Open Day 2016 - Deutsche Börse€¦ · Deutsche Börse Group 1. ... Open Day 2016 Deutsche Börse Group 9. ... EnBS, VALUES API and SAKI §As one main overall interface concept,

Open Day 2016Cash market migration to T7® – main functional and technical features

Ulrich Meyer

5 October 2016

Contents

Open Day 2016

02 Scope Introduction 09 System order and trade identifiers

03 Structure 10 Technical features and member interfaces

05 General entitlement concept 13 T7® release 5.0 rollout timeline

08 Functional Features

Deutsche Börse Group 1

Cash market migration to T7 – scope at a glance


Asset classes Equities , ETFs and ETPs (CCP eligible)1)

Market models Continuous trading in combination with auctions

Connectivity Trading interfaces (ETI and FIX), market and reference data interfaces (RDI, MDI, EMDI & EOBI) and GUI solutions

Order types and quotes Market orders, limit orders, iceberg orders, stop order, trailing stop order, one-cancels-the-other order, book-or-cancel order , quotes

Order execution restrictions Fill or kill, immediate or cancel

Good-for-day, good-till-date, good-till-cancelledOrder validity constraints

Order trading restrictions Opening auction only, closing auction only, auction only

Trading safeguards (Extended) volatility interruption, self match prevention, session monitoring and triggered mass order / quote deletion

Market data dissemination Unnetted market data, netted market data, order-by-order feed for all instruments

Member confirmation Order confirmation, order execution confirmation, trade confirmation (incl. aggressor indicator)

1) Trading of ca. 200 non-CCP eligible instruments will be discontinued on XETR. Trading of these instruments on XFRA is not affected.

Instrument scope, market models and market access for step 1

Order types and restrictions

Safeguards, market data and execution reports

§ T7® will support proven key features of the current cash market system and provide additional features.§ The migration will involve two steps:§ Step 1: migration of the trading venues Xetra® (XETR), Vienna (XVIE) and Dublin (XDUB) equities and ETFs traded in

continuous trading / one auction§ Step 2: migration of the trading venue Frankfurt (XFRA) plus full instrument scope and all partner exchanges planned as

a future release

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Market structure

§ Each member ID will be retained (i.e. it does not change).§ Each market in T7® includes the hierarchy of assignment groups.§ These groups contain products and instruments.§ Group hierarchy is maintained by the exchange.

T7 Market Hierarchy

Market Eurex Market XETR

Group

Product

Instrument

Other markets

XetraGroup§ Collections of products of the same type which

refer to the same functional area§ Every tradeable product must belong to a

group

Products§ A product is equal to an instrument for the cash

market in general§ Several ETFs / ETCs will be grouped in the

same product§ Products of the same group are traded in the

same way§ The Reference Data Interface (RDI) and the

Reference Data File (RDF) describe each product

Instruments§ Tradeable entities§ An order refers to buying / selling specified

quantities of an instrument§ Instruments are set up by the exchange

Deutsche Börse Group 3Open Day 2016

Group

Product

Instrument

New participant structure

User A(supervisor)

Trader group N*

§ For clearing members / SI only

§ Contains users

§ Risk control of NCMs, but no trading

§ Scope of trade broadcasts is every entity that clears via ABCFR, i.e. all trading BUs and NCMs of ABCFR

Participant (e.g. ABCFR)

Trading business unit(e.g. ABCFR)

Clearing / Settlement Institutebusiness unit(e.g. ABCFRCL)

Trader group M*

User M1(head trader)

Serviceadministrator

User M2(trader)

… User Mn(trader)

User N1(trader)

… User Nn(trader)

Business unit


§ Two different types of business units:§ Trading§ Clearing / SI

§ Traders may be grouped in trader groups with optional head traders and supervisors.

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The instrument groups in Xetra® will be migrated to product assignment groups (PAG) on T7®.

General entitlement concept – mapping of instrument groups to product assignment groups

§ The PAG will have the same names and include the same instruments as in Xetra.§ All participants of an exchange will get assigned all PAG of this exchange.§ Different to Xetra users of the same trader group may have different product groups assigned.

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General entitlement concept – mapping of RALs to roles

§ Xetra®: RALs entitle user to execute specific operations

§ T7®: “roles” reflect defined functional combination of RALs; overall eleven roles defined for cash market

§ As part of data migration, users will get assigned a set of roles in T7 based on their RAL entitlement in Xetra.

In the first example, the user will be assigned to the Cash Trader role since he is entitled to Enter Orders.

The trader role also includes other resources,e.g. display of orders, trades and statistics.

In the second example, the user will be assigned to the Cash Service Administrator role since he is entitled to Add Users.

The Cash Service Administrator role also includes the modification of users and maintenance of their entitlement.

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RolesPAG

AFR0 DAX1 ... MDAX®

Trader x x

Market maker x

Trading view x

…

RolesPAG

AFR0 DAX1 ... MDAX

Trader x x xMarket maker x x xTrading view x x x

…

General entitlement concept – roles in conjunction with product assignment groups

Roles are assigned to users in context of product assignment groups. Each user can be configured for each of the assigned product groups, e.g. a user can act as trader in one product group while he is only allowed to view trades in another one.

For the migration, users will be assigned to the roles as per current RAL entitlement for all product groups.E.g. a user who is allowed to act as trader and has all product groups assigned, will receive the trader role for all PAG.

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Main new functional features


§ Market model changes§ Trailing stop and one-cancels-the-other orders will be supported via all interfaces.§ Iceberg orders will be implemented with optionally randomised peak.§ Iceberg order minimum sizes in volumes no longer in quantity.§ Aggressor indicator will be integrated in the ETI and FIX notifications for executed orders§ OA, AU, CA get new priority with each auction

§ Market making§ ETFs / ETCs are in general grouped in the same products à mass quotes will be supported§ Lifecycle concept for quotes

§ Order number§ Unique per product§ Same over lifetime of an order§ Version number changes when priority of order is changed

§ Trade numbers are unique per product, business day and market (MIC).§ Traders may be freely grouped in trader groups with optional head traders and supervisors. § Stop trading / cancel button§ Separated Trader, Admin and Clearer GUIs§ Order-by-order market data

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Transformation calculation required between the two systems

CCP or potentially Customer system T7®

System order number (as Xetra®)à Max 13 digits numeric

System order ID§ Assigned by the trading system, based on elapsed time

(nanoseconds) since 1 Jan 1970§ The order ID is unique per exchange (MIC) and product (ISIN).§ An order consists of the order number plus version number. The

order number of an order will stay the same during the entire lifetime of the order, the version number is changed each time the order gets a new time priority.

§ Length greater than system order number (Xetra today)§ Max 20 digits (8 byte integer)

System Order & Trade Identifiers

Trade identifiersT7 trade IDs:§ The trade ID is unique in the context of the exchange (MIC) plus the product (ISIN) per day.§ The format of the trade ID is identical to Xetra.

In the first two weeks of migration:

Xetra (XETR) trade number could equal a side trade number issued by T7 (XETR).

Post step 1 migration:

Xetra (XFRA) trade number could equal a side trade number issued by T7 (XETR) for the same ISIN.

System order identifiers


Cash market migration to T7 – main technical / interface features

§ Common T7® system for cash and derivatives

§ Multi market capability used for Eurex Exchange, Cash Market and partner exchanges and European Energy Exchange (EEX)

§ Trading platform based on Linux with various system components; no VMS-system§ Partitions concept for better scalability, throughput and separation of failure domains; separate

partitions for separate markets§ Direct messaging concept for high throughput

§ System tuned for highest throughput / ultra low latency (e.g. efficient mass quotes implementation and short message layouts)

§ Flexible external interfaces for exchange participants § Message-based interfaces for trading (ETI, FIX) and market / reference data§ New GUIs for trading, administration and clearing with automated version update§ No MISS, ETS, EnBS, VALUES API and SAKI

§ As one main overall interface concept, no inquiries will be supported. Recovery possible via start of day information (restatement) and retransmission (FIX and ETI) or snapshots (market and reference data)

§ Reports provided exclusively via the CRE


Overview of T7– interface landscape

§ New GUIs for trading, administration and clearing – Trader, Admin and Clearer GUI§ Distribution of reports via Common Report Engine and files via internet downloads – no support of MISS infrastructure§ New trading interfaces: Enhanced Trading Interface and FIX Gateway (via ETI)§ New market data interfaces for netted and unnetted market data and new reference data interface§ EMDS for all trade prices§ No support of VALUES API, GATE (MISS / workstation infrastructure), SAKI, ETS and EnBS

1) available in co-locations only. Available for all instruments.2) In addition to the multicast based solution, there will also be a file-based solution for reference data via the Common Report Engine (CRE) and an internet download.


EnhancedTradingInterface(ETI)

FIXGateway

MarketDataInterface(MDI)

ReferenceDataInterface(RDI)2)

TraderGUI AdminGUIClearerGUI

CommonReportEngine(CRE)

T7

Reports /files

... ...Market data and reference data multicast Feed handler (developed by participant and / or independent software vendors)

Trading applications(developed by participant and / or independent software vendors)

Via ETI

EnhancedOrder Book Interface(EOBI)1)

EnhancedMarket DataInterface(EMDI)

ExtendedMarket Data Services(EMDS)

Member Interfaces – High level summary


Exchange GUIs Market datainterfaces

Reference datainterfaces

Trading interfaces

AdminGUI

TraderGUI

ClearerGUI

EMDIEOBI

MDI EMDS RDI CRE ETI FIX

Order transactions ü ü üQuote transactions ü üPrivate order / execution info ü ü üPrivate trade info ü ü ü ü

Market data ü ü(un-

netted)

ü(netted)

Complete / recoverabletrade history

ü

User administration ü üInstrument referencedata

ü ü

Reports üCM stop / release

Clearer GUI ü

Exchange GUIs: One for core trading, one to maintain user master data and one for Clearing.

Enhanced Market Data Interface (EMDI): Provides price level aggregated public market data for high-bandwidth connected customers.

Enhanced Order Book Interface (EOBI): Provides order-by-order public market data to speed sensitive customers.

Market Data Interface (MDI): Provides netted price level aggregated public market data for low-bandwidth connected customers.

EMDS (Extended Market Data Services): Provides a real time and replay dissemination of all on-exchange trade prices.

RDI (Reference Data Interface): Provides regular snapshots containing public reference data information as of the beginning of the day.

Common Report Engine (CRE):§ Provides public reference data as a file download

(RDF).§ Provides reports and files.

Enhanced Trading Interface (ETI):§ Performs order / quote routing and trade information via

TCP / IP socket interface .§ Native interface which uses FIX 5.0 syntax, but partly

varying semantics.

FIX Gateway: Provides order routing and order trade info access for FIX 4.2 and FIX 4.4 customers order routing devices, i.e. it can host trading and / or back office sessions.

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T7 release 5.0 rollout timeline


§ Virtual private simulation will be launched on 6th March 2017 and will offer testing environment for ETI and FIX as well as market data interfaces.

§ End-to-end integrated simulation including CCP and T7 GUIs will be offered starting on 28 April 2017.

§ Technical launch on 19 June 2017, Xetra Frankfurt launch phase from 26 June until 3 July, Dublin launch on 17 July and Vienna at the end of July (tbc).

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Q4 / 2016Nov Dec

Q1 / 2017Jan Feb Mar

Q2 / 2017Apr May Jun

Q3 / 2017Jul Aug SepT7® release 5.0 rollout timeline

Simulation 6 Mar 2017 31 Jul 2017• Support of virtual private simulation 6 Mar 2017 14 Jul 2017• Integrated simulation (set-up) 14 Apr 2017 27 Apr 2017• Start integrated simulation 28 Apr 2017 28 Apr 2017 2017-04-282017-04-282017-04-2828 Apr 2017• Integrated simulation (on-going) 14 Apr 2017 14 Apr 2017

Production launch phase 19 Jun 2017 31 Jul 2017• Technical launch 19 Jun 2017 19 Jun 2017 2017-06-192017-06-192017-06-1919 Jun 2017

• Migration phase Xetra Frankfurt 26 Jun 2017 3 Jul 2017• Migration phase Dublin and Vienna 17 Jul 2017 31 Jul 2017

Thank you for your attention.

Documents

Open Day 2016 - Deutsche Börse€¦ · Deutsche Börse Group 1. ... Open Day 2016 Deutsche Börse Group 9. ... EnBS, VALUES API and SAKI §As one main overall interface concept,