Deutsche Börse Cash Market Migration of Trading Venue Xetra (XETR) 18 January PDF

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Deutsche Börse Cash Market Migration of Trading Venue Xetra (XETR) 18 January 2017 Deutsche Börse Group 1 Agenda Introduction & Cornerstones of the project Functional aspects of T7 Technical aspects of

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Deutsche Börse Cash Market Migration of Trading Venue Xetra (XETR) 18 January 2017 Deutsche Börse Group 1 Agenda Introduction & Cornerstones of the project Functional aspects of T7 Technical aspects of T7 Services, support & further information 1 Cash Market T7 Introduction & cornerstones of the project Deutsche Börse Group 3 Agenda Introduction and cornerstones of the project Introduction Overview of T7 Connectivity Implementation and Migration Deutsche Börse Cash Market 4 Introduction Xetra - a brief history of the architecture Cash Market on T7 Continued Xetra Interface Strategy Introduction of T7 for the Cash Market -Xetra snew trading architecture as a next generation Cash Market trading system 2017 Start decommissioning of legacy interfaces and MISS infrastructure 2013 Launch of T7 Introduction of T7 -Eurex Exchange s new trading architecture 2012 Xetra Release 12.0 Xetra Release 10.0 Introduction of new interfaces - XetraFIX Gateway - XetraMarket Data Interface Introduction of Common Report Engine and Webtrading Introduction of socket based interfaces - Enhanced Broadcast Solution - Enhanced Transaction Solution Launch of Xetra Launch of an electronic trading system for the Cash Market 1997 Deutsche Börse Group 5 Introduction Benefits by migrating to T7 The migration to T7 technology is not just aregular update on the Xetra software. It represents amilestone in electronic trading. Xetra as venue of choice in European cash trading will run, on a common platform for the trading of securities and derivatives, as atruly state-of-the-art multi exchange trading system. 1 3 SYNERGIES 2 STATE-OF-THE-ART TECHNOLOGY 4 Xetra and Eurex trading participants benefit from synergies resulting from the alignment on a common technology for the trading of cash and derivative products, and a harmonised interface landscape LOW BARRIERS Lower barriers for trading participants already active on the cash market to get access to the derivative market and vice versa T7 is a powerful stateof-the-art trading platform. Cutting-edge technology delivers ultra-low latency, robustness and safe handling of very high throughput LOW FOOTPRINT German Equities and ETFs will now be available via a lowfootprint solution, reducing participant time and effort for release updates Deutsche Börse Group 6 Introduction Scope of migration The migration of Xetra and Börse Frankfurt will be done in two steps Step 1: Migration of the continuous trading market model for CCP-eligible equities, ETFs and ETPs (MIC: XETR) in June/July 2017 Step 2: Migration of the continuous auction market model for equities, ETFs, ETPs, bonds, funds and structured products (MIC: XFRA) approximately in Q With step 1 only trading of CCP-eligible products is supported, trading of approximately 200 non-ccp-eligible products will be ceased in XETR; trading of these products in XFRA will still be possible Instrument scope, market models and market access* Asset Classes Market Models Connectivity Equities, ETFs and ETPs (CCP eligible) Continuous Trading in combination with auctions, Auction price w/o turnover Trading interfaces (ETI & FIX), Market & Reference data interfaces (RDI, MDI, EMDI & EOBI) and GUI solutions Order types and restrictions Order Types and Quotes Order Execution Restrictions Market Orders, Limit Orders, Iceberg Orders, Stop Order, Trailing Stop Order, One-Cancels-the-Other Order, Book-Or-Cancel Order,Quotes, DS Quote Request** Fill or Kill, Immediate or Cancel Order Validity Constraints Order Trading Restrictions Good for Day, Good till Date, Good till cancelled Opening Auction only, Closing Auction only, Auction only Safeguards, market data and execution reports Trading Safeguards Market Data Dissemination Member Confirmation (Extended) Volatility Interruption, Self Match Prevention, Session monitoring and triggered mass order/ quote deletion Un-netted market data, Netted market data, Order by order feed for instrument and market state changes Order Confirmation, Order Execution Confirmation, Trade Confirmation (incl. Aggressor Indicator) Xetra Best & Volume Discovery Order are planned for T7 Release 6.0 ** as implemented in Eurex Deutsche Börse Group 7 Overview of T7 Technical Characteristics Common system for cash and derivatives trading Trading platform based on Linux with various system components; no VMS-system Partitions concept for better scalability, throughput and separation of failure domains Direct messaging concept for high throughput (no message broker) New external interfaces for exchange participants New message based interfaces for trading and market/reference data New GUIs for trading and administration No MISS, VALUES API and SAKI Reports provided exclusively via the CRE Multi market capability Used for Eurex Exchange, Cash Market and partner exchanges and European Energy Exchange (EEX) Platform inherent functional changes* New hierarchy of participants and business units and the addition of the Supervisor role New entitlement concept with pre-defined roles replacing the current concept of RALs *More details in the forthcoming Functional and Technical release notes Deutsche Börse Group 8 Overview of T7- Interface landscape New GUIs for trading, administration & clearing - Trader GUI, Admin GUI & 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 un-netted market data and new reference data interface No support of VALUES API, GATE (MISS/Workstation infrastructure), SAKI, ETS and EnBS... Reports / Trading Applications Market Data and Reference Data Multicast... Files (developed by participant and / or Independent Software Vendors) Feed Handler (developed by participant and / or Independent Software Vendors) Trader GUI Admin GUI Clearer GUI ETS Common Report Engine (CRE) Enhanced Trading Interface (ETI) FIX Gateway Via ETI Enhanced Order Book Interface (EOBI)* Enhanced Market Data Interface (EMDI) Market Data Interface (MDI) Extended Market Data Services (EMDS) Reference Data Interface (RDI)** T7 *available in co-locations only **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 Deutsche Börse Group 9 Overview of T7 - New GUIs Trader GUI For on-exchange trading: Latest and statistical Market information (e.g. Market prices with Market depth, Time & Sales data) Trading Support (e.g. Order add/modify/delete) Private trading information for orders (including Order History) and trades Quote deletion and activation / deactivation News Board Highly customisable (e.g. configurable views, instrument profiles, alert notifications, filtering) All views automatically updated Modern look and easy to use No software installation required Internet or leased line connection Admin GUI For administrative functions: User setup and maintenance Assignment of user entitlements Maximum order value Basic risk protection services ( Stop Button ) Sessions view and bandwidth monitor Clearer GUI For back office and clearing risk functions: BackofficeTrades Clearing Member: Stop/Release NCM Clearing user setup Limitations: Quotes and lean orders not supported (GFD orders for high frequency traders) Overview of T7 Trading venues after migration step 1 T7 will replace the Xetra system for the trading venue Xetra (XETR) after migration step 1 Deutsche Börse Group 10 The Xetra system will continue to host trading venue Börse Frankfurt (XFRA) for at least one year In the time between step 1 and step 2 both infrastructures (T7 for XETR and Xetra for XFRA) will run in parallel Configuration after step J-Trader GUI Trader GUI Admin GUI Clearer GUI Market Data Interfaces *EnBS,MDI Xetra Frankfurt (XFRA) T7 Xetra (XETR) Market Data Interfaces MDI, EMDI, EMDS, EOBI Reference Data Interface RDI Trading Interfaces VALUES API, SAKI, FIX, ETS Common Report Engine Reference Data/ Reports Trading Interfaces ETI, FIX *EnBS includes reference data Deutsche Börse Group 11 Connectivity Concept New GUI concept Offered via Internet or dedicated bandwidths Xetra GUI channel as a display solution Each open GUI requires its own dedicated connection to the GUI infrastructure New bandwidth and pricing concept Increase in the netted and un-netted market data volume Entry level bandwidth of 7Mbit replaces existing 512kbit/s & 2Mbit/s Mid-level bandwidth for un-netted data consumption of 80 and 200Mbit (pricing in line with current Eurex pricing) Premium bandwidth of 10Gbit (lowest latency) Xetra ETI and EMDI/EOBI via fibre connections in colocation only (pricing in line with current Eurex pricing) GUI channel and ETI sessions Characteristics and pricing in line with Eurex FWB trading members expected to experience a positive or neutral fee impact for comparable connectivity while benefitting from upgraded bandwidths Deutsche Börse Group 12 Implementation and migration T7 R5.0 Implementation schedule Cloud Simulation scheduled to start 6 th March, 2017 Simulation with an integrated environment will start on the 18 th April 2017 Product migration voluntary staggered approach Eurex launched first (19 th June 2017) ETCs launched in second step (with these instruments traded on T7 and not Xetra) Remaining instruments migrated in third step (3rd July 2017) Q1 Q2 Q3 Q4 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2017 Cloud Simulation Cloud Sim start 6 th March Simulation Sim start 18 th April Production 19 th June Eurex Launched 26 th June ETCs Launched 3 rd July remaining products launched Implementation and Migration Rollout & communication schedule T7 4.0, 5.0 and 6.0 T7 Release 4.0 is a Eurex and EEX release Deutsche Börse Group Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr Simulation Environment Cloud Simulation R3.0 Cloud Simulation R4.0 Cloud Simulation R5.0 Cloud Simulation R6.0 Production Environment Simulation R3.0 Simulation R4.0 Simulation R5.0 Production R3.0 Production R4.0 Production R5.0 Simulation R6.0 Production R6.0 Release 4.0 Communication Release Notes (final) Release announcement Sep 2016 Apr 2016 Release Notes (prelim) Jun 2016 Functional & Interface Overview Aug 2016 Simulation Guide Aug 2016 Release 5.0 Communication Release announcement Apr 2016 Initial communication calendar can be found Release Notes (prelim) Oct 2016 Simulation Guide* Mar 2017 Release Notes (final)* Apr 2017 Functional & Interface Overview* Apr 2017 Implementation and migration High level checklist Deutsche Börse Group 14 check Modification of software applications for trading Connectivity Simulation preparation Decide which new trading and market data interface to be used if necessary verify with your Independent Software Provider (ISV) Coordinate software rollout and implementation timeline with your software provider / ISV Order connectivity and sessions (FIX and / or Xetra ETI sessions) for T7 Perform network connection test for T7 Ensure access to the new Xetra Admin GUI necessary for user maintenance Establish connection to T7 Cloud Simulation for early development Review and modify (if necessary) converted simulation user data Test your applications using the new interfaces in simulation environment Test product migration / rollout behaviour Production simulation and production launch preparation Review and modify (if necessary) converted production user data during simulation Prepare for the product migration / rollout period 2 Cash Market T7 Functional aspects Deutsche Börse Group 16 Agenda - Functional Aspects General Entitlement Concept Market structure Instrument Concept Continuous Trading in combination with Auctions Orders System Order Id and Side Trade Id New Functionality OTC and MiFID Trade Reporting Deutsche Börse Group 17 General Entitlement Concept New Participant structure (1/2) Participant Member firm of the Exchange Business Unit These will be set up by the exchange At least one business unit set up is required to allow a participant to trade Business logic of T7 makes use of the business unit not the participant Business Unit By default, trading members will only get a trading business unit; clearing members will only get a clearing business unit; members both clearing & trading will get a trading business unit & a clearing business unit User A person that interacts with the trading system (e.g. trader or administrator) or a machine (e.g. Order routing system) A user belongs to one business unit Business Unit Users can only have one user level Trader: Modify/delete own orders only Head Trader: Modify/delete own orders and those entered by other users in the same trader group Supervisor: Modify/delete own orders and those entered in the entire business unit Session Set up for/belongs solely to a business unit Users must use a session belonging to the same business unit Deutsche Börse Group 18 General Entitlement Concept - New participant structure (2/2) Entitlement on member / participant level as today Entitlement on user level to be maintained by Service Administrator in the new system Clear concept of Chinese walls, rights & product assignments and user hierarchy Participant (e.g. ABCFR) Clearing business unit (e.g. ABCFRCL) Trading business unit (e.g. ABCFR) For clearing members only Contains users Unable to trade Scope of trade broadcasts is every entity that clears via ABCFR, i.e. all trading BUs and NCMs of ABCFR Business unit Trader Group M* User M2 (Trader) User M1 (Head Trader) User Mn (Trader) User A (Supervisor) Service Administrator Trader Group N* User N1 (Trader) User Nn (Trader) Deutsche Börse Group 19 General Entitlement Concept - User hierarchy The Exchange will entitle the Trading Participant. The Trading Participant will entitle its users. The new system supports trader groups and a hierarchy of three user levels: Trader, Head Trader and Supervisor. User levels for trading users define a clear context for order maintenance: Trader users maintain own orders only Head Trader users maintain own orders and can delete the orders of traders in their trader group Supervisor users maintain own orders and can delete orders of all traders / trader groups. It is also possible to modify standard orders via other low frequency sessions or the Trader GUI Trading business unit Trader Group M* User M2 (Trader) User M1 (Head Trader) User Mn (Trader) User A (Supervisor) Service Administrator Trader Group N* User N1 (Trader) User Nn (Trader) Quotes can only be entered using ETI sessions, the context to modify or delete a quote is therefore defined by the session used to enter a quote. Emergency actions like delete all will be supported, but the scope of the action is determined by the user hierarchy. Deutsche Börse Group 20 General Entitlement Concept - Mapping of RALs to Roles Xetra: RALs entitle user to execute specific operations T7: the equivalent to RALs are resources Users will be assigned pre-defined roles in T7 equivalent to their RAL entitlement in Xetra In the first example the user is will be assigned the Cash Trader role since he is entitled to Enter Orders The Trader role also includes other resources, e.g. display of orders and trades, statistics In the second example the user be assigned the Cash Service Administrator role since he is entitled to Add Users The Cash Service Administrator role also includes the modification of users, maintenance of their entitlement, etc General Entitlement Concept - Mapping of Instrument Groups to Product Assignment Groups Deutsche Börse Group 21 The Instrument Groups in Xetra will be migrated to Product Assignment Groups (PAG) on T7 The PAG will have the same names and include the same instruments as in Xetra Deutsche Börse Group 22 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. Roles Trader x x x Market Maker Trading View PAG AFR0 DAX1... WAR1 x For the migration, users will be assigned all roles for all product groups as per current RAL entitlement. 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. Roles PAG AFR0 DAX1... WAR1 Trader x x x Market Maker Trading View Deutsche Börse Group 23 General Entitlement Concept - Responsibilities in context of the migration Deutsche Börse AG Migration of the Xetra environment to the T7 platform Migration of reference data, including instruments as well as members Migration of the entitlement Assignment of product groups to participants Assignment of roles to users in regard to their former RAL setup Participants Assessment and maintenance of the user and entitlement configuration Assignment of new roles to users General Entitlement Concept -Assignment of roles Deutsche Börse Group 24 On a participant level, maintenance of product assignment remains as is. The role/product combinations will be assigned as per RALs by product assignment group (which has a 1:1 relationship with Instrument Groups). Xetra Member T7 architecture Participant / Trading BU Assignment by Market Supervision RALs Instrument Group 1 61 Trading Instrument Group Clearing and other Copy All Member Product Ass. Roles* Group 1 Automatic assignment Product Ass. Group 2 Trader Trader Assignment by Security Admin of participant RALs Instrument Group 1 61 Trading Instrument Group Clearing and other Copy Roles* Product Ass. Group 1 Product Ass. Group 2 A subset of participant s entitlement assigned by Service Administrator of participant *All roles are derived from the RAL of the member in the old system Deutsche Börse Group 25 General Entitlement Concept Trading limits Maximum Order value is currently used by Xetra for limits Transaction size is used by Eurex Maintenance on user level in T7 Maximum Order Values and Maximum Order Quantities will be applicable for all products T7 XetraFFM1 Trader Maximum Order Quantity* Maximum Order Value* Initial copy (no sync) Trader Maximum Order Value Assignment by trading members * This will be determined as a result of MIFID II / MIFIR requirements Deutsche Börse Group 26 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 product groups and products Group hierarchy is maintained by the exchange Market Eurex Group Product Xetra T7 Market Hierarchy Market XETR Group Product Other markets... Group Collections of products of the same type which refer to the same functional area Every tradeable product must belong to a group Products Aproduct is equal to an instrument for the cash market in general Several ETFs & ETPs can be grouped as one 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 Instrument Instrument Instruments Tradeable entities An order refers to buying/selling specified quantities of an instrument Instruments are set up by the exchange Deutsche Börse Group 27 Instrument concept - Definition Tradeable entities Set up by the exchange Buying/selling specified quantities of an instrument is termed an order T7: Definition of an Instrument Instruments of the same product are traded in the same way, i.e. trading parameters and trading schedules Schedules are defined for products or groups of products rather than for individual instruments Both products and instruments have individual trading states Usually, all instruments of a product have the same trading state of the product In special circumstances, an individual instrument s s
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