Technical User Group

Monday 9 April 2018

Agenda

• Introduction
• Technical Updates
• Business Update
• IDEM Release – SOLA 12
• Q&A

London Stock Exchange Group 9 April 2018 Page 2

Technical Updates

Ali Khaloufi
Technical Account Manager
Client Technology Services – UK
Technical Updates

• Turquoise – Hardware Refresh

• Turquoise – MITCH Decommission
• London Stock Exchange Group – Legacy CDS
• London Stock Exchange Group – Order Record Keeping Reminder

• London Stock Exchange Group – 2018 Timeline

London Stock Exchange Group 9 April 2018 Page 4

Turquoise - Hardware Refresh

London Stock Exchange Group 9 April 2018 Page 5

Turquoise – Hardware Refresh
• Hardware across the Turquoise Millennium trading platform will be
refreshed.
• No impact to customer software or network configuration.
• This will be a big bang approach, no parallel run.
• Participation in Customer Dress Rehearsal and Go-Live Weekend is
strongly recommended.

• Exact dates will be announced closer to the time, expected end of Q3.

London Stock Exchange Group 9 April 2018 Page 6

Turquoise – MITCH Decommission

London Stock Exchange Group 9 April 2018 Page 7

Turquoise – MITCH Decommission

• Group Ticker Plant (GTP) supports London Stock Exchange Group’s real-
time information services.

• Following the successful launch of GTP on the Turquoise market early last
year, Turquoise has announced that Turquoise MITCH will be
decommissioned on 1 July 2018.

• Turquoise members who have not yet migrated to GTP will need to prior to
the decommission date.

• London Stock Exchange Group recommends provisioning connectivity in

excess of 1Gb in readiness for GTP.

• Plans to decommission MITCH for other London Stock Exchange Group

markets have yet to be finalised.

London Stock Exchange Group 9 April 2018 Page 8

 Turquoise – MITCH Decommission
• For reference, the following guides are available for use:

Document Document Title Issue Content

Identifier
GTP001 Product Guide 13.2 Product overview, architecture, key product drivers.

GTP002 Technical Guide 19.4 Message formats, data recovery, delivery standards.

GTP003 Statistic Guide 10.3 Derived data overview, calculation methodologies.

GTP004 Parameters Guide 19.4 IP address ranges, product interaction parameters.

GTP005 Testing Services Guide 9.1 Customer testing requirements and support.

GTP008 Market attributes Guide 3.0 Market/service specific differences in the operation or
provision of data from the GTP

• GTP documentation can be found at the following link:

https://www.lseg.com/areas-expertise/technology/group-technology/group-ticker-plant

London Stock Exchange Group 9 April 2018 Page 9

London Stock Exchange Group –
Legacy CDS

London Stock Exchange Group 9 April 2018 Page 10

Legacy CDS

• A Legacy CDS environment will become available to customers, when the

current CDS is upgraded with a new release.

• This service has already launched for the Derivative markets. LSE and
Turquoise is due to be launched on 30 April 2018.

• A Legacy Sponsored Access Portal will follow end of June 2018.

Confirmation of dates will be communicated in due course.

• Connectivity guides will also be updated in due course.

• All SAPs currently enabled for CDS, will automatically be enabled for
Legacy CDS.

• Comp IDs will not be migrated to Legacy CDS.

London Stock Exchange Group 9 April 2018 Page 11

 Legacy CDS

• Go-live dates by markets:

Legacy CDS Market Live Date
LSEDM Equity Derivatives Launched

LSEDM Interest Rate Derivatives Launched

(CURVEGLOBAL)
Turquoise 30 April 2018

LSE 30 April 2018

LSE/Turquoise Sponsored Access Portals June 2018

• LSEDM connectivity details are published in the latest

LSEDM102 Connectivity Guide.
• Connectivity details for other market will be updated in their
respective Connectivity Guides in due course.

London Stock Exchange Group 9 April 2018 Page 12

London Stock Exchange Group –
Order Record Keeping Reminder

London Stock Exchange Group 9 April 2018 Page 13

Order Record Keeping Reminder

• In accordance with the rules of the LSEG markets, Trading Members are required to
provide the association between the short code used on orders submitted to the
trading platform and the related long code in order to comply with order record
keeping requirements.

• Member firms should ensure all Short Code mappings for the day are registered in
Member Portal by 18:00 UK time each day.

• Post 18:00 UK time, the end of day reconciliation process is run between short
codes submitted on order for the trading day and the Member Portal mappings.

• Following the EOD reconciliation process, a missing short code report will be
available in member portal highlighting missing short codes for the given trading day.

• Member firms have until T+1 to upload missing codes. Any codes still missing after
T+1 will be escalated to the LSE Market Abuse team.

London Stock Exchange Group 9 April 2018 Page 14

Order Record Keeping Reminder

• Short Codes can be updated either:

• Directly in Member Portal Short-Long Code Data Management screen
• Bulk Upload via Member Portal
• Bulk Upload via sFTP

• Member Firms can download daily missing code reports for the last five
days in the Reports section on Member Portal.

London Stock Exchange Group 9 April 2018 Page 15

2018 Timeline

London Stock Exchange Group 9 April 2018 Page 16

2018 Timeline

• 30 April 2018 - Launch of CurveGlobal® Three month SONIA Futures

and accompanying Inter-Commodity Spreads between CurveGlobal®
Three month SONIA Futures and Three month Sterling Futures.

• End of April 2018 – Member Portal available for LSEDM Equity and
Interest Rate Derivatives (CurveGlobal).

• June 2018 – TRADEcho Release 10 Upgrade.

• 1 July 2018 – Turquoise MITCH Decommission.

• Q3 2018 – Turquoise Hardware Refresh.

• 2nd Half 2018 – MIT Releases for Turquoise and London Stock
Exchange and further TRADEcho releases.

London Stock Exchange Group 9 April 2018 Page 17

Business Update

Tom Stenhouse
Head of Market Management & Development
Capital Markets
MiFID II – initial impressions and interactions

Thank you
• Huge effort by all involved in a smooth transition for the most significant change in European financial markets
regulation in modern times

ESMA transparency and market structure data: tick sizes and LIS values
• Early MiFID II was characterised by a considerable number of tick size differences across venues
• Differences between venues is now largely resolved, noting ESMA Transitional Transparency Calculations
(TTC) data still has anomalous data and setting tick sizes and LIS values for new ISINs subject to
inefficiencies
RTS 8 – market making agreements
• London Stock Exchange: 14 market makers with over 5,000 aggregate registrations
• Turquoise: 6 market makers with just under 5,000 aggregate registrations
RTS 24 – short/long code mapping
• 1.4m short/long code mappings received across London Stock Exchange and Turquoise
• Of which 84% are Client LEIs, 8% Natural Persons, 8% Algorithms
• But still some mappings pending…

Page 19
 MiFID II impact on trading volume

ESMA Volume Cap Mechanism

• On 9 January 2018, ESMA announced a delay publication of the data on the Double Volume Cap (‘DVC’)
mechanism for January 2018 due to collection of an incomplete dataset.
• On 7 March 2018, the first DVC-related pre-trade transparency waiver suspensions
• 680 London Stock Exchange Liquid instruments impacted by Negotiated Trade Waiver suspension, 714
Turquoise instruments impacted by Reference Price Waiver suspension
• Since MiFID II and the DVC, strong growth in Large In Scale waiver trading and periodic auction mechanisms

Turquoise Lit Auctions™ Daily Value Traded

€40m
London Stock Exchange Turquoise Plato Block Discovery™ Value Traded Introduction of MES, DVC,
5 March 12 March
Mid-point Pegged Order Value Traded 9,500 €35m
9,000
£450m 8,500
8,000 €30m
£400m
7,500
£350m 7,000
€25m
6,500
£300m 6,000
5,500
£250m €20m
5,000
4,500
£200m
4,000 €15m
Value traded, EUR millions

£150m 3,500
3,000
£100m 2,500 €10m
2,000
£50m 1,500
1,000 €5m
£0m 500
Oct-16

Jan-17

Apr-17

Oct-17
Mar-17

Jul-17

Jan-18

Mar-18
Dec-16

May-17

Jun-17

Aug-17

Dec-17
Nov-16

Feb-17

Sep-17

Nov-17

Feb-18

0
Oct-14

May-15
Feb-15
Mar-15
Apr-15

Jul-15

Oct-15

Feb-16
Mar-16
Apr-16
May-16
Jul-16

Oct-16

Feb-17
Mar-17
Apr-17
May-17
Jul-17

Oct-17

Feb-18
Sep-14
Nov-14
Dec-14
Jan-15

Jun-15
Aug-15
Sep-15
Nov-15
Dec-15
Jan-16

Jun-16
Aug-16
Sep-16
Nov-16
Dec-16
Jan-17

Jun-17
Aug-17
Sep-17
Nov-17
Dec-17
Jan-18

€0m

22-Jan
02-Jan
03-Jan
04-Jan
05-Jan
08-Jan
09-Jan
10-Jan
11-Jan
12-Jan
15-Jan
16-Jan
17-Jan
18-Jan
19-Jan
23-Jan
24-Jan
25-Jan
26-Jan
29-Jan
30-Jan
31-Jan
01-Feb
02-Feb
05-Feb
06-Feb
07-Feb
08-Feb
09-Feb
12-Feb
13-Feb
14-Feb
15-Feb
16-Feb
19-Feb
20-Feb
21-Feb
22-Feb
23-Feb
26-Feb
27-Feb
28-Feb
04-Dec
05-Dec
06-Dec
07-Dec
08-Dec
11-Dec
12-Dec
13-Dec
14-Dec
15-Dec
18-Dec
19-Dec
20-Dec
21-Dec
22-Dec
27-Dec
28-Dec
29-Dec

01-Mar
02-Mar
05-Mar
06-Mar
07-Mar
08-Mar
09-Mar
12-Mar
13-Mar
14-Mar
15-Mar
16-Mar
19-Mar
20-Mar
21-Mar
22-Mar
23-Mar
26-Mar
27-Mar
28-Mar
29-Mar
03-Apr
Page 20
IDEM Release (SOLA 12)

Roberto Fumagalli
Technical Account Manager
Client Technology Services – Italy
New Features

• Deferred Publication

• New Throttling Mechanism

• Package Transaction Waiver

London Stock Exchange Group 9 April 2018 Page 22

Deferred Publication (1)

• The Deferred Publication functionality allows market participants to request to delay

via the market data feed services available (GTP and HSVF) the publication of
trade information

• This possibility is reserved to Bundle Orders and Cross Orders/Block Trades

(bilateral negotiated transactions) where characteristics of the Trade are in line with
exemption to immediate Post-Trade Transparency

• The publication of the trade can be deferred if:

– The deferred publication is enabled on the instrument

– The size of the trade is above the minimum required

– At least one of the two counterparties has requested to defer the Trade

London Stock Exchange Group 9 April 2018 Page 23

Deferred Publication (2)

• When a Negotiated Transaction is executed:

– executed Trades are sent to the clearing system, and

– Member Firms receive technical messages confirming trade execution and indicating whether
Negotiated Transaction details have been published immediately or deferred

• Details of the trade will be disseminated via the market data feed services available
at the beginning of the ‘mini-batch’ phase
• Deferred trades are marked with a specific post-trade flag in the market data feed
(“Deferral flag” and “Deferral Flag Marker” field in HSVF)
• a new field “Post Trade LIS Volume” (option/future instrument keys) is provided in
Reference Data indicating the minimum size configured to accept a Deferred
Publication request, expressed in number of lots

London Stock Exchange Group 9 April 2018 Page 24

Deferred Publication – Protocols Changes

The Deferred Publication of a trade can be requested:

• Via SAIL Protocol
– in the “Cross Entry” and “Bundle Order” messages via the Deferred Publication field

– the “Execution Notice” message will report the same Deferred Publication field together with the
Deferral Flag to indicate whether deferred publication happened under the MiFID 2 “Large in
Scale” Post-Trade Deferral

• Via FIX Protocol

– in the “Trade Capture Report” and “New Order Cross” messages via the TradePublishIndicator
field

– the “Execution Report message will report the same TradePublishIndicator field together with the
TrdRegPublicationReason field

London Stock Exchange Group 9 April 2018 Page 25

New Throttling Mechanism

• Trading Users on SOLA platform are configured with a maximum number of tps (transactions
per second) allowed; currently transactions which exceed the maximum number of tps allowed
are queued and processed the following second available
– Customers loose control on their orders/quotes once queued

– Cancellation/mass cancellation of an order/quote queued is not possible

• With SOLA 12 it will be (optionally) possible to reject messages which exceed the maximum
number of tps allowed

• The system will be initially configured to maintain the existing or the new throttling mechanism
at user choice, at the level of each User ID

• A specific migration plan from the current to the new throttling mechanism will be agreed with
each customer

London Stock Exchange Group 9 April 2018 Page 26

Package Transaction Waiver

• Currently, all the legs of a Bilateral Negotiated Transaction must individually be

above their respective LIS threshold in order to be accepted by the system

• With SOLA 12 it will be possible to execute Bilateral Negotiated Transaction

under the MiFIR / MiFID 2 “Package Order” Pre-Trade Waiver
– With this enhancement, Negotiated Transactions are accepted if at least one of the leg has
a size above the Pre-Trade “Large-in-Scale” (LIS) threshold defined by MiFIR / MiFID 2 that
permit exemption to pre-trade transparency

• On IDEM market, this waiver can be accessed using the Bundle Order
functionality

London Stock Exchange Group 9 April 2018 Page 27

Bundle Order (1)

• Bundled Orders allow traders to group up to 4 committed cross orders on

different Instrument Series (one per cross order) within the same transaction to
different counterparties (one per cross order), offering certainty of simultaneous
execution of all the individual trade reports included in the BO, or no execution
at all

• Bundled Orders will require traders to specify price, size, counterparty and
Instrument Series for each order

• A Bundled Order is executed only if all the legs can be executed, that is if all
counterparties have accepted

London Stock Exchange Group 9 April 2018 Page 28

Bundle Order (2)
Counterparty A initiates:
1. Instrument 1 vs. Counter Party B
BO request
2. Instrument 2 vs. Counter Party C
3. Instrument 2 vs. Counter Party D 3 Trade

Notify
Counterparty B Accept

Trade

SOLA Trade to HSVF

Notify
Counterparty C Accept
Trade

Notify
Counterparty D Accept
Trade

London Stock Exchange Group 9 April 2018 Page 29

Bundle Order (3)
Counterparty A initiates:
1. Instrument 1 vs. Counter Party B
BO request
2. Instrument 2 vs. Counter Party C
3. Instrument 2 vs. Counter Party D Reject

Notify
Counterparty B Accept

Reject

SOLA

Notify
Counterparty C Accept
Reject

Notify
Counterparty D Reject
Reject

London Stock Exchange Group 9 April 2018 Page 30

Package Transaction Waiver – Protocol Changes

From a trading perspective, the Package Transaction Waiver is specified:

• on the SAIL protocol, in “Execution Notice” messages with the Waiver Indicator
Flag and PTT Trade Types Flag fields

• on the FIX protocol in “Execution Report” messages (tags 2669 and 2670,
TrdRegPublicationType and TrdRegPublicationReason)

From a market data feed perspective, the Package Transaction Waiver is notified:
• Via HSVF in the PTT Trade Type field in the Trade (Option, Future, Strategy)
message (value TPAC)

• Via GTP in the PTTransTypeFlag field in the MiFID II Trade message

London Stock Exchange Group 9 April 2018 Page 31

Timeline

• March 2018: publication of the Technical specification updated for SOLA 12

http://www.borsaitaliana.it/borsaitaliana/gestione-mercati/migrazioneidem/migrazioneidem.en.htm

• 3 April 2018: availability of SOLA 12 CDS environment

– Legacy CDS (with SOLA 11 version) is also available for tests on the current production release

• Customer Dress Rehearsal Target Date: 12 May 2018 (TBC)

• Go-Live Target Date: 26 May 2018 (TBC , subject to customers’ readiness)

• Conformance test approach:

– mandatory for all proprietary applications/ISVs implemented with native protocol;

– mandatory for all proprietary applications/ISVs implemented with FIX protocol just in case Cross Order, Bundle
Orders e Third Party Trade functionalities are supported;

– The self certification for all the application which gets market data feed via HSVF service

London Stock Exchange Group 9 April 2018 Page 32

GTP Update

London Stock Exchange Group 9 April 2018 Page 33

New GTP Release (1)

• Together with SOLA 12, a new release of GTP will be delivered in production

• Main changes are:

– Change of the layout of the “Announcements” message

– New Security Sub-Types for Borsa Italiana Cash Equity and Fixed Income Markets and
EuroTLX

• In CDS since April 3rd 2018

• Documentation published on March 20th

• Live with SOLA 12

London Stock Exchange Group 9 April 2018 Page 34

New GTP Release (2)

• Change of the layout of the “Announcements” message (0x75):

– changes will be introduced in order to disseminate stressed market conditions on IDEM
(replicating what already done by HSVF)

– new values (Stressed Market Condition Start/End, Stressed Market Obligations Start/End)
will be disseminated for the “Announcement Type” field

– new field (“Flags”) for indicating the concatenation of messages (when the Text field exceed
the available 120 chars)

London Stock Exchange Group 9 April 2018 Page 35

New GTP Release (3)

• New Security Sub-Types for Borsa Italiana Cash Equity and Fixed Income
Markets and EuroTLX:
– values of the Security Sub-Types field in Instrument Directory messages will be aligned
to values listed in MIT 305 Reference Data Files for

– Borsa Italiana Cash Equity and Fixed Income Markets

– EuroTLX

– this will increase service flexibility and scalability (Security Sub-Types will be uniquely
defined at Trading venue level)

London Stock Exchange Group 9 April 2018 Page 36

“C” Feed (1)

• In case of Disaster Recovery Invocation on GTP and GTP Lite services for
Borsa Italiana markets running on the MIT platform and for ETLX markets,
market data will be disseminated exclusively via Feed C (the Tertiary Feed)

• Feed C:
– is available for MTA, MIV, MOT, SeDeX, AIM Italia-MAC, ETFplus, TAH, BIt GEM and
EuroTLX channels

– is not available for IDEM (and FTSE) channels

London Stock Exchange Group 9 April 2018 Page 37

“C” Feed (2)

• Feed C (continued):
– is generated in the Secondary Data Centre (SDC) independently from Feed A and B

– consequently, it has different sequence numbers and for snapshot Service Lines (TOB,
MBO, MBP, FDI and PT), Feed C snapshot will be not be synchronized with Feed A and
B ones

– is always available, not only in case of failover of the service

– allows to keep receiving data for the above listed markets in case of unavailability of Feed A
and B (generated in PDC)

London Stock Exchange Group 9 April 2018 Page 38

“C” Feed (3)

• Feed C (continued):
– in case of failover, the Market Data Group might (not necessarily) be amended (from upper case to
lower case) for each channel therefore followed by the reset of Sequence Numbers to 1 (reset of
Sequence Numbers is a documented behavior in case of modification of the Market Data Group)

– includes:

– dedicated multicast groups (one for each pair of ‘Service Line-Channel’)

– dedicated IP and ports for Reply and Recovery services (an IP and Port for each pair of
‘Service Line-Channel’)

– dedicated IP and ports for GTP Lite services (an IP and Port for each pair of ‘Service Line-
Channel’)

London Stock Exchange Group 9 April 2018 Page 39

Q&A