2. Agenda
• Introduction
Eric Benedetti
• Migration to Millennium IT Exchange – Business Update
Gabriele Villa
• Migration to Millennium IT Exchange – Technical Update
Simona Cervi
• Information services
Edward Rainer
• Q&A session
2
4. MIT Migration – Business update recap
Key messages from June TUG about main functional differences between TradElect and
Millennium Exchange:
Order Imbalance during Auction Calls
Stamping VWAP in Execution Reports of Orders & Quotes
Stop and Stop Limit Orders
Market to Limit Orders
Cross Orders / Block Trade Facilities
Order cancel on disconnect
Introduction of Named Orders for Specialists
4
5. MIT Migration – November Business update
Agenda
Auctions uncrossing algorithm
Orders type
Iceberg behaviour
Incoming source
BTF parameters
Connectivity solutions and pricing
5
6. Auctions - Uncrossing algorithm
– The auction price will be the price at which the largest number of instruments
Step 1
can be executed. I.e. The price at which volume is maximized.
– If the volume is maximized at multiple prices then the auction price will be the
Step 2 price at which the Order Imbalance is minimized.
The Order Imbalance at a particular price will be the difference between the following two quantities:
- for the buy side the aggregate quantity of all the Market Orders as together with all the Limit Orders’ having a price greater than or
equal to the price being considered;
- for the sell side the aggregate quantity of all the Market Orders as together with all the Limit Orders’ having a price less than or equal
to the price being considered.
- During any of the auction call sessions (which can be Opening, Closing, etc) the imbalance quantity and the imbalance side will be
disseminated via the market data feeds
– If the Order Imbalance is minimized at multiple prices then the concept of
Step 3 Market Pressure will be used.
Market Pressure will be calculated as follows:
- if all the prices at which the Order Imbalance is minimized have a buy imbalance, then the highest price will be the auction price. (An Order
Imbalance on the buy side means there will be a remaining quantity in the buy side; this remaining buy pressure is likely to cause the price to
rise after the auction; hence the highest price is taken);
- if all the price points at which the Order Imbalance is minimized has a sell imbalance, then the lowest price will be the auction price (an
Order Imbalance on the sell side means there will be a remaining quantity in the sell side; this remaining sell pressure is likely to cause the
price to fall after the auction; hence the lowest price is taken);
- if the prices at which the Order Imbalance is minimized have buy and sell imbalances, then the highest price out of the prices with buy
imbalances and lowest price out of the prices with sell imbalances will be chosen.
6
7. Auctions - Uncrossing algorithm: MIT additional step
If step 3 resulted in two prices then the auction price is
Step 4
determined as below:
– if the STATIC Reference Price is equal or greater than the highest price, then
the highest price is chosen as the auction price;
– if the STATIC Reference Price is equal or less than the lowest price, then the
lowest price is chosen as the auction price;
– if the STATIC Reference Price is in between the two prices, then the STATIC
Reference Price is chosen as the auction price.
– This is a different step introduced with MIT Trading
7
8. Millennium Exchange - Time In Force
Time in
TradElect gap Behaviour
Force
DAY Specified as GFD on TradElect Orders with the DAY time in force will be expired at the
end of the trading on the day they are submitted.
GTC GTC will be used in case of Take Orders with the GTC time in force will remain in the
Over Bid (OPA) system until cancelled by the trading party or a market
operations user.
GTD Deleted at the end of trading on the day specified in the
order. If the specified day is a non-business day then the
order will expire before start of trading on the next
business day.
GTT GTT must be specified in UTC Orders with the GTT time in force will expire at the time
specified in the order or at the end of the trading day.
These orders must contain a valid expiry time that can be
specified down to seconds.
IOC Immediate or Cancel – Executed on entry and any remaining unexecuted volume
equivalent to Execute and deleted.
Eliminate on TradElect
FOK Executed in full on entry or immediately expired. An FOK
order may not be partially filled.
8
9. Millennium Exchange - Time In Force (cont.)
Time in
TradElect gap Behaviour
Force
OPG Specified as ATO on TradElect OPG time in force is used to direct orders to the Opening
Auction. OPG orders participate in the Opening Auction.
The remainder of these orders will expire once the
Opening Auction is completed.
GFA GFA time in force is used to direct orders to the next
auction. GFA orders submitted during the Continuous
Trading session will be parked until the next auction call
period starts at which point they will be injected into the
order book. Any remaining volume deleted after uncrossing
and they will not be executed during Continuous Trading.
If no auctions in a trading day then deleted after end of
trading.
ATC ATC time in force is used to direct orders to the Closing
auction. ATC orders submitted during the Continuous
Trading session will be parked until the Closing Auction
Call period starts at which point they will be injected into
the order book.
9
10. Order Type - Time In Force / Trading Session combinations
Trading Sessions
Trading Sessions
Opening/ Resume Closing
Start of Reopening Continuous Auction Auction Post
Trading Auction Call Trading Call Call Halt Close
IOC N N Y N N N N
FOK N N Y N N N N
DAY N Y Y Y Y N N
GFA N Y Y** Y Y N N
TIF
OPG N Y*** N N N N N
ATC N Y** Y** Y** Y N N
GTC N Y Y Y Y N N
GTD N Y Y Y Y N N
GTT N Y Y Y Y N N
Market N Y Y Y Y N N
Limit N Y Y Y Y N N
Order Type
Stop / Stop Limit N Y** Y* Y** Y** N N
Iceberg N N Y N N N N
Named N Y Y Y Y N N
Quote N Y Y Y Y N N
MTL N Y N Y Y N N
* Parked or Injected on the Order Book
** Parked
*** Valid in case of opening auction call not in reopening
10
12. Order Source
When a new order is submitted , the source of the incoming order must be specified by the
customer (Order Source). The purpose of this field is to be able to map the origin of the
order flow (as a category) and it is intended to anticipate the future development of
Financial Markets Regulatory framework.
Institutional - Details on what is expected
Client for each category will
Interconnected follow
- The order Source will be
mandatory
Branch of bank
- Field not distribuited
Agency through the market
messages
Private Client
Interconnected
Order Source
Retail Trading
Online
Authorized
Principal
Direct Member
12
13. Crossing Functionalities
– 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). Both are allowed only during the Continuous Trading session.
– 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”.
Cross Order BTF
- the price of the order must be within the visible - the price of the order must be within the spread
best bid price and the visible best ask price defined by:
(including them) in the order book at the time of the Visible best bid - a configurable percentage AND
Cross Order being submitted by the member firm. visible best offer + a configurable percentage. The
above will include the extreme values of the spread
- The last traded price is updated by a trade as well.
resulting from Cross Orders (means Stop or Stop
- The last traded price is not updated by a trade
Limit Orders can be elected based on that trade); resulting from BTF Orders (means Stop or Stop Limit
Cross Orders trades will not be considered for any Orders will not be elected based on a BTF Order
closing price calculation. trade).
- Cross Order trades will update the statistics such - Also BTF trades will not be considered for any
as High Price, Low Price, Volume and Turnover for closing price calculation (either as the final
on-book trades. automatic trade or as part of the VWAP).
13
14. BTF Functionalities – crossing parameters
• Considering the feedbacks received by market participants so far, we would
like to introduce the following parameters for crossing activity (to be
confirmed, figures are indicative):
Spread Min Size
• FTSE MIB components 3.5% 10 * EMS
MTA
• All MTA shares 5% or 7.5% 5 * EMS
SMEs • AIM Italy / MAC 10% 5 * EMS
TAH • TAH 7.5% 10 * EMS
Cross Orders and BTF will be available for all the markets; details on crossing
parameters available on other markets will follow
14
15. New Connectivity Pricing
• The migration of Italian cash markets to Millennium-IT will require an increase
in the bandwidth requirements, especially for the ones who will subscribe the
ITCH protocol
• To meet the new requirements, Borsa Italiana will have to extend the current
BItNet product offering to lines with additional capacity adopting, for high
bandwidth, the point-to-point technology
• New pricing guidelines:
– Extension of the leased 100mb lines to all members, where today they are offered
only to Borsa Italiana’s Service Providers
– Substitution of 40mb Mpls lines with 40mb point-to-point technology (if applicable)
– Extension of the offering to 40mb not resilient and 100mb not resilient (only for backup
sites)
– Maintenance of lighter solutions for smaller clients
– Extension of the offering to 1Gb lines
– Greater flexibility in the provision of bandwidth capacity for Off-Net sites
15
16. New Connectivity Pricing (cont.)
- VPN connections and non-resilient Mpls lines: unchanged fees
2Mb resilient
2Mb €28,000 MI-TO-RO € 28.000 € 24.000 -14,3%
MI-TO-RO National € 32.000 € 28.000 -12,5%
€24,000 -14,3%
International € 38.000 € 32.000 -15,8%
10Mb €45,000 10Mb resilient
MI-TO-RO € 45.000 € 42.000 -6,7%
MI-TO-RO National € 48.000 € 45.000 -6,3%
€42,000 -6,7% International € 52.000 = € 52.000 0,0%
40Mb €76,800 40Mb resilient
Milano Milano € 76.800 € 64.000 -16,7%
Torino-Roma € 76.800 € 70.000 -8,9%
€64,000 -16,7% National € 82.000 € 70.000 -14,6%
International € 88.000 € 75.000 -14,8%
100Mb €94,200
100Mb resilient
Milano Milano € 94.200 € 76.000 -19,3%
€76,000 -19,3% National € 84.000
New
International € 90.000
- The go-live date is set for April 1st, 2012, although new configurations which will be put in place in advance will
be charged according to the new pricing scheme.
16
17. Borsa Italiana - Millennium Migration Update
Technical User Group – 3 Novembre 2011
Simona Cervi
18. Introduction
During the presentation we did on June 29 we announced the migration of the MTA, ETF Plus, MOT,
ExtraMOT, Sedex, TAH, AIM, MIV and MAC markets from Tradelect to the Millenium IT trading
platform detailing the performance benefits of the new trading platform.
Today we would like to provide an update on the activities undertaken, the ones in progress and the
timeline for completing the migration of the markets by the end of the second quarter of 2012.
In particular, we remind you that there will be two major releases that will be deployed in CDS in
two different steps.
1) MIT CDS for the Trading After Hours market
2) MIT CDS for MTA, AIM, MAC, ETF Plus, MOT and Sedex markets
18
19. Undertaken and ongoing activities
• August: publication of the first draft of the Technical Specifications (trading and market
data) for Borsa Italiana markets
• September: availability of the early CDS test environment for Italian ISVs and Italian market
participants; the software and the market model were the ones currently available for the
LSE markets
• October 17: Updated version of the Technical Specifications available on Borsa Italiana
website
• Customer enablement forms available on Borsa Italiana website
• November 7: availability of MIT CDS for the TAH market
• First week of November: availability of DDM Plus for MIT
19
20. New MIT CDS environment (1)
Exchange Gateway (Trading) Services Customer Information
Service Exchange IP Address TCP Port
Fix Trading GW 01 - Channel 1 194.169.10.131 51411
Fix Trading GW 01 - Channel 1 Alternate 194.169.10.132 51411
Fix Trading GW 01 - Channel 2 194.169.10.131 51412
Fix Trading GW 01 Channel 2 - Alternate 194.169.10.132 51412
Fix Trading GW 02 - Channel 1 194.169.10.133 51413
Fix Trading GW 02 - Channel 1 Alternate 194.169.10.134 51413
Fix Trading GW 02 - Channel 2 194.169.10.133 51414
Fix Trading GW 02 Channel 2 - Alternate 194.169.10.134 51414
Native Trading 01 194.169.10.135 51441
Native Trading 02 194.169.10.136 51442
Native Trading 01 Recovery 194.169.10.135 51451
Native Trading 02 Recovery 194.169.10.136 51452
Post Trade Router 01 - Channel 1 194.169.10.139 51421
Post Trade Router 01 - Channel 1 Alternate 194.169.10.140 51421
Post Trade Router 01 - Channel 2 194.169.10.139 51422
Post Trade Router 01 -Channel 2 Alternate 194.169.10.140 51422
Drop Copy 01 - Channel 1 194.169.10.143 51431
Drop Copy 01 - Channel 1 Alternate 194.169.10.144 51431
Drop Copy 01 - Channel 2 194.169.10.143 51432
Drop Copy 01 - Channel 2 Alternate 194.169.10.144 51432
Drop Copy 02- Channel 1 194.169.10.145 51433
Drop Copy 02 - Channel 1 Alternate 194.169.10.146 51433
Drop Copy 02 - Channel 2 194.169.10.145 51434
Drop Copy 02 - Channel 2 Alternate 194.169.10.146 51434
Multicast Feed A Multicast Feed B Replay Service (Active) Recovery Service (Active)
Multicast Multicast
Config Multicast Multicast Source Service Service External External TCP
Channel name address Source IP LSEG VIP IP LSEG VIP IP
type address (Active) IP Address Port (UDP) Port (UDP) TCP Port Port
(Active) Address
194.169.10.210 194.169.10.210
194.169.10.200 61200
ITCH Gateway 1 ITCH 224.4.4.192 224.4.5.192 194.169.10.230 61200 194.169.10.240 53201 194.169.10.240 54201
194.169.10.210 194.169.10.210
194.169.10.200 61200
ITCH Gateway 2 ITCH 224.4.4.193 224.4.5.193 194.169.10.230 61200 194.169.10.240 53202 194.169.10.240 54202
20
21. New MIT CDS environment (2)
• The software available on CDS from November 7 will include all the instruments and the
functionalities available on the TAH market
• The existing TAH market structure (e.g. instruments, rules etc.) will also be maintained
• CompID dedicated to TAH market will be configured, following the standard naming
convention:
Market (2 char) + CED Code (4 digits) + “FT” (for FIX users)/”NT” (for native users) + “0”
(for standard users)/”S” (for specialist users) + progressive code (2 digits)
i.e. TH1234NTS01, TH1234FT002
• Customers configurations requests (users and connectivity) should be addressed to
MIT-migration@borsaitaliana.it
• Conformance tests on MIT platform will be scheduled starting from the end of February 2012
21
22. MDF/DDM Plus test environment
• The market data of the markets that will move to MIT will be distributed through:
• ITCH: Realtime Dissemination of full order book and trades (UDP multicast)
Extremely fast, suggested for latency sensitive applications
• MDF- DDM Plus service : 5, 10, 20 level of prices snapshot, all the depth of the market
real team (A5 level)
• ITCH will disseminate data for the first drop of CDS via one service channel
• The new version of MDF-DDM Plus connected to MIT will be available on the CDS
environment starting from November 7
• Conformance tests on MDF-DDM Plus will be mandatory. They will be scheduled starting from the
end of February 2012
22
23. Technical documentation available
– MIT201 - BIT - Guide to New Trading System - Issue 1.0
– MIT202 - BIT - Trading Gateway (FIX 5.0) Specification - BIT - Issue 2.0
– MIT203 - BIT - Native Trading Gateway Specification - BIT - Issue 2.0
– MIT204 - BIT - Post Trade Gateway (FIX 5.0) Specification - BIT - Issue 2.0
– MIT205 - BIT - Drop Copy Gateway (FIX 5.0) Specification - BIT - Issue 2.0
– MIT301 - BIT - Guide to Market Data Services - Issue 1.0
– MIT303 - BIT - Market Data Feed _ITCH_ Specification - BIT - Issue 2.0
– MIT305 - BIT - FTP Services Reference Data Specification - BIT - Issue 2.0
– MIT501 - BIT - Guide to Customer Testing on Millennium Exchange Issue 1.0
http://www.borsaitaliana.it/borsaitaliana/intermediari/gestione-mercati/migrazionemillenniumit-
mit/millenniumitmigration.htm
http://www.borsaitaliana.it/borsaitaliana/intermediari/gestione-mercati/migrazionemillenniumit-
mit/millenniumitmigration.en.htm
23
24. Accessing the Service
• The central systems (Trading Matching Engine) will be located in
Italy, the Primary Data Centre will be in Milan where the IDEM
central systems are already located. The Secondary Data Centre
will be also located in Milan.
• The connection to the markets will be available through
– the LSE group networks (BIt Network and/or Extranex)
– The co-location service provided by Borsa Italiana
• A new BIt Network topology will be delivered for bandwidth sizes
higher than 10Mb.
• Bandwidth sizes available will be:
– 2 Mb (Mpls)
– 10 Mb (Mpls)
– 40 Mb (point to point links)
– 100 Mb (point to point links) – minimum requirement for receiving ITCH
– 1 Gb (point to point links)
24
25. Access via Co-Location Service (1)
• Space in the same datacentre where the Millennium Exchange Primary Datacentre,
the IDEM market and the MDF/DDM+ services are located
• Direct ultra low latency connection (1 or 10 Gb fibre, according to customer request)
to all Borsa Italiana’s trading and information systems:
– MTA, MOT, ETF Plus and SeDeX
– IDEM Market
– MDF/DDM+
• Open connectivity model providing access through:
– Customer proprietary lines (wide range of available carriers)
– Borsa Italiana’s provided network (BIt Network)
– Internet VPN
25
27. Access via Co-Location Service (3)
• Added value services
– Remote Hands Service (Installation of customer equipment)
– Hands & Eye Service (e.g. HW Reboot)
– HW Monitor
– Local Intervention Team
– Highest datacentre security, power and cooling standards
• For further information:
– http://www.borsaitaliana.it/exchangehosting
27
28. Trading Front-End - BTS
• New BTS Client with:
– New user-friendly Layout
– New Functionalities
• Available in CDS environment for all
the Borsa Italiana markets
The production upgrade will take place between 15th October - 30th November 2011
28
29. Migration plan
•From the second quarter of 2012 mandatory public test sessions will be performed in
production environment
•Dress Rehearsals for TAH market
•Go-Live TAH market
•Dress Rehearsals for MTA, MOT, SEDEX, ETF plus, AIM Italia, MAC markets
•Go-Live MTA, MOT, SEDEX, ETF plus, AIM Italia, MAC markets
•The official live date of the new service will be communicated to market participants in
due time, and confirmed according to the outcome of the public test sessions.
31. Contact details
– Client Technology Services Italy – Borsa Italiana
– Client Services Team
Tel: 02/72426606/647/348
Clients-services@borsaitaliana.it
– Client Technology Services Italy – Borsa Italiana
– Service Desk Italy
Toll free: 0080026772000
From Mobile: +39 0245411399
Service-desk@borsaitaliana.it
MIT-migration@borsaitaliana.it
31
32. Milan Technical User Group
Real Time Information Services Update
Ed Rainer
Group Product Manager
33. London Stock Exchange Group Real Time Data
DDM-Plus Update
• DDM-Plus will be maintained as part of the Borsa Italiana migration to the Millennium
Exchange solution;
• The Group has now started a programme of enhancements – both software and
hardware – to ensure the DDM-Plus solution remains robust and can manage the
anticipated increases in message flow volume following the migration of Borsa Italiana
markets to the Millennium Exchange solution;
• The latest DDM-Plus release (Vrsn 2.6), supporting the additional functionality
provided by Millennium Exchange, will be made available shortly;
• The Group expects to further communicate a number of additional DDM-Plus product
releases prior to the go-live of Borsa Italiana markets on the Millennium Exchange
solution;
• The legacy DDM-Plus product (Vrsn 2.5) will continue to be available until further
notice.
33
34. London Stock Exchange Group Real Time Data
An Introduction to Level 2-ITCH
• Industry standard protocol with variants used by NasdaqOMX, Bats and Chi-X;
• Employed by the London Stock Exchange Group for the first time as part the London Cash
Equity Market migration to the Millennium Exchange solution;
• Highly performant, fixed-width binary protocol which is well suited for large data
transfers due to its small messages and low encoding;
• Perfectly suited to latency sensitive clients – the London ‘Optimised Data Delivery’ service
is currently recording world leading latency statistics;
• Incremental, full depth service in Milan;
• Each order will be communicated in a dedicated message. The full order book depth will
be disseminated;
• Replay and Recovery capabilities facilitating client allignment following short or long term
outage;
• Most popular protocol for London based clients and is fundamental to the Group’s longer
term market data strategy.
34
35. London Stock Exchange Group Real Time Data
Group Tickerplant
• The Group has now started work on the much anticipated Group Tickerplant;
• The Group Tickerplant will be offered in both London and Milan;
• The Group Tickerplant will replace DDM-Plus;
• The Group Tickerplant will be a functionally rich, efficient and scalable solution. It
will mirror the critical functionality of the DDM-Plus product.
• The new Group Tickerplant is anticipated to launch in Q4 2012.
• The Group will initiate client consultations in due course and would invite any
Italian client wanting to be involved to contact the Product Management team via
Clients Services (Italy).
• Clients should expect documentation to be released in Q1 2012.
35
