XTP Changes in 2.57SAXESS 5.0.0

Speaker Sebastian.Tomac@omxgroup.comTitle XTP Changes in 2.57 Version 1.0

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Areas

• Transaction and data changes– Overview Price Checks and Circuit Breakers

– Reference Prices

– Circuit Breakers

– Revised validation of Price Checks

– Mid-price matching

– Trade Action and Cancellation of Trade Report External

– Deferred trades in Average Price

– Turnover List Structure Revision

– Trade id

– Other data – Certified Advisor

• Documentation

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Price Checks

Price Checks

Circuit Breaker RefPrice

Circuit Breaker Last Paid

Last paid

15%

10%

2%

Price

Time

Circuit Breaker Last Paid

Circuit Breaker RefPrice

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Reference Prices

Why:• The reference price is used by both Price Checks and

Circuit Breakers.

Design/Implementation:• The TID_MC_OrderbookRefprices contains the Reference

price.

• The Price check/circuit breaker price update method is mandatory – Last Paid or explicitly disseminated FID_MC_OrderbookRefprices.

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Revised validation of Price ChecksWhy:• Price checks of orders with last paid as reference price

• Price checks of orders with relative price updates.

Design/Implementation:• The price checks have been moved to the central system.

Hence an order that i rejected due to a price check result in a TID_UC_ErrorMsg.

• Intraday changed limits are disseminated in TID_MC_OrderbookRefPrices/FID_OrderbookPriceChecks.

• TID_MC_OrderbookRefPrices/FID_BaseDataChg/Operation code indicates intraday insert/update/delete of a orderbook price check.

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Circuit Breakers (1)

• Why:

• Circuit breakers are automatic measures for trading suspension in the event of unwanted market volatility. A circuit breaker initializes a call auction for the security in question, facilitating price discovery in preparation for trading resumption.

Design/Implementation:

time

Circuit breaker price update method EQPrice

Circuit breaker price update method LastPaid

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Circuit Breakers (2)Price update method Reference Price

• Based on a Reference price– Reference Price:

- equilibrium price from last call auction

- a call auction can be the morning call auction, a call auction that occurs during the continuous trading or an evening call auction

- if no equilibrium price was formed in the morning call auction, the previous day’s closing price will be used as a reference price

• Breach of a static circuit breaker will lead to a trading interruption and a call auction where a new equilibrium price will be formed

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Circuit Breakers (3)Price update method Last Paid

• As a reference price the last paid price will be used

• Active only during continuous trading

• Breach will lead to a trading interruption and call auction, where a new reference price for the static circuit breaker will be formed

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Circuit Breakers (4)

Design/Implementation:• TID_QrySubMarket FID_SubmarketCircuitBreaker

contains the submarket circuit breaker limits. One FID per Circuit breaker price update method.

• FID_MC_OrderbookCircuitBreaker contains intraday changes of the orderbook circuit breaker limits.

• The Circuit breaker price update method what price is used as reference – Last Paid (FID_MC_Trade/updates last paid) or as explicitly disseminated FID_MC_OrderbookRefprices.

• More than one circuit breaker may be active during continues trading.

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Circuit Breakers (5)

Design/Implementation:• A Circuit breaker call is indicated by Call purpose

CircuitBreaker.

• Orders deleted due to a circuit breaker will have Order delete reason circuit breaker.

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Basic Data

SAXESS

Participant A All Participants

1. Participant A retrieves submarket parameters for price checks and circuit breakers. If no FID is sent Circuit Breakers and/or Price Checks are not applicable on the submarket.

2. Orderbook specific parameters are sent as MC_OrderbookRefPrices.

3a. Whenever the static Reference Price is changed a FID_OrderbookRefPrices. This reference price is used by Price Checks and Circuit breakers with RefPriceUpdMethod = ’2'.

3b,c. Whenever the price limits are Inserted/Updated or Deleted, as indicated in FID_BaseDataChg InfoOpCode, a FID_OrderbookPriceChecks/FID_OrderbookCircuitBreaker is sent. FID_OrderbookCircuitBreaker RefPriceUpdMethod indicates if Last Paid or the price in FID_OrderbookRefPrices is used. Several Circuit Breakers may be applicable at the same time.

Query Submarket TID_QrySubMarket- FID_AnsSubMarket- FID_SubmarketPriceCheckParms- FID_SubmarketCircutBreakres

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Orderbook Reference Prices TID_MC_OrderbookRefPrices- FID_OrderbookRefPrices (0-1)- FID_OrderbookPriceChecks (0-1)- FID_OrderbookCircuitBreaker (0-n)

Orderbook Reference Prices TID_MC_OrderbookRefPrices- FID_OrderbookRefPrices (0-1)- FID_OrderbookPriceChecks (0-1)- FID_OrderbookCircuitBreaker (0-n)

3aOrderbook Reference Prices TID_MC_OrderbookRefPrices- FID_OrderbookRefPrices

Orderbook Reference Prices TID_MC_OrderbookRefPrices- FID_OrderbookRefPrices

3bOrderbook Reference Prices TID_MC_OrderbookRefPrices- FID_OrderbookPriceChecks

Orderbook Reference Prices TID_MC_OrderbookRefPrices- FID_OrderbookPriceChecks

3cOrderbook Reference Prices TID_MC_OrderbookRefPrices- FID_OrderbookCircuitBreaker

Orderbook Reference Prices TID_MC_OrderbookRefPrices- FID_OrderbookCircuitBreaker

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Mid-price matching (1)

• Continuous Midprice matching – each trade in the Midprice orderbook will be executed at the round lot spread Midprice in the order book

• Midprice matching possible also at scheduled occasions (Auctions) – a submarket event will trigger matching

• Midprice is (best bid + best ask)/2

• Midprice orders are fully anonymous & hidden (cannot be seen by other trading participants)

• Midprice order criteria's

– Match multiple = Midprice lot size

– Total volume = multiple of the Midprice lot size

• Midprice spread

– Percentage from the bid side price

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Mid-price matching (2)

Design/Implementation:• FID_AnsSubMarket and FID_AnsOrderbook contains;

– Midprice matching

– Maximum midprice spread.

• FID_AnsOrderbook contains;

– Midprice auction

– Midprice allotment

• FID_MC_SubMktEvent Submarket event type indicates a scheduled mid-price matching.

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Cancellation of Trade Report External

• Why:

• Enable cancellation of trade report external

Design/Implementation:• External trade report maybe cancelled with

TID_TradeReportExternalCancel. Upon cancellation a TID_UC_TradeReportExternalCancel is sent. Originator indicates by user or system.

• Timestamp, trade report is used as key.

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Trade Action

Why:• Generic XTP transactions for operating on Trades.

Design/Implementation:• The TID_ExternalTradeCancel has been replaced by

TID_TradeAction with Trade action code “Cancel trade”.

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Deferred trades in Average Price

Why:• At the time of trade the trade information is not available

on the multicast flow for deferred trades. Information systems that provide real time calculation of the average price needs the Trade price at the time of trade.

Design/Implementation:• TID_MC_AveragePrice is disseminated whenever a trade

notification is sent for a trade that updated average price is created or cancelled. Only sent to information systems.

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Turnover List Structure Revision

Why:• A turnover list heading may to belong to several lists.

Design/Implementation:• TID_QryTurnoverListHeading for two different lists may

yield responses with duplicate Turnover list id.

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Trade Id (1)

Why:• Provide protocol wide unique Trade identifier.

Design/Implementation:• TradeId is a system unique Trade identifier

• TradeId is unique over several trading days.

• TradeId is a valid Clearing Reference for the Trade.

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Trade Id (2)

•Old way (still valid)

•TradeNo unique per trading day.

– Used to identify a published Trade

•TradeNotificationNo unique until trade publication.

– Used to identify a deferred not yet published Trade

•To identify for a Trade over several trading days a key has to be constructed by combining OrderbookId, Time and TradeNo.

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Other data

Design/Implementation:• TID_QryOrderbooks/FID_AnsOrderbook

– Certified advisor.

• TID_QryInstrument/FID_Bonds

– Yearly Coupon Frequency

– First Installment Date

• TID_QryTrades and TID_UC_Trade

– user name

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Documentation

• XTP chapter reorganization.

• Appendix Trade Reporting Flow has been updated with TID_TradeReportExternal and TID_TradeReportExternalCancel example.

• XTP specification available as XML Schema.

Questions?

Sebastian.tomac@omxgroup.com

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