Transcript Cover slide - Title presentation Title set in 28pt Trebuchet

Technical User Group
London
Date: 10 July 2009
Sub-Millisecond Market Access
Colocation with the London Stock
Exchange Group
An overview of Exchange Hosting, the new high performance
connectivity service available from the London Stock Exchange Group
Andrew Bailey
July 2009
Exchange Hosting - Agenda
• Strategic drivers for Exchange Hosting product
• Exchange Hosting product overview
–
performance benefits
–
facility overview
• Phase 2 delivery progress update
–
Project timelines
–
External market data provision
–
Dedicated connectivity options
3
Our Strategic Approach to Growing Liquidity
Continuously drive
market efficiency
Attract more issuers
Launch market-led
new products &
services
Facilitate more trading
Improve access
Implement planned
technology
enhancements
By working in partnership
with the market as a whole
Liquidity
growth
By more participants
In more securities
We remain focused on
these objectives
4
Connectivity Options
•
Member firms connect to the London Stock Exchange Group to receive realtime trading, information and other services through a range of options.
Exchange Hosting
Provides fastest access to the Exchange’s trading & information systems
Extranex
Dedicated point-to-point connection between the client & the Exchange
Network Service
Providers
Vendor Access
Networks
Extending our global reach by partnering with accredited network partners (NSPs)
Provides non-latency sensitive connectivity, normalised market data and a
front-end trading platform via accredited providers
5
Exchange Hosting
•
•
•
•
•
•
As part of our ongoing commitment to improving market efficiency through
liquidity generation and performance enhancements, we have introduced
Exchange Hosting.
Hosting physically within the Exchange’s data centre - as close as possible to
the matching engines.
Minimises the overall latency between the Exchange’s TradElect and Infolect
systems and the customer’s own trading applications:
–
Propagation delay: reduced components for packets to pass through
–
Transmission delay: physically close to the matching engines and infrastructure
–
Processing delay: significantly less components for packets to be processed by
Exchange Hosting covers access to all London Stock Exchange Group markets
that are based in London, including MTA, Expandi, MOT and SEDEX.
Service and facility managed entirely by the Exchange.
Facility available to Trading Participants (including non-members).
6
Performance Benefits
• Test results suggest the following performance benefits for
Exchange Hosting connectivity measured against an Extranex 100Mb
connection*.
c. 80 us
Infolect
Multicast
data
c. 80 us
Hosting customer
Extranex
c. 600 us
100Mb Extranex
customer
c. 130 us x 2
TradElect
TCP data
c. 130 us x 2
Hosting customer
Extranex
c. 600 us x 2
100Mb Extranex
customer
Infolect (Multicast) data
TradElect (TCP) data
* 100mb Extranex connection latency in London metro areas is on average approx 600us for single trip (c. 1.2ms round trip)
7
Exchange Hosting Service Overview
Service Offering
Access to LSE Services
Production TradElect
Produciton Infolect (Performance and Service Channels)
Customer Development Service
Conformance Environment
Available From
Power usage (per cabinet)
Trading connections (per client)
External data feeds
Management services
Management connectivity
Rack and stack
Remote hands available
Local precision time sync facility
Accelerated Hosting
Full Hosting








Sep-08
Aug-09
3kw
Choice of 3kw or 5kw
4 resilient
4 resilient


VPN over Extranex



Dedicated Lines



8
Exchange Facility Details
•
Location
–
•
Security and Access
–
–
–
•
24/7 on-site Security team
intelligent CCTV and access control
pre-arranged access available
Facilities Management
–
–
–
•
central London, purpose built datacentre
24/7 Automated Building Management
Systems (BMS) monitoring
24/7 On-site engineering support
Facility owned and managed by the Group
•
Network and cabling configuration
–
–
–
–
resilient Cisco 6509 Switches for low
latency cross connection to TradElect
and Infolect systems
approx 4 resilient (8 physical ports)
Exchange ports per client
Cat 6a cabling is used throughout the
data centre
Connectivity options available to site
via:
• Exchange managed leased line
• Third party connectivity
• Internet VPN connection (Backup)
Power Capacity and Configuration
–
diversely routed incoming HV and UPS
power supplies
–
backup Generation (redundancy of N+2)
–
Choice of 3kw or 5kw service
9
External Market Data Provision
•
•
From September the Exchange plans to
offer a wide range of data from other
Exchange venues and MTFs (to be
sourced from a low latency data
consolidator).
Key elements of the service will be:
‐
‐
Wide range of data sets available
‐
Normalised or Raw data accessible
through a single interface
‐
•
•
Low latency
Choice of shared/dedicated infrastructure
This service would be provided at
additional charge and would be based on
the number of data sets taken.
Further details of our partnership with
data consolidator planned End July
Region
Exchange/Venue
North America
BATS US
North America
CBOT
North America
CME
North America
NASDAQ
North America
NYMEX/COMEX
North America
NYSE Euronext and NYSE Arca
Europe
BATS Europe
Europe
CHI-X
Europe
Eurex
Africa
JSE
Europe
Liffe
Europe
Nasdaq OMX Europe
Europe
NASDAQ OMX Nordics Exchanges (Copenhagen,
Stockholm, Helsinki, Iceland)
Europe
NYSE Euronext
Europe
SWX
Europe
Turquoise
Europe
Xetra (Deutsche Borse)
Asia
Australian Security Exchange
Asia
Hong Kong (HKEX)
Asia
Osaka Securities Exchange
Asia
SGX -Singapore Exchange (merger of SES and SIMEX)
Asia
Tokyo Stock Exchange Group (TSE)
10
Dedicated Hosting Connectivity
• The Exchange is planning to offer a choice of dedicated connectivity
options for Exchange Hosting connectivity:
1. Option 1 - Exchange managed solution
–
Single point of contact for all Hosting services
–
Resilient connection (two diversely routed active lines)
–
Low latency
–
Choice of connection sizes (likely to be 10Mb, 100Mb, 1Gb and 10Gb)
2. Option 2 - Customers own provisioned lines
–
Client choice of connectivity provider
–
Low latency
–
Choice of connection sizes (and type)
3. Option 3 – 1Mb internet connectivity
–
Basic connectivity option offered as part of Exchange Hosting
–
Single point of contact for all Hosting services and escalation
11
Current Delivery Status
• Phase 1 (Accelerated Hosting)
–
Launched in September 2008
• Phase 2 (Full Hosting)
–
Launch planned for Monday 3rd August (dependant on customer readiness)
–
High demand for space from new and existing clients
–
Currently on-boarding new clients in to the Phase 2 space
–
Migration of Phase 1 clients to new data hall
–
External Market Data – available from September
–
Exchange Managed Dedicated Connectivity – available from September
–
Local precision time sync solution – available from August
12
Further Information
• If you are interested in Colocation/Hosting then
please contact Andrew Bailey on +44 (0) 207 797
4114 or via email:
[email protected]
10 Paternoster Square
London EC4M 7LS
T +44 (0)20 7797 1000
www.londonstockexchangegroup.com
Technical User Group
London
Date: 10 July 2009
Market Data Optimisation 2009 –
Phase II
Overview of changes
Ollie Cadman
Date: 10/07/2009
Author:
Introduction
• Market Data Optimisation 2009 went live in April and aligned Service Channels
with the liquidity aligned structure of Performance Channels, along with a
number of other enhancements
• In May the Group consulted on a proposed second phase to MDO, which aims
to deliver further enhancements and a more diverse distribution of
instruments across channels
• The existing Service and Performance Channel structure will be expanded to
incorporate the reserved channels, providing improved load balancing and
increased simultaneous publishing
MDO Phase II will deliver the following benefits:
• Improvements in the parallel distribution of real time messages
• Optimised channel configurations, ensuring a consistent delivery approach across all
markets and services
16
Scope
The confirmed scope items of Phase II are:
• Additional load balancing of instruments across the ‘reserved’ Service and Performance
channels
• Reduction in idle poll interval from 15 to 5 seconds,
• Transfer of all Covered Warrants market data messages (some ‘added value’ and ‘trade
reports’ message types) to appropriate Covered Warrants Service/Performance Channels,
• Rename of Px3 channels to Px2 to mirror Service Channel structure,
• Decommissioning of the following legacy Level 1 Plus messages:
— 5AB Return Measures
— 5MV Market Share Top 5
— 5AF Alpha/Betas
— 5AP Average Cumulative Volumes,
• Decommissioning of the 5UP Uncrossing Price message from the Level 2 channels.
17
Channel distribution
Channel Structure - Existing
S/Pax
SETS: FTSE 100 > 1%
S/Pbx
SETS: FTSE 100 < 1%
S/Pcx
SETS: FTSE 250 1
S/Pdx
SETS: FTSE 250 2
S/Pex
ETFs, ETCs & Specialists
S/Pfx
SETS, SETSqx, SEAQ, IRS & Misc.
S/Pax
FTSE 100 Group 1
S/Pgx
Reserved for future use
S/Pbx
FTSE 100 Group 2
S/Phx
Reserved for future use
S/Pix
Reserved for future use
S/Pcx
FTSE 100 Group 3
S/Pjx
Reserved for future use
S/Pdx
FTSE 100 Group 4
S/Pex
FTSE 100 Group 5
S/Pfx
STMM, SET2, SET3, SSMM, SSMU, AMSM Group 1
S/Pgx
STMM, SET2, SET3, SSMM, SSMU, AMSM Group 2
S/Phx
ETFs, ETCs, Group 1
S/Pix
ETFs, ETCs Group 2
S/Pjx
SETSqx, SEAQ, SFM and Miscellaneous
Channel Structure – Future (example)
18
Timelines
August
Customer Development Service
July
Service & Technical Description
September
Production
19
Technical User Group
London
Date: 10 July 2009
Update on FIX 5.0 Interface & Hidden Order
Functionality
Author:
Stuart English
Date: 10 July 2009
Introduction
• FIX 5.0 Project Update
• Performance Comparison: FIX Vs Native
• Functionality Supported on FIX 5.0 and Native
• Hidden Order Functionality – New Native Messages
• Next Steps
22
FIX 5.0 Project Update
• London Stock Exchange Group (LSEG) on track to launch a FIX 5.0 interface to
TradElect for the London and Oslo* markets this year
• Revised project timeline:
— September 2009, Customer Test Services inc. CDS go-live
— November 2009, technical go-live on production for the London market
• FIX 5.0 interface will be offered alongside current Native interface
— Core trading functionality to be supported on both interfaces going forward resulting
in a choice of connectivity options for customers
* Oslo equities and fixed income markets due to migrate to TradElect in February 2010
23
Performance Comparison: FIX 5.0 Vs Native
• Our initial target was for the FIX 5.0 interface to be at least as
performant as the Native interface
• In parallel, we have been constantly reviewing and fine tuning our
technology in order to reduce latency and increase capacity:
— November 2007 TUG: “Current system delivering up to 4,200 messages per
second with around 6ms* latency measured at the Exchange.”
— Today, TradElect can now support 18,000 messages per second with
roundtrip times of approximately 3.7ms*
• These improvements have meant that forecasts made during the
original evaluation of FIX are no longer valid
• Technical testing to date suggests that the Native interface will be
approximately 0.5ms faster than the FIX 5.0 interface**
• Both interfaces will be supported for future TradElect performance and
functional enhancements
* Excluding line latency. For a 100Mb Extranex Service located in London this could be approximately 1.5ms
roundtrip
** Based on a load of 4,000 messages per second and an equal message mix
24
Functionality Supported on FIX 5.0 and Native
• Core trading functionality will be supported across both interfaces
going forward
• Minimum Execution Size (MES) will be introduced to the Native
interface
• Hidden Best Bid and Offer Pegs and the Oslo fixed income market
will only be supported via the FIX 5.0 interface
• Hidden Order functionality will not be launched ahead of Mid Price
Pegs and MES
• Hidden Order functionality will go live at the same time as the FIX
5.0 interface
Hidden Mid
Price Pegs
Hidden Best
Bid and Offer
Pegs
Hidden Limit
Orders
Minimum
Execution Size
Native Interface
Y
N
Y
Y
FIX 5.0 Interface
Y
Y
Y
Y
25
Hidden Order Functionality
New Native Messages
• In order to support new ‘Minimum Execution Size’ and ‘Matching
Instruction’ fields, the following new message versions will be
introduced to the Native interface:
Message Name
Current Version
New Version
Message Description
5EO
AD and AE
AF
Enter Order
5E3
AD and AE
AF
Acknowledge Order Details
5MO
AB and AC
AD
Modify Order
5M6
AB and AC
AD
Acknowledge Modify Order
5RO
AA and AB
AC
Request Own Order Book Download
5OF
AA and AB
AC
First Order Book Download Response
5S1
AA and AB
AC
Subsequent Order Book Download Response
• No existing message versions will be decommissioned as a result of
this change
26
Next Steps
September 2009
FIX 5.0 and Hidden
Order functionality live
on CDS
10 July 2009
Technical User Group
31 July 2009
Updated Service &
Technical Descriptions
published
November 2009
FIX 5.0 and Hidden
Order functionality live
on production
27
Technical User Group
London
Date: 10 July 2009
10th & 16th July: London Stock Exchange
Technical User Group
Baikal Update
Mark Ryland, Chief Technology Officer, Baikal
Investment for experts
Content
• Baikal product overview
• Relevance/context of dark pools
• Baikal technology platform, partners & connectivity
• Delivery plan
• Summary
30
Baikal product overview
Investment for experts
Baikal proposition – two core products
• Baikal order book (BOB)
– Pan-European non-display MTF
• (approx 3000 leading shares across Europe)
• Baikal liquidity aggregation services
– Smart order routing
– Bespoke liquidity seeking strategies including ‘dark pool aggregation’
Both of the above supported by Baikal post trade services
32
Schematic
Exchanges
Client
Baikal liquidity
aggregation services
MTFs
Other dark
pools
Client
Baikal pan-European
dark order book (BOB)
Algos
Baikal post trade
33
Baikal order book (BOB)
• Characteristics
– Unique two-mode matching
• Continuous matching
• Random periodic auctions
– Price referencing
– Anti-gaming & anti-timing controls to ensure market integrity
• Baikal’s order book aggregates different customer types and order
types in a trusted trading environment…
34
Liquidity aggregation strategies…examples
• Lit smart order routing (aggressive)
– Sweep (multi pass), post and dynamically re-sweep
• Dark only (passive)
– Sweep, post, periodically re-sweep
– ‘Dark pool aggregation’
• Dark + lit (passive & aggressive)
– Sweep dark, sweep lit (multi-pass), post part dark/part lit, dynamically resweep
– Aggressiveness controls level of participation in lit venues
• Others…
35
Product applicability v client needs
Liquidity Aggregation
Baikal
order book
direct
Global tier 1
bank

Electronic
liquidity
provider

Specialist mid
tier broker
Buy side

via sell side
Lit
SOR
Dark
only
Dark to lit
strategies


Algos
Baikal
post
trade








via sell
side

via sell
side

via sell side

via sell
side

via sell side
36
Relevance/context of dark pools
Investment for experts
Dark or hidden liquidity
Visible liquidity
‘Dark’ liquidity has always existed
Public
markets
Exchanges’
iceberg orders
Resident liquidity on
sell side brokers
blotters
Liquidity pools on
sell side brokers
books
Resident liquidity on
buy side brokers
blotters
38
Intra day liquidity is fragmented along the value
chain (for larger orders)
Buy side trader
Sell side traders
Exchange/MTF(s)
A
Accumulation
of orders in
same name
from multiple
funds creates
block order
Buy side trader
instructs sell
sides for part
quantity
B
Sell side traders split
part of the order to
market with (optional)
hidden quantity
39
Attracting resting and ‘ping’ liquidity to dark
pools
Buy side
Sell side
Resting
liquidity
from buy
side
order
books
Resting
liquidity from
buy side
order books
Exchange/MTF
A
B
Ping
liquidity
from sell
side
dark pool
40
The dark pool landscape
Buy side only
pools
(aka crossing
networks)
Exchange/MTF
dark pools
Broker
dark pools
Independent
&
consortia
dark pools
41
Dark pools seek to automate and improve
efficiency
• Huge opportunity to match dark liquidity in dark pools
• Dark pools seek to deliver
–
–
–
–
Anonymity
No market impact
Improved execution price (typically mid-price)
Economic operation
• This concept invented and proliferated in the US over the last 5 years
42
Why liquidity aggregation with the dark pool?
• Managing liquidity fragmentation is already complex
• Complexity is increasing further with the proliferation of dark pools
• Not all clients are able to manage this complexity cost effectively
themselves
• Provide cost effective services from a market neutral provider to help
members meet their own clients’ needs
43
Technology platform & connectivity
Investment for experts
Baikal technology platform – highest level summary
Client’s
systems
Front
office
Baikal liquidity
aggregation platform
(Fidessa enhanced)
Exchanges
MTFs
Other dark
pools
OR*
Baikal order book
TradElect/BOB
Algos
Baikal
Back
office
OR*
Back office (BNP)
Baikal MTF CCP
EMCF & CC&G
Baikal platform – key components
*Connection point depends upon product/service(s) accessed & client preference
45
Selection of trading technology platform ‘vendors’
Platform component
Provider
Dark pool matching platform
(BOB)
London Stock Exchange TradElect
Liquidity aggregation layer
Fidessa (Direct Liquidity Access)
Client FIX connectivity
Infrastructure
Fidessa Express + London Stock
Exchange FIX Gateway
Pan-European market data feed
QuantHouse
Surveillance
SMARTS
*Fidessa Express and LSE FGW to Liquidity Aggregation, TradElect interface direct to BOB
46
Two Levels of Trading Platform Connection
Connection Method/Level
Summary of Key Features
Option A: Connect to Liquidity
Aggregation Layer
Fix 4.2
Wide range of services and venues
including BOB
Ultimately not as fast as direct to BOB
Option B: Connected to Baikal Order
Book Directly
Highest capacity/lowest latency
connection to BOB
Re-use existing LSE connection
infrastructure and TradElect native API
47
A: Connectivity to liquidity
aggregation layer
Client’s
Systems
Front
Office
Baikal Liquidity
Aggregation Platform
(Fidessa Enhanced)
Exchanges
MTFs
Other Dark
Pools
OR*
Baikal Order Book
TradElect/BOB
Algos
Baikal Broker
OR*
Back Office (BNP)
• FIX 4.2
• Managed via Fidessa Express
• Connections available from all the usual network suppliers
Back
Office
Baikal MTF CCP
CC&G
Baikal Platform – Key Components
– Also possible to run a FIX 4.2 over your Extranex connection
– London Stock Exchange FIX Gateway service is also connected
through to Fidessa Express
• ‘Direct FIX’ session to Baikal can be implemented bypassing the
Express routing hub to minimise latency
• Additional FIX tags for liquidity strategies
• Customer test environment available now
48
B: Connectivity: direct to BOB
Client’s
Systems
Front
Office
Baikal Liquidity
Aggregation Platform
(Fidessa Enhanced)
Exchanges
MTFs
Other Dark
Pools
OR*
Baikal Order Book
TradElect/BOB
Algos
Baikal Broker
• Use common London Stock Exchange
Group connectivity infrastructure
OR*
Back Office (BNP)
Back
Office
Baikal MTF CCP
CC&G
Baikal Platform – Key Components
• BOB is a separate market & hence separate sessions
• BOB interface simple and a sub-set of the TradElect native API - 2 new
order attributes apply to 3 messages
– Minimum execution size
– Matching Instructions
• ‘Market Data’ – NO PRICES - delivery via 2 new service channels
– X02 – Reference data
– X01 – Trade reports (prints) & market status information
49
Client Testing Environments
• Liquidity aggregation layer
– Available now!
• BOB
– Will be available through the same Customer Development Service (CDS) as
other TradElect markets from September
• Customers choosing direct BOB connection will need to participate in a
conformance test
– New message versions 5EO, 5MO, 5OF & its response 5S1
– New trade types HL & HM (hidden limit & market)
50
Delivery plan phasing
Investment for experts
Delivery schedule phasing
• Initial delivery – end June – LIVE NOW!
– Lit SOR liquidity aggregation
– Baikal back office for OTC client settlement
• September delivery
– Baikal order book (BOB) available in customer test (CDS)
• Q4 delivery
– BOB live
– Wide range of liquidity aggregation strategies including ‘dark pool
aggregation’
• Subsequent phases
– TBA
52
Baikal session summary
• Pan-European dark pool & liquidity aggregation services
• Cost effective, differentiated services from a market neutral
provider
• Technology platform uses proven technology + partners
• Connectivity is simple/standard and leverages existing pipes & APIs
• Phased release schedule has started
• Plan & start implementing your connections to Baikal Order Book
now!
Investment for experts
IMPORTANT NOTICE
Baikal Global Limited is a company registered in England & Wales with Company Number 06630018, whose Registered Address is 10 Paternoster Square,
London EC4M 7LS. Baikal Global Limited is a wholly-owned subsidiary of London Stock Exchange Group plc.
Please note that Baikal Global Limited has applied for authorisation as an Investment Firm (as defined in the Financial Services and Markets Act 2000) which
is regulated by the Financial Services Authority, and is seeking permission to operate a Multilateral Trading Facility (as defined in the Markets in Financial
Instruments Directive). Therefore, the operation of Baikal Global Limited as an authorised Investment Firm and as an MTF both remain subject to gaining
the necessary regulatory approvals.
This material is furnished on a confidential basis only for the use of the intended recipient and only for discussion purposes. This material may be amended
and/or supplemented without notice and may not be relied upon for the purposes of entering into any transaction. The information presented herein will be
deemed to be superseded by any subsequent versions of this material and is subject to the information later appearing in any related prospectus, offering
circular, pricing supplement or other offer document (the "Related Documentation"). Information other than indicative terms presented herein (including
market data and statistical information) has been obtained from various sources which Baikal considers to be reliable. However, Baikal and its affiliates
make no representation as to, and accept no responsibility or liability whatsoever for, the accuracy or completeness of such information. All projections,
valuations and statistical analyses are provided to assist the recipient in the evaluation of the matters described herein. They may be based on subjective
assessments and assumptions and may use one among alternative methodologies that produce different results and, to the extent that they are based on
historical information, they should not be relied upon as an accurate prediction of future performance. This material does not constitute advice or a
recommendation to enter into any transaction or an offer or an agreement, or a solicitation of an offer or an agreement, to enter into any transaction
(including, without limitation, for the provision of any services). By furnishing this material to the recipient, neither Baikal nor any of its affiliates is not
committing to any transaction. Although any indicative information included in this material is reflective of the terms, as of the specified date, under which
Baikal believes a transaction might be arranged or agreed, no assurance is given that such a transaction could, in fact, be executed at the specific levels or
on the specific terms indicated. This material and its contents are proprietary to Baikal and its affiliates, and no part of this material or its subject matter
may be reproduced, disseminated or disclosed without its prior written approval.
© 2009 Baikal Global Limited. All rights reserved.
References herein to "London Stock Exchange" shall include London Stock Exchange Group plc and its affiliates. London Stock Exchange and the London
Stock Exchange coat of arms device are registered trade marks of London Stock Exchange plc. The Baikal trade mark is a service mark of London Stock
Exchange plc and is subject to trade mark applications. All other logos, organisations and company names referred to may be the trade marks of their
respective owners.
54
Technical User Group
London
Date: 10 July 2009
An overview of MTS
The European Bond Exchange
Author:
Fabrizio Cazzulini
Date: July 10th, 2009
About MTS
• MTS S.p.A., founded in 1988 and privatised in 1997, was the first
electronic market for government bonds and is the founding member
(in 1998) of the MTS Group of companies.
• Since its launch over 10 years ago, the MTS Group has established
itself as the leading pan-European market for fixed income securities,
setting new standards of transparency and liquidity for government
bonds.
• With average trading volumes of up to €90 billion a day, MTS is active
in all the Eurozone countries and now also extends into the Middle
East.
• The majority of shares in the Company are owned by the London Stock
Exchange Group (60.37%). Major international financial institutions
hold the remaining shares.
57
Products
Trading Services
MTS provide facilities for trading:
• Government Bonds and Repos
• Selected Pfandbriefe and Covered Bonds and Repos
• Corporate Bonds and Repos
• Sovereign Agency and Supranational securities
• EONIA Swaps
EuroMTS Indices
The EuroMTS Indices are the first independent, transparent, real-time
and tradable fixed income indices in the Eurozone.
The indices currently consist of five main index groups:
• EuroMTS Index
• EuroMTS Government Broad Index
• EuroMTS Inflation-linked Indices
• EuroMTS New EU Index
• EuroMTS Covered Bond Index
58
Markets
Inter-dealer Cash Markets
The wholesale markets managed by MTS include: EuroMTS, EuroCredit MTS,
NewEuroMTS, EuroGlobalMTS, MTS Quasi-Government Market, Eurobenchmark
Treasury Bills Market, EuroMTS Linkers Market, MTS Cedulas Market, MTS
Amsterdam, MTS Austrian Market, MTS Belgium, MTS Denmark, MTS Deutschland,
MTS España, MTS Finland, MTS France, MTS Greek Market, MTS Ireland, MTS Israel,
MTS Italy, MTS Poland, MTS Portugal and MTS Slovenia.
Money Markets
The Money Market Facility (MMF) platform provides a dedicated segment of MTS for
the electronic transaction of repurchase agreements, buy/sellbacks and EONIA swaps
through an efficient order driven market place.
BondVision
BondVision is the fastest growing Multidealer-to-Client market for Fixed Income
trading. BondVision is also a regulated market, thus providing a “best execution”
environment. The Italian Ministry of Finance regulates the government bond trading
area whilst CONSOB regulates the non-government trading section.
59
The MTS trading system at a glance
60
Key Technical Features
Speed
• TradeImpact has reached the highest level of performances in the Fixed Income
industry.
Flexibility
• TradeImpact’s modularity has allowed MTS to respond rapidly to changing business
needs with no significant impact on architecture.
• Primary Market Auctions, “Click and Trade” activity and negotiation via Request for
Competitive Quotes use same technology and infrastructure.
Scalability
• The modularity of the components, all designed with a multi-threads approach and a
multi-layers architecture, allow both horizontal and vertical scalability.
• Hardware platform is mostly based on a cost-effective Linux/Intel architecture.
Resilience
• Each software process is replicated on different systems, with no single-points of
failure. A secondary Disaster Recovery site can handle emergency situations and
restore trading services within 3 hours from any severe event impairing the primary
system site.
61
High Capacity
The level of throughput that can be sustained by the cash market facility
of MTS has continuously improved over the last releases of the platform
and can be considered as first class in the Fixed Income arena:
Indicator
Measurement
Production peak msgs/s
6,000msgs
Production peak msgs/day
45,000,000msgs
Production Average Latency
Maximum msg per second per server (*)
Maximum trade executions per second per server (*)
<2ms
>12,000msg/s/server
>3,000msg/s/server
(*) Values based on laboratory tests
Please note: currently there are 4 Back-End server components configured in Production
62
Low Latency
Currently (CMF R6), the average round-trip time of market
transactions (e.g. quotes and orders) is below 2ms :
#Transactions
CMF R6 TransactionTime Distribution
100,000,000
Perc
Sample observation period: 24/11/2008 - 28/11/2008
Total Number of Transactions: 55,791,774
99.83728%
100.00000%
10,000,000
10.00000%
1,000,000
0.01396%
10,000
1,000
0.10000%
0.00087%
%
#
1.00000%
0.14753%
100,000
0.01000%
0.00037%
100
0.00100%
10
55,700,987
82,309
7,791
483
204
1
0-10ms
10-25ms
25-50ms
50-100ms
100-500ms
0
0.00010%
>500ms
Latency (RTT) intervals
63
Connectivity
User Software
MTS provides market members with a Reference Graphical User Interface
allowing traders to connect to markets.
Members can decide to implement more sophisticated solutions or
integrate MTS trading functionality within their existing applications via
MTS protocols.
Amongst the others, the ISVs providing software for MTS markets include:
• ION Trading Ltd
• List SpA
• Icubic AG
• etc
Network Connections
Participants can connect to the MTS markets through any of its authorised
network service providers, i.e.:
• BItSystems
• BTRadianz
• SIASSB
64
Next Releases (I)
MMF R2.1
• Introduction of OTC Trade Registration Facility
– Members will be able to utilise the extensive MTS member and settlement
network in order to register trades that did not originate on the MTS Trading
platform taking advantage of the automated settlement and Straight Through
Processing to all major European settlement entities and clearing houses. The
registration can be performed by either of the counterparties to a trade or by
MTS or potentially by a third party.
• Improvements to RFQ mechanism, Messaging and addition of MTS
Support Chat function
– RFQ mechanism is being updated to improve ergonomics and its integration
with the messaging facility.
– A new messaging function will allow traders to contact directly their MTS
representative within their Trading application.
• Improvements to GC allocation and Best Execution reporting
• Upgrade of the Reference GUI
MMF R2.1 is due to go live on July 20th
65
Next Releases (II)
CMF R6.1
• Introduction of Multi-leg RFCQ Functionality
– Buyside members can build trading lists of bonds (up to 100) to buy or sell
and issue a unique request for competitive quote to a number of dealers.
– Sellside members will be able to either send quotes for single bonds in the
list, ignore/reject single bonds or the RFCQ as a whole.
• Introduction of Single Dealer Pages
– BondVision sellside dealers will have the possibility of showing individual
pages with specific prices for their clients.
• Pre-Allocation mechanism at Central System Level
• Improvements of Best Execution mechanism for BondVision RFCQs
• Improvements of the Trading Relations mechanism
CMF R6.1 is due to go live by Q4.2009
66
Questions
10 Paternoster Square
London EC4M 7LS
T +44 (0)20 7797 1000
www.londonstockexchangegroup.com
Technical User Group
London
Date: 10 July 2009