T7 Release 9.1 - Cash Market - February 2021 - Deutsche Börse AG
←
→
Page content transcription
If your browser does not render page correctly, please read the page content below
T7 Release 9.1 - Cash Market February 2021
Deutsche Börse Group 2
Agenda
1 2 3
Introduction and Self-Match Prevention for Instrument Covers for Börse
cornerstones Iceberg and Volume Frankfurt Zertifikate
Discovery Orders
4 5
Introduction of the Continuous
Auction with Market Maker with
Further Changes and
Indicative Quotes for Börse
Enhancements
Frankfurt Zertifikate
Deutsche Börse Group 3
Main Features
Relevant for…
Xetra T7 Release 9.1 Changes T7 Xetra T7 Börse Frankfurt
(XETR) (XFRA)
Self-Match Prevention for Iceberg & Volume Discovery Orders x
Instrument Covers for Börse Frankfurt Zertifikate x
Introduction of the Issuer Trading Model (Continuous Auction with
Market Maker trading) model in BFZ with Indicative Quotes
x
Further changes and enhancements x x
Backwards compatibility for trading interfaces Yes
Backwards compatibility for market and
reference data interfaces
No
Deutsche Börse Group 4 Introduction Schedule Release T7 Cloud Simu Simulation Production Milestones 01 Apr 2021 03 May 2021 28 Jun 2021
Deutsche Börse Group 5
Publication Schedule
▪ Cloud Simulation (identified by )
will be published in March 2021
▪ Simulation versions (identified by )
will be published in April 2021
▪ Production versions (identified by )
will be published in April & June 2021
▪ All documents will be available on
www.xetra.com under:
Technology > T7 trading architecture >
System documentation > Release 9.1
Deutsche Börse Group 6
Agenda
1 2 3
Introduction and Self-Match Prevention for Instrument Covers for Börse
cornerstones Iceberg and Volume Frankfurt Zertifikate
Discovery Orders
4 5
Introduction of the Continuous
Auction with Market Maker with
Further Changes and
Indicative Quotes for Börse
Enhancements
Frankfurt Zertifikate
Deutsche Börse Group 7
Self-Match Prevention for Iceberg & Volume Discovery Orders
Processing of SMP Iceberg Orders & Volume Discovery Orders is largely the same
1 Iceberg Orders 2 Volume Discovery Orders
Incoming Iceberg Orders ▪ Same rules apply for incoming and
▪ Full quantity will be taken into resting VDOs (see Iceberg orders)
consideration (as with a regular SMP
order) ▪ SMP is not available for midpoint
matching of VDOs
▪ In case of match prevention, order
remainder will be cancelled once
orders on that price step have been
processed
Resting Iceberg Orders
▪ Display quantities will be cancelled
▪ If display quantity is 0 and more
quantity could be potentially executed,
quantity will be cancelled from hidden
part
No impact on interfaces
Deutsche Börse Group 8
Agenda
1 2 3
Introduction and Self-Match Prevention for Instrument Covers for Börse
cornerstones Iceberg and Volume Frankfurt Zertifikate
Discovery Orders
4 5
Introduction of the Continuous
Auction with Market Maker with
Further Changes and
Indicative Quotes for Börse
Enhancements
Frankfurt ZertifikateDeutsche Börse Group 9
What are Covers?
Cover instruments (Hüllen or Intraday Instruments):
▪ are structured products listed with a min set of instrument data or dummy values (e.g. underlying, strike
price, type)
▪ are inactive at the point of inclusion to the market, but activated upon issuer request when final
set of instrument data is fixed
▪ can remain inactive in the trading system up to 6 months waiting for final definition/activation (they
are then delisted, if not activated)
Issuers use covers for two purposes
1. Own/intraday issuances: issue instruments time-to-market
2. Vehicle for multi-issuer platforms: retail investors and asset managers can customize/
create own instruments that can be traded immediatelyDeutsche Börse Group 10
What’s new with Covers for BFZ?
▪ Introduction of cover instruments was in 2016
▪ At the beginning only unit-quoted covers, later expanded to percentage-quoted covers
Background
▪ Covers are currently being listed as “regular” instruments using the known listing process,
therefore technically being tradable immediately
▪ Cons: Risk of accidentally trading inactive covers and missing reference data on activation
day
▪ With T7 9.1 covers will be listed with an “inactive” status until an activation message is
sent by the issuer via eListing setting the status to “active”
Coming with T7 9.1
▪ Using this activation-message issuers are able to update up to nine reference data
fields intraday
▪ Issuers are already sending update/activation-messages via eListing (which are currently
ignored). With T7 9.1, those messages will be processed (just for covers)
▪ Pros: No risk of mistrades in inactive covers and intraday-updates of reference dataDeutsche Börse Group 11
Cover Activation process
1. Instrument is requested & included via
regular BFZ eListing process via XML Issuer
listing request (SFTP) with appropriate
Cover activation
characteristics for a cover message
2. Instrument is set up as cover in T7 WM Update of
eListing
reference data
(either as a one-day cover or long-term Queue if btw.
–
cover, recognizable by the "Cover
Indicator" field). As a cover, the
instrument is not tradable
T7
3. Issuer activates cover by sending an
activation message via eListing. At the Security status and
instrument state
Update of
reference data
Instrument state
same time, selected attributes can be
adjusted using the activation message
ETI /
Market Data
4. eListing forwards the new cover Specialist- RDI / RDF
Interface
attributes to T7. T7 displays activation of Stream
the cover*
* Currently the activations are being sent until 8:45 pm to account
for the dependencies with WSS and WM. Activations received
after that time are being buffered in eListing and sent on the
next trading dayDeutsche Börse Group 12
Technical Aspects – Market Data Interfaces / ETI
1 Market Data Interface (MDI) / Enhanced Order Book Interface (EOBI)
▪ Covers are set up like any regular instrument (no differentiation in market data possible)
▪ Control like any regular instrument via SecurityStatus(965) (e.g. inactive/active)
and SecurityTradingStatus(326)
▪ Security status will be “inactive“ as long as the cover indicator is set to “L” or “I”
▪ Cover activation changes the security status to “active”
▪ “Cover Indicator” exists only in the reference data (RDI, RDF & CSV)
2
Enhanced Trading Interface (ETI)
▪ New instrument state is published via the Specialist stream when the cover is activated
(ETI Specialist Specific Instrument Information)
▪ Corresponds to SecurityTradingStatus(326) in the market dataDeutsche Börse Group 13
Technical Aspects – Reference Data
1 Reference Data Interface (RDI) / Reference Data Files (RDF)
▪ RDI with intraday updates for cash market is a novelty
▪ Intraday updates of cover attributes exclusively via RDI / RDF (RDF via incremental files)
▪ RDF: XML reference data files will also include inactive covers (with instrument status
“inactive”)
▪ New field “Cover Indicator” will be added
▪ Incremental files are generated exclusively from specialists files
2
All-Tradable-Instruments (CSV-Files)
▪ CSV files will still generated only in batch for the next trading day T+1
(no intraday incremental files etc.)
▪ CSV reference files will also include inactive covers (with instrument status “inactive”) and
the respective cover indicator (“I” or “L”)
▪ New field “Cover Indicator” will be addedDeutsche Börse Group 14
Technical Aspects – Use of eListing
1 Setting up a Cover-Instrument
▪ Applications for cover instruments are only accepted in XML format and SFTP upload (no
possibility for cover applications in Excel format)
▪ Application happens via a “NewListing” message and is identified by the value
ISSUE_TYPE = “Intraday”
▪ The field ACTIVATION_TIME has to be empty in the initial listing application
▪ Instrument reference data can be filled with placeholders or, as far as the XML file allows it,
can be kept empty
2 Activation of a Cover-Instrument
▪ Activation of inactive cover is done via “UpdateListing” message, in which the
ACTIVATION_TIME field is to be filled with a valid timestamp (< current time + 5 minutes)
▪ Message type in combination with the ISSUE_TYPE and the ACTIVATION_TIME triggers
creation of activation message for T7 as well as final update of instrument reference data
▪ “UpdateListing” messages can be transmitted at any time
▪ Activation happens at next possible time on trading days between 8:00 am and 8:45 pm,
beyond this timeframe the message is buffered until next possible execution timeDeutsche Börse Group 15
Agenda
1 2 3
Introduction and Self-Match Prevention for Instrument Covers for Börse
cornerstones Iceberg and Volume Frankfurt Zertifikate
Discovery Orders
4 5
Introduction of the Continuous
Auction with Market Maker with
Further Changes and
Indicative Quotes for Börse
Enhancements
Frankfurt ZertifikateDeutsche Börse Group 16
Trading Models for BFZ
Specialist Trading Model (STM) Issuer Trading Model (ITM)*
Trading with Specialist Continuous Auction with Market Maker
(Floor broker) (Fully Electronic Trading)
▪ Issuers can currently choose between Specialist or Issuer Trading Model on ISIN level
▪ One quote provider per ISIN (generally the issuer) and one specialist (in STM)
▪ General trading hours are from 8:00 am to 10:00 pm (may vary in single instruments depending on
issuer decision (not yet for ITM))
▪ Different fee schemes for issuers for these trading models
▪ No distinction with respect to marketing activities, pricing for order flow providers, and data
distribution
* Issue Trading Model (ITM) = Continuous Auction with Market Maker. ITM currently only supported for WBAG. For further
details, please refer to existing system documentation.Deutsche Börse Group 17 Overview of Issuer Trading Model with Indicative Quotes ▪ Our Issuer Trading Model (ITM; also named Continuous Auction with Market Maker) will be re-introduced in BFZ (ITM was previously available in Xetra Classic) ▪ Indicative Quotes are a new feature of ITM that allow issuers to provide non-binding price offers to the market. ▪ Dedicated communication will follow at a later stage Functional Description ▪ Indicative Quotes will be entered with bid and ask quantities like Standard Quotes and will have same effects as Standard Quotes (only exception is that they are not involved in any matching) ▪ Indicative quotes will be published in market data depending on transparency ▪ Only one quote per instrument can exist at the same time, therefore, Indicative Quotes will overwrite any existing quote (incl. Standard Quotes) without further notification ▪ Impact on Market Data and ETI interfaces ▪ No special attribute in reference data existing
Deutsche Börse Group 18
Price Determination Workflow for ITM with Indicative Quote
1 Indicative-quotes serve as “limit control” and information
for investors. Orders are immediately matched against
each other if the execution price is within the indicative
quote spread or at the bid (ask) quote price and there
are no triggerable stop orders in the book
1 6
3 5
2 Call phase starts if:
I-Quote with Modified principle of
Phase- Quote- a) the order is executable against the I-Quote or
Volume > 0 highest executable
Issuer change Update b) an order enters the orderbook, but no quote is
volume
available or
c) the I-Quote triggers a stop order
3 The call phase information is published to the Issuer and
all other members
4 According to the Exchange rules, the issuer shall enter a
M-quote w/in 5 seconds. During call phase, the issuer’s
Pre-Call Call Price Determination quote is distributed. Issuers receive the executable
volume in a dedicated broadcast stream.
Orders can be entered, modified or deleted.
2 7 5 An M-Quote triggers the price determination, if the order
4 is still executable.
Call phase starts
if the order is Order-Entry, After a pre-defined period (ca. 15 – 30 seconds, globally
Investor Execution
executable -Modification, set by the exchange*), the call phase is ceased
-Deletion Confirmation
against the automatically, with or without price determination,
I-Quote depending on the order book situation.
6 The price determination follows the modified principle of
highest executable volume
7 After price determination, the counterparties receive the
execution and trade confirmations
* tbd by FWB Management BoardDeutsche Börse Group 19
Agenda
1 2 3
Introduction and Self-Match Prevention for Instrument Covers for Börse
cornerstones Iceberg and Volume Frankfurt Zertifikate
Discovery Orders
4 5
Introduction of the Continuous
Auction with Market Maker with
Further Changes and
Indicative Quotes for Börse
Enhancements
Frankfurt ZertifikateDeutsche Börse Group 20
Further Changes and Enhancements
▪ New reason code for rejection of order entries/modifications in Freeze phase of
New reason code for Extended Volatility Interruption will be introduced
order rejection in ▪ New valid value for SessionRejectReason in ETI
Extended Vola Freeze
▪ 10012 – Order not accepted in Volatility Freeze
▪ New FIX LF interface that will be introduced in a stepwise approach, makes use of FIX
4.4 protocol only and is closer integrated into T7 architecture (similar underlying
infrastructure and functional/technical characteristics as ETI)
▪ Initially, new interface will be offered in parallel to existing FIX Gateway and replace it
Stepwise Introduction after a transition period
of FIX LF Interface ▪ As the support for back-office sessions via existing Eurex FIX Gateway will stop with
T7 Release 10.0, existing applications must be adapted to use the new FIX LF
interface at the earliest possible point in time
▪ Participants using FIX version 4.2 must ensure that their applications are adapted to
FIX version 4.4
Changes in User PIM ▪ RD110 User Profile Maintenance and RD115 User Profile Status to show User PIN
displayed in Reports changes without disclosing PIN itselfThank you Deutsche Börse AG 60485 Frankfurt/Main Germany E-mail: client.services@deutsche-boerse.com
You can also read
