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Guide to New Trading System

Guide to New Trading System

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Published by calibrateconfidence
Guide to New Trading System
Guide to New Trading System

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Published by: calibrateconfidence on Apr 27, 2013
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Guide to the TradingSystem
Issue 10.0 effective 26 November 2012
MIT201 ∙ MILLENNIUM EXCHANGE
 
 
 
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Contents
Contents.................................................................................................................... 2Disclaimer ............................................................................................................. 41. Introduction ........................................................................................................ 51.1. Purpose ...................................................................................................... 51.2. Relevant London Stock Exchange communication channels ....................... 61.3. Readership.................................................................................................. 71.4. Document series ......................................................................................... 81.5. Document history ........................................................................................ 91.6. Enquires .................................................................................................... 102. Customer Interfaces ........................................................................................ 112.1. Overview ................................................................................................... 112.2. Message workflow ..................................................................................... 142.3. Time synchronisation ................................................................................ 152.4. Reference Data Service ............................................................................ 162.5. Technical details ....................................................................................... 163. User Configuration ........................................................................................... 173.1. Structure ................................................................................................... 173.2. Firm........................................................................................................... 183.3. Node ......................................................................................................... 183.4. User .......................................................................................................... 183.4.1. TraderGroups for FIX Connections ................................................. 183.4.2. TraderGroups for Native connections ............................................. 193.4.3. FIX Connection Users .................................................................... 203.4.4. Native connection Users ................................................................. 203.5. Connection security ................................................................................... 203.6. Example configuration ............................................................................... 213.7. Cancel on disconnect / logout ................................................................... 233.8. Message throttling ..................................................................................... 233.9. SETS Internaliser ...................................................................................... 244. Market Structure .............................................................................................. 254.1. Market configuration .................................................................................. 254.2. Business categorisation of securities......................................................... 274.3. Technical operation parameters ................................................................ 284.4. Trading Sessions ...................................................................................... 314.5. Symbology ................................................................................................ 325. Orders and Quotes .......................................................................................... 335.1. Order & Quote types ................................................................................. 335.2. Order entry fields....................................................................................... 355.3. Time in Force ............................................................................................ 385.4. Order / Time In Force combinations .......................................................... 415.5.
 
 
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6.4. Passive Only Order ................................................................................... 496.5. Price Differential field ................................................................................ 506.6. Order management ................................................................................... 506.6.1. Order modification .......................................................................... 506.6.2. Exchange deletion of orders ........................................................... 516.6.3. Authorised Persons List (London Stock Exchange Rule 1500) ....... 516.6.4. Market Orders and first day of trading ............................................. 516.6.5. Specifying ClOrdID ......................................................................... 516.7. Settlement Account Types ....................................................................... 527. Order Book Execution ..................................................................................... 537.1. Trade types ............................................................................................... 537.2. Auctions .................................................................................................... 537.2.1. Market order extension ................................................................... 547.2.2. Price monitoring extension ............................................................. 547.2.3. Uncrossing algorithm ...................................................................... 557.3. Continuous trading price monitoring .......................................................... 557.4. Detailed thresholds ................................................................................... 567.5. Contra of automatic trade reports (London Stock Exchange Rule 2110) ... 577.6. Use of trade identifiers for transaction reporting ........................................ 588. Off Book Trade Reporting ................................................................................ 598.1. Trade reports (London Stock Exchange Rule 3040) .................................. 598.1.1. Dealing capacity (London Stock Exchange Rule 2102)................... 608.1.2. Other trade report criteria ............................................................... 608.2. Amending / cancelling manual trade reports.............................................. 619. Additional Services .......................................................................................... 629.1. Drop Copy ................................................................................................. 629.2. Own Order / Trade Book Download .......................................................... 6210. Recovery Model ............................................................................................ 6310.1. Connection ............................................................................................ 6310.1.1. FIX Recovery .................................................................................. 6310.1.2. Native Recovery ............................................................................. 6410.2. Disaster recovery site ............................................................................ 6410.3. Exchange market intervention ............................................................... 6510.3.1. Live Service Portal .......................................................................... 6510.3.2. Market situation options (London Stock Exchange Rule 1520) ....... 6611. Service Interruptions Protocol ....................................................................... 6711.1. Overarching Principles ........................................................................... 6711.2. Different Types of Outage ...................................................................... 6711.3. Assessment & Response ....................................................................... 6811.4. Market Interventions .............................................................................. 6811.4.1. Pause ............................................................................................. 6811.4.2. Halt ................................................................................................. 6911.4.3. Market / Partition Suspension ......................................................... 6911.4.4. Halt & Close ................................................................................... 6911.5. Alternative Site Procedures ................................................................... 6911.6. Resumption of Trading .......................................................................... 7011.7. Trade Reporting ..................................................................................... 7011.8. Closing Prices & Indices ........................................................................ 7011.9. Communication ...................................................................................... 72

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