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Contents
Guide to Millennium Exchange Functional Release:- Q1 2012 1
Disclaimer 3
1. Release Overview 4
2. Key Enhancements 5
2.1. Enhancement 1: Introduction of a Closing Price Crossing Session 5
2.1.1. Brief summary of the service 5
2.1.2. Closing Price Publication (CPP) Session 5
2.1.3. Commencement of the Closing Price Crossing (CPX) Session 6
2.1.4. Operation of the CPX for SETS 6
2.1.5. Operation of the CPX for IOB 6
2.1.6. Order Management during the CPP session 7
2.1.7. Order Management during the CPP session cont/d 7
2.1.8. Orders that are parked during the CPP session: 8
2.1.9. Commencing the CPX session 8
2.1.10. Order Management during the CPX session 9
2.1.11. Amending inactive and active orders during the CPX 10
2.1.12. Trade Cancellation during CPP and CPX 11
2.1.13. Introduction of a new Trade Type for CPX 11
2.1.14. Market Data Feed for CPP session 11
2.1.15. Market Data Feed for CPX session 11
2.1.16. Market Data Feed for the uncrossing at the start of the CPX 12
2.1.17. Market Data Feed for Executions taking place during the CPX 12
2.2. Enhancement 2: Introduction of an automated process to update Restricted Instrument Lists for users of Sponsored Access and a “CFD Give up” dealing capacity 13
2.2.1. Introduction of a “CFD Give-Up” flag on the Dealing Capacity 16
2.3. Enhancement 3: Introduction of 2 further Trade Types for Off Book trade reporting 17
2.3.1. Introducing New Trade Types 17
2.3.2. Introducing new trade types for MTFs (reserved for future use) 18
2.4. Enhancement 4: Start and End of Day activities 19
2.4.1. Suppression of Previous Days’ Closing Price for subset of securities 19
2.4.2. Dissemination of “End of Post Close” trading status 19
2.4.3. Dissemination of “No Active Session” trading status 20
2.4.4. Reference Data file format change 20
2.5. Enhancement 5: Level 2-ITCH message format changes 20
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. TheLondon 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.
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1. Release Overview
Millennium Exchange delivers world class performance to customers of the London Stock Exchange Group, and we continue to develop the platform by updating the service with functional and technical enhancements to improve the overall customer experience.
The following document outlines the content of our next functional release, scheduled for Q1 2012. Customers are advised to also refer to the existing Millennium Exchange specifications to identify how these changes will technically impact the interfaces and services.
The document includes the business rationale for the functional enhancements and the technical changes that will be implemented to deliver the release.
Specification Number / Document TitleMIT 201 / Guide to Trading Service
MIT 202 / FIX Trading Interface
MIT 203 / Native Trading Gateway
MIT 204 / Post Trade Gateway
MIT 205 / Drop Copy Gateway
MIT 302 / FIX/FAST Specification
MIT 303 / Level 2-ITCH Specification
MIT 401 / Guide to Reference Data Services
MIT 701 / Guide to Sponsored Access
Millennium Exchange Business Parameters
The most updated version of these technical documents can be found at:-
http://www.londonstockexchange.com/products-and-services/millennium-exchange/technicalinformation/technicalinformation.htm
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 (UK) can be
contacted at:
· Telephone: +44 (0)20 7797 1500
· Email:
As part of these functional and technical upgrades there are no planned changes to the current Rules of the London Stock Exchange. The rules can be found at
http://www.londonstockexchange.com/traders-and-brokers/rules-regulations/order-book-trading/order-book-trading.htm
Document history.
This document has been through the follow iterations:
Issue / Date / Description1.0 / 21 December 2011 / First issue of this document published via the London Stock Exchange’‟s website and distributed to customers.
2.0 / 6 March 2012 / Second issue of this document published via the London Stock Exchange’‟s website and distributed to customers.
In subsequent issues, where amendments have been made to the previous version, these changes will be identified using a series of side bars as illustrated opposite.
2. Key Enhancements
2.1. Enhancement 1- Introduction of a Closing Price Crossing Session
Following customer feedback we are pleased to announce the creation of a Closing Price Crossing session which will take place immediately following the generation of an uncrossing trade (UT) at the Closing Auction, allowing participants a further opportunity to execute business at the day’s closing price.
2.1.1. Brief summary of the service
As part of the introduction of this new enhancement we will be creating two additional sessions to the SETS and IOB trading services.
1. Closing Price Publication Session (CPP). The purpose of which is to disseminate the closing price set by the Closing Auction. It will run immediately following the Closing Auction.
2. Closing Price Crossing Session (CPX). This session will provide a further continuous trading session where trading can take place fixed at the closing price.
Use of these sessions will be optional and the algorithm used to calculate the uncrossing price at the end of the Closing Auction for individual instruments will remain unchanged.
2.1.2. Closing Price Publication (CPP) Session
This session is specifically designed for dissemination of the closing price for an individual instrument at the end of the closing auction, following the successful completion of the uncrossing algorithm. The Closing Price Publication session will commence after the Closing Auction. If there are any Price Monitoring, or Market Order Extensions triggered the CPP will commence following the completion of all triggered extensions.
The CPP session will be a scheduled session and will last for 1 second in duration. Immediately following this session the system will transition into the CPX Session.
2.1.3. Commencement of the Closing Price Crossing (CPX) Session
The Closing Price Crossing Session will commence immediately after the completion of the CPP session.
2.1.4. Operation of the CPX for SETS
The CPX session for instruments traded on SETS will start no earlier than 16.35 (12.35 on early close sessions on the final trading days before Christmas and New Year).
The exact start and end time of the CPX will be determined by the number of Price Monitoring/Market Order extensions an instrument enters into ahead of the completion of the closing auction uncrossing algorithm.
Please note the random uncrossing period at the end of the closing auction call will take place, but will be ignored when determining the end time for the CPX.
Finishing times for the CPX session
· If the instrument doesn’t enter into any extensions the CPX will end at 16:40:00 (12:40:00 on early close sessions).
· If the instrument experiences one extension (regardless of whether it is a market order or price monitoring extension) the CPX will end at 16:45:00 (12:45:00 on early close sessions).
· If the instrument experiences two extensions or more the CPX will end at 16:50:00 (12:50:00 on early close sessions). Where there are three extensions less time will be allocated to the CPX.
If there is no closing auction execution due to an uncrossed book, or following a price monitoring and/or market order extensions where the price is still outside the ruling parameters and any ruling minimum auction volume has not been satisfied, the
Closing Price Crossing session will not occur
2.1.5. Operation of the CPX for IOB
The CPX session for instruments traded on the International Order Book (IOB) will start no earlier that 15:40:00 (12:40:00 on early close sessions i.e. the day before Christmas and New Year).
The exact start and end time of the CPX will be determined by the number of extensions (Price Monitoring /Market Order). The random uncrossing period at the end of the closing auction call will be ignored for the purpose of determining the end time of the CPX session.
Finishing times for the CPX session for IOB
· If the instrument doesn’t enter into any Extensions the CPX will end at 15:45:00 (12:45:00 on early close sessions)
· If the instrument experiences one Extension (regardless of whether it is a market order or price monitoring extension) the CPX will end at 15:50:00 (12:50:00 on early close sessions)
· If the instrument experiences two Extensions or more the instrument will close at 15:55:00 (12:55:00 on early close sessions). Where there are three extensions less time will be allocated to the CPX.
If there is no closing auction execution due to an uncrossed book, or following a price monitoring and/or market order extensions where the price is still outside the ruling parameters and any ruling minimum auction volume has not been satisfied, the Closing Price Crossing session will not be triggered.
2.1.6. Order Management during the CPP session
Injecting Stop and Stop Limit Orders at the start of the CPP.
Qualifying Stop and Stop Limit Orders which were parked during the closing auction call will be injected based upon the last traded price (UT price) immediately after the uncrossing but before the commencement of the CPP.
For example a buy Stop Order will be injected if the last traded automated price is equal to or greater than the stop price. Sell Stop Orders will be injected if the last traded automated trade is equal or less than the stop price.ith stop price greater than or equal to the last traded price (UT price) and
sell Stop Orders with stop price less than or equal to the last traded price (i.e. UT price) will be injected to the order book.
Upon injection, Stop Orders will become Market Orders.
Upon injection Stop Limit Orders will become Limit Orders. Injected Stop Limit Orders will be added to the order book based on standard price time priority.
Injected Stop Orders and Stop Limit Orders having a better limit price than the closing auction price can result in a crossed book.
This crossed book is carried over to the CPP session. However at the start of the CPX session this book will be uncrossed at the closing auction price in order to ensure that there are no executable orders at the closing auction price sitting on both sides of the order book.
2.1.7. Order Management during the CPP session cont/d
No trading will take place during the CPP session. Any incoming order will be parked (based on time priority) during this session.
Hence when an order is submitted:-
· An Execution Report with OrdStatus (39) = 9 (Suspended) and ExecType (150) = 9 (Suspended) will be sent via FIX Gateway
· An Execution Report with Order Status = 9 (Suspended) , Exec Type = 9 (Suspended) and Container = 5 (parked) will be sent via Native Gateway
· An Execution Report with OrdStatus (39) = 9 (Suspended) and ExecType (150) = 9(Suspended) will be sent via Drop Copy Gateway
All quotes submitted during this session will be rejected
· Via a Quote Status Report in with Quote Status (297) = 5 (Rejected), QuoteReject Reason (300) = 114500, Text (58) = Invalid Session (Quotes are not allowed) in FIX Gateway
· Via an Execution Report with ExecType (150) = 8 (Rejected), Order Status = 8 (Rejected) in Native Gateway.
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When the CPX session is enabled all quotes will be expired following the successful completion of the Closing Auction (in the SETS and IOB Trading session models). The expiration confirmation will read “End of Closing Auction Call” to confirm the Quotes have been expired.
Any order amendment requests sent via Order Management Gateways to amend order quantity, displayed quantity, expiration time, expiration date, stop price, limit price will be rejected as follows
· An Order Cancel Reject message with CxlRejReason (102) = 113200, Text (58) = Invalid Amend (Order Amendments are not allowed during CPP) will be sent via FIX Gateway
· An Order Cancel Reject Message with Cancel Reject Reason = 113200 will be sent via the Native Gateway
Order Cancel Request messages received via both Native and FIX gateways will be accepted and processed as normal.
2.1.8. Orders that are parked during the CPP session:
Orders that are parked during the CPP session will be injected into the order book at the start of the CPX. All such orders will be treated the same as any other order submitted during the CPX session.
2.1.9. Commencing the CPX session
At the start of the CPX session, the existing order book for the instrument will be carried forward and uncrossed at the closing auction price, this allows newly injected Stop Order and Stop Limit Orders with a price better than the closing auction price to enter the session and qualify for immediate execution, ensuring a crossed book will become uncrossed.
The uncrossing algorithm used during the uncrossing will be similar to that of any LSE auction, except for the fact that the volume maximizing algorithm is not used to derive the auction price, the uncrossing will take place at the closing auction price. Any new order injected during the CPX session will not be considered for the uncrossing (Please note Market Orders not executed in the Closing Auction Process will expire before the market transitions into the CPX).
At the end of the uncrossing and at the start of the CPX, if there are any remaining Market Orders (i.e. which are injected Stop Orders), they will remain as passive orders based on time priority on the order book.
2.1.10. Order Management during the CPX session
Market Orders injected as part of the CPX (Stop Orders)
Any Market Order left over from the uncrossing at the start of the CPX (injected Stop Orders) will take execution priority over any Limit Order in the order book during the CPX session.