Service Manual for Trading on SEDEX market
Contents
1. sssueueusss 19 3 6 1 622 5 ROT OIL D ILI TITIUS 20 3 6 2 Circuit BreakbBI5 i ccccdcs itte ecebbr d n EbRa SERE ERE Ere br add R iU nP es 21 User Config ratiON T 22 4 1 Participant SIUCUIG o is scccsisencaxusctvetasenelaneeimeiascesdscetoncen cd 22 4 2 User configuration levels sese 22 Meo SONS T HL 24 Orders and Quotes Em 26 5 1 Order WPCS LETT 26 m PEE S dE o ENS T o T SS 27 5 1 2 MG in FOrCe ccc c 30 5 1 3 Order Type Time In Force combinations 31 5 1 4 Order Type Time In Force Trading Session combinations 32 m5 Order SOURCES Lec de docsuuhe iste sts se Erbe take P Oe eu a eia s 33 5 2 Quotes TYPES coro ierra woo eux ae led ped E DA xu DEU RUP Ru a 34 Scd BDuolsenty Telus iccesc eco e d ebetoe teles enata kno tenta e emit beds 35 mcs Content of QUOIOS ui cio vro ure VouieorUbstep Toto npe Pep be DOR se 35 5 9 Cross Order TV POS i seeded ease eX Ede bx hie Ped Pii ventory Uc s 36 5 3 1 Cross Order entry fields iioii iere rere rt es 37 5 4 Price Format Code tick size cece cece cece e eee eee e eed 38 5 5 Order book priority secus coin inadsiuavemicsrcenmniantidcnesiabionauesares 38 Order BSDaVIDUI eactutexxobibedeuiautdieubauEnrni ek Edu nEai d PRESE UN a 39 6 1 Stop and Stop Limit Orders cus eed reor Ere x rx reb RO PR REGE 39 6 2 leeberg DIOBIS iue ubi Fe Un EE AFE SUN MN E erases E ut ED EUE 42 6 2 1 Modification o2. 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 25 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 Exchange Order Type Description 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 lim
3. 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 e Support for Stop and Stop Limit Orders for SEDEX market Stop Limit Orders will not be enabled at the start of trading on Millennium Exchange e Changes to the way priority and executions are handled for iceberg orders e Cross Orders e Change to Order Management 6 1 Stop and Stop Limit Orders With specific reference to SEDEX market Stop and Stop Limit Orders will not be Enabled at the start of trading on Millenium Exchange Should this parameter undergo any change this would be communicated in due course 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 without 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 suppo
4. Only TIF DAY is allowed for Cross Orders 37 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 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 38 6 Order Behaviour Generally orders and quotes will be handled identically on
5. 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 43 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 Order 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 offe
6. 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 Issue Date Description 1 0 June 2012 First issue of this document published via the Borsa ltaliana s website and distributed to customers 1 1 June 2012 Section 1 5 updated 1 2 June 2012 Fine tuning 1 3 June 2012 Sections 5 2 6 3 updated 1 3a July 2012 Section 3 5 updated 1 3b June 2013 Appendix A added 1 4 November 2013 Section 5 2 updated Section 7 3 added 1 5 May 2014 Section 1 5 2 1 2 5 3 1 updated 1 6 December 2014 Updated naming for Market Data Service MITCH In subsequent issues where amendments have been made to the previous ve
7. can occur 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 a Halt phase if trades show excessive price variations see Section 2 3 2 3 6 Trading price monitoring and trading halt 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 The presence of price monitoring functionality in Millennium Exchange does not remove the requirement fo
8. 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 an incoming order executes against a passive order the trade price will be the price of the passive order 47 If after executing against all appropriately priced orders in the order book there 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 7 3 Self Execution Prevention SEP SeDexX trading Members can request not to trade against their own contra orders that is achieved via automatic cancellation of the incoming or resting order involved in self execution Self Execution Prevention Groups including one or more ComplDs of the same Firm must be configured
9. on those venues Customer non compliance with this Certification Test Programme may constitute a breach of the eligible venue terms and conditions or rules A 1 Access to the Live Service Access to the LSEG Live Services is permitted only when a customer s software application has been certified as being fit for purpose A 2 Software Identification All customer software must be identifiable by a software name and version number Software applications that do not have both a name and version number will not be certified Certification is limited to a single version of the named software A 3 Certification Policy For Equities Borsa Italiana and the other venues London Stock Exchange and Turquoise which are on the same Millennium code set have a combined certification test template This will enable customers to test the combined set on any of the platforms and it will be applicable across all three venues For Derivatives Borsa Italiana and Turquoise are on the same SOLA code set and also have a combined certification test template The new Certification Test Program mandates any customer application that connect to Borsa Italiana LSE and Turquoise to certify at least twice a year with a minimum of 6 months between tests This minimum period will be waived for mandatory LSEG Venue releases 51 At least one Certification Test will be LSEG led i e Mandatory release The other required test will be Client Led If the number of
10. such as High Price Low Price Volume and Turnover for on book trades 6 3 2 Block Trade Facility behavior BTF Orders are allowed only during the Continuous Trading session 44 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 High Price Low Price 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 priority Order Quantity Increase Loses time priority Decrease No impact Gains price priority Improve Loses time priority Order price L iorit oses price priority worsen Loses time priority Date and time validity Any change No impact Client reference Any change No impact Table 54
11. 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 detailed 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 23 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 ComplID level with the Millenium Exchange platform Borsa Italiana therefore invites all its participants to give careful consideration to their 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 t
12. the permitted maximum spread will be accepted by the system As far as quotation obligations are concerned specialists should refer to market Rules and Instructions If the price value is specified as zero for one side then it will be considered that particular side being not submitted in a SSQ 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 On Millennium Exchange it will be possible to enter the Cross order types Table below summarises these further order types supported on Millennium Exchange Cross Order Type Description 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 that 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 memb
13. 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 the 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 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 SEDEX 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 Italiana 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 English Version http www borsaitaliana it borsaitaliana regolamenti regolamenti regolamento borsa istruzionialregolamento en htm Changes to the Rules of Borsa Italiana
14. 2 MITCH Specification MIT305 BIT Markets Reference Data and FTSE indices constituents GTP002 Technical Guide GTP007 GTP Lite Guide MIT EMAPI Programmer s Guide 14 3 Market Structure 3 1 Instruments classification From a business perspective an individual instrument is assigned to a grouping to A specific Trading Service is a number of trading form a trading segment 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 SEDEX market MARKET SEGMENT SEGMENT SECTOR CODE SECTOR DESCRIPTION CODE DESCRIPTION SeDeX SD SEDEX 1 ICW COVERED WARRANTS IEW EXOTIC WARRANTS IIC INVESTMENT CERTIFICATES ILC LEVERAGED CERTIFICATES SDV SECURITISED DERIVATIVES IN PUBBLIC OFFER SDQ SEDEX 2 IICQ INVESTMENT PRODUCTS ILCQ LEVERAGED PRODUCTS Table 1 Market structure for SEDEX MARKET For updates please refer to MIT 305 FTP Services Reference Data Specification N B The configuration and the acronyms
15. E London VI Stock Exchange Group BIT MILLENNIUM EXCHANGE Service Manual for Trading on SEDEX market Issue 1 6 December 2014 Contents Service Manual for Trading on SEDEX market sees 1 COMENS argana terni Ea E Doat oe ba Art EE CER ict Ene ortas Pet NE bs 2 gui gare Ter 3 9 TRUE 5 1 1 PUPOSO eL T 5 1 2 Relevant Exchange communication channels 6 1 3 Document history ccce 7 E MEE ur EET 8 31 5 BOUPIIOIS einiino ain care dta daten Er EsinD E EE e 8 Customer Interfaces ccecce iX inb sRRUDD Gogdatddeses 10 21 JQOVBIVIBWE ad ee retecepre Sed need eae ca labi per DURS EM EbeEE PREDA Eu PK 10 2 2 Message workfloW cc ares Ens EE ERE lt ShaSane bike Voss thblaP el dep EE 11 2 3 TINE synchronisation dacs oce enu etre Set setceagecasedabateedavenes 13 2 4 Reference Data Service 14 25 Techneal details esnin aee a a a aE 14 Market Structure s2ctcancictadhineeceandetoedvted Midteea PR TUPE RA CE DR aeaaeeadio 15 3 1 Instruments classification 1 eise repre no Rr be Era rer MR ERG 15 3 2 Technical operation parameters cesse 16 do VIMO ONO GY S ceusctaretsstutt aa erkkah era tehsenf tek E RA ia 17 3 4 Operation of ihe Market ceee 17 3 5 Trading SCSSION Secures pen cRopPaS tRMUEADC RE oaV netar REDE AME pru BM EN UE 17 3 5 1 The continuous trading phases eeeennnnn 19 3 6 Trading price monitoring and trading halt
16. Impact of order modification on order priority 6 4 2 Exchange deletion of orders 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 On the last day of trading in an instrument if any orders reside on the book 45 e Outside regular trading hours due to a reference data change e g if a clearing arrangement is no longer valid e Following loss of the Primary Site e 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 across 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 17 This will be under exceptional circumstances 46 7 Order Book Execu
17. LSEG mandatory tests is greater than one there will be no obligation to perform a Client Led test In both LSEG and Client Led tests a customer will need to perform either a Full Certification Test or a Self Certification Checklist A Full Certification Test is completed with support from LSEG A Self Certification Checklist is a full certification test which is completed by the customer without support from LSEG Software certification remains valid for twelve months from the date of the second certification test Full details about the Certification test are available on Borsa Italiana web site at the following link http www borsaitaliana it borsaitaliana gestione mercati migrazionemillenniumit mit millenniumitmigration htm http www borsaitaliana it borsaitaliana gestione mercati migrazionemillenniumit mit millenniumitmigration en htm for cash markets and http www borsaitaliana it borsaitaliana gestione mercati migrazioneidem migrazioneidem htm http www borsaitaliana it borsaitaliana gestione mercati migrazioneidem migrazioneidem en htm for derivatives markets A 4 Certification passport Customers that have successfully completed the full certification process on an eligible LSEG venue are allowed to connect their software to any other eligible LSEG venues This is where there is no difference in functionality between the venues the related certification test cycles are the same on each venue and under the following condit
18. Order Required Description Possible Values Instrument Yes The unique identifier of the security Yes Whether the order is to buy or sell Buy Sell Yes the type of the order Limit Iceberg 27 Time in The duration the order is valid for DAY force IOC If the time in force is not stated the system assumes FOK it to be a DAY order GTD GTT 8 Even if it s not a TIF parameter in this section it s highlighted that on MIT Trading it s possible to set the parameter Auto Cancel Orders on Disconnect to specify if the order should be cancelled in case of disconnection Required if The time at which an order with GTT order should time in force expire GTT Required if The date on which an order with GTD order should time in force expire For SeDeX it is the current trading date GTD Order The quantity being bought or sold This should be a Quantity whole number that is greater than zero and a multiple of the minimum trading size Disclosed The maximum quantity if any that may be displayed Quantity 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 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 Lim
19. Orders from CompIDs included in the same Self trade Prevention Group will not be able to interact A CompID that is part of a Self trade Prevention Group cannot interact with itself Orders from CompIDs included in different Self trade Prevention Groups are allowed to interact One CompID can be part of a single Self Execution Prevention Group Self Execution Prevention Groups are assigned the same Self Execution Prevention Rule o CIO Cancel Incoming Order Aggressive order is cancelled when two orders sent by two ComplDs within the same Self trade Prevention Group or by the same ComplD if it is part of a Self trade Prevention Groups cross each other on the public orderbook o CRO Cancel Resting Order Passive order is cancelled when two orders sent by two CompIDs within the same Self trade Prevention Group or by the same ComplD if it is part of a Self trade Prevention Groups cross each other on the public orderbook Self trade prevention does not apply to single side and double quotes and to Fill or Kill orders 3 Following Notice from the Exchange Self Exectuion Prevention will be available to users effective starting from Dec 2 2013 48 8 Closing prices MIT Trading Systems can calculate the closing price according to a configured set of rules as described below SeDex Market 1 Average of a configurable number e g 10 of best bids and offers displayed on the order book during the C
20. TP Lite will be rolled out to all customers Please refer to http www londonstockexchange com products and services millennium exchange documentation documentation htm for further details Phase out plan will be communicated in due course Note for Executable Quotes two Execution Reports will be sent one for each side of the Quote 11 Participants will be able to link the Execution Report and Trade Capture Report using either the ExeclD or ClOralD tags 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 ComplID 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 ComplD cannot be modified or cancelled using another CompID with the exception of master CompID 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 cus
21. ach 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 42 Figure 1 Iceberg Order Execution 30 000 16 000 7 000 Jj Visible Iceberg Peak B 12 000 4 000 Hidden Volume D S 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 50x 13 000 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
22. ancial instruments are sent to the settlement service operated by Monte Titoli S p A 9 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 e 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 GTP MITCH e Market Data Dissemination tcp ip GTP Lite 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 Including any Exchange initiated cancellations Will be supported via FTP and SFTP 10 3 Furthermore Mark
23. articipant The order source identifies all the orders entered in the market on behalf of the institutional 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 retail clients of the market participant 5 2 Quotes types Executable Quotes are supported on Millennium Exchange A quote is a pair of buy and sell interest submitted simultaneously and managed as a single entity Quotes are exclusively used by specialists interested in continually maintaining two sided presence in the market Specialists will enter Named Quotes Single Quotes are introduced to fulfil single side e g bid only specialist obligations Table below summarises the Quote Types supported on Millennium Exchange Quote Type Description 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 are admitted the single sided and the double sided quotation 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 However these same participants Specialists might require an additional ComplD generally marked Z ComplID to be allowed to send a further level of Named Quot
24. aviour corrected 53 a4 London tw Stock Exchange
25. be cancelled 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 Table 3 Order entry fields 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 10 Display Qty Limit Order TotalQty Named Limit Order 2 N TotalQty Iceberg Order 2 Y Peak Size Table 4 FIX Tags It should be noted that the source of the incoming order can only be specified for orders It is not applicable for quotes 10 Absence of this field is interpreted as Anonymous 11 See Millennium Exchange Business Parameters for minimum size 29 Native Field Order Type Order Type Anonymity Display Qty Limit Order TotalQty Named Limit Order TotalQt Iceberg Order 2 0 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 m
26. ding 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 security trades in SeDeX and supports reporting via PTTS Service it will be managed as different instruments for SeDeX and PTTS Service with different instruments IDs different Symbols but with same ISIN code Full details are specified in the Technical Details documents 3 4 Operation of the Market The base microstructural model for SEDEX market entails a single continuous trading phase from 9 00 am till 5 25 pm No opening or closing auctions are established The model 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 an opening auction continuous trading and a closing auction where applicable Timings and associated trading paramet
27. er 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 including extremes The percentage will be determined by the Exchange will execute with the other side of BTF at a price between visible best bid configurable percentage amp visible best offer configurable percentage Table 21 Cross Order Types 36 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 earner ee Description Possible Values Yes The unique identifier of the security strument ID ys Te unique ID of the Cross BTF Order Cross Type Order Type The type of the cross order Internal Cross Internal BTF Committed Cross Committed BTF Price of the order Denotes if the order is entered as an Agency on Agency behalf of a client Principal own account Principal The trading party of the order is identified by this field For Exchange users this will be the trader group Client This will be the client reference of the order Reference Clearing Identifies the clearing account for the order Client Account House Pace Trading Party Side 2 NENNEN of the cross order CR Order quantity Table 32 Cross Order Entry Fields
28. ers 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 a Specified in Tag 48 SecurityID on FIX and Native messages 17 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 MITCH Specification for further information The possible following status will be sent marked with the possible statuses for SeDeX Pre Trading Start of Trading Opening Auction Call Continuous Trading Close Auction Call Closing Price Publication Re Opening AESP or Resume Auction Call Resume Order Deletion period Halt Trading Stop Market Closed Post Close End of Post Close No Active Session OPA Auction Call Start of Trade Reporting End of Trade Reporting The specific and up to date schedule for each segment is available in the Millenium Exchange Business Parameter document 18 3 5 1 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
29. ervision can Switch off price bands validation if required intra day and can change the price bands intra day as well 20 3 6 2 Circuit Breakers During Continuous Trading session if the difference between the price of the next trade and the Static or the Dynamic Reference Price is equal to or greater than the one allowed by the circuit breaker tolerance limits an automatic execution interruption occurs and the instrument will move into Halt session The remainder of the order which causes the circuit breaker tolerance breach will always be expired before moving into the Halt session FOK orders that would breach a circuit breaker tolerance limits will be expired upon entry and the instrument will not move to a Halt session During the Halt session trader groups and market supervision can only delete orders quotes in the order book They are not allowed to do order quote entry and order quote amendments For the SEDEX market a Halt should be lifted only by manually moving into the session Resume Order Deletion Period before transition to the existing scheduled session 21 4 User Configuration 4 1 Participant Structure Millenium Exchange provides an optional hierarchical structure 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 ma
30. es and Named Orders as well for the same instruments they have Specialist responsibility on Single side specialists shall use a dedicated CompID through which they display one quote at a time in compliance with their single sided quotation obligations This quote shall be named have a limit price and have TIF DAY 16 Following Notice from the Exchange Single Sided Quotation will be available to users effective starting from J an 13 2014 Quote entry fields The following table shows which fields are mandatory and which are optional for a Millennium Exchange Quote Quote Qualifier Description Time qualifier of the quote If the qualifier in force is not stated the system assumes it to be a DAY quote Possible Values Instrument Yes The unique identifier of the security OPG at the open GFA good for auction Bid Size Bid quantity This should be a whole number that is greater than zero Bid Price Bid Price Offer Size Offer quantity This should be a whole number that is greater than zero Offer Price Offer Price heal NN Clearing Account Denotes if the quote is entered as an Agency on behalf of a client Principal own account Trading The trading party of the quote is identified by this Party field For Exchange users this will be the trader group Identifies the clearing account for the quote Agency Principal Execlinst Specifies if the quote has t
31. ess 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 of orders The admitted codes are the following Code 1 id Descrip Muths Di Member Dali Retaj Trading It should be highlighted that institutional clients mean the subjects referred to in Annex ll 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 33 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 p
32. et Data will be available via the following services e GTP Market Data Service e MITCH Market Data Service e GTP Lite 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 e ISIN e Matching Type Continuous Trading or Auction e 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 MITCH support will be ceased once GTP G
33. f an Iceberg Order Stop Limit Orders 43 6 3 Cross Order and Block Trade Facility ssessssessssse 44 6 3 1 Cross Order behavior siscsi isse geek beiden EE Lc pa os 44 6 3 2 Block Trade Facility behavior sees 44 6 4 Order management sssssssssssssss me 45 6 4 1 Order modification cucuo etupus ee dees ead ERE Ep E eaDo X HERD EE IE 45 6 4 2 Exchange deletion of orders ssessseeseeeesesess 45 6 43 Specifying ClOMMID iiir rnec broke tese Pxo DER iE doli ice 46 Order Book EXBOULDIOTL cstsedeceacearancvice iono io LED DRE i a 47 Tele Execution Priority csse nissene snina p pee kaa eies 47 7 2 Execution Criteria icc reed xb iia a Rx bea rd 47 7 3 Self Execution Prevention SEP eeeeeeee ee eee ee eee eens 48 Closing PriCES cs rinena iaeiiai inetd name dnd Lek eaa ieena Da 49 Additional Servies uices c neo Ex rex nnne a 49 Dols Drop CODY uuotiattbu e apina BER MEDI ES 49 9 2 Own Order Trade Book Download ssssseseeeesss 50 Appendix 1 Certification Test Programme cssssssee e 51 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 shall 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
34. gible 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 e 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 e Orders will be injected in terms of the difference between their stop price and the auction price 40 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 41 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 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 e
35. inor differences in the impact of certain Time in Forces on order behaviour when compared to TradElect e 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 On SeDeX GTD can only be set to a maximum of 1 e GTT expiry times can be specified to the nearest second TradElect only supports minutes See Millennium Exchange Business Parameters for minimum size 30 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 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 GTD on SeDeX can only be set to 1 Orders with the GTT time in force will expire at the time specified in the GTT order or at the end of the trading day These orders must contain a valid expiry time that can be specified down to seconds loc 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 Table 6 Millennium Exchange Time In Force With specific reference to SEDEX market maximum order valid
36. ions e The software name and version number are the same on each venue e The functionality that will be used was tested as part of the Full Certification test e The customer completes and returns a self certification checklist for each additional venue A 5 Test Scenario Exception Policy Customers only need to complete the test cases relating to the functionality that they will use on the Live Services If a customer s application does not support the functionality described in a particular test scenario and they do not intend to complete the scenario during the test this must be agreed before the start of the certification test A 6 Re certification Policy Customers are required to re certify their applications under the following conditions The customer modifies the software in any way that directly impacts LSEG interfaces This includes but is not limited to updates to Gateways Order Management Execution Management and Quote Management Software e The Exchange upgrades its production environment to a later version of software e The software certification period has expired 52 e The customer is requested to re certify their application by the relevant venue A 7 Non Conformant Behaviour on the Live Service Any non conformant behaviour by a customer s software application on the Live Services may lead to the software application being disconnected and not re connected until it has been re certified and the non conformant beh
37. it or a Stop Limit Order Stop Price 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 Denotes if the order is entered as an Agency on Agency behalf of a client Principal own account Principal Trading Yes The trading party of the order is identified by this Party field For Exchange users this will be the trader group Client This will be the client reference of the order Reference Clearing Yes Identifies the clearing account for the order Account 7 GTT must be specified in UTC With specific reference to SEDEX market GTD orders are only allowed with maximum order validity 1 should this parameter undergo any change this would be communicated in due course 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 28 Pre Trade No Anonymity Whether the order is anonymous or named Anonymous Named Order Yes Defines the source of the incoming order Authorized Direct Source Member Institutional Client Interconnected Private Client Interconnected Branch Retail Trading Online Specifies if the order has to
38. it 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 disabled for SeDeX 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 For SEDEX market Market Orders will not be enabled at the start of trading on Millennium Exchange Market to Limit disabled for SeDeX 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 New Order type introduced with Millennium Trading System 26 the instrument For SEDEX market Market Orders will not be enabled at the start of trading on Millen
39. ity is 1 should this parameter undergo any change this would be communicated in due course 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 Limit Iceberg Named Quote Table 7 Order Time In Force 13 Specified as GFD on TradElect GTT must be specified in UTC 15 Immediate or Cancel equivalent to Execute and Eliminate on TradElect 3l 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 Coles FOK DAY GTD GTT _Market Limit Iceberg Named Quote Order Type Table 8 Order Time In Force Trading Sessions Start of Trading Zz Continuous Trading Zz Post Close Zz N N N N N N N N N lt lt lt lt lt lt lt lt lt z izzzzzmzz z zzzEzzEmEzz 32 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 regardl
40. nium Exchange Stop Limit Orders A Stop Limit Order is a Limit Order that will remain unelected will not be entered into order book until the stop price is reached Once elected a Stop disabled for SeDeX 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 For SEDEX market Stop Limit Orders will not be enabled at the start of trading on Millennium Exchange 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 disabled for SeDeX similar to a regular new Market Order The trigger for electing Stop Orders is based on the Last traded price For SEDEX market Stop Orders will not be enabled at the start of trading on Millennium Exchange 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 only 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
41. nload 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 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
42. o 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 Quote size 5 2 2 Content of quotes Both the bid and offered size on a quote on entry must be equal to or greater than the lot size for that specific security to be accepted by the system As far as quotation obligations are concerned Specialists should refer to market Rules and Instructions If the size value is specified as zero for a side then it will be considered that particular side being not submitted in a SSQ 35 Internal Cross A dual sided order agreed or identified within a single member firm that will Maximum spread The spread between the bid and offer prices must be at least one tick size and no more than the maximum spread specified in the relevant security 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 which is assessed against the permitted maximum However Executable Quotes that are wider than
43. ocol over the multicast Market segment means the division of the financial instruments into homogeneous groups in terms of trading methods and hours Markets means the regulated markets and MTFs organised and managed by Borsa Italiana S p A 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 of which transactions involving fin
44. ontinuous Trading session 2 If no bids and offers have been displayed during the Continuous Trading session the closing price is the average of a configurable number e g 10 of best bids 3 If no bids have been displayed during the Continuous Trading session the closing price is the previous trading day s closing price The closing price determined as above will be the Reference Price for the day and as such assigned as default Static and Dynamic Reference Price for Start of Trading the next 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 generated 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 49 9 2 Own Order Trade Book Download Millennium Exchange will continue to support both the Own Trade Book Download and Own Order Book Dow
45. r 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 Orders 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
46. r participants systems to have adequate safeguards in place to avoid erroneous order inputs 19 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 reference price from the previous trading day As soon as a trade is executed the static reference price is set equal to the price of the first automated trade for the current trading day 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 Price bands are only applied to Limit 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 Price Band or less than the Lower Price Band e Quotes which have either a bid or offer price that violates the Upper or Lower Price Bands Limit orders and Quotes with limit prices equal to the price band price are permitted Price bands will be set up at the individual instrument level Market sup
47. rading 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 SEDEX 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 24 Specific roles can be assigned at a 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
48. rket 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 22 Firm Member ID Native Trading Trading Party FIX Post Trade FIX Drop Copy FIX Trading Gateway UserID Gateway Trader Group a TraderGroup Gateway Gateway CompID Entered via FIX l are ComplD ComplD P Trading Gateway interchangeable Figure 2 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 degree 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
49. rsion these changes will be identified using a series 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 e Telephone 39 0272426409 348 606 647 e Service Desk Free Toll Number 00800 26772000 e 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 means with reference to the price of a given order Orders at 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 opposite of those just defined interest rates the meanings of better and worse prices are the Borsa Italiana means the market management company Borsa Italiana S p A Cassa di Compensazione mean
50. rted 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 GTC Y 39 GTD Y GTT Y IOC Y FOK Y 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 or FOK market order If an lOC 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 or FOK 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 e Stop and Stop Limit buy orders will be injected if the last traded automated trade price is equal or greater than the stop price e 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 incoming 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 Eli
51. s the company that operates the clearing and guarantee e Garanzia or CC amp G 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 Default means the valuation of a parameter accepted by definition if not otherwise specified with the entry of a specific value Executable quote EMS Exchange Market Size 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 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 GTP the market data service multicast GTP Lite the market data service over tcp ip MITCH the legacy Market Data prot
52. 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 50 Appendix 1 Certification Test Programme The Certification Test Programme is based on regulatory compliance supporting interoperability against Borsa Italiana and the other eligible London Stock Exchange Group LSEG venues The current eligible venues are Borsa Italiana London Stock Exchange and Turquoise The following Certification Test Programme applies to anyone connecting a software application to an LSEG Live Service A Live service is any production Trading or Information Services environment across LSEG Under EU and national regulatory requirements including the ESMA Guidelines on Systems and Controls in a Highly Automated Trading Environment Borsa Italiana is required to have procedures and arrangements to ensure fair and orderly trading This includes requirements for physical and electronic security to protect systems from misuse or unauthorised access and to ensure the integrity of the data that is part of or passes through the systems Borsa Italiana is required to undertake standardised certification testing to ensure that members and participants systems used to access the venues have a minimum level of functionality that is compatible with fair and orderly trading
53. tion 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 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
54. tomer 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 recommended 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 13 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 flat 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
55. used in the table for the market models segments and sectors above are the ones used as the SeDeX market starts trading on Millenium Exchange and may undergo changes which will be announced subsequently 15 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 e 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 e A Trading parameter consists of session parameters and a price tick table e A Post Trade parameter consists of trade types and delay model PTTS Figure 1 Technical structure of an instrument on Millennium Exchange 3 3 Symbology A new more efficient approach will be taken to the identification of trading instruments The 4 way key is no longer supported and an instrument must now be identified on tra
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