LSEDM - Trading Service Description
Contents
1. and clearing Trades must specify the intended counterparty and TEE interbank do not interact with the anonymous Order book Trades stay in the committed book until the end of the day unless matched or deleted Cross A Trade is pre arranged by one member acting on behalf of each intrabank side and reported to LSEDM Trades do not interact with the anonymous Order book Members are allowed to group several bilaterally negotiated trades on same different instruments within an unique order offering certainty of simultaneous execution or no execution at Trades must meet certain quantity and price threshold determined by LSEDM on a product specific basis Trades contribute to the Market 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 Each leg must be approved by the opposing counterparty same price same quantity otherwise the trades will not matched Once all legs are Bundled all Each leg of the Bundled Order must specify the intended Data Feed with quantity and price approved trades in the Bundled Order are counterparty and do not interact with the Order book Trades updates confirmed and sent to clearing Legs of the Bundled stay in the committed book until the end of the day unless Orders not matched by the end of the trading mat2. Expected execution behaviour for orders Trader ID 1 V Trader ID Trader ID 3 v Trader ID Trader ID 1 or 2 V o Orders submitted from TraderlDs in different SEP Group will be allowed to interact with each other e SEP will take effect upon aggression of the order before execution and not on order entry or replenishment The diagram above explains how the interaction between TraderlDs SEP Groups works on SOLA SEP Rules regulate the interaction of orders from a firm and are defined at the TraderlD level Different rules can be applied to TraderlDs included in the same SEP Group The SEP rule of the incoming order i e the aggressive order will regulate the interaction between two orders which are part of the same SEP Group The following SEP Rules will be available for each TraderlD e Cancel Incoming Order CIO leaves the resting order while expiring the incoming order London Stock Exchange Group AS TY up SEP Group B Trader ID 3 Trader ID 4 No Execution No Execution e Cancel Resting Order CRO expires the resting order while allowing the incoming order to aggress and rest in the book if it is not matched e Cancel Both Orders CBO expires both the resting order and the aggressing order e Reduce and Cancel RC cancels both orders if they are of the same size For those not of the same size the smallest order will be cancelled and the larger order will be reduced by t
3. LSEDM401 HSVF Market Data Technical Specification on the LSEDM Document Library for details A summary of Block order types and key information on each is given is Appendix A A summary of minimum Block sizes and price controls on a product basis is provided in Appendix B Further information on Risk controls is provided in Section 6 3 3 2 Bundled Orders Block trades with multiple legs LSEDM facilitates the grouping of multiple Block trades into one unique window through the Bundled Order functionality This functionality offers certainty of simultaneous execution of all the individual legs included in the Bundled Order or no execution at all The functionality is highly customisable allowing market participants to create their Bundled Orders with the same or different counterparty and same or different financial instruments in each leg and an individual price for each leg The Bundled Order functionality offers an alternative to the Strategy functionality on the LSEDM platform whilst providing additional flexibility in as described below Through the Bundled Order functionality e Traders can enter a Bundled Order in up to four legs e Traders can independently specify for each leg of the Bundled order o The financial instrument e g Option or Future including Standard and or Flex series The price and size o The counterparty Buy or Sell LSEDM TRADING SERVICES DESCRIPTION 14 Sept
4. Volume x Price x Contract Size x Tick Value User defined value Increases by trade volume of every bought call option sold Delta volume put option and bought future and LSEDM default threshold OR count Decreases by trade volume of every sold call option bought User defined net volume put option and sold future Increases by trade value of every bought call option sold put Delta value option and bought future and LSEDM default threshold OR count Decreases by trade volume of every sold call option bought User defined net value put option and sold future Any number of counters can be activated simultaneously Traders must define a Time Interval The protection counters are reset in the event that the time elapsed between any two trades is longer than the user defined Time Interval Protection counters are listed and described in the table below 6 4 3 Default protection and ranges LSEDM provides default thresholds for the protection counters within the trading system see Appendix E LSEDM sets the default to ensure adequate protection for bulk quote users Bulk quote users may define their own customised thresholds When defining their thresholds users must adhere to the minimum and maximum configuration ranges in the tables in Appendix E If a value outside the relevant minimum or maximum is selected LSEDM will reject the message and users will be unable to set up their customised protection t
5. 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 LSEDM reserves the right to terminate the Market Maker Agreements if the Member fails to meet its obligations LSEDM also reserves the right to withhold or cancel any incentives including any revenue share in the event that the Member fails to meet its obligations or terminates its Agreement early For further information with regards on Market Making obligations please refer to the Market Making Obligations document on the LSEDM Document Library 3 1 6 Request for Quote RFQs Request for Quote RFQ allows any Member to broadcast a message to Market Makers in a particular instrument via the HSVF market data feed Market Makers as part of their agreement with LSEDM have an obligation to reply by entering a quote in to the Order book for that specific instrument London Stock Exchange Group RFGs contain e Instrument Class e Instrument ID Code 3 1 7 Strategy instruments e User generated strategies On all Order book traded Futures and Options LSEDM has enabled SOLA functionality that allows users to create their own strategy instruments and list them as standalone products on the Order book available for trading by the rest of the market Derivatives strategy trades can be executed
6. reset the next time a bulk quote message is sent 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 a new Protection subscription message is sent 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 6 4 2 Protection counters Bulk quoting protection is active on all quotes sent using the Bulk Quote message functionality LSEDM provides five protection counters which can be set by firms using bulk quotes in a specific instrument class 30 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 Counter type Counter change condition Trigger for bulk quoting applies to all trades in any instrument of the class protection Trade count of Increases by 1 with each execution of a trade of at least N lots LSEDM default threshold OR where N is a user defined number Max number of trades User defined number of trades Count Trade where volume 2 Minimum Trade Volume of at least N lots in size Volume count Increases by the trade volume of every execution TRER OR Yalue count Increases by the trade value of every execution LSEDM default threshold OR Max Value gt
7. 16 00 17 30 ill Surveillance intervention period ends 18 00 18 00 18 20 17 50 Members can no longer delete orders Clearing closes z 5 read only access available in BCS 8 00 18 00 5 00 0500 Clearing batches begin S BCS inaccessible 18 45 18 45 18 45 18 45 Clearing reports available 19 30 19 30 19 30 19 30 Official closing prices disseminated 21 00 21 00 21 00 21 00 can be amended over night All times are London times Timing of clearing batches clearing reports and closing prices dissemination is approximate Continuous Trading for OBX Index Futures starts at 7 30 x ary London Stock Exchange Group LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 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 5 7 Clearing reports Members can extract reports summarising their activity on LSEDM from the clearing API and clearing applications including the CC amp G FTP Server For more information on these reports and how to access them please refer to Section 4 Connectivity and Access 5 8 Exercise and Assignment guide Currently LSEDM offers two Options styles on its derivatives markets with the following exercise windows Stock DR Market Index Options Options All series that are in Norway ea e than the exercise fee K
8. LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 A 2 General functionality 2 1 Series Generation Detailed contract specifications for each product are specified in the LSEDM Contract Specifications document and on the LSEDM Document Library A comprehensive list of product codes and underlying ISIN s codes can be found in the Product list on the LSEDM Document Library 2 1 1 Symbology The following symbology rules apply to derivatives available for trading on LSEDM During the normal Trading Hours for each Standardised Product LSEDM disseminates 5 levels of market depth The Market Data information is distributed via HSVF as described in the HSVF technical specification on the LSEDM Document Library In the absence of an express statement to the contrary information relating to a Series which is listed in conjunction with Oslo B rs reflects the combined activity in such Series of Members of LSEDM and Members of Oslo B rs 2 1 2 Standardised Series Codes Each instrument is identified by a string of 4 9 characters excluding Options strike e 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 London Stock Exchange Group e Options only the following numeric characters designate the strike price e An additional symbol may also be added to indicate that a corporate
9. 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 Order book which exceeds the applicable maximum permitted size shall be rejected Members will receive a message stating this Price and Quantity restrictions are detailed in Appendix B The Tick size applicable for trading on the Order book is described in the relevant Contract Specification Any modification of 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 modified Order is entered on to the Order book Where the Order modification involves only a reduction in its volume or period of validity or a change in the Client identity the ranking of the original Order is not affected LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 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 An Order will remain valid and effective until an instruction to cancel or modify is given by the Member wh
10. action has occurred and the readjustment rules have been applied to that series see below 2 1 3 Tailor made Flex Series Codes Each instrument is identified by a string of 6 12 characters excluding Options strike 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 LSEDM currently uses two separate month coding systems One system is in use for IOB and Norwegian derivatives and a separate coding system international convention is being used for all other products going forward LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 Norwegian and IOB standards please refer to the Derivatives Corporate Actions Policy available on the Index Call Has LSEDM Document Library For Norwegian 9 Futures Options products LSEDM follows Oslo B rs January A A M Corporate A
11. against orders on the Order book the trade will be executed e Minimum quantity orders SEP will not apply to execute minimum quantity orders including icebergs Fill Or Kill FOK and Fill And Kill FAK orders e Internal cross orders SEP will not apply to cross orders with the same counterparty on both sides 6 1 3 Order Quantity Controls Orders are reviewed by LSEDM Market Supervision for purposes of market quality Product specific settings are in detailed in Appendix B The futures contracts value ranges are available in Appendix C 6 2 Price Controls on Block Trades Block trades on Standard series electronically submitted to LSEDM will be subject to the following automatic controls e Where the price of the Block falls outside the real time bid ask spread LSEDM 29 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 defines a minimum acceptable quantity for the trade which is product specific e LSEDM sets a maximum permitted percentage deviation from the real time bid ask spread for such Block trades e Any Block trade at a price more than this percentage i e below the bid above the ask will not be accepted 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 settings are in detailed in Appendix B Block trades on Tailor made Flex series electronically submitted will be subject
12. information on each is given in Appendix A All executed trades on the LSEDM Order book will contribute to price and quantity updates in the Market Data Feed HSVF Section 6 Risk Controls of this document describes controls applicable to LSEDM 3 1 1 Order Types Orders of the following type may be placed by Members e Price type Limit Order Market Order Top Order Stop loss order if touched order e By Quantity type order Iceberg Order Minimum quantity e By Duration type Day order Good Till Day GTD Good Till Cancelled GTC Immediate order FAK IOC While connected order For a full list of Order Types please see Appendix A 3 1 2 Placing Modification and Cancellation of an Order On placing modifying or cancelling an Order by way of the electronic trading system a Member shall provide the following information London Stock Exchange Group e the Series Type Style Class and the Listed Product in question e the Expiration Month e whether its Order is to buy or to sell e in 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 e if appropriate the identification code of the Client for whom the Order has been placed On placing an Order into the Order book
13. only the name of the Reporting Brokers will be visible On receipt the counterparties will be able to submit acceptance of its own leg of the Third Party Order or reject it In case of rejection from one of the counterparties acceptance by any other counterparty of the Third Party Order will be inhibited Pending legs will remain in the system till the close of the Block Trading Facility until they are all accepted The Third Party Order will be registered and sent to clearing only on acceptance from all counterparties Price and quantity validation are also applicable To register as a Reporting Broker and enable access to the Third Party Execution functionality in SOLA please contact membershipQlseg com 3 4 Trade Reporting LSEDM Trade Reporting and Registration service offers the manual reporting of bilaterally negotiated trades Manual Trade Reporting is an an alternative to electronic Block trading see section 3 3 for LSEDM Members These can be reported either in a Standard series or Tailor Made series with the guarantee of CCP Clearing with LCH Clearnet Limited A template for trade reporting is provided to report trades to the Market Operations team via email at etd tradereporting lseg com LSEDM will register each side of the trade and confirm that they are on the appropriate accounts as per the template received London Stock Exchange Group LSEDM should be provided with following details of the tra
14. put at the same strike and at the 05 C ic Put same expiry date sell a put at a lower strike BUY P K D K K Sell two calls at a middle strike buy two calls each Buy C Ki T 16 Call Butterfly at lower and higher strike all with same expiry Buy Ks T date and with strikes equidistant Sell 2 x C Ko T Ki lt Ko lt Sell two puts at a middle strike buy two puts each Buy P Ki T 17 Put Butterfly at lower and higher strike all with same expiry Buy P Ks T date and with strikes equidistant Sell 2 P Ko T Ki lt lt A 2 4 London 15 Stock Exchange Group 41 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 Strategy Description Long position LSEDM BTS convention K strike T maturity Buy call sell call at higher strike and sell call at Buy C K1 T 18 Call Ladder equally higher strike all with same expiry date Sell C Ko T and with strikes equidistant Sell C Ks T Ki lt K2 lt Sell put sell put at higher strike and buy put at Sell P Ki T 19 Put Ladder equally higher strike all with same expiry date Sell P K2 T and with strikes equidistant Buy P Ks T Kj lt Ke lt Sell P Ki T 20 Call spread versus Buy Call sell Call at higher exercise price sell Put Buy C Ko T Short Put at any lowest strike EH C Ks EC Ki T 21 Put spread versus Buy Put and sell Put at lower
15. the original Flex series The series will become public and instrument data will be disseminated via HSVF as public Reference Data 3 3 Block Trading Block Trading is available for Standard series or Tailor Made series with the guarantee of CCP Clearing with LCH Clearnet Limited Block trades in Standard series contribute to price and quantity updates to the Market Data Feed HSVF Block trades in Tailor made series remain Hidden and only visible to the Participant Firm involved in the trade Block Trading is an electronic alternative to the manual Trade Reporting process see section 3 4 for LSEDM Members The relevant section of the LSEDM Rulebook Trade Reporting applies to Block Trading 3 3 1 Block Trades Cross Committed trades LSEDM allows Block Trading i e the electronic entry and confirmation of bilaterally negotiated trades between two different counterparties Committed trade or with a single counterparty filling both sides of a trade Cross Two sided trade Block trades are permitted both in Standard and Tailor made Flex series e Above a minimum Block Size e Within certain price and risk control parameters in addition to quantity and control parameters for example the Bid Ask or reasonable theoretical price London Stock Exchange Group pre or post trade depending on the product and size e According to the specific product tick table Please refer to the
16. to a post trade theoretical price validation check by LSEDM Market Supervision The Exchange may unilaterally cancel any trades that fail to its meet its controls 6 3 Price Controls on Trade Reports manual process Trades sent to LSEDM for Trade Reporting and Registration are subject to price control by LSEDM Market Supervision e For Standard series trades must obey the Product specific settings as detailed in Appendix B e For Tailor made series trades will be subject to a theoretical price validation check by LSEDM Market Supervision 6 4 Bulk Quoting Protection Bulk quoting protection is a functionality provided by LSEDM provided function that will result in an automatic cancellation of all quotes in a particular instrument class under certain conditions London Stock Exchange Group The feature protects Bulk Quote users against any excessive trades due to the following e Technical problems at participants end preventing normal market updates e Quoting errors at participant s end due to erroneous underlying price information e Unintentionally being swept by another participant 6 4 1 Bulk Quoting Protection Types Bulk quoting protections apply to each trader ID for an underlying instrument group 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
17. 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 Top order Executes at best available price against any single contra order Residual is converted to a limit order at price just traded Stop loss order Price Type Order enters book to prevent further loss 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 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 quantity order Tries to execute at the specified price for at least the stated Additional Quantity AQ If the AQ cannot be immediately filled the order is rejected If the AQ is filled the residual is retained on the Order book and can trade without further
18. 00 50 3rd and 4th OTM 250 80 240 70 100 50 2nd OTM 200 80 190 70 70 50 1st OTM 150 80 140 70 50 50 ATM 100 80 90 70 40 40 ist ITM 80 80 70 70 30 30 2nd ITM 70 70 60 60 30 30 3rd and 4th ITM 60 60 50 50 25 25 5th and 6th ITM 40 40 30 30 15 15 7th to 11th ITM 35 35 25 25 10 10 12th ITM 25 25 15 15 5 5 London AS 10 eee Stock Exchange Group LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 10 3 Stock options Order book price control Trade vs Settlement Trade vs Last Strike Price Front month All subsequent expiries All Expiries 96 Increase Decrease 96 Increase Decrease 96 Increase Decrease Over 8th OTM 900 80 890 70 450 50 7th OTM 700 80 690 70 350 50 5th and 6th OTM 500 80 490 70 200 50 3rd and 4th OTM 400 80 390 70 100 50 2nd OTM 350 80 340 70 70 50 1st OTM 250 80 240 70 60 50 ATM 150 80 140 70 50 50 ist ITM 80 80 70 70 40 40 2nd ITM 70 70 60 60 35 35 3rd and 4th ITM 60 60 50 50 30 30 5th and 6th ITM 50 50 40 40 20 20 7th to 11th ITM 45 45 35 35 15 15 Over 12th ITM 30 30 20 20 10 10 London AS 10 r Stock Exchange Group is LSEDM TRADING SERVICES DESCRIPTION
19. 14 September 2015 11 Appendix C Futures Contracts Value Ranges Product Value Ranges Fast Market Value Ranges Stock index future 1 596 396 Stock futures 596 10 Dividend futures 10 20 2354 London Stock Exchange Group p LSEDM TRADING SERVICES DESCRIPTION 1 May 2015 12 Appendix D Strategies LSEDM suggested convention for pre defined strategies To assist front end developers in building a set of pre defined strategies LSEDM suggests the following convention useful for developing front end systems Please note this is a simply an illustration of how to build a pre defined list Market participants can choose their own convention using the FLEXCO message Strategy Description Long position LSEDM BTS convention K strike T maturity 2 legged strategies 1 Calendar Spread IOB UK and Turkish mou near month future and sell the far month se a A products 2 Calendar Spread Sell the near month future and buy the far month Sell F T4 Oslo products future Buy F T2 T4 lt T2 Buy the near month call and sell the far month call Buy C K Ti 3 Call Calendar Spread Sell K T T lt T Buy the near month put and sell the far month put Buy P K Ti 4 Put Calendar Spread Sell P K Tie T2 5 Diagonal Call Calendar Buy the near month call and sell the far month call Buy C Ki Ti Spread at different strike prices Se
20. LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 London Stock Exchange Derivatives Market TRADING SERVICES DESCRIPTION Version 5 5 14 September 2015 Xe London Stock Exchange Group LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 1 Introduction 5 1 1 Clearing and margining 5 1 2 Product Overview 5 2 General functionality 6 2 1 Series Generation 6 2 2 Corporate Actions Treatment Rules 7 2 3 Corporate Action Identifier 7 2 4 Strike Price Generation 7 3 Trading Functionality 12 3 1 Order book Trading 12 3 2 Tailor made Flex series 15 3 8 Block Trading 16 3 4 Trade Reporting 18 3 5 Trade Cancellation 18 4 Connectivity and Access 19 4 1 Physical Connectivity 19 4 2 Vendor Access Networks VANS 20 4 3 Vendor Software Solutions 20 4 4 BCS FTP Service 20 4 5 Trading APIs 20 4 6 Drop Copy 21 4 7 Market Data API 21 4 8 Clearing API 21 5 Clearing and Market Operations 22 5 1 Transaction reporting and Market Identifier Code MIC 22 5 2 Central Counterparty Protection 22 5 3 Margining and Position Controls 22 5 4 Give Ups 23 5 5 Account Structure 23 5 6 Market Operations and Clearing Processing Timetable 24 5 7 Clearing reports 25 5 8 Exercise and Assignment guide 25 5 9 Settlement and Delivery for Physical Settled Contracts 25 6 Risk Controls 27 6 1 Order book 27 6 2 Price Controls on Block Trades 29 6 3 Price Controls on Trade Re
21. S payable y All series that are in the money by more All in the money than the exercise fee series payable All in the money UK All in the money series arise Turkey All in the money series Exercise Option Exercise window style Open Close Any business day American from trade date until 07 30 18 00 style day before expiry European style and Expiry day only 18 10 18 40 American style All times are London times Timing for Exercise Window Is approximate LSEDM applies the following automatic exercise rules on expiration dy o V Saty London Ts Stock Exchange Group Manual exercise can be performed through the members clearing application for example on a Norwegian series that is less than 1 in the money 5 9 Settlement and Delivery for Physical Settled Contracts If the Member holds a net Short Futures position LSEDM 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 LSEDM shall make available normally prior to 22 00 London time on the day in
22. Stock Exchange Group LSEG and has interfaces common to other markets of LSEG ensuring that customers accessing other LSEG markets can connect to LSEDM with minimal incremental cost or effort LSEDM offers Member firms new and innovative features in addition to the highly successful market models used for its existing Norwegian and IOB business which has been developed alongside Members The LSEDM trading platform operates on SOLA technology The current instance of the platform is SOLA version 7 0 1 1 Clearing and margining Members can improve operational efficiency and net margin payments across geographies all through one clearer LCH Clearnet Limited London Stock Exchange Group 4 Lue 1 2 Product Overview Single Underlying Stock Index Dividend Futures Futures and and Options on Options on Norway the OBX Norwegian Futures on stocks the OBOSX Futures and Futures Futures on Russiaand Options on and the most IOB the most Options on liquid IOB liquid IOB FTSE RIOB DRs DRs Futures and Options on PSE 10o UK UK Futures on underlyin ATE ae 9 UK Large Cap Super Liquid Index Futures and Turkey Options on BIST 30 index For a current list of all products traded on LSEDM and the full Contract Specifications please refer to the LSEDM Document Library 1 International Order Book Depository Receipts This includes Dividend Neutral Stock Futures
23. TS members can access functionality including order entry deletion viewing of the Order book to five levels of depth creation of strategy instruments and the reporting of Cross and Committed block trades The following BTS documents are available from the LSEDM Document Library LSEDM801 BItS Trading Station BTS User Manual e BCS Clearing Application Members can develop directly LSEDM clearing API however most clearing members will take the LSEDM 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 available from the LSEDM Document Library London Stock Exchange Group LSEDM701 BItS Clearing Station BCS User Manual LSEDM702 BItS Clearing Station Application Data Layouts LSEDM703 BItS Clearing Station Technical Notes BCS BCS 4 4 BCS FTP Service LSEDM clearing reports are available via an FTP site accessible with a user name and password Contact Technical Account Management for FTP Service documentation 4 5 Trading APIs LSEDM provides two derivatives trading APIs that applications can be developed to These are e FIX42 e SOLA Access Information Language SAIL 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 th
24. and Information Systems A range of service options are dy o V Saty London Ts Stock Exchange Group LSEDM can also be accessed through accredited NSPs Members contract with the NSP for provision of network connectivity but sign agreements directly with the LSEDM 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 LSE can be found on the LSE website LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 4 2 Vendor Access Networks VANs VANs provide a full end to end solution comprising network connectivity and pre conformed software applications through which their clients can interface with the LSEDM 4 3 Vendor Software Solutions e MDVs ISVs and VANs A full list of LSEDM conformed Front Middle and Back Office Independent Software Vendors ISVs Market Data Vendors MDVs and VAN providers can be found on LSE website e BTS Trading Application LSEG s front end solution BTS allows access to LSEDM trading services and all other LSEG Equity and Fixed Income markets including Turquoise LSEDM can supply BTS to members as an off the shelf ready made trading application Using B
25. ate Tailor made Flex derivative series in the trading platform intra day and to report Block Trades on them These series will be Hidden not disseminated via HSVF as public Reference Data and only visible to the Participant Firm that has created them Members will be able to retrieve ISINs for Tailor Made Flex derivatives through the Clearing System BCS Application or through secure FTP in Excel or CSV report formats Market participants will be able to create Tailor made Flex series specifying the Underlying Expiry Day Year Strike only for Options Option Style only for Options Instrument Type call put only for Options and Delivery Type cash vs physical Tailor made Flex series will remain active until the expiration date specified at the moment of the instrument creation Market participants will not be able to create Tailor made Flex series with the same characteristics of an existing Standard instrument 3 2 2 Conversion of Tailor made series to Standard series When the LSEDM trading platform automatically generates a Standard series with the same parameters of a Tailor made Flex series e g due to the generation of new expiries or new strikes due to movement of the underlying security the trading LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 platform automatically converts the Tailor made Flex series to Standard series The new Standard series inherits the same ISIN as
26. ched or deleted session are automatically deleted Members registed as Reporting Brokers can arrange a trade Each leg of the trade must be approved by the between two or more Members and use the Third Party Order to relevant counterparties same price same quantity initiate the execution process for a cross order Each leg of the otherwise the trades will not matched Once all legs Third Party Third Party Order must specify the intended counterparties and are approved trades in the Third Party Order are do not interact with the Order book Trades stay in the confirmed and sent to clearing Legs of the Third committed book until the end of the day unless matched or Party Orders not matched by the end of the trading deleted session are automatically deleted d o V aty London Stock Exchange Group 35 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 10 Appendix B Controls 10 1 Price and Quantity Controls Block trade quantity control Block Trade price control for Standard ien series Trade Reporting Order book price control Order book quantity control Product 96 from dynamic Min quantity for Allowable 96 from Max single Max combo control outside spread bid ask order order Min quantity for Tailor Min siz Max siz made Flex series 96 from static control 5 0 f FTSE 100 4 Seter ardere 1 5 250 lots 7 5 500 lots 2500 lots 100 lots 5 000 lot
27. ction policy February B B N 23 C te Acti identifi VETTER S E 3 Corporate Action Identifier April D D P The presence of any of the following additional letters on the end of a series code May Q indicates that a corporate action has occurred June F F R and the readjustment rules have been applied to that series For example an R would July G G S aM indicate that five corporate actions have been August H H T applied to a series during its lifetime with the September U readjustment rules having been applied five October J J V times November K K W December L L X Corporate action Identifier number X gs Y All other products g Z ih Month Futures eel i Options Options gh R January F A M 6 S February G B N Te G March H C April J D P 8 y 9 V May K E Q June M F R Jul N G S 2 4 Strike Price Generation August Q H T ESTIS i LSEDM generates new strikes on Options series according to the following October V J V November x w e Minimum number of series in the money December 2 L X 2 2 Corporate Actions Treatment Rules Where possible LSEDM harmonises the treatment of corporate actions to market ABY fy London STAY Stock Exchange Group ITM e Minimum number of series out of the money OTM e Always one series at the money ATM LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 2 4 1 Designation of the ATM strike Every minute the SOLA
28. d 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 LSEDM LSEDM can set separate circuit breakers against the static control price with respect to both orders and trades In particular market conditions LSEDM may with reference to markets categories of financial instruments or individual instrument modify the maximum price variation limits the static price the dynamic price and other trading conditions Definitions of control 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 LSEDM 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 the control parameters the incoming order is deleted and the circuit breaker suspension is triggered In the event London Stock Exchange Group that the circuit breaker will continue to persist due to a member s order s that is outside the static or dynamic thresholds and LSEDM has taken reasonable action to contact the member in relation to that order and the member has not res
29. 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 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 2 4 3 On Request listing of additional standardised series Members may request by phone or electronic communication to LSEDM Market Operations for a specific Options Series to be listed on the Order book if it is not automatically generated in accordance with the parameters London Stock Exchange Group described in the relevant Contract Specifications and the Strike Price Generation section of the Trading Services Description This is known as an On Request listing Members shall in
30. e 10 5 NA Volume count 500 100 NA Value count 9 999 999 10 000 NA Delta volume count 9 999 999 100 NA Delta value count 9 999 999 10 000 NA 13 3 All other instruments For all other instruments listed on LSEDM the following default thresholds ranges are used Protection type Default threshold Minimum configuration Maximum configuration Time Interval 60 seconds NA 1 hour 99 3 BE Equal to minimum Equal to minimum market TUN market maker obligation making obligation Equal to minimum market Volume count 10 000 making obligation NA Value count 99 999 999 1 000 NA Delta volume count 99 999 999 100 NA Delta value count 99 999 999 10 000 NA 245 London Stock Exchange Group ja
31. e LSEDM Document Library including the SOLA Release documentation LSEDM200 FIX Business Design Guide LSEDM201 FIX 4 2 Specification LSEDM300 SAIL Business Design Guide LSEDM301 SAIL Specification 20 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 4 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 was sent using the FIX protocol 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 LSEDM Document Library LSEDM302 SAIL Drop Copy 4 7 Market Data API LSEDM 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 summaries and administrative messages for all orde
32. ed 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 32 LSEDM TRADING SERVICES DESCRIPTION 1 May 2015 8 Contacts For more information on LSEDM or any services offered by LSEDM please contact a member of our team Business Development and Membership Enquiries ve DEN ges 955 Isedm salesQlseg com membership lseg com Derivatives Market Operations 44 0 20 7797 3617 etd operations 2lseg com Market Supervision 44 0 20 7797 4632 Isedm supervision lseg com Corporate Actions team 44 0 20 7797 3660 etd corporateactionsQlseg com Technical Account Management Functional Queries Client On 44 0 20 7797 3939 Boarding Technical Advice londontam 9Iseg com Client Support Team Incident Management Live 44 0 20 7797 1500 Service and CDS support 2lseg com London Stock Exchange Group 10 Paternoster Square London ECAM 7LS T 44 0 20 7382 7600 F 44 0 20 7382 7690 ify London STAY Stock Exchange Group 33 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 9 Appendix A Order Types 9 1 Order types for electronic anonymous Order book trading Order type Description Limit order Enters Order book at specified price and
33. ember 2015 e The same Trader ID must be used for each leg of the Bundled Order Once the Bundled Order is entered each counterparty will receive notification message On receipt counterparties will be able to submit acceptance of its Leg of the Bundled Order or reject it In case of rejection from one of the counterparties acceptance by any other counterparty of the Bundled Order will be inhibited Pending legs will remain in the system till the close of the Block Trading Facility i e end of Order book trading hours until they are all accepted The Bundled Order will be registered and sent to clearing only on acceptance of all of the counterparties Price and quantity validation are also applicable For further information on Bundled Orders please refer to the specific product documentation on the LSEDM Document Library 3 3 3 Third Party Order execution Block trades for Reporting Brokers LSEDM allows for Members registered in the capacity of Reporting Brokers to initiate electronically the execution process for a Block trade through the Third Party Order execution functionality This is an alternative to the current manual Trade Reporting process as in section 3 4 Through the Third Party execution functionality Reporting Brokers will be able to submit a trade as a Block Trade or Bundled Order for either Standard or Tailor made Flex series which has been executed between multiple counterparties e Reporting Broke
34. ent Please refer to the SPAN parameters on the LCH Clearnet Limited website LSEDM calculates 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 LSEDM Norwegian contracts benefit from margin offsets and optional cross trade source netting through LCH Clearnet EquityClear Service Buyer elections on all physical delivered contracts excluding LSEDM 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 LSEDM 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 22 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 5 4 Give Ups When one side of the trade needs to be given up to another Clearing 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 GOM directly 5 5 Account Structure Members can request the following types
35. formation provide the following 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 LSEDM Market Operations will confirm when the On Request Standard series is available for trading on the Order book LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 2 4 8 Market a FTSE RIOB Options Minimum ITM strikes Minimum OTM Expiration generated strikes generated Bid price Increment All contracts 5 5 Pod po b IOB DR Options Expiration Minimum ITM strikes Minimum OTM Bid price increment strikes generated 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 2 4 4 Norwegian Market a OBX Options Expiration Minimum ITM strikes Minimum OTM Bid price increment generated strikes generated 0 150 3 00 150 500 5 00 500 1000 10 00 2 2 1000 20 00 0 150 6 00 150 500 10 00 monner 500 1000 20 00 1000 40 00 245 London Stock Exchange Group Lur LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 b Norwegian Stock Options Minimum ITM strikes Minimum OTM Expiration
36. generated strikes generated Bid price Increment 0 2 0 10 2 5 0 25 5 10 0 25 10 30 0 50 lt 3 months 30 80 1 00 80 200 2 50 200 400 5 00 400 600 10 00 600 15 00 0 2 0 10 2 5 0 25 5 10 0 50 gt 3 months 10 30 1 00 and lt 6 2 30 80 2 00 months 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 6 months gt 30 80 4 00 80 200 10 00 200 400 20 00 400 600 40 00 600 60 00 2 4 5 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 lt 1 year 10 10 100 points S 2 years 20 20 100 points gt 2 years 0 0 sy London 4Y Stock Exchange Group up LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 2 4 6 Turkish Market BIST 30 options Expiration Minimum ITM strikes Minimum OTM strikes Strike price increment generated generated used 2 corresponding to 2 000 All contracts 7 7 index points London Stock Exchange Group s 3 ali iR KAN Pod LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 3 Trading Functionality The key features of the LSEDM trading platform are described in this section 3 1 Order book Trading LSEDM s Order book operates on a Price Visibility Time priority basis A summary of Order book types and key
37. he size of the smaller order before executing resting Both orders will also be cancelled if the resting order is marked with any Self Execution Prevention other than RC and the incoming order is smaller than the resting order The table below explains the expected behaviour of SOLA when orders quotes from TraderlDs from the same SEP Group interact 28 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 SEP Rules Expected trading behaviour Resting is a Rule Incoming is a Exceptions to SEP Rules e self execution is identified involving a quote as a resting or aggressive order the SEP Rule attached to the incoming TraderID will be ignored and the following rules will apply o In case the opposite side is an order i e it is not a quote the quote will survive while the order incoming or resting will be cancelled o In case the opposite side is a quote e g two quotes submitted by two different TraderlDs of the same market participant no SEP rules will be applied i e the trade will be executed e Strategies SEP will only apply for orders with potential executions in the Strategy v Strategy scenario i e if a strategy instrument could execute against another resting strategy instrument SEP will prevent this execution SEP will not apply in the Strategy v Legs case i e when a strategy instrument could execute London Stock Exchange Group g ur Order Quote
38. hresholds The protection must be London Stock Exchange Group ei A E Ko SL Lue activated before the start of each trading day by sending an RP message to select the type of protection Standard or Advanced For each trader ID bulk quote users need to send a bulk quote message BD to begin their quoting activity with the user defined thresholds including the Time Interval Maximum Volume and Value limits and Maximum Delta Volume and Value limits If the values of the thresholds are not user defined then the LSEDM default thresholds are selected as in Appendix E For further information on the Bulk Quoting Protection functionality please refer to the Bulk Quoting Protection Description document on the LSEDM Document Library 31 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 7T Tariff Models LSEDM operates several products with specific pricing models Tariff schedules are available on the LSEDM Document Library The different tariff models currently in use on LSEDM are detailed below Fee per lot Products using this system simply apply one universal fee to each side of the trade based on the number of contracts traded Per Trade Charging dy o 4 es London Ts Stock Exchange Group 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 trad
39. ich placed the Order A Member may contact Market Operations to cancel an Order entered on the electronic trading system with the relevant order details instrument price quantity time etc Members wishing to remove all their Orders from the Order book in one go should contact Market Operations who can perform this action Such requests must always be made by a Registered Person 3 1 3 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 is considered disconnected This only applies to While Connected orders and not to GTD GTC or Day 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 disconnection London Stock Exchange Group e LSEDM therefore strongly recommends the use of While Connected orders for Members that are concerned about cancellation on disconnect 3 1 4 Bulk Quoting product dependent Members that have conformed to the LSEDM SAIL API are also able to send Bulk Quotes to the LSEDM Order book through Bulk Quote Trader IDs Bulk quotes may contain up to 280 separate quotes with LSEDM validating each quote within the message Throttles a
40. ll C Ko T2 T1 lt T2 6 Diagonal Put Calendar Buy the near month put and sell the far month put Buy P Ki Ti Spread at different strike prices Sell P K2 T2 T1 lt T2 7 Straddle Buya call and a put at the same strike and atthe Buy C K T same expiry date Buy P K T 8 Collar Buy a put at the lower strike and sell a call with a Buy P K4 T higher strike price and at the same expiry date Sell C K2 T Ki lt Ke Sell a put and buy call at the same strike and at Sell P T Sc fusi reversal the same expiry date Buy C K T Buy call at lower strike price and sell call at higher Buy C Kj T 10 Call Spread strike price and at the same expiry date Sell C K2 T K1 lt K2 Buy put at higher strike price and sell put at lower Sell P Ki T al prd strike price and at the same expiry date Buy P Ks T Ki lt Ke Buy a call at lower strike price and sell 2 calls ata C Ki 8 REMI CEL Ger higher strike price and at the same expiry date Sell 2 x C T Ki lt K2 Sell a put at lower strike price and Buy 2 puts ata Sell 2 x P Ki T 13 Ratio Put Spread higher strike price and at the same expiry date Buy P Ko 1D Ki Ko 3 legged strategies B Ki T 14 Straddle versus Short Buy a call and a put at the same strike and at the Buy m same expiry date sell a call at higher strike Sell C Ke T Ki lt Ke I P Ki T 15 Straddle versus Short Buy a call and a
41. m lseg com for Market Trading Clearing Data more details http www londonstockexchange com product s and services connectivity extranex extranex htm 4 1 2 Hosting Members may choose to house their servers in LSEG s data centre in close proximity to the LSEDM servers e Virtual Private Network VPN For Members seeking a low cost solution and who are less sensitive to latency LSEDM will configure and deliver a router to allow trading and clearing access over a standard internet connection E EUM SAIL API gt FIX42 BCS API HSVF API opel ou 2 NSP c 8 Vendor 5 Access VAN provided network and a Network applications VAN CC amp G LSEDM S BTS BCS FTP BTS 2 site G 2 a Member ISV External In provid ISV Maral solution House ed GUI Vendor GUI GUI enos e Network Service Providers NSP As an alternative to using the Extranex network the Group s services including the See the London Stock Exchange website for a full list Please refer to the LSEDM102 Connectivity Guide on the LSEDM Document Library for further details on the connectivity options listed below 4 1 Physical Connectivity 4 1 1 Extranex Extranex provides customers of the London Stock Exchange Group including LSEDM Members with a dedicated resilient and secure point to point connection allowing transmission of data traffic to and from the Group s Trading Clearing
42. nsaction on the Trade Report e the type of and class of a Listed or Non Standardised Contract the term if a Tailor made Contract the Strike Price the style whether it wishes to buy or to sell the name and account s of the Counterparty Counterparties Members are able to receive through secure FTP in Excel or CSV formats reports containing ISIN information on a Trade Reporting series to aid FCA Transaction Reporting Please contact Market Operations for further information Trade Reports in Tailor made series will not be published and remain Hidden Trade Reports in Tailor made series will be subject to a reasonable theoretical price validation by LSEDM Market Supervision prior to acceptance Trades Reports in Standard series must comply with the requirements including size and price within Appendix B Trade Reports in Standard series are always published 3 5 Trade Cancellation Requests for cancellations of trades executed through the Order Book Block trades and Trade Reports should be made to LSEDM Market Supervision in accordance with the procedure and timings as per the Rulebook available on the LSEDM Document Library LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 CV TTT2Z2223 gt gt gt gt s3 4 Connectivity and Access available to suit varying customer requirements See the LSEDM Document Library or contact LSEDM Technical Account wlVanagement team londonta
43. of account from LSEDM Operations through membershipQlseg com e Client account e House account e Market Maker account for Members under provision obligations 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 Through LCH Clearnet Limited LSEDM currently offers Clearing Members both Omnibus Segregated Accounts OSAs i e an account held by the Clearing Member for the purposes of holding positions for one or more Clients which may or may not be known by the Clearing House and Individual Segregated Accounts ISAs i e an account held by the Clearing Member for the purposes of holding positions for a single named client London Stock Exchange Group LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 5 6 Market Operations and Clearing Processing Timetable Times may vary depending on market conditions Market Action UK Russia Norway Turkey Start of consultation period Members can delete orders 05 30 05 30 05 30 06 30 fl ion Peri Start o ntervention eriod 07 30 07 30 07 30 07 00 Members can retrieve Bulk Quote ID for certain products Start of Trade Reporting hours 07 30 07 30 07 30 07 10 Start of Continuous Trading 08 00 08 00 08 00 07 10 End of Continuous Trading 17 00 15 30 15 20 15 45 End of Trade Reporting hours 17 30 17 30
44. ogy When the LSEDM trading platform automatically generates a Standard series with the same parameters of a previously created Tailor made Flex series with a standard expiration due to the generation of new expiries or new strikes due to movement of the underlying security the trading platform automatically converts the Tailor made Flex series to Standard series The new Standard series inherits the same ISIN as the original Tailor made Flex series The series will now become public and instrument data will be disseminated via HSVF as public Reference Data The Market Identifier Code MIC for LSEDM is XLOD 5 2 Central Counterparty Protection All Future and Option Contracts traded reported on LSEDM will have LCH Clearnet Limited acting as Central Counterparty At the point of trade registration trades are novated to LCH Clearnet Limited whereby LCH Clearnet Limited becomes the long position against the short counterparty to the trade and the short position against the long counterparty to the trade London Stock Exchange Group 5 3 Margining and Position Controls Initial margin is calculated and collected by LCH Clearnet Limited using London SPAN V 4 0 There are three major inputs to the London SPAN margin calculation Positions Prices and Parameters determined by LCH Clearnet and reviewed on a regular basis Any change to any one of these parameters will result in a change to the margin requirem
45. ponded LSEDM reserves the right to delete the order to resume continuous trading 6 1 2 Self Execution Prevention LSEDM trading platform provides Self Execution Prevention SEP with the purpose for market participants to avoid execution when an order crosses an opposite side order sent by the same trading firm on the Order book i e self matching SEP on SOLA is user configurable allowing for each market participant to specify which Trader IDs of its firm will or will not be able to interact and determine which order incoming or resting takes precedence SEP applies during continuous trading for Limit Market Top Stop loss and If Touched orders Basic functionality Market participants can define one or more Self Execution Prevention Groups SEP Group for their Trader IDs Members can set up their SEP Groups by contacting their Technical Account Manager at londontam lseg com e A SEP Group will contain one or more TraderIDs from a particular firm A SEP Group cannot include TraderlDs from multiple firms A TraderlD will be allowed to be associated only to one SEP Group o Orders submitted from TraderlDs within the same SEP Group will not be allowed to interact with each other 27 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 Example SEP Groups Firm X Trader ID 1 Trader ID 2 Trader ID 3 Trader ID 4 FIRM X sets up SEP mr SEP Group A Trader ID 1 Trader ID 2
46. ports manual process 30 6 4 Bulk Quoting Protection 30 T Tariff Models 32 5 d sry London FSTAS Stock Exchange Group LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 8 Contacts 33 9 Appendix A Order Types 34 9 1 Order types for electronic anonymous Order book trading 34 9 2 Block Trades 35 10 Appendix B Controls 36 10 1 Price and Quantity Controls 36 10 2 Index options Order book price control 38 10 3 Stock options Order book price control 39 11 Appendix C Futures Contracts Value Ranges 40 12 Appendix D Strategies 41 LSEDM suggested convention for pre defined strategies 41 13 Appendix E Bulk quoting protection Default thresholds and user configurable ranges 43 13 1 IOB options maximum volume protection only 43 13 2 Norwegian index options and futures 43 13 3 All other instruments 43 dy V OU ere London Stock Exchange Group LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 Document history Issue Date Description 5 5 14 September 2015 Introduction of BIST 30 index futures and options 5 4 1 July 2015 Update to Appendix B Price controls for Norwegian futures contracts 5 8 1 May 2015 Minor updates reflecting Rulebook changes effective 1 May 2015 5 2 13 April 2015 Change to Norwegian derivatives strike price generation table 5 1 30 March 2015 Updated Block trade parame
47. pply 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 Protections for Members using Bulk Quoting are described in Section 6 Risk Controls Before the Opening an Intervention Period allows bulk quote users 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 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 Orders which are not entered using Bulk quotes will not be cancelled LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 3 1 5 Quoting Obligations for Market Makers Firms acting as official Market Makers in a certain instrument class will have to meet a set of quoting obligations that are monitored in real time by LSEDM 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
48. price control for Standard Order book quantity control Block trade quantity Trade Reporting series control x from dynamic Min guantity for Allowable from Max single Max combo E Min quantity for Tailor vast Le ui control outside spread bid ask order order lias VUESTRO made Flex series FTSE 100 See below See below 250 lots 7 5 500 lots 2500 lots 250 lot 5 000 lots 1 lot FTSE RIOB See below See below 1 lot Within bid ask spread 5 000 lots 10 000 lots 1 lot 10 000 lots 1 lot OBX n a n a 1 lot Within bid ask spread 50 000 lots 50 000 lots 1 lot 50 000 lots 1 lot o 5 BIST 30 See below See below 150 lots 15 0 5 000 lots 5 000 lots 150 lots 5 000 lots 1 lot IOB DRs See below See below 1 lot Within bid ask spread 10 000 lots 10 000 lots 1 lot 30 000 lots 1 lot UK stocks n a n a 1 lot Within bid ask spread n a n a 1 lot 30 000 lots 1 lot pre da n a n a 1 lot Within bid ask spread 50 000 lots 50 000 lots 1 lot 50 000 lots 1 lot k ry London Ana TY Stock Exchange Group A LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 10 2 Index options Order book price control Trade vs Settlement Trade vs Last Strike Price Front month All subsequent expiries All Expiries 96 Increase Decrease 96 Increase Decrease 96 Increase Decrease Over 8th OTM 900 80 890 70 450 50 7th OTM 700 80 690 70 350 50 5th and 6th OTM 500 80 490 70 2
49. quantity constraints Iceberg disclosed quantity order Quantity Type Enters book as Limit order for only the Additional Quantity AQ visible and any balance is held in reserve The visible quantity is assigned time priority at 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 GTD Remains on the book and cancelled at the end of the day specified in the GTD field unless traded or deleted Good Till Cancelled GTC Remains on the book until expiration unless traded or deleted Immediate order FAK IOC Duration Type Immediately executed against any existing orders at the specified price of better up to the stated volume Residual volume is deleted While connected order Remains on the book until participant disconnection or front end failure unless traded or deleted LSEDM TRADING SERVICES DESCRIPTION 1 May 2015 9 2 Block Trades Order type Description Effect market data Matching requirements Matching facility to support reporting of executions negotiated ie M Eun Ar fae EM between different members for the purpose of trade publication 1
50. 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 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 together with the Settlement Amount due to the Member in respect thereof Where a Member Exercises an Option and the Exercise is accepted by LSEDM or the Member is Assigned Exchange shall 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 MD01 are accurate in all respects and notify the Exchange of any discrepancy no later than 08 00 London time on the Trading Day after the affected day of Delivery or Exercise London Stock Exchange Group LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 6 Risk Controls 6 1 Order book 6 1 1 Price controls Circuit breakers will activate and trigger a 60 secon
51. r book traded dy o lt b Saty London Ts Stock Exchange Group derivatives on LSEDM 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 in 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 LSEDM Document Library including the SOLA 7 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 LSEDM Business Development team for more information 4 8 Clearing API LSEDM 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 21 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 re P5 5 Clearing and Market Operations 5 1 Transaction reporting and Market Identifier Code MIC Every unique series on LSEDM 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 in the Section 2 1 1 symbol
52. reads or Roll strategy instruments Typically LSEDM will automatically generate a roll instrument between the expiring series and the following expiry month which are available for trading on the Order book For IOB Turkish and UK products buying a Calendar Spread would mean that market participant buys the near month future and sells the far month future For Oslo products the legs are reversed i e buying an Oslo Calendar Spread would mean that market participants sells the near month future and buys the far month future e Pre configured strategies for front end solutions Through LSEDM s SOLA APIs developers can create front end solutions with configured strategies using the FLEXCO creation New Strategy Instrument message For further details please see the LSEDM Technical Documentation SAIL Specification and FIX Specification For example BTS the LSEG front end solution allows market participants to select one of several pre configured 2 3 and 4 legged strategies as per the table in Appendix D through its Strategy Wizard BTS also allows users to build their own London Stock Exchange Group customised strategies through FLEXCO creation field For further information on strategies please refer to the specific product documentation on the LSEDM Document Library 3 2 Tailor made Flex series 3 2 4 Tailor made Flex series creation LSEDM allows for market participants to cre
53. rs can enter a Third Party trade with up to four legs e Reporting Brokers can independently et for each leg of the Third Party The financial instrument e g Option or Future including standard and or flex series o The price and size o The counterparty Reporting Broker Trader B Reporting Broker 1 EE Reporting Broker negotiates trade bilaterally Trader A Reporting Broker Trader C between Traders A B and C B API Front end LSEDM SOLA Thirdparty execution System validation volume Trade validation by participants ay System validation price Trade confirmation London Stock Exchange Group amp RTA Trader C aj Reporting Broker enters trade cross order details via through the Third Party Execution functionality in SOLA LSEDM SOLA Third party processes SOLA validates the order quantity control checks if any Trade details are sent to LSEDM members A B and C for confirmation Messages are sent to the Reporting Broker for each confirmation rejection Once all participants confirm SOLA performs price validation checks Trade is confirmed and sent to CCP messages are sent to Reporting Broker traders LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 o Buyor Sell Once the Third Party Order is entered by the Reporting Broker each counterparty will receive a notification message without disclosing the names of the other counterparties
54. s 1 lot 3 5 for trades L ete U 1 5 250 lots 7 5 500 lots 2500 lots 100 lots 5 000 lots 1 lot 3 5 for trades R o FTSE RIOB 1 5 1 lot Within bid ask spread 500 lots 2 500 lots 1 lot 5 000 lots 1 lot 3 5 for trades OBX 10 for orders n a 1 lot Within bid ask spread 50 000 lots 50 000 lots 1 lot 50 000 lots 1 lot OBOSX 10 for orders n a 1 lot Within bid ask spread 50 000 lots 50 000 lots 1 lot 50 000 lots 1 lot Futures E o BIST 30 1 596 150 lots 5 0 5 000 lots 5 000 lots 150 lots 5 000 lots 1 lot 3 5 for trades eee 50 for orders n a 1 lot Within bid ask spread 50 000 lots 50 000 lots 1 lot 50 000 lots 1 lot 20 0 f IOB DRs orders 3 5 1 lot Within bid ask spread 10 000 lots 10 000 lots 1 lot 60 000 lots 1 lot 7 5 for trades IOB DR 25 0 for orders P dividends ro 5 0 1 lot Within bid ask spread 10 000 lots 10 000 lots 1 lot 100 000 lots 1 lot Block trades in Tailor made Flex series electronically submitted to LSEDM are subject to a post trade theoretical price validation check by LSEDM Market Supervision 5 For Trade Reporting of Standard series the Block Trade price and quantity controls apply k ry London Stock Exchange Group M LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 Product Order book price control Block Trade
55. strike sell Call at P do Short Call any highest strike E C Ks T K lt K2 lt Ks 4 legged strategies Sell C T4 K 22 Straddle Calendar Selling a near term straddle while buying a longer Sell P T4 Spread term straddle at same strike prices Buy C T2 K Buy P 2 T4 lt 2 Sell P T Buy a put and a call at a middle strike sell a put at Buy P T K 23 Iron Butterfly a lower strike and a call at a higher strike all with Buy C T same expiry date and with strikes equidistant En C z Ks Ki lt K lt Ka INS M1 2 Buy C T K Sell two calls at middle equidistant strikes buy zm C 24 Call Condor two calls each at lower and higher strike all with Sell C T e same expiry date and with strikes equidistant Buy C En 5 184 M 2 9 4 Buy P T K Sell two puts at middle equidistant strikes buy two cuf a P 25 Put Condor puts each at lower and higher strike all with same Sell P T Ks expiry date and with strikes equidistant Buy P a Ka 184 PN 2 3 4 Buy C T K1 26 Box Buy call and sell put at same strike buy put and Sell P T K1 sell call at higher strike all with same expiry date Sell C K Buy P T Ko Ki Ko Sell C Ti Ki 27 Diagonal Straddle Sell near term straddle and buy long term straddle Sell P Ki Calendar Spread at different strike prices Buy C To Ke Buy P 2 Ko Ti lt 2 Buy Ki T Buy Put 1 Sell Put 2 Sell Call 1 and B
56. ters for UK Stock Options in Appendix B Controls 5 0 6 March 2015 Updated Trading Services Description for the upgrade of the LSEDM trading platform to SOLA 7 0 Added sections for Strategies Tailor made Flex series creation and promotion to Standard series Block Trading Bundled Orders Multiple Block Trades Third Party Order execution Block Trading for Reporting Brokers and Self Execution Prevention Revised the ordering of the General and Trading Functionality Sections 4 6 23 December 2014 Update to the Bulk Quoting Protection functionality 4 5 1 December 2014 Introduction of cash settled instruments 4 4 17 November 2014 Amendments to Risk Controls to reflect the new circuit breaker mechanism and parameters 4 3 20 October 2014 Introduction of Dividend Neutral Stock instruments 4 2 7 July 2014 Change of close of trade reporting session for Norwegian Derivatives to 16 00 4 1 25 November 2013 Update to Series Generation 4 0 30 September 2013 Document creation under London Stock Exchange Derivatives Markets LSEDM 45 E D London Stock Exchange Group LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 1 Introduction London Stock Exchange Derivatives Market LSEDM offers trading of single stock index and dividend derivatives based on United Kingdom International Order Book Norwegian and Turkish underlyings LSEDM s trading platform is hosted in the data centres of the London
57. uy Call 2 all Sell P Ko T 28 Iron Condor in ascending order of strike price all at the same Sell C Ks T T Dau Buy C Ka T Ki lt Ke Ka lt Ka a London Stock Exchange Group 42 LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 13 Appendix E Bulk quoting protection Default thresholds and user configurable ranges 13 1 IOB options maximum volume protection only For the IOB options in the list the default thresholds ranges for the maximum volume protection counter are below Note the default values are the same as the minimum market making size obligations m r A D EE PE P OO Teal Default maximum Option volume threshold Minimum configuration Maximum configuration Gazprom 1 000 Lukoil 150 Norilsk Nickel 500 Novatek 50 Rosneft 1 000 Equal to minimum market NA Sberbank 650 making obligation Surgutneftegaz 800 Uralkali 100 VTB Bank 2 500 RIOB Index 30 For all other protection counters the values are the same as for all instruments other than Norwegian products 13 2 Norwegian index options and futures For all Norwegian products the following default thresholds ranges are used Protection type Default threshold Minimum configuration Maximum configuration Time Interval 60 seconds NA 1 hour Trade count 5 3 NA of Min Lot siz
58. via both Strategy v s Strategy and Strategy v s Legs functionality Where a Strategy Instrument can be executed against another Strategy Instrument the trade will be executed on the terms of the matching Strategy Instrument provided that it is not possible to execute the Strategy against Legs on the Order book on better terms A strategy can have a maximum of four legs Each leg of the strategy must a contain instruments with the same contract size and b have legs that appear in natural number ratios i e as multiples of the smallest leg size in increasing order Market participants will need to enter the net price of the strategy i e the sum of the price of each leg SOLA automatically validates the price and quantity before allowing completion of the execution Strategy instruments interact with circuit breakers Trades executed in Strategy If market participants wish to enter a strategy with derivatives based on different underlyings contract sizes they may use the Bundled Order functionality please refer to para 3 3 2 of this document LSEDM TRADING SERVICES DESCRIPTION 14 September 2015 instruments contribute to price and quantity updates to the Market Data Feed HSVF A strategy may be placed as either as a Limit Order or a Market Order See Appendix A for more details e Automatically generated strategies For Order book traded Index Futures only LSEDM automatically lists Calendar Sp
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