21 September2011

Service Announcement 001/21092011

Migration of the electronic Order book for Retail Bonds (ORB) to Millennium Exchange

The purpose of this service announcement is to remind customersof key information regarding the migration of the electronicOrder book for Retail BondsTrading Service to the Millennium Exchange platform.

Go-live

The migration of the electronic Order book for Retail Bonds is confirmed for

go-live on Monday 26 September 2011.

Pre-Migration

On Friday 23 September 2011, customers are advised to delete all open orders during the period MFRC, between 16:30-17:00. In addition,the Exchange will delete any open orders from 17:17.

Configuration of the Trading Service

The configuration of the Order book for Retail Bonds Trading Service will mirror the current SETS Trading Service on Millennium Exchange, inheriting the following characteristics:

  • The introduction of a closing auction for UKGT and UKCPSegments to run from 16:30 to 16:35 with an additional 30 second random end and subject to the standard price monitoring extensions.
  • Amendment of the opening auction, which will run from 07:50 to 08:00, rather than the current time of 08:00 to 08:10.
  • Iceberg orders will be permitted.
  • The Closing price calculation will be derived from the UT/mid price.

However, Stop and Hidden order types will not be permitted as per the existing trading functionality.

No additional fields or trading messages have been introduced to support this service. However, as outlined in Service Announcement 001/18082011, a new segment, INCP, will be introduced. This new segment will not contain any instruments at launch.

Market Data Dissemination

Market Data will be disseminated via the following existing Millennium Exchange Market Data channels:

Service / AppID / Description
FIX-FAST Level 1 / UKBL1 / Instrument Group B
FIX-FAST Level 2 Snapshot / UKB2P
UKB2O / Instrument Group B
Level 2-ITCH / E / Miscellaneous

No additional fields or messages will beintroduced to support this service.

Whilst no order book updates will be disseminated on the legacy Infolect channels post this migration, the Infolect service will continue to disseminate some redundant administration messages. The Exchange will confirm the decommission date in due course.

Documentation Updates

The following documentation has been updatedand will be available in theTechnical Specifications page of the Exchange’s websitefrom Monday. The following documents have been updated:

  • Millennium Exchange Business Parameters. (Version 2.0)
  • MIT201 – Guide to the Trading System (Version 8.0)

Customers requiring any further information should contact their Technical Account Manager or the Millennium Service Desk on +44 (0)20 7797 1500.

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