruments in addition to enabling user generated strategies Typically the London Stock Exchange Derivatives Market will automatically generate a roll instrument between the expiring series and the following expiry month which are available for trading on the orderbook 2 6 Trading Functionality 2 6 1 Multilateral Order book Trading London Stock Exchange Derivatives Market orderbook operates with on a Price Visibility Time priority basis A summary of orderbook types and key information on each is given in Section 7 and Appendix A All executed trades the London Stock Exchange Derivatives Market orderbook will contribute to price and quantity updates in the Market Data Feed HSVF The Risk Controls section describes controls applicable to the London Stock Exchange Derivatives Market 2 6 2 Block Trades London Stock Exchange Derivatives Market allows for the entry of bilaterally negotiated trades between counterparties Committed trade or with a single counterparty filling both sides of a trade Cross Two sided trade Block trades are permitted within the Bid Ask and must conform to the specific product tick table Please refer to the LSEDM401 HSVF Market Data Technical Specification on the London Stock Exchange Derivatives Market website for details A summary of block order types and key information on each
14. TM strike Every minute the SOLA derivatives system marks one of the series listed the ATM strike price It does this by looking at the price of the underlying and seeing which series is closest to this level At the end of each day an ATM strike is chosen or created if it is the night before the listing of a new series relative to the closing price of the underlying New In the Money strikes and Out of the Money strikes are generated relative to this ATM price The ATM strike for a particular underlying expiry combination will be created at a level determined by the strike price increment for that expiration For example if the strike price generation increment for a particular underlying expiry combination is 25 index points the ATM series will be created chosen at a price ending in 25 points 50 points 75 points or 00 points If the generation increment is 50 points the ATM strike will be created chosen at a price ending in either 50 points or 00 points TRADING SERVICES DESCRIPTION 2 4 2 Market FTSE Options m Minimum ITM strikes Minimum OTM strikes p Expiration generated generated Bid price Increment 0 10 00 ntr All contracts 5 5 1000 20 00 b IOB DR Options E Minimum ITM strikes Minimum OTM strikes Expiration generated generated Bid price Increment 0 0 10 5 0 25 10 0 50 All contracts 7 7 50 1 00 100 5 00 200 10 00 300 20 00 London Stock
15. TRADING SERVICES DESCRIPTION LONDON STOCK EXCHANGE DERIVATIVES MARKET TRADING SERVICES DESCRIPTION Version 4 1 25 November 2013 4 London Stock Exchange Group TRADING SERVICES DESCRIPTION 1 Introduction 4 1 1 Clearing and margining 4 1 2 Product Overview 4 2 Trading services and functionalities 5 2 1 Series Generation 5 2 2 Corporate Actions Treatment Rules 6 2 3 Corporate Action Identifier 6 2 4 Strike Price Generation 7 2 5 Strategy instruments 10 2 6 Trading Functionality 10 2 7 Bulk Quoting product dependent 12 2 8 Quoting Obligations for Market Makers 12 2 9 Request for Quote RFQs 13 2 10 On Request listing of additional standardised series 13 2 11 Order Types 13 2 12 Placing Cancellation and Variation of an Order 14 3 Connectivity and Access 16 3 1 Physical Connectivity 16 3 2 Vendor Access Networks VANs 17 3 3 Vendor Software Solutions 17 3 4 BCS FTP Service 17 3 5 Trading APIs 17 3 6 Market Data API 18 3 7 Clearing API 18 4 Clearing and Market Operations 19 4 1 Transaction reporting and MIC 19 4 2 Central Counterparty Protection 19 4 3 Margining 19 4 4 Account Structure 19 4 5 Market Operations and Clearing Processing Timetable 20 4 6 Clearing reports 20 Stock Exchange Group 4 7 Exercise and Assignment guide 20 4 8 Settlement and Delivery for Physical Settled Contracts 21 5 Risk Controls 22 5 1 Price Controls on Multilateral Ord
16. ary A A M Where possible the London Stock Exchange Derivatives Market harmonises the treatment February B B N of corporate actions to market standards March please refer to the Derivatives Corporate 4 April D Actions Policy For Norwegian products the D London Stock Exchange Derivatives Market May E E Q follows Oslo B rs Corporate Action policy June 2 2 3 Corporate Action Identifier July G 5 TUE H The presence of any of the following x additional letters on the end of a series code September l U indicates that a corporate action has occurred J and the readjustment rules have been applied October J V K to that series For example an R would November K w indicate that five corporate actions have been Decembar L m applied to a series during its lifetime with the readjustment rules having been applied five times All other products Corporate action Identifier Month Futures cali Options Options 1 X January F A M 27 y February G B N x 2 March H C 1 April J D 2 i et P e 5 K E 7 G June M F R g U July N G s 9 y August Q H T 2 4 Strike Price Generation London Stock Exchange Derivatives Market generates new strikes on Options series according to the following e Minimum number of series in the money ITM e Minimum number of series out of the money OTM e Always one series at the money ATM 2 4 1 Designation of the A
17. ate the strike price e An additional symbol may also be added to indicate that a corporate action has occurred and the readjustment rules have been applied to that series see below 2 1 3 Tailor Made Series Codes Each instrument is identified by a string of 6 12 characters excluding Options strike e a maximum of six characters designates the Contract Underlying e one character designates the Expiration Year e two characters designate the Expiration Day e one character designates the expiration month e Options only the following numeric characters designate the strike price e Options only an A or E designates whether the option is American or European style e An additional symbol may also be added to indicate that a corporate action has occurred and the readjustment rules have been applied to that series see below 2 1 4 Month Code Convention The London Stock Exchange Derivatives Market currently uses two separate month coding systems One system is in use for IOB and Norwegian derivatives and a separate All other products coding system international convention is September U being used for other products going V J forward Onekey November X K 2 L Norwegian and IOB December X Month Funes Call Put Options Options 2 2 Corporate Actions Treatment Rules Janu
18. available from the London Stock Exchange Derivatives Market website LSEDM701 BItS Clearing Station BCS User Manual LSEDM702 BItS Clearing Station BCS Application Data Layouts LSEDM703 BItS Clearing Station BCS Technical Notes 3 4 BCS FTP Service The London Stock Exchange Derivatives Market clearing reports are available via an FTP site accessible with a user name and password Contact Technical Account Management for FTP Service documentation 3 5 Trading APIs The London Stock Exchange Derivatives Market provides two derivatives trading APIs that applications can be developed to These are e FIX42 SOLA Access Information Language SAIL the SOLA native API The native SAIL API provides a slight latency advantage over the FIX API along with additional functionality for bulk quoting The following FIX and SAIL documentation is available from the London Stock Exchange Derivatives Market website including the SOLA 5 Release documentation LSEDM200 FIX 4 2 Business Design Guide LSEDM201 FIX 4 2 Specification LSEDM300 SAIL Business Design Guide LSEDM301 SAIL Specification 3 6 Market Data API The London Stock Exchange Derivatives Market provides a single market data API that applications can be developed to This is e High Speed Vendor Feed HSVF HSVF disseminates trades quotes request for quotes market depth trade cancellation strategies bulletins instrument keys instrument summari
19. ction e London Stock Exchange Derivatives Market therefore strongly recommends the use of While Connected orders for Members that are concerned about cancellation on disconnect 6 2 Global Cancellation of orders and bulk quotes Members wishing to remove all their orders from the orderbook in one go should contact The London Stock Exchange Derivatives Market operations who can perform this action A specific Global Cancellation message applying only to quotes placed using the Bulk Quote message can be sent by Bulk Quote users and will pull all quotes related to a specific trader on all instruments in the same class The Trader ID and instrument Group ID are used to specify which quotes to cancel Separate orders will not be cancelled 6 3 Order Modification A member may modify any order still on the orderbook The following modifications will affect price and time priority Modification Price priority Time priority Quantity Maintained Maintained decrease Quantity Maintained Lost increase Lost Lost Price change results in deletion of original order and entry of a new order with new price time priority and associated order number 6 4 Order Cancellation A Member may cancel any order still on the orderbook by sending a cancellation message to the trading system or by contacting the Market Operations 6 5 Trade Cancellation Requests for cancellations of bilaterally negotiated trades should
20. d contract specifications for each product are specified in the London Stock Exchange Derivatives Market Contract Specifications docuemnt and on the London Stock Exchange Derivatives Market website A comprehensive list of product codes and underlying ISIN s codes can be found in the Product list on the London Stock Exchange Derivatives Market website 2 1 1 Symbology The following symbology rules apply to derivatives available for trading on the London Stock Exchange Derivatives Market During the normal Trading Hours for each Standardised Product London Stock Exchange Derivatives Market disseminates 5 levels of market depth The Market Data information is distributed HSVF as described in the technical specification In the absence of an express statement to the contrary information relating to a Series which is listed in conjunction with Oslo Bers reflects the combined activity in such Series of Members of the London Stock Exchange Derivatives Market and Members of Oslo Bers coding system international convention is being used for all other products going forward 2 1 2 Standardised Series Codes Each instrument is identified by a string of 4 9 characters excluding Options strike a maximum of six characters designates the Underlying instrument or Index e one character designates the Expiration Year e one character designates the Expiration Month e Options only the following numeric characters design
21. don Stock Exchange Derivatives Market may specify a different term from time to time in relation to particular Tailor made Contract e Option exercise style European American style product dependent If for any reason the registered Expiration Day for a Tailor made Contract proves not to be a Trading Day for the relevant Contract the London Stock Exchange Derivatives Market shall have the power to modify the Expiration Day by bringing it forward to the Trading Day for the Contract in question immediately preceding the Reported date Members are able to receive through secure FTP in Excel or CSV formats reports containing ISIN information on a Cleared only series to aid FCA Transaction Reporting Please contact Market Operations for further information 2 7 Bulk Quoting product dependent Members that have conformed to the London Stock Exchange Derivatives Market SAIL API are also able to send Bulk Quotes to the London Stock Exchange Derivatives Market orderbook Bulk quotes may contain up to 280 separate quotes with the London Stock Exchange Derivatives Market validating each quote within the message Throttles apply as per rates described in the SAIL technical specification Bulk Quoting is a more efficient way of sending quotes to the trading system as only a single message is required as opposed to multiple cancellations and resends of order messages Bulk quotes are only valid for the current trading day R
22. e Any variation in an Order involving its price the extension of its period of validity or an increase in the volume of an Order is treated as the cancellation of the original Order and the submission of a new Order The time priority of such Order shall be determined by reference to the time at which the amended Order is entered on to the orderbook Where the variation of an Order involves only a reduction in its volume or period of validity or a variation in the Client identity the ranking of the original Order is not affected Where volume terms attached to an Order having priority prevent it from being executed the first available Order below such Order in the order of priority which can be matched will be selected for execution Where a Combination Order can be executed against another Combination Order a Transaction will be executed on the terms of the matching Combination Orders provided that it is not possible to execute the Combination Order against Orders on the orderbook on better terms than those provided by the matching Combination Order An Order will remain valid and effective unless and until an instruction to cancel or vary is given by the Member which placed the Order A Member may contact Market Operations to cancel an Order originated from the electronic trading system Such request must be from an Authorised Person eee 3 Connectivity and Access service options are available to suit
23. er book Trades 22 5 2 Price Controls on Block Trades 22 5 3 Price Controls on Cleared only Trades 22 5 4 Order Quantity Controls 22 io a a _ _ 6 Position Controls 23 6 1 Cancellation on Disconnection 23 6 2 Global Cancellation of orders and bulk quotes 23 6 3 Order Modification 23 6 4 Order Cancellation 23 6 5 Trade Cancellation 23 6 6 Drop Copy 24 6 7 Bulk Quoting Protection 24 6 8 System Protection Methodology 24 T Tariff Models 26 7 1 Overview 26 8 Contacts 27 9 Appendix A Order Types 28 9 1 Order types for electronic anonymous orderbook trading 28 9 2 Block Trades 29 10 Appendix B Controls 30 10 1 Price and Quantity Restrictions 30 TRADING SERVICES DESCRIPTION 1 Introduction The London Stock Exchange Derivatives Market offers trading of single stock index and dividend derivatives based on United Kingdom International Order Book IOB and Norwegian products The London Stock Exchange Derivatives Market trading platform is hosted in the data centres of LSEG and has interfaces common to other markets of LSEG ensuring that customers accessing other LSEG markets can enjoy access to the London Stock Exchange Derivatives Market with minimal
24. er is an Order which is for immediate acceptance only A Market Order may not be stored on the Orderbook There are two types of Market Order e Fill or Kill being an Order which must be traded in its entirety or cancelled and e Fil and Kill being an Order which can be executed in part with the unfilled part of the Order being cancelled A Combination Order is an Order comprising two or more individual Orders in Series which are subject to the condition that each individual order forming part of the Combination Order must be executed simultaneously A Standardised Combination is an Order which meets the following requirements e it comprises two individual Orders e these Orders are both subject to the condition that they be executed simultaneously A Standardised Combination may be placed as either as a Limit Order or a Market Order The Limit Order will be stored on the Orderbook until the time specified by the Member A Limit Order is subject to the condition that both Orders comprised in the Combination Order must be executed simultaneously The Market Order will not be stored on the Orderbook See Appendix A for more details 2 12 Placing Cancellation and Variation of an Order On placing cancelling or varying an Order by way of the electronic trading system a Member shall provide the following information e the Series Type Style Class and the Listed Product in question e the Expiration Month e
25. es and administrative messages for all order book traded derivatives on the London Stock Exchange Derivatives Market HSVF uses a TCP IP broadcast interface Users may subscribe to Level 1 data best bid and ask price and aggregate size last trade price and size and other market data as detailed the documents listed below Level 2 data level one data augmented with a further four levels of price depth and size The following documentation is available from the London Stock Exchange Derivatives Market website including the SOLA 5 Release documentation LSEDM401 HSVF Market Data Members wishing to redistribute market data must do so under the terms of the ILA and should refer to our Tariff Schedule or contact the London Stock Exchange Derivatives Market Business Development team for more information 3 7 Clearing API The London Stock Exchange Derivatives Market provides a clearing that applications can be developed to for the purpose of allowing clearing processing and trade administration The documentation is available on request from Technical Account Management 4 Clearing and Market Operations 4 1 Transaction reporting and MIC Every series on the London Stock Exchange Derivatives Market has an associated ISIN code This ISIN is a unique identifier that can be used for transaction reporting purposes Each series can also be identified by its unique series level code described
26. gs are in detailed in Appendix B 5 3 Price Controls on Cleared only Trades All Cleared only trades are processed by the London Stock Exchange Derivatives Market Operations with open interest kept separately from the Listed Series open interest All Cleared only trades are subject to fair value price control by the London Stock Exchange Derivatives Market surveillance 5 4 Order Quantity Controls Single orders or combination orders are reviewed by the London Stock Exchange Derivatives Market surveillance for purposes of market quality Product specific settings are in detailed in Appendix B 22 ee 6 Position Controls The London Stock Exchange Derivatives Market monitors positions and may place limits on their size LCH Clearnet Limited will request margin on all positions and it is each member s responsibility to meet their margin requirements 6 1 Cancellation on Disconnection Members should be aware of the following e When conducting the login procedure SOLA allows for the member to specify an inactivity interval which indicates the number of system heartbeats that must be missed before the Member 16 considered disconnected This only applies to While Connected orders and not to GTD or GTC orders e f the inactivity interval is set to 0 then the user is never considered to be disconnected e Good Till Day and Good Till Cancelled orders will not automatically cancel on disconne
27. hall make available normally prior to 22 00 London time on the day in question through the Clearing Application BCS the report Options Exercise Assigned to be settled MDO1 This report specifies the number of Underlying Stock to be delivered by or to the Member in respect of own Account Transactions and of Transactions executed on behalf of a Client together with the Settlement Amount payable to or by the Member in respect thereof The Member shall ensure that the information specified in the relating reports MD51 and 001 are accurate in all respects and notify Exchange of any discrepancy no later than 08 00 London time on the Trading Day after the affected day of Delivery or Exercise 21 5 Risk Controls 5 1 Price Controls on Multilateral Order book Trades Circuit breakers will activate and trigger a 60 second suspension of trading when a trade occurs at a price level deemed to be an unacceptably large percentage margin away from static or dynamic control prices defined by the London Stock Exchange Derivatives Market The London Stock Exchange Derivatives Market can set separate circuit breakers against the static control price with respect to both orders and trades The acceptable margin can be configured both above and below the control price separately if required however the London Stock Exchange Derivatives Market has chosen to use the same figure above and below for all products to date Definitions of con
28. he London Stock Exchange Group including the London Stock Exchange Derivatives Market Members with a dedicated resilient and secure point to point connection allowing transmission of data traffic to and from the Group s Trading Clearing and Information Systems A range of As an alternative to using the Extranex network the Group s services including the London Stock Exchange Derivatives Market can also be accessed through accredited NSPs Members contract with the NSP for provision of network connectivity but sign agreements directly with the London Stock Exchange Derivatives Market for access to our trading and information services Clients using an NSP connection will have individual service enablement s set up on our trading clearing and information systems The data and trading feeds APIs are in exactly the same format as those received by a direct customer and are subject to the same testing requirements A list of all current NSPs for the London Stock Exchange Derivatives Market can be found on the the London Stock Exchange Derivatives Market website 3 2 Vendor Access Networks VANs VANs provide a full end to end solution comprising network connectivity and conformed software applications through which their clients can interface with the London Stock Exchange Derivatives Market 3 3 Vendor Software Solutions e MDVs ISVs and VANs A full list of the London Stock Exchange Derivatives Marke
29. incremental cost or effort London Stock Exchange Derivatives Market offers Member firms new innovative features in addition to the highly successful market models used for its existing Norwegian and IOB business which has been developed alongside Members 1 1 Clearing and margining Members can improve operational efficiency and net margin payments across geographies all through one clearer LCH Clearnet Limited EquityClear members can benefit with the exception of Norwegian contracts due to interoperability arrangements from margin offsets and cross source trade netting London 411 ED 1 2 Product Overview Underlying Single Stock Index Dividend Futures and Futures and Norwa Options on the Options on y Norwegian OBX Futures on stocks the OBOSX Futures and Russia and Options on the loss ang bkn d IOB most liquid IOB PLOTS 1 FTSE RIOB DRs DRs Futures and Futures and patena a Options on UK UK nderlvin Futures on the u 9 Cap Super Liquid Index Stock Exchange Group For a current list of all products traded on the London Stock Exchange Derivatives Market as well as full Contract Specifications please refer to the London Stock Exchange Derivatives Market Contract Specifications document International Order Book Depository Receipts A 2 Trading services and functionalities 2 1 Series Generation Detaile
30. isk exposure protections for Members using Bulk Quoting are described in the Risk Controls section Before the Opening an Intervention Period allows market makers to enter Bulk Quote data which would be used to retrieve the quote ID The Intervention Period is only available for specific products Members can continue to cancel orders during this period 2 8 Quoting Obligations for Market Makers Firms specifically assigned as Market Makers in a certain instrument class will have to meet a set of quoting obligations that are monitored in real time by the London Stock Exchange Derivatives Market Market Makers should note the following e Quotes must be sent using the Bulk Quote message in the SAIL API e Quotes must meet the instrument size requirements for a minimum instrument specific percentage of the trading hours in a month e Quotes must meet the instrument spread requirements for a minimum instrument specific percentage of the trading hours in a month e Market Makers that do not meet their obligations over the month will not be eligible for Market Maker fees for that month and will be required to repay the difference between such fees and the non Market Maker fees Consistent failure to meet obligations will result termination of Market Maker status and any associated agreements 2 9 Request for Quote RFQs Request for Quote RFQ allows any Member to broadcast a message to Market Makers in a
31. ne universal fee to each side of the trade based on the number of contracts traded Per Trade Charging Percentage of Futures value Some products are charged based on a percentage of future value system for example IOB dividend Futures Future Value future price traded x number of contracts x multiplier Percentage of premium value Some products are charged based on a percentage of premium value system for example IOB DR Options Premium Value premium x number of contracts x multiplier 26 TRADING SERVICES DESCRIPTION 8 Contacts For more information on the London Stock Exchange Derivatives Market or any services offered by the London Stock Exchange Derivatives Market please contact a member of our team Business Development and Membership Enquiries 44 0 20 7382 7650 Isedm sales Iseg com Derivatives Market Operations 44 0 20 7797 3617 etd operations 2lseg com Market Surveillance 44 0 20 7797 1578 MarketAbuse Iseg com Corporate Actions team 44 0 20 7797 3660 etd corporateactions lseg com Technical Account Management Functional Queries Client On Boarding Technical Advice 44 0 20 7797 3939 londontam lseg com Client Support Team Incident Management Live Service and CDS 44 0 20 7797 1500 support lseg com Office Address 10 Paternoster Square London EC4M 7LS T 44 0 20 7382 7600 F 44 0 2
32. particular instrument via the HSVF market data feed Market Makers as part of their agreement with the London Stock Exchange Derivatives Market have an obligation to reply by entering a quote in to the orderbook for that specific instrument RFGs contain e Instrument Class e Instrument ID Code 2 10 On Request listing of additional standardised series Members may request by phone or electronic communication to the London Stock Exchange Derivatives Market Operations for a specific Options Series to be listed on the Orderbook if it is not automatically generated in accordance with the parameters described in the relevant Contract Specifications and the Strike Price Generation document This is known as an On Request listing Members shall provide the following information e The Underlying instrument e The Expiration Month which should already exist on screen Expiration Day will always be standardised as per the relevant Contract Specification e The Strike Price should be within the same strike price interval that already exists 2 11 Order Types Orders of the following type may be placed by Members By Price type Limit Order Market Order Top Order Stop loss order if touched order e By Quantity type Minimum quantity order Iceberg Order e By Duration type Day order Good Till Day GTD Good Till Cancelled GTC Immediate order FAK IOC While connected order A Market Ord
33. pecified price for at least the stated Additional Quantity quantity order AQ If the AQ cannot be immediately filled the order is rejected If the AQ is g filled the residual is retained on the Orderbook and can trade without further quantity constraints gt Iceberg Enters book as Limit order for only the Additional Quantity AQ visible and E disclosed any balance is held in reserve The visible quantity is assigned time priority at S quantity order the point of insertion in relation to other displayed orders whilst the reserve quantity is assigned time priority in respect of other non displayed orders When this disclosed AQ amount has been traded the system refreshes the visible quantity from the reserve quantity Day order Remains on the book and cancelled at end of the day unless traded or deleted Good Till Day Remains on the book and cancelled at the end of the day specified in the GTD 8 GTD field unless traded or deleted Good Till Remains on the book until expiration unless traded or deleted 5 Cancelled GTC Immediate order Immediately executed against any existing orders at the specified price of better FAK IOC up to the stated volume Residual volume is deleted While connected Remains on the book until participant disconnection or front end failure unless order traded or deleted 28 TRADING SERVICES DESCRIPTION 9 2 Block Trades Order type Description Effect market data
34. ser defined Time Interval Protection counters are listed and described in the table below Counter change condition Counter type applies to all trades in any instrument of the class Trigger for bulk quoting protection Increases by 1 with each execution of a trade of at Trade counter least N lots where is a user defined number User defined number of trades of at least N lots in size Volume Increases by the trade volume of every execution counter User defined volume Value counter Increases by the trade value of every execution User defined value Increases by trade volume of every bought call option Delta volume 5019 put option and bought future and counter Decreases by trade volume of every sold call option bought put option and sold future User defined net volume Increases by trade value of every bought call option Delta value sold put option and bought future and counter Decreases by trade volume of every sold call option bought put option and sold future User defined net value 25 7 Tariff Models 7 1 Overview The London Stock Exchange Derivatives Market operates several products with specific pricing models Tariff schedules are available on the London Stock Exchange Derivatives Market website The different tariff models currently in use on the London Stock Exchange Derivatives Market are detailed below Fee per lot Products using this system simply apply o
35. t conformed Front Middle and Back Office Independent Software Vendors ISVs Market Data Vendors MDVs and VAN providers can be found on the London Stock Exchange Derivatives Market website e BTS Trading Application The Borsa Italiana Systems BItS Trading Station BTS Service allows access to the London Stock Exchange Derivatives Market trading services In addition it is also used to access all other London Stock Exchange Group Equity and Fixed Income markets The London Stock Exchange Derivatives Market can supply BTS to members as an off the shelf ready made trading application Using BTS members can access functionality including order entry deletion viewing of the orderbook to five levels of depth creation of strategy instruments and the reporting of Cross and Committed block trades BTS cannot be used for market making activity such as bulk quoting and market maker protection The following BTS documents are available from the London Stock Exchange Derivatives Market website LSEDMS801 BlItS Trading Station BTS User Manual e BCS Clearing Application Members can develop directly London Stock Exchange Derivatives Market clearing API however most clearing members will take the London Stock Exchange Derivatives Market supplied BCS application to enable them to view reports perform give ups take ups move trades between accounts and perform other post trade administration The following BCS documents are
36. trol g 96 from Minimum 2 H 9 PI 1 E size aximum size quan y or contro outside sp maximum outside spread FTSE 100 n 22 a r 1 5 250 lots 7 5 500 lots 2500 lots 100 lots 5 000 lots 1 lot a FTSE UK SLQ p 1 5 250 lots 7 5 500 lots 2500 lots 100 lots 5 000 lots 1 lot FTSE RIOB 1 lot ET 500 lots 2 500 lots 1 lot 5 000 lots 1 lot 1 lot 50 000 lots 50 000 lots 1 lot 50 000 lots 1 lot 3 2 OBOSX 1 lot Bu 50 000 lots 50 000 lots 1 lot 50 000 lots 1 lot Norwegian stock 1 lot 50 000 lots 50 000 lots 1 lot 50 000 lots 1 lot IOB DRs 2 s 1 lot rca 10 000 lots 10 000 lots 1 lot 60 000 lots 1 lot IOB DR dividends 1 lot 10 000 lots 10 000 lots 1 lot 100 000 lots 1 lot FTSE 100 250 lots 7 5 500 lots 2500 lots 250 lot 5 000 lots 1 lot FTSE RIOB 1 lot 5 000 lots 10 000 lots 1 lot 10 000 lots 1 lot 2 OBX 1 lot 50 000 lots 50 000 lots 1 lot 50 000 lots 1 lot IOB DRs 1 lot lis 10 000 lots 10 000 lots 1 lot 30 000 lots 1 lot spread UK stocks n a n a n a n a n a n a n a n a 1 lot Norwegian stock 1 lot osa 50 000 lots 50 000 lots 1 lot 50 000 lots 1 lot spread
37. trol prices are as follows e Static control price the previous day closing price as determined by the London Stock Exchange Derivatives Market and CC amp G OR a manually inputted price e Dynamic control price the last traded price in the current session Levels set by the London Stock Exchange Derivatives Market are detailed in Appendix B For Stop Loss and If Touched orders the incoming order price cannot be outside the price control thresholds detailed in Appendix B Additionally if when triggered the price on such an order violates on of the control parameters the incoming order is deleted and the circuit breaker suspension is triggered 5 2 Price Controls on Block Trades Block trades electronically submitted to the London Stock Exchange Derivatives Market will be subject to the following controls e Where the price of the block falls outside the real time bid ask spread the London Stock Exchange Derivatives Market defines a minimum acceptable quantity for the trade which is product specific e The London Stock Exchange Derivatives Market sets maximum permitted percentage deviation from the real time bid ask spread for such block trades e block trade at a price more than this percentage below the bid above the ask will not be processed e Where the price of the block falls inside the real time bid ask spread the trade is subject to normal order quantity controls Product specific settin
38. varying customer requirements See the London Stock Exchange website or contact the Jondon Stock Exchange Derivatives Market technical team for more details http www londonstockexchange com product s and services connectivity extranex extranex htm 3 1 2 Hosting Members may choose to house their servers in LSEG s data centre in close proximity to the London Stock Exchange Derivatives Market servers e Virtual Private Network VPN For Members seeking a low cost solution and who are less sensitive to latency the London Stock Exchange Derivatives Market will configure and deliver a router to allow trading 7 Market Trading Clearing Data E SAIL API lal BCS API HSVF API gt NSP o 8 Vendor Access VAN provided network and a Network applications VAN LSE CC amp Derivatives G S Market as w pp PS solution site 9 Memb ISV 2 External erin provid ISV hee solution House ed GUI Vendor GUI GUI and clearing access over a standard internet connection e Network Service Providers NSP See the London Stock Exchange Derivatives Market website for a full list Please refer to the LSEDM102 Connectivity Guide on the London Stock Exchange Derivatives Market website for further details on the connectivity options listed below 3 1 Physical Connectivity 3 1 1 Extranex Extranex provides customers of t

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