Service Manual for Trading on MOT and ExtraMOT
Contents
1. een einen tente PA RATS 42 6 1 Stop and Stop Limit Orders 42 6 2 Iceberg Orders eitis inertie VERE PREIS qw 45 6 2 1 Modification of an Iceberg Order Stop Limit Orders 46 6 3 Cross Order and Block Trade Facility 47 6 3 1 Cross Order behavior 47 6 3 2 Block Trade Facility behavior 48 6 4 Order management 48 6 4 1 Order modification 48 6 4 2 Exchange deletion of orders 49 6 4 3 Specifying CIOrdID 49 J Order Book Execution 2 u ko RAE 39ERRU PERLE AN tEn REEERE AE EATE 50 1 1 Execution Priority iccirco se EM eA Y ARE ARENA TEE 50 52 Exec tionm B vivi ra eaa n pct ka o UE OR ren nues 50 8 Closing DNS REFERRE EET NER ERROREM FREE XV 51 9 Additional SerVices u rene inner PER MD 51 941 ROD Copy sessir aaa aqya aaa Net 51 9 2 Own Order Trade Book Download 52 Disclaimer The London Stock Exchange Group has taken reasonable efforts to ensure that the information contained in this publication is correct at the time of going to press but s2. RUF RR E Ra Vo eR CRY RP 22 3 5 3 The continuous trading phases 23 3 6 Trading price monitoring and volatility auction 23 mod Price Bands e veto ERES ERU n kus een 24 3 62 Price Monitoring Extensions 25 do BIGAKGIS rise ori E EN X RR Ep XR ERE 25 4 sor Configuration ba petalis 26 4 1 Participant SITUCIUFG iiie oye 26 4 2 User configuration levels 26 LEE T bua awa kasa 28 5 Orders and Quol es u samedis 29 BI Order INDES uyum ur OU VU NAS 29 5d Orderentry fields 30 5 1 2 TWIG In ERA ERERRASKENECQEPAR EAS A rieiss keris 33 5 1 3 Order Type Time In Force combinations 35 5 1 4 Order Type Time In Force Trading Session combinations 36 5 15 Order sol B veo a vao IRR IRE ERN ESAE 37 5 2 WES RN ieni Uc 38 52 1 GO entry EI S isses uU PORA shaq 38 5 2 2 QonienboF3guolesu sedo cora uu RD aie ve 39 D Jross Order TUBOS sistema 39 5 3 1 Cross Order entry fields 40 54 Price Format Code tick size 41 Bo Order book Priory scudo are ein VOD RN 41 D Order
3. 3 6 3 Circuit Breakers Circuit breakers will be evaluated against both static and dynamic reference prices Incoming order that triggers circuit breaker tolerance limits will not be expired and added to the order book as the instrument moves in to an AESP Re Opening Auction It should also be noted that Fill or Kill FOK orders do not lead to the execution of trades if the volatility auction phase that they would trigger as a consequence of a permitted maximum or minimum price level being reached intervenes before they are fully executed Execute or Eliminate ENE orders that activate a volatility auction phase by attempting to go above or below the limits are executed in part up to the minimum or maximum price permitted by the parameters established Any unfilled quantity is eliminated before the passage to the volatility auction phase If a circuit breaker is triggered in continuous trading instrument will move to a AESP Re Opening Auction Call session where trader groups of member firms can enter amend and cancel orders quotes also when moving to Re Opening Auction Call all existing Iceberg Orders will be expired and no new Iceberg Orders will be accepted After the defined time duration the AESP Re Opening Auction will be performed and the instrument will be moved back to Continuous Trading session 25 4 User Configuration 4 1 Participant Structure Millenium Exchange provides an optional hierarchical struc
4. For each security orders are executed when the price of an incoming sell order is equal to or lower than the highest price of the buy orders on the book or the price of an incoming buy order is equal to or higher than the lowest price of the existing sell orders The sequence in which orders are executed is based on the price and then entry time priority rule The price at which orders are executed is determined by the prices of the existing orders since they have a higher time priority and is limited by the price of the order entered More specifically for each security the system automatically matches orders executes the related trades and then generates and automatically sends the corresponding trade confirmations Existing orders that are modified so as to improve their price priority are reassessed by the system against the other orders on the book and may give rise to trade execution The continuous trading phase may be interrupted with the simultaneous activation of the Re Opening auction phase if trades show excessive price variations 3 6 Trading price monitoring and volatility auction Order books can be subject to rapid price movements Millennium Exchange operates price monitoring functionality that tracks the prices at which automatic executions are due to occur and will halt continuous trading delay an auction execution if certain price movement tolerances would be breached The presence of price monitoring
5. 3120 Order C 22 50 x 13 000 5720 3 Iceberg Orders Orders A B C ALL Orders are at the same Price Point All Iceberg Order Peaks execute Total Iceberg Order Volume 50 000 Incoming Order Size 30 000 aggresses against this Price Point Aggressing Order Remaining aggressing volume 13 000 which is allocated to the Iceberg Order Volume If there are any existing Iceberg orders at the beginning of an auction call these will be expired without considering them for the auction call Also if an Iceberg order is submitted during an auction call it will be rejected by the system 6 2 1 Modification of an Iceberg Order Stop Limit Orders When modifying an Iceberg order a participant must submit both a value for Order quantity and Disclosed quantity If the latter is set to a quantity greater than the actual visible peak of that order on receipt by the trading system the order will lose time priority 46 6 3 Cross Order and Block Trade Facility Participants can use the Cross Order functionality to enter an already agreed identified trade to the trading system The Cross Order functionality is of two types Cross Orders and Block Trade Facility BTF If the trade is agreed or identified within a single member firm it will be considered as an Internal Cross BTF whereas if the trade is agreed or identified by two different member firms it will be referred to as a Committed Cross BTF If case of Cross O
6. English Version http www borsaitaliana it borsaitaliana regolamenti regolamenti regolamento borsa istruzionialregolamento en htm Changes to the Rules of Borsa Italiana and other key regulatory announcements are made by Stock Exchange Notice Stock Exchange Notices To sign up to E mail notification of future Borsa Italiana Notices and view the library of previous ones please see https www borsaitaliana it borsa user registration html Trading Services webpage More details of the Exchange s Trading Systems including where this document and the Millennium Exchange Business Parameters for BIT document will be found following go live can be seen at Italian Version http www borsaitaliana it borsaitaliana intermediari gestione mercati migrazionemillenniumit mit millenniumitmigration htm English Version http www borsaitaliana it borsaitaliana intermediari gestione mercati migrazionemillenniumit mit millenniumitmigration en htm 1 3 Document history This document has been through the follow iterations csv ate Description 1 0 June 2012 First issue of this document published via the Borsa 5 website and distributed to customers 1 1 June 2012 Section 1 5 updated 1 2 June 2012 ExtraMOT related information specified 1 3 June 2012 Section 6 3 updated In subsequent issues where amendments have been made to the previous version these changes will be identified using a series
7. by the matching of compatible orders of opposite sign entered during the auction call periods The trades execution order is based on the price priority rule and if the price is the same in rising order of entry time so called price then time priority 3 5 2 Auction extensions The reiteration of the auction phases subsequent to a failure to validate the indicative price follows a different procedure for the opening auction and the closing auction 4at the end of the opening auction the reiteration of the auction phases subsequent to a failure to validate the indicative price is carried out an indefinite number of times i e throughout the period in which the indicative price continues not to be validated during the trading session each of this sessions will last 10 minutes jin the event of a failure to validate the closing auction indicative price instead there is only one further auction phase this further session will last 5 minutes The indicative auction price is updated and disseminated in real time whenever it changes as a consequence of orders being entered modified or deleted 22 3 5 3 The continuous trading phases During the continuous trading phase participants may enter modify and delete orders match orders entered by other participants use the information functions In this phase each incoming order is immediately assessed against the existing orders to verify whether execution can occur
8. injected into the order book A remaining volume deleted after uncrossing and they will not be executed during Continuous Trading Order rejected if an instrument does not have a scheduled Closing Auction Table 6 Millennium Exchange Time In Force 5 1 3 Order Type Time In Force combinations Table below specifies which combinations of Order Type and Time In Force are valid on Millennium Exchange Order Type Stop Stop Limit Limit Market MTL Iceberg lt lt lt lt lt lt lt lt lt lt lt lt lt lt lt lt lt lt lt lt lt lt lt lt z z lt lt lt z z z lt lt lt lt lt lt z z z lt lt lt lt lt lt lt lt lt lt lt lt Table 7 Order Time In Force 20 Participants should note that this parameter is admitted only during the auction call a Participants should note that this parameter is admitted only during the auction call 35 5 1 4 Order Type Time In Force Trading Session combinations Table below specifies which combinations of Order Type Time In Force and Trading Sessions are valid on Millennium Exchange Trading Sessions Opening Resume Closing Start of Reopening Continuous Auction Auction Trading Auction Call Trading N Y N N N N N N Y N N N N N Y Y
9. Trading Service is a number of trading segments that share the same market model The Millennium Exchange Business Parameters for BIT Document maps these exact groupings and allows us to lay down criteria that operate at each specific grouping level The sector identifies a set of securities within a segment characterised by common trading mechanisms e g shares included in the FTSE MIB index or STAR shares The technical definition of market segment and sector may differ from the corresponding regulatory criterion Table 1 shows the structure envisaged for the Italian MOT ExtraMOT markets MAR SEGME SEGMENT DESCRIPTION SECTO SECTOR KET NT R DESCRIPTION CODE CODE MOT DMO ITALIAN GOVERNMENT BONDS OTHER DEBT ICC ITALIAN SECURITIES CORPORATE B CLEAN ICD ITALIAN CORPORATE B DIRTY IGC ITALIAN GOVERNMENT B CLEAN IGD ITALIAN GOVERNMENT B DIRTY IGQ ITALIAN GOVERNMENT QUOTE EMO EUROMOT FOREIGN GOVERNMENT BONDS ESC EUROMOT SUPRANATIONALS AND OTHER DEBT STRUCT B CLEAN SECURITIES door STRUCT B DIRTY EVC EUROMOT VANILLA B CLEAN EVD EUROMOT VANILLA B DIRTY USC UNREGULATED STRUCT B CLEAN USD UNREGULATED STRUCT B DIRTY UVC UNREGULATED VANILLA B ae umo UNREGUATED STRUCTURED BONDS T EUROBONDS AND BRANDED BONDS UVD Ne UDC UNREGULATED DOMESTIC B CLEAN UDD UNREGULATED DOMESTIC B DIRT
10. Y Y N N N Y Y Y Y N N N b eid N N N N N N Y N N N Y Y Y Y N N N Y Y Y Y N N N Y Y Y Y N N Market N Y Y Y Y N N Limit N Y Y Y Y N N 2 Stop E Stop N Yt Y Y Y N N Limit cme N N Y N N N N METTE N Y Y Y Y N N Quote N Y Y Y Y N N MTL N Y N Y Y N N Parked or Injected on the Order Book Parked Valid in case of opening auction call not in reopening Table 8 Order Time In Force Trading Sessions It should be noted that clients can inject Market Orders during Auction Calls with GTD GTC TIF in order to expire the market orders later next days but then at the end of the Auction any kind of Auction Opening AESP Re Opening Closing the Market Orders are expired by the system For example if injected during a Closing Auction call with TIF GTD to expire the next day the market order is expired at the end of the Closing Auction 36 5 1 5 Order Source The market participant when entering the order should indicate in the apposite field an identification code that differs depending on the order source The classification is based on the type of order source in the interest of which the order is entered in the market and prescinds from the technological solutions adopted for the transmission of the orders therefore regardless of the utilization of on line trading systems rather than manual entering of orders and of the utilization or not of computer based Systems for the automatic generation
11. and SFTP Furthermore Market Data will be available via ITCH Market Data Service e DDM Plus MDF Market Data Service 2 2 Message workflow Participants must use the Trading Interface FIX or native to send order cross order and quote messages to Millennium Exchange via configured Users In response Millennium Exchange will send Execution Reports over the interface used giving the status of the order executable quote Should a trade occur then the order quote status will be immediately updated by an Execution Report sent from the Trading Interface over the participant connection that sent in the order quote In addition to order status the Execution report will summarise the details of the trade and provide among the others the following information Side Trade Quantity Trade Price Clearing House defined as Counterparty or Counterparty to the Trade Trade ID Order ID Transaction Time In addition an enriched Trade Capture Report will be sent via the Post Trade Interface This will include the trade details specified in the Execution Report as well as the following information ISIN e Matching Type Continuous Trading or Auction Clearing Type is the trade cleared or not This means that participants will receive two messages notifying them of the trade They will be free to choose which message to act on before submitting the next message Participants will be able to link the Execution Report
12. and Trade Capture Report using either the or ClOrdID tags Note for Executable Quotes two Execution Reports will be sent one for each side of the Quote 12 Participants should note In normal circumstances the Trade Capture Report will be delivered after the Execution Report Execution Reports will be sent to the ComplD that sent the order or quote Customers have the option to cancel at firm level so a master ComplD could cancel all orders entered for the firm by all other ComplDs Orders quotes sent via one cannot be modified or cancelled using another with the exception of master ComplD cancellations A new cancel on disconnect facility has been provided as a means of managing orders if a session is lost See MIT201 BIT Guide to New Trading System for more details A Post Trade Drop Copy User can be configured to receive all Trade Capture Reports Execution Reports for the Firm or selected ComplD UserlD Customers are recommended to have a separate connection to the Post Trade Gateway for Off Book Trade Reporting Real Time Trade Capture Reports and the OTBD service Where a customer is using Copy To functionality a separate connection to the Drop Copy Gateway will be required over and above that used to support the OOBD service 2 3 Time synchronisation As per the FIX standard all times on FIX trading messages must be specified in UTC Customers are r
13. be rejected 13 See Millennium Exchange Business Parameters for minimum size 14 See Millennium Exchange Business Parameters for minimum size 33 e During auction call sessions any order including market orders with IOC and FOK TIF will be rejected The following table summaries all the Millennium Exchange Time In Forces Time in Behaviour Force DAY Orders with the DAY time in force will be expired at the end of the trading on the day they are submitted Orders with the GTC time in force will remain in system until cancelled by the trading party or a market operations user Deleted at the end of trading on the day specified in the order If the GTD specified day is a non business day then the order will expire before start of trading on the next business day Orders with the GTT time in force will expire at the time specified in the order or at the end of the trading day These orders must contain a valid expiry time that can be specified down to seconds 17 orders with an expiry time during any auction call phase will be deleted until after uncrossing has completed and are therefore eligible to participate in that uncrossing Any GTT orders remaining will be deleted at the end of trading day Executed on entry and any remaining unexecuted volume deleted FOK Executed in full on entry or immediately expired An FOK order may not be partially filled OP
14. each peak in turn following time priority If necessary once all peak volume has been exhausted then each peak will be refreshed and cycling continues until all incoming volume or all volume at that price level is exhausted However equivalent executions will be handled differently on Millennium Exchange e f the incoming order is sufficiently large then each peak will be executed against in time priority as today However once peak volume of all iceberg orders at a price level has been fully executed then any remaining incoming volume is allocated to the hidden volume of each iceberg order pro rated on the remaining size of each iceberg order e If the total volume of an iceberg order is partially filled then participants will receive two executions one for the visible and one for the hidden volume However if the total volume of the iceberg is fully executed against then participants will receive a single execution report that combines both visible and hidden volumes This new approach is illustrated below Order sizes are for illustrative reasons only and do not reflect any actual configuration or market model 45 Figure 1 Iceberg Order Execution 30 000 A 16 000 7 000 Visible Iceberg Peak B 12 000 4 000 Hidden Volume Cc 22 000 6 000 Order A 7 000 Order B 4000 Order C 6000 as follows Order A 16 50 x 13 000 4160 Order B 12 50 x 13 000
15. functionality in Millennium Exchange does not remove the requirement for participants systems to have adequate safeguards in place to avoid erroneous order inputs 23 3 6 1 Price Bands Price bands are defined based on an upper and lower demarcation based on the Static Reference Price and if it does not exist the price bands will not be computed Upper Price Static Reference Price Lower Price The static reference price is the most recent auction price from the current day Where the most recent auction did not generate an execution it will instead be the first automated trade that followed the previous auction period Against the Static Reference Price the offset will be defined as a percentage Price bands validation is applied during all the trading sessions at the below Scenarios e Entry of a new order e Amendment to an existing order e An injection of an already parked order to the order book for example after a parked Stop Stop Limit order is injected Price bands do not apply to Market or Stop orders They are only applied to Limit Stop Limit and Market to Limit when injected orders as well as to Quotes Limit orders and quotes will be rejected due to the following conditions e Buy order or an amendment to a buy order whose prices are greater than the Upper Price Band or less than the Lower Price Band e Sell order or an amendment to a sell order whose prices are greater than the Upper Pr
16. having a price less than or equal to the price being considered Step 3 If the Order Imbalance is minimized at multiple prices then the concept of Market Pressure will be used Market Pressure will be calculated as follows if all the prices at which the Order Imbalance is minimized have a buy imbalance then the highest price will be the auction price An Order Imbalance on the buy side means there will be a remaining quantity in the buy side this remaining buy pressure is likely to cause the price to rise after the auction hence the highest price is taken if all the price points at which the Order Imbalance is minimized has a sell imbalance then the lowest price will be the auction price an Order Imbalance on the sell side means there will be a remaining quantity in the sell side this remaining sell pressure is likely to cause the price to fall after the auction hence the lowest price is taken if the prices at which the Order Imbalance is minimized have buy and sell imbalances then the highest price out of the prices with buy imbalances and lowest price out of the prices with sell imbalances will be chosen Step 4 If step 3 resulted in two prices then the auction price is determined as below if the STATIC Reference Price is equal or greater than the highest price then the highest price is chosen as the auction price if the STATIC Reference Price is equal or less than the lowest price then the lowest price is chosen as the auct
17. identifier of the security Whether the order is to buy or sell New Order type introduced with Millennium Trading System 30 Type the type of the order Market Market to limit Limit Stop Stop limit Iceberg Time Expiry Date Order Quantity Disclosed Quantity Price Stop Price time in force Required if time in force GTD Yes No No No Time in No The duration the order is valid for DAY force If the time in force is not stated the system assumes FOK it to be a DAY order OPG GTT GTC Even if its not a TIF parameter in this section 5 ATC highlighted that on MIT Trading it s possible to setthe _ GFA parameter Auto Cancel Orders on Disconnect to specify if the order should be cancelled in case of disconnection Expiry Required if The time at which an order with GTT order should expire The date on which an order with GTD order should expire GTD will not be supported for ExtraMOT at the start of trading on Millennium Exchange any change will be announced in due course The quantity being bought or sold This should be a whole number that is greater than zero The maximum quantity if any that may be displayed This should be a whole number For Iceberg Orders this will be greater than zero but less than the order quantity For Limit Orders this will
18. is a remainder the incoming order will either be added to the order book or will be expired based on the order type or the time in force The steps outlined above will continue until the incoming order is fully filled or the passive orders at the price point are fully filled 8 Closing prices MIT Trading Systems can calculate the closing price according to a configured set of rules as described below MOT Market 1 The weighted average price of the trades executed in the last n n configurable will be 20 at the start of trading on Millennium Exchange minutes of the Continuous Trading session 2 If no trades were executed during the interval of Continuous Trading referred to above the price of the last trade executed during the trading day 3 If no trades were executed the closing price of the previous trading day 9 Additional Services The following additional services not core to any specific trading functionality will be supported 9 1 Drop Copy Millennium Exchange will provide the Copy To functionality by which a copy of Execution Reports generated by one trading user can be sent to a separate drop copy user However since only Execution Reports will be sent by Drop Copy it should be noted that quotes are not supported This functionality may be used by trading parties within a firm for supervisory purposes and a trading party may request a copy of all the order related execution report messages genera
19. of orders The admitted codes are the following Code 1 tlorizod Di Member laetituti Cl lnterconnected Dai Botai Trading It should be highlighted that institutional clients mean the subjects referred to in Annex Il Part 1 of Directive 2004 39 EC MiFID retail clients mean the subjects who are not institutional clients orders routers the subjects which are authorised for the reception and transmission of the orders such definition includes also chains of intermediaries Order source Market participant that deals on own account Institutional client of the market participant client that itself of an orders router different from the market participant Institutional client that avails itself of an orders router different from the market participant Retail client of the market participant Retail avails 37 Description The order source identifies all the orders entered in the market for which the market participant trades against proprietary capital The order source identifies all the orders entered in the market on behalf of the institutional clients of the market participant The order source identifies all the orders entered in the market on behalf of the retail clients of the orders router who accesses to the market through the market participant The order source identifies all the orders entered in the market on behalf of the institutional clients of the orders router who acc
20. of trading instruments The 4 way key is no longer supported and an instrument must now be identified on trading messages using a unique InstrumentID The InstrumentID will remain constant for the lifetime of the instrument even if data pertaining to that instrument changes However participants should note that in some cases i e corporate action an instrument will continue to be deleted and re added should the ISIN be changed The Exchange will provide InstrumentlDs via the Reference Data Service and over the Market Data Feeds Even though the same stock trades in MTA After Hours Trading and PTTS Service it will be managed as different instruments for MTA After Hours Trading and PTTS Service with different instruments IDs same Symbol for MTA and TAH but different for PTTS but with same ISIN code Full details are specified in the Technical Details documents 3 4 Operation of the Market The base microstructural models for MOT EuroMOT and MOT consist of auction phases and continuous trading phases The models above are applied to the individual segments following a succession of trading sessions as outlined in the Millenium Exchange Business Parameters document 3 5 Trading Sessions Although there will continue to be a concept of Period or Sessions on Millennium Exchange the general approach to trading sessions will be simplified Each instrument will generally follow a simple trading day consisting of a
21. order book until the stop price is reached Once elected a Stop Limit Order will be treated similar to a regular new Limit Order The trigger for electing Stop Limit Orders is based on the Last traded price Stop Limit Orders will not be enabled for MOT ExtraMOT at the start of trading on Millennium Exchange any change will be announced in due course Stop Orders A Stop Order is a Market Order that will remain unelected will not be entered into order book until the stop price is reached Once elected it will be treated similar to a regular new Market Order The trigger for electing Stop Orders is based on the Last traded price Stop Orders will not be available for MOT ExtraMOT at the start of trading on Millennium Exchange any change will be announced in due course Iceberg Orders An iceberg order publicly displays only a portion of its total volume that is available for execution The maximum displayed amount known as the peak size and the total size of the order can be specified by the participant and must be above specified minimums Named Orders A named order is a non anonymous limit order available on certain Trading Services only These orders can be entered by Specialists Table 2 Order Types 5 1 1 Order entry fields The following table shows which fields are mandatory and which are optional for a Millennium Exchange Order Instrument Required Description Possible Values The unique
22. party can use within a trading day any request exceeding this amount will be rejected In response to a request sent via a Mass Order Status Request message sent by a participant the gateway will return an Execution Report for each active order Also client may select to download the current status of each active order for a specified user for a specified segment for a specific instrument Full details of the Own Order Book Download service are given in MIT205 BIT Drop Copy Gateway Specification Participants can request automatic off book cancelled or all trades 52 London Stock Exchange
23. quantity of each order based on the price time priority If the incoming order quantity or the remainder is equal to or greater than the cumulative quantity including hidden quantity of Iceberg Orders of Fully Visible and Iceberg Orders at a contra side price point but less than the cumulative total quantity then the system first executes against the total quantity of each Fully Visible and Iceberg Order based on the price time priority of those orders In these two cases when executing against an Iceberg Order a single execution will be generated against both the visible quantity and the hidden quantity If the incoming order quantity or the remainder is less than the cumulative quantity of Fully Visible and Iceberg Orders at a contra side price point but it is equal to or greater than the cumulative visible quantity of the price point the system first executes the visible quantity based on the price visibility time priority After the execution of the visible quantity the remainder of the incoming order is pro rated among the hidden quantities of the Iceberg Orders based on the ratio of hidden quantities of the Iceberg Orders Visible quantity of an Iceberg Order is replenished upon executing the full quantity of an incoming order When a incoming order executes against a passive order the trade price will be the price of the passive order 50 If after executing against all appropriately priced orders in the order book there
24. segment level or at the level of tradable instrument e g the ability to submit orders or quotes as a specialist for a given security The roles associated with the level of tradable instrument are disclosed to the market In this respect although roles are defined at the level of Trader Group the information disclosed to the market will regard the intermediary s entire Member ID Accordingly if a Member ID is subdivided into many Trader Groups the information disclosed to the market will take account of all the roles of the Trader Groups belonging to that Member ID 5 Orders and Quotes The majority of trading functionality related to orders and quotes offered by TradElect will continue to be supported by Millennium Exchange Today the behaviour of an order or quote is defined by a combination of its Order Type Market Mechanism on TradElect and its time in force This underlying concept will continue to be supported on Millennium Exchange but with some differences described in the following section It should be noted that the Order Types are not explicitly stated on FIX and Native messages but are defined via a combination of tags Please see the Technical Details documents for further information 5 1 Order types The existing TradElect Order Types will continue to be supported on Millennium Exchange and it will be possible to enter further new order types Table below summarises the Order Types supported on Millennium Ex
25. G time in force is used to direct orders to the Opening Auction OPG orders participate in the Opening Auction The remainder of these orders will expire once the Opening Auction is OPG completed They will also expire if no uncrossing takes place during the Opening Auction Order rejected if an instrument does not have a scheduled Opening Auction GFA time in force is used to direct orders to the next auction GFA GFA orders submitted during the Continuous Trading session will be parked until the next auction call period starts at which point they will be injected into the order book 15 Specified as GFD on TradElect 16 Although GTC is technically supported all current Exchange market models specify a maximum duration for persistent orders of 30 days therefore GTC will not be permitted and the GTD Time In Force should be used GTC will be used in case of Take Over Bid OPA 17 GTT must be specified in UTC 18 Immediate or Cancel equivalent to Execute and Eliminate on TradElect 19 Specified as ATO on TradElect 34 Any remaining volume deleted after uncrossing and they will not be executed during Continuous Trading If no auctions in a trading day then deleted after end of trading ATC ATC time in force is used to direct orders to the Closing auction ATC orders submitted during the Continuous Trading session will be parked until the Closing Auction Call period starts at which point they will be
26. Y Table 1 Market structure for MOT ExtraMOT For updates please refer to MIT305 FTP Services Reference Data Specification N B The configuration and the acronyms used in the table for the market models segments and sectors above are indicative and may undergo changes which will be announced subsequently 3 2 Technical operation parameters The sectorisation documented above has been maintained to ease transition to Millennium Exchange and to maintain categorisations from an Exchange Rules and wider regulatory perspective that are not specifically relevant to the trading system Trading segments and trading sectors are not key fields for Millennium Exchange trading message entry They will however continue to be defined and provided via the Reference Data Service In Millennium Exchange instruments are technically structured as follows Each instrument will be assigned to a Market and Segment e Instruments are assigned to an Order Book with a pre determined Trading Cycle e Instruments will have specified instrument Trading and Post Trade parameters assigned that dictate how the instrument is traded Trading parameter consists of session parameters and a price tick table e A Post Trade parameter consists of trade types and delay model PTTS 17 Figure 1 Technical structure of an instrument on Millennium Exchange 3 3 Symbology A new more efficient approach will be taken to the identification
27. be the same as Order Quantity The maximum minimum price a buy sell order may be executed at This value should be greater than zero and a multiple of the instrument s Tick This field is required if the order is a Limit or a Stop Limit Order The price at which the order may be elected This value is required if the order is a stop or stop Limit Order This value should be greater than zero and a multiple of the instrument s Tick Capacity Yes GTT must be specified in UTC Although GTC is technically supported all current Exchange market models specify a maximum duration for persistent orders of 30 days therefore GTC will not be permitted and the GTD Time In Force should be used GTC is allowed in case of Take Over Bid OPA 10 Denotes if the order is entered as an Agency on behalf of a client Principal own account 31 Agency Principal Trading Party Client No Reference The trading party of the order is identified by this field For Exchange users this will be the trader group This will be the client reference of the order Clearing Yes Account Pre Trade Anonymity No Order Source Yes No Table 3 Order entry fields Identifies the clearing account for the order Whether the order is anonymous or named Defines the source of the incoming order Specifies if the order has to be ca
28. change Limit Order A limit order is an anonymous priced order that is fully displayed when persistent in an order book and may execute at prices equal to or better than its limit price Limit orders never have price priority over market orders Market Order A market order is un priced and therefore not price forming but has price priority over all priced orders Market orders cannot persist on the order book during continuous trading therefore only market orders with non persistent time in force can be entered during this period Persistent market orders can be entered during auctions and will display on the order book during an auction Any that remain unexecuted following the completion of the auction will be automatically deleted 29 Market to Limit A order that will execute at the best available prices until it is filled Any remainder will be converted to a limit order at the last traded price A Market to Limit Order will aggress the system as a Market Order during an Auction Call and participate in the auction At the end of the uncrossing if there is left over quantity with the order it will be converted to a Limit Order at the auction price If the uncrossing did not happen then the Market to Limit Order will still be converted to a Limit Order at the Static Reference Price of the instrument Stop Limit Orders A Stop Limit Order is a Limit Order that will remain unelected will not be entered into
29. d into the period sequences shown below Type of auction Sequence of periods Opening on Opening auction call gt Opening auction Re Opening auction Re Opening auction call gt Re Opening auction Figure 2 Type of auction and sequence of periods Auctions themselves are not sessions but time based event triggers The maximum random time to perform the auction from this time will be defined in the trading parameter MAXIMUM RANDOM DURATION 60 seconds In the auction call periods participants may enter modify and delete their orders which contribute to the determination of the indicative auction price according to the rules set out below 20 Determination of the indicative auction price PTA The execution price generated for an auction will be as follows Step 1 The auction price will be the price at which the largest number of instruments can be executed l e The price at which volume is maximized Step 2 If the volume is maximized at multiple prices then the auction price will be the price at which the Order Imbalance is minimized The Order Imbalance at a particular price will be the difference between the following two quantities for the buy side the aggregate quantity of all the Market Orders as together with all the Limit Orders having a price greater than or equal to the price being considered for the sell side the aggregate quantity of all the Market Orders as together with all the Limit Orders
30. ders can be elected based on that trade hence the circuit breaker validations will be applied based on the Cross Order trade price for the next trade but Cross Orders trades will not be considered for any closing price calculation either as the final automatic trade or as part of the VWAP Cross Order trades will update the statistics such as High Price Low Price Volume and Turnover for on book trades 47 6 3 2 Block Trade Facility behavior BTF Orders are allowed only during the Continuous Trading session The last traded price is not updated by a trade resulting from BTF Orders means Stop or Stop Limit Orders will not be elected based on a BTF Order trade hence the circuit breaker validations will not be applied based on a BTF trade price for the next trade Also BTF trades will not be considered for any closing price calculation either as the final automatic trade or as part of the VWAP BTF Order trades will update the statistics such as Volume and Turnover for on book trades 6 4 Order management 6 4 1 Order modification The following aspects of orders present in Millennium Exchange may be updated by participants Order quantity Order price where applicable date and time validity where applicable Client reference Modifications of an order may result in a change in its price and or time priority and public order code as set out in the table below Modified field Modification Impact on p
31. e of further classification segmentation within their business for example a firm with different clearing arrangements can segment its business accordingly A User represents a generic business or technical enablement such as a trading desk or a FIX Gateway The exact type of User is defined by the associated Role The same User can only be configured under one node The User can only have one of the Roles outlined below For the technical detail of Users broken according to the used interface please refer to MIT201 BIT Guide to New Trading System With special reference to the User it should be noted that the above mentioned level of detail can be used by the members of Borsa Italiana for various purposes For 27 example an intermediary could develop its structure of access to trading on the basis of one or more Users to identify homogeneous trading desks such as for example arbitrage desks desks for trading on behalf of customers interconnected via the Internet and those for customers that use automated trading systems to segregate the trading of different branches belonging to the same legal entity or to meet any other need of the market participant In addition on the basis of what has been set out above access and control are carried out at User TraderGroup ComplD level with the Millenium Exchange platform Borsa Italiana therefore invites all its participants to give careful consideration to their
32. ecommended to use the Sending Time in the FIX logon message sent by Millennium Exchange to synchronise system clocks Also all times on Native messages are in UTC 2 4 Reference Data Service Reference data will be managed by a new Reference Data Service that will provide instrument reference data to participants in a new lat file format and available via FTP Full details of the interface are specified in the document MIT305 BIT Markets Reference Data and FTSE indices constituents In addition to the flat file a subset of reference data will be available via the Market Data feed each morning Symbol unique identifier Instrument status ISIN Segment Tick Price Bands Tolerances Dynamic Circuit Breaker Tolerances Static Circuit Breaker Tolerances 2 5 Technical details Technical details of all interfaces are provided in the following documents MIT201 BIT Guide to New Trading System MIT202 BIT Trading Gateway FIX 5 0 Specification MIT203 BIT Native Trading Gateway Specification MIT204 BIT Post Trade Gateway FIX 5 0 Specification MIT205 BIT Drop Copy Gateway FIX 5 0 Specification MIT303 BIT Level 2 ITCH Specification MIT305 BIT Markets Reference Data and FTSE indices constituents MIT EMAPI Programmer s Guide 3 Market Structure 3 1 Instruments classification From a business perspective an individual instrument is assigned to a grouping to form a trading segment A specific
33. ecurity to be accepted by the system As far as quotation quantity obligations are concerned Specialists should refer to market Rules and Instructions Maximum spread The spread between the bid and offer prices must be at least one tick size to be accepted by the system The absolute spread offer less bid is divided by the mid price of the spread offer plus bid divided by 2 to determine a percentage spread As far as quotation spread obligations are concerned specialists should refer to market Rules and Instructions Quote Qualifier On MIT Trading there can be DAY Goof For Auction or OPG Qualifiers for quotes In the absence of a Quote Qualifier it will be defaulted to DAY It is not allowed to amend the Quote Qualifier therefore if the Quote Qualifier needs to be changed the participant needs to cancel the existing quote and submit a new quote with the new Qualifier All the remaining quotes will be expired at the end of the trading of the day 5 3 Cross Order types 39 On Millennium Exchange it will be possible to enter the Cross order types Table below summarises these further order types supported on Millennium Exchange Internal Cross A dual sided order agreed or identified within a single member firm that will execute with each other side at a price between visible best bid and visible best offer including extremes Internal BTF A dual sided order agreed or identified within a single member firm tha
34. esses to the market through the market participant The order source identifies all the orders entered in the market on behalf of the retail clients of the market participant 5 2 Quotes types The existing TradElect Quote Types will continue to be supported on Millennium Exchange A quote is a pair of buy and sell interest submitted simultaneously and managed as a single entity Quotes are generally used by participants interested in continually maintaining two sided presence in the market These participants Specialists will enter Named Quotes Table below summarises the Quote Types supported on Millennium Exchange Executable Quotes The Named Quote is fully visible electronically executable registered specialist quotes that must meet prescribed size and spread requirements on entry It s highlighted that on MIT Trading is not admitted the single named orders feature replaces the single quote functionality quote and the Table 9 Quote Types A Trading Party can only maintain one quote for an instrument Hence if a new quote is submitted it will replace the current quote 5 2 1 Quote entry fields The following table shows which fields are mandatory and which are optional for a Millennium Exchange Quote Bid Size Yes Bid Price Yes Offer Size Yes Offer Price Yes Required Instrument Yes Quote No Qualifier Description The unique identifier of the security Time qual
35. f which transactions involving financial instruments are sent to the settlement service operated by Monte Titoli S p A 2 Customer Interfaces In the interest of increased performance and flexibility a new approach to customer interfaces will be introduced which is described below 2 1 Overview The following interfaces and protocols will now be available to participants e Trading Interface order quote entry and immediate confirmation of automated trades Post Trade Interface Enriched trade confirmation of automated trades including cancellations Off Book Trade Reporting Post Trade Transparency Own Trades Book Download OTBD e Drop Copy Interface Copy To functionality Own Order Book Download OOBD e Market Data Dissemination interface multicast ITCH e Market Data Dissemination tcp ip DDM plus MDF e Reference Data Service With the introduction of Millennium Trading System the Exchange will standardise on FIX 5 0 SP2 for all of the above customer interfaces with the exception of Reference Data Service In addition a new fixed width Native interface will be introduced for the Trading Interface only Participants will connect to each interface via a FIX or native Gateway depending on the functionality they require FIX Trading Gateway Native Trading Gateway FIX Drop Copy Gateway FIX Post Trade Gateway i Including any Exchange initiated cancellations 2 Will be supported via FTP
36. g London Stock Exchange Group BIT MILLENNIUM EXCHANGE Service Manual for Trading on MOT and ExtraMOT markets Issue 1 3 June 2012 Contents Service Manual for Trading on MOT and ExtraMOT markets 1 alU NETT I T TT T M 2 Te BMDREOOUDMNOD inner tendre UR QE UA En 5 1 1 PUMOSE RL AER Ne ie 5 1 2 Relevant Exchange communication channels 6 lue DOCUMENENISIONY ERAN EXUETHOR icones see 7 1 4 ENQUINICS rss sourires ic EM EE ka REX RI wahayta 7 T Definitions e Re RE pt V edat iba dpa ERR q e 9 2 Customer Interfaces ia 11 2 AIVEIICW TTE 11 2 2 Message workflloW 12 2 9 Time syrichroniS atliofl u ER ERRARE ARE ERA REN 13 2 4 Reference Data Service 14 Zo Technibal ASIANS ed einen 14 3 Market Structure RE einen 15 3 1 Instruments classification 15 3 2 Technical operation parameters 17 3 9 SymboloOUy sister email eat ERES 18 34 Operation Of the Market 18 3 5 Trading SESSIONS essaie Remettre 18 351 The auction phases uav e 20 3 5 2 Aucltion EXICNSIONS gt
37. hall not be liable for decisions made in reliance on it The London Stock Exchange Group will endeavour to provide notice to customers of changes being made to this document but this notice cannot be guaranteed Therefore please note that this publication may be updated at any time The information contained is therefore for guidance only 1 Introduction Following the acquisition of MillenniumIT the Borsa Italiana planned for the BIT Cash Markets to migrate from the previously used TradElect and Affari trading platforms to Millennium Exchange multi asset class ultra low latency platform of MillenniumIT The first phase of this transition was the migration of the TAH market in early 2012 and in a second phase all the other BIT Cash Markets MTA MIV AIM Italy MAC ETFplus MOT ExtraMOT SeDeX 1 1 Purpose The purpose of this document is to describe the specifics of the MilleniumExchange platform for the following markets and multilateral trading facilities organised and managed by Borsa Italiana S p A e MOT e ExtraMOT All the technical documents should be read in conjunction with the Rules Instructions and Guide to Parameters of Borsa Italiana 1 2 Relevant Exchange communication channels Rules of Borsa ltaliana The full current Rules of Borsa Italiana in force can be found at Italian Version http www borsaitaliana it borsaitaliana regolamenti regolamenti regolamento borsa istruzionialregolamento htm
38. ice Band or less than the Lower Price Band Quotes which have either a bid or offer price that violates the Upper or Lower Price Bands Limit orders Stop Limit orders and Quotes with limit prices equal to the price band price are permitted 7 This would not be applicable to the Markets Models where is not defined the auction 24 If the GTC GTD orders carried forward from the previous day are priced away from the price bands those should be expired before the beginning of the trading this will be done at the Market Open The Execution Report published to report the expiration should contain the reason Expired price band breached Price bands will be set up at the individual instrument level Market supervision can switch off price bands validation if required intra day and can change the price bands intra day as well 3 6 2 Price Monitoring Extensions A price monitoring extension is triggered when at the end of the call period or any preceding auction extension period the indicative auction match price is greater than a configured tolerance away from the Static Reference price The price monitoring extension consists of an extension to the auction call period of a configurable amount of time The extra time a price monitoring extension provides draws attention to a potential price movement giving participants the chance to review the prices of the orders that have been entered and if appropriate add delete or amend
39. ifier of the quote If the qualifier in force is not stated the system assumes it to be a DAY quote Bid quantity This should be a whole number that is greater than zero Bid Price Offer quantity This should be a whole number that is greater than zero Offer Price 38 Possible Values OPG at the open GFA good for auction Capacity Denotes if the quote is entered as an Agency on Agency behalf of a client Principal own account Principal Trading The trading party of the quote is identified by this Party field For Exchange users this will be the trader group Clearing Identifies the clearing account for the quote Client Account House Execinst Specifies if the quote has to be cancelled upon a disconnection or a log out It should be noted that the above indication should be done in each and every Quote Message for quotes if the member firm wants the existing quote not to be cancelled upon a disconnection log out If the indication it is not set in the last quote message sent any previous indications will be overridden by that and if a disconnection log out happens the quote will be cancelled provided the fact the user level configuration is set to do so Table 10 Quote entry fields 5 2 2 Content of quotes Quote size Both the bid and offered size on a quote on entry must be equal to or greater than the lot size for that specific s
40. in terms of trading methods and hours Markets means the regulated markets and MTFs organised and managed by Borsa Italiana S p A MDF Member Data Feed means the information service consisting in the supply of 9 market data to members of the markets Minimum lot means a quantity fixed for each security orders must be equal to or a multiple of the minimum lot Opening auction the method of trading that provides for the entry modification and deletion of orders in a given interval pre auction for the purpose of concluding contracts at a single given future moment the opening and at a single price the opening auction price or opening price Opening auction price or opening price markets the price at which contracts are concluded in the opening phase if the opening auction price is not determined the opening price is equal to the price of the first trade executed in the continuous trading phase Order means an order to buy or sell for own or customer account entered by approved intermediaries containing the data and information necessary for its display and execution PTTS Post Trade Transaction Service Tick means the minimum difference between the prices of orders established in the Instructions for each financial instrument traded in the markets TIF Time In Force the time validity of the order quote X TRM means the post trading service by means o
41. ion price if the STATIC Reference Price is in between the two prices then the STATIC Reference Price is chosen as the auction price The activities of entering modifying and deleting orders in auction call periods end at a time in an interval of at most 60 seconds After that time determined automatically by the system on a random basis and until the end of the auction phase participants may use only the information functions 2 During any of the auction call sessions which can be Opening Closing etc the imbalance quantity and the imbalance side will be disseminated via the market data feeds 6 This is a different step introduced with MIT Trading 21 If the auction price is validated there is the shift to the corresponding auction period in which the system verifies whether the orders on the trading book can be executed Orders are executed when there are one or more market buy orders and one or more sell orders of any type or there are one or more buy orders of any type and one or more sell market orders or if there are no market orders on the book there are one or more buy orders at prices equal to or higher than those of the sell orders and if the indicative auction price is valid i e falls within the price tolerance limits set for the auction phase see Section 2 3 2 If the opening or closing indicative auction price is validated trades are executed at a single price the auction price
42. market participation structure More specifically intermediaries should use the trading access configuration Member ID one or more Node one or more ComplDs TraderGroups best suited to their needs regarding both trading business and control Borsa ltaliana reserves the right to request participants to adopt a particular configuration on the basis of regulatory and technical assessments The introduction of the Node and ComplD Trader Group permits a better management of platform messages Participant should note that the access to the Borsa Italiana Markets will be defined as follows Users dedicated to a specific Market i e Users dedicated only to MTA Users dedicated only to ETFplus etc each user can connect to a single Market 4 3 Roles Market participants can configure the use of Millenium Exchange using a system based on roles A role is a defined set of activities that each Trader Group assigned to that role can undertake on the platform Among other things the activities that can be assigned to each role include the ability to enter orders and the use of specific order types e g quotes or named orders the ability to enter quotes and the use of specific quote types Each Trader Group is assigned a specific role Accordingly if a participant has configured its access structure using a Member ID and just one Trader Group the latter will have at least one role 28 Specific roles can be assigned at a
43. n opening auction Specified in Tag 48 on FIX and Native messages 18 continuous trading and a closing auction where applicable Timings and associated trading parameters will vary according to the market model and will be communicated in due course In addition and as today market control actions invoked by the Exchange will potentially override the normal schedule As an instrument moves from one trading session to another the new Millennium Exchange Information system will disseminate the new status of that instrument via the security status message Please see MIT303 BIT Level 2 ITCH Specification for further information The following possible status will be sent Pre Trading Start of Trading Opening Auction Call Continuous Trading Close Auction Call Closing Price Publication e Re Opening AESP or Resume Auction Call e Resume Order Deletion period Trading Stop e Market Closed e Post Close e End of Post Close No Active Session e OPA Auction Call e Start of Trade Reporting e End of Trade Reporting The specific and up to date schedule for each segment is available in the Millenium Exchange Business Parameter document 3 5 1 The auction phases During the trading day compatibly with the microstructural model chosen for each market sector there can be three different types of auction phase i e opening closing and volatility which are divide
44. ncelled upon a disconnection or a log out The absence of this field is considered as that the member firm wants to go ahead with the user level configuration in the system for its orders It should also be noted that a member firm can only override the user level configuration of cancel on disconnection log out by indicating not to do so for some specific orders Client House Anonymous Named Authorized Direct Member Institutional Client Interconnected Private Client Interconnected Branch Retail Trading Online Following tables specify the FIX tags and Native fields that should be used to define each order type FIX Tag Order Type Order Type Anonymity 12 Display Qty Limit Order Y TotalQty Market Order 1 Y TotalQty Market to Limit K Y TotalQty Named Limit Order 2 N TotalQty 11 It should be noted that the source of the incoming order can only be specified for orders It is not applicable for quotes 12 Absence of this field is interpreted as Anonymous 32 Iceberg Order Y Peak Size Stop Order 3 Y TotalQty Stop Limit Order 4 Y TotalQty Peak Size Table 4 FIX Tags Native Field Order Type Order Type Anonymity Display Qty Limit Order TotalQty Market Order TotalQty Market to Limit TotalQty Named Limit Order TotalQty Iceberg Order Peak Size Stop Order TotalQty S
45. ncoming Stop or Stop Limit Order will be injected on entry if the stop price is already reached If there has been no automated trading on the day of entry then any incoming Stop or Stop Limit order will be parked If multiple Stop and Stop Limit Orders are injected onto the book then the order of injection will be based on the stop price value and time of entry e Eligible Stop and Stop Limit buy orders with the lowest stop price will be injected first e Eligible Stop and Stop Limit sell orders with the highest stop price will be injected first Stop and Stop Limit Orders at the same stop price are injected based on time priority After uncrossing order of injection will be as follows 43 Orders will be injected in terms of the difference between their stop price and the auction price The buy or sell order with the greatest difference between its stop price and the auction price will be injected first If multiple orders are at the same difference buy and sell the oldest order will be injected first 6 2 Iceberg Orders Conceptually the peak display quantity of iceberg orders will continue to be managed in the same way as for TradElect i e once the peak has been fully executed the peak is refreshed in size back to the display quantity Today if there is more than one iceberg order at the same price point and an incoming order is sufficiently large to execute against multiple peaks TradElect will cycle through
46. of a quote having the lowest price will have the highest priority in the order book Displayed parts of orders take precedence over non displayed parts at any price point Further explanation for non displayed part of icebergs can be found in section Iceberg Orders 41 6 Order Behaviour Generally orders and quotes will be handled identically on Millennium Exchange to TradElect including Order Price validation However customers should note the following differences that are described in more detail in the following sections Support for Stop and Stop Limit Orders will not be available for MOT ExtraMOT at the start of trading on Millenium Exchange Changes to the way priority and executions are handled for iceberg orders Cross Orders Change to Order Management 6 1 Stop and Stop Limit Orders Stop and Stop Limit Orders will not be enabled for MOT ExtraMOT at the start of trading on Millennium Exchange Definition of Stop and Stop Limit Orders A Stop Order is a Market Order that will be parked until the stop price is met The trigger for electing Stop Orders is based on the Last traded price At this point the order is injected into the order book as a regular un priced market order e g does not persist on the book Stop and Stop Limit Orders will only be injected onto the book during continuous trading If an expiry time is specified for a Stop order whilst parked then it will be deleted with
47. of side bars as illustrated opposite 1 4 Enquiries Please contact either Client Technology Services or your Technical Account Manager if you have any functional questions about the Millennium Exchange services outlined in this document Client Technology Services ITA can be contacted at Telephone 39 0272426409 348 606 647 e Service Desk Free Toll Number 00800 26772000 Email MIT migration borsaitaliana it clients services borsaitaliana it Please contact your Business Account Manager if you have any questions about the Millennium Exchange trading functionalities outlined in this document Business Account Managers ITA can be contacted at ETFplus MOT ExtraMOT SeDeX Telephone 39 0272426517 1 5 Definitions Acronym Term Explanatory text of the definition Better prices Orders at means with reference to the price of a given order a any higher price if the order is an order to buy b any lower price if the order is an order to sell Analogously worse prices are lower prices if the order is an order to buy and higher prices if it is an order to sell In the case of financial instruments whose prices refer to interest rates the meanings of better and worse prices are the opposite of those just defined Borsa Italiana means the market management company Borsa Italiana S p A Cassa di Compensazione e Garanzia or CC amp G means the company that ope
48. out being injected onto the book Participants may modify Stop and Stop Limit orders whilst parked The order Time In Force is generally applied once the order is injected However participants should note that only specified Time In Force are supported depending on the trading phase Any Stop or Stop Limit orders entered with a Time In Force that is not supported will be rejected Time In Force Valid during Continuous Trading DAY Y 2 Any change in enabled disabled order types will be proposed and tested in advance 42 GTC GTD GTT IOC lt lt lt lt lt FOK Table 43 Stop and Stop Limit order Time In Force If an IOC FOK stop order is elected triggered it is treated by the system as an incoming IOC market order If an IOC FOK stop limit order is elected triggered it is treated by the system as an incoming IOC or FOK limit order Unelected stop and stop limit orders with the time qualifier IOC expire on market close Injection Rules for Stop and Stop Limit Orders Stop and Stop Limit orders are injected on the basis of the last automated trade price including Uncrossing Trades Stop and Stop Limit buy orders will be injected if the last traded automated trade price is equal or greater than the stop price Stop and Stop Limit sell orders will be injected if the last traded automated trade price is equal or less than the stop price An i
49. rates the clearing and guarantee systems Closing auction means the method of trading that provides for the entry modification and deletion of orders in a given interval pre auction for the purpose of concluding contracts at a single given future moment the closing and at a single price the closing auction price or closing price Closing auction price means on the MTA market the price at which contracts are concluded in the closing auction Continuous trading the method of trading that provides for the entry modification and deletion of orders for the purpose of concluding contracts immediately or in the future DDM Plus the market data service Default means the valuation of a parameter accepted by definition if not otherwise specified with the entry of a specific value Executable quote means the order type which is to be used by specialists to fulfil their obligations under Market Rules This order type allows users to insert a buy order and a sell order with a unique transaction EMS Exchange Market Size means the quantity defined in terms of a number of financial instruments fixed for each security Borsa Italiana calculates and publishes on its website the EMS for each financial instrument FIX the Financial Exchange messaging standard ITCH the Market Data protocol Market segment means the division of the financial instruments into homogeneous groups
50. rder the price of the order must be within the visible best bid price and the visible best ask price including them in the order book at the time of the Cross Order being submitted by the member firm If the type is BTF the price of the order must be within the spread defined by Visible best bid a configurable percentage AND visible best offer a configurable percentage The above will include the extreme values of the spread as well Participants should note that once an Internal Cross Order or Internal BTF is accepted that will not be added to the order book hence not communicated via market data feeds The two sides will immediately be matched as per the normal matching rules and the resulting trade will be sent to the Participant who entered the order In case of an incoming Committed Cross Order or Committed BTF the system will look for a corresponding Cross Order with the same Cross ID in the system If not found the Cross Order will be cached without adding to the order book hence not communicated via market data feeds Once the other corresponding Cross Order is submitted to the system the two orders will immediately be matched as per the normal matching rules and the resulting trade will be sent to the Participants 6 3 1 Cross Order behavior Cross Orders are allowed only during the Continuous Trading session The last traded price is updated by a trade resulting from Cross Orders means Stop or Stop Limit Or
51. rincipal 40 Trading The trading party of the order is identified by this Party field For Exchange users this will be the trader group Client No This will be the client reference of the order Reference Clearing Yes Identifies the clearing account for the order Client Account House Table 32 Cross Order Entry Fields Only TIF 2 DAY is allowed for Cross Orders 5 4 Price Format Code tick size The Price Format or tick size is the minimum valid increment in which order and quote prices can be entered and displayed Each tick size is a numeric amount representing a multiple of the unit of currency in which the instrument is quoted and is identified by a single letter price format code If the price of an order quote is not a multiple of the tick size on entry it will be rejected Tick sizes may either be static or dynamic static tick size is a single fixed value applied to all orders quotes in a specific security until amended by the Exchange where a dynamic tick schedule is in place the tick size in operation is determined with reference to the intended price of the incoming order quote 5 5 Order book priority Millennium operates on a price time priority basis As per price time priority the buy order or the bid of a quote having the highest price will have the highest priority in the order book as per price time priority the sell order or the offer
52. riority Order Quantity Increase Loses time priority Decrease No impact Gains price priority Loses time priority Order price L iorit oses price priority Wore Loses time priority Date and time validity Any change No impact Client reference Any phanqa Table 54 Impact of order modification order priority 48 6 4 2 Exchange deletion of orders In case of coupon detachment in relation to bonds trading for at least a part tel quel change of lot size change of ISIN Code or delisting all orders on the related instrument not executed at the end of the trading session before the action takes place will be automatically cancelled Under certain circumstances orders will now be deleted on Millennium Exchange without a corresponding confirmation being sent to participants by the Exchange These are described below e last day of trading in an instrument if any orders reside on the book e Outside regular trading hours due to a reference data change e g if a clearing arrangement is no longer valid Following loss of the Primary Site Partial loss of a Matching Engine requiring the Exchange to re start processing from a previous known point In all cases participants should request an Own Order Book Download to confirm the current state of the order book 6 4 3 Specifying ClOrdID Participants should ensure that ClOrdID is unique for a trading day acro
53. ss a ComplD TraderGroup and for the life of an order For performance reasons MIT Exchange will not carry out any duplicate detection based on ClOrdID Should a participant re send an order with the same ClOrdiD that has previously been used then it will be processed In this situation and to guarantee that orders can be successfully managed it is recommended that customers use OrderlD when modifying active orders Participants should also ensure that their ClOrdiDs are unique across trading days e g embed the date within the ClOrdID 23 This will be under exceptional circumstances 49 7 Order Book Execution 7 1 Execution Priority The trade execution will always happen as per the price visibility time priority which is explained below Within a price point the visible quantities of all the Fully Visible and Iceberg Orders have the highest priority over any hidden quantities The visible quantities of all orders will be executed based on their time priority within the price point when a parked order Stop and Stop Limit is injected into the order book the time priority is considered based on the order injection time not based on the original submission time of the order 7 2 Execution Criteria If the incoming order quantity or the remainder is equal to or greater than the cumulative total quantity including hidden quantity of Iceberg Orders at a contra side price point then the system executes against the total
54. t will execute with each other side at a price between visible best bid a configurable percentage and visible best offer configurable percentage including extremes The percentage will be determined by the Exchange Committed Cross A single sided order agreed or identified by two different member firms that will execute with the other side of cross at a price between visible best bid and visible best offer including extremes Committed BTF A single sided order agreed or identified by two different member firms that will execute with the other side of BTF at a price between visible best bid configurable percentage amp visible best offer configurable percentage including extremes The percentage will be determined by the Exchange Table 21 Cross Order Types 5 3 1 Cross Order entry fields The following table shows which fields are mandatory and which are optional for a Millennium Exchange Cross Order Instrument Cross ID Yes The unique ID of the Cross BTF Order Description Possible Values Yes The unique identifier of the security Yes The type of the cross order Internal Cross Internal BTF Committed Cross Committed BTF Yes Type of the order Yes Side of the cross order Quantity Yes Order quantity Price Yes Price of the order Capacity Yes Denotes if the order is entered as an Agency on Agency behalf of a client Principal own account P
55. ted by the trading system for another trading user parties of the same firm Full details of the Drop Copy Interface are given in MIT205 MIT Drop Copy Gateway Specification 51 9 2 Own Order Trade Book Download Millennium Exchange will continue to support both the Own Trade Book Download and Own Order Book Download services The Own Trade Book Download will be supported via the Post Trade Gateway In response to a request sent via a Trade Capture Report Request message sent by a participant the gateway will return a Trade Capture Report for each trade that has occurred that day for the Firm It is possible to configure so that download is restricted to pre assigned specific FIX ComplDs Own Trade Book Download will only include those trades that have occurred have been published or are pending publication on the day of the request Participants can use criteria such as Instrument ID Trade Status etc to perform the trade download Full details of the Own Trade Book Download service is given in MIT204 BIT Post Trade Gateway Specification The Own Order Book Download will be supported via the Drop Copy Gateway Although such a request may be made at any time the primary purpose of this functionality is to provide trading parties with details of their open orders to assist them during a system recovery A user parameter will determine the maximum number of own order book download requests a drop copy user trading
56. top Limit Order TotalQty Peak Size Table 5 Native Fields Full details of FIX tags and Native fields are provided in MIT202 Trading Gateway FIX 5 0 Specification and MIT203 Native Trading Gateway Specification 5 1 2 Time in Force The current TradElect Validity types will be supported on Millennium Exchange and mapped to FIX Time In Force TIF enumerations However there are some minor differences in the impact of certain Time in Forces on order behaviour when compared to TradElect Expiry times can no longer be specified for a GTD order All orders with a GTD Time In Force will be deleted at the end of trading on the date of expiry or following business day if a closed date GTD orders will be disabled for ExtraMOT securities Any GTT orders with an expiry time during any auction call phase will not be deleted until after uncrossing has completed and are therefore eligible to participate in that uncrossing To avoid possibility of execution in this scenario a participant is required to manually delete their orders Subject to above GTT expiry times can be specified to the nearest second TradElect only supports minutes Orders will only be injected for auctions that day any orders with a OPG GFA or ATC Time In Force will be deleted at the end of day The GTC Time In Force will not be supported for those markets that have maximum order duration Any GTD order specified with an expiry date greater than that allowed will
57. ture on three levels for market participants More specifically each intermediary can develop its access to the market taking account of the following Firm Node User The structure of participants access to the market can therefore be personalised on the basis of the three levels described in Figure 2 below To this end intermediaries will have to provide Borsa ltaliana with details of their own personalisation the ramification of one or more User codes with the related User ID codes on the basis of what established at the regulatory level 4 2 User configuration levels Generically a 3 tier hierarchy will be introduced consisting of Firm Node and User Each User will have an associated Role 26 Firm Member ID Native Trading Trading Party FIX Post Trade FIX Drop Copy js eu Trader Group Carey quil Gateway Gateway BLEUE Entered via Fix TaderGroup ComplD ComplD CompID p Vies lt Een interchangeable Figure 3 User hierarchy With reference to the diagram above please notice that A Firm represents the highest level when depicting a participant and is intended to represent the membership under which business is routed to the Exchange The Firm is identified by a unique Member ID A Node represents a logical grouping of Users see below this is a new concept that forms part of the core Millennium Trading product it allows customers a degre
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