Paulo D Angelo - IT Manager - Trading Interfaces - Extol

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Paulo D Angelo - IT Manager - Trading Interfaces - Extol Powered By Docstoc
					FPL Regional Meeting
 São Paulo - May, 2012
Forward Looking Statements

This presentation may contain certain statements that express management’s expectations, beliefs and forecasts
relating to future events or results. Such future statements are not statements of historical fact but are based on
currently available competitive, financial and economic data and on management’s current expectations for the
industry of which BM&BOVESPA is part of.

The verbs “anticipate,” “believe,” “estimate,” “expect,” “predict”, “plan”, "project,” “target” and other similar verbs are
intended to identify these future statements, which involve risks and uncertainties that might cause material
differences between the current data and the predictions contained herein this presentation and they do not assure
any future performance of BM&FBOVESPA.

The factors that might affect performance include, but are not limited to: (i) market acceptance of the services
provided by BM&FBOVESPA; (ii) volatility in the Brazilian economy and its securities market, and in the highly
competitive industry in which BM&FBOVESPA operates; (iii) changes in domestic and foreign legislation and taxation,
and changes in government policy affecting the financial and securities markets; (iv) increasing competition with new
entrants in the Brazilian markets; (v) BM&FBOVESPA’s ability to continuously adapt to the fast-changing technological
environment, including implementation of optimized functionalities required by customers; (vi) its ability to maintain a
continuous process for introducing competitive new products and services, while maintaining the competitiveness of
the existing ones; (vii) its ability to attract new customers in domestic and foreign jurisdictions; and (viii) its ability to
expand its product offering to foreign jurisdictions.

All future statements expressed herein this presentation are based on information and available data in the date they
were made. BM&FBOVESPA does not undertake to update them in light of new information or future developments.

This presentation neither constitutes a sell offer or a purchase request of any securities, nor shall there be any sale of
securities in any jurisdiction in which such offer, request or sale would be unlawful prior to registration or qualification
under the securities laws thereof. No offer shall be made except for being properly proposed in a prospectus according
to the Brazilian Securities Commission (CVM) Rule no. 400 from 2003 and its pertaining amendments.


                                                                                                                                 2
BM&FBOVESPA Update


 Presentation goals

 • To present the deployment schedule for the BM&FBOVESPA PUMA Trading System
   for the BOVESPA segment;
 • Depict new funtionalities and impacts on FIX Order Entry interfaces
   (e.g. MegaDirect and EntryPoint);
 • Depict new funtionalities and impacts on FIX Market Data feeds
   (e.g. UMDF Mega Bolsa);
 • Other Relevant Topics.




                                                                                3
BM&FBOVESPA Update


 Agenda

  BM&FBOVESPA PUMA Trading System Project

  Impact on FIX Order Entry Interfaces

  Impact on FIX Market Data Feeds

  Final Topics




                                            4
BM&FBOVESPA Update


 Agenda

  BM&FBOVESPA PUMA Trading System Project

  Impact on FIX Order Entry Interfaces

  Impact on FIX Market Data Feeds

  Final Topics




                                            5
PUMA Trading System


 Project milestones

 • Successful replacement of the GTS trading platform by the PUMA Trading System for
   the BM&F segment in 2011;
 • Now it is time to lay out the changes needed for client systems for the equities
   launch in late 2012;


                2011                      2012                      2013
      Q1     Q2      Q3    Q4    Q1    Q2     Q3       Q4   Q1    Q2    Q3      Q4

      GTS Replacement           Mega Bolsa Replacement              Update BM&F
           BM&F Segments                BOVESPA Segments            Segment

                                                                    Next Steps
                                                                    (under planning)




                                                                                       6
PUMA Trading System (Derivatives Market)


 Operation statistics for the BM&F segment after GTS System replacement

                                                    System            PUMA
                                                      GTS             (2011)
       PERFORMANCE
       RTT latency average*                          15 ms            1,1 ms
       RTT standard deviation                       100 ms            370 µs
       OUTLIERS**                                    23 sec           15 ms
       PROCESSING PEAK
       Messages per day                            7 million        200 million
       (*) RTT: Round Trip Time – LiNe system time not considered
       (**) RTT maximum registered


      • 25 times capacity increase
      • Average latency 20 times reduced
      • Latency standard deviation 300 times reduced

                                                                                  7
PUMA Trading System (Equities Market)


 Estimates of operation statistics for the BOVESPA segment after Mega Bolsa
 System replacement

                                                    System                    PUMA
                                                   Mega Bolsa               (2012) **
       PERFORMANCE
       RTT latency average *                          30 ms                  < 1 ms
       RTT standard deviation                                                370 µs
       PROCESSING PEAK
       Messages per day                            20 million              200 million
       (*) RTT: Round Trip Time – time in the LiNe system not considered
       (**) to be confirmed in tests


      • New FIX gateway with optimized performance – benefiting EntryPoint




                                                                                         8
PUMA Trading System (Equities Market)


 Mega Bolsa replacement project’s steps
                                                                      • Mock tests
                                                                      • Instruments
                                                                        migration
  • PUMA equities and derivatives trading
    platform development finished.
  • 659 people involved in the project
    (CME + BVMF).
  • 560,500 worked hours in this phase
                                                                            DEPLOYMENT

                                                INTERNAL TESTS


                                            •   150 people executing tests scenarios
                        DEVELOPMENT         •   Alpha (full regression)
                                            •   Beta (non-functional tests and UAT)
                                            •   Candidate version (final tests)


      REQUISITES                            • July 2012 – New Release Environment
                                            • September 2012 – Beginning of the
                                              simulated trading and certification
                                              sessions phase

                                                                                         9
BM&FBOVESPA Update


 Agenda

  BM&FBOVESPA PUMA Trading System Project

  Impact on FIX Order Entry Interfaces

  Impact on FIX Market Data Feeds

  Final Topics




                                            10
Existing Order Entry Interfaces

 BM&F segment                                                      BOVESPA segment
  • 1986: Open outcry                                              •   Open outcry
  • 2000: Global Trading System (NSC)                              •   1990: CATS
    – GLWin                                                        •   1997: Mega Bolsa (NSC)
  • 2004: Web Trading (WTr)                                        •   1999: Home broker interface
    – First automated interface                                    •   2005: End of open outcry
  • 2007: New GTS (BELL FIX interface)                             •   2008: New version of Mega Bolsa
  • 2008: DMA access, cross-listing with CME                       •   2009: Current version of Mega Bolsa
  • 2011: New EntryPoint interface (FIX 4.4)                           MegaDirect (FIX 4.2)


                                                                Average
                                                                                         RTT**
                             April, 2012                       Messages
                                                                                          (ms)
                                                               (per day)
                                     BELL GTS*                 1,505,323                 22.469
                 BM&F               BELL PUMA                   514,735                  3.041
                                  EntryPoint PUMA              2,366,913                 1.626
               BOVESPA              MegaDirect                10,841,129                 22.716
              (*) data from June, 2011
              (**) RTT average includes sessions with pre-trade limit controls enabled
                                                                                                             11
EntryPoint – Unified Order Entry Interface


 EntryPoint proposal
 • Consolidation of multiple interfaces – enable access to multiple asset classes via
   same FIX sessions;
 • Based on FIX.4.4 – leverages knowledge of and investment in FIX;
 • New functionalities (e.g. new Market with Protection, Stop with Protection, Market
   on Auction, Market on Close order types).


 FIX order entry interfaces impacts due to PUMA deployment for equities
 • Support for Mega Direct will be kept – messages will be internally converted and
   routed to EntryPoint;
 • The EntryPoint Mega Bolsa interfaces will automatically be converted into PUMA –
   messages will be internally routed to MegaBolsa or PUMA according to the
   instruments migration.



                                                                                        12
Order Entry for Equities


 Current architecture
         Broker/User                                       BVMF

                                         MegaDirect
                                         Dropcopy

                             FIX 4.2
                                             MegaDirect           MegaBolsa
        MegaDirect Client
                                              Gateway             NSC v900




                              FIX 4.4    new
                            EntryPoint      EntryPoint
        EntryPoint Client
                                           Mega Bolsa GW

                                              EntryPoint
                                              Dropcopy




                                                                              13
Order Entry for Equities


 Post-migration architecture
         Broker/User                                        BVMF

                                         MegaDirect
                                         Dropcopy

                             FIX 4.2
                                             MegaDirect
       MegaDirect Client
                                              Gateway            X   MegaBolsa
                                                                     NSC v900


                                         MegaDirect/EntryPoint
                                          Protocol converter

                              FIX 4.4
                            EntryPoint        EntryPoint
        EntryPoint Client                                             PUMA
                                               Gateway
                                                                     Equities
                                              EntryPoint
                                              Dropcopy




                                                                                 14
Order Entry Roadmap


  EntryPoint Consolidation of multiple interfaces


                          2012                                        2013
           Q1        Q2         Q3           Q4          Q1          Q2       Q3        Q4
                               PUMA                          BM&F
                             BOVESPA                       Segment
                             Segment                       Upgrade


                                     BELL FIX (D)
                                                       DRAF               X Planned to be discontinued*
                                          EntryPoint (D)

                                                                                               EntryPoint
                                 MegaDirect (E)
                                                                          X                      (D+E)
                                                                                             Gateway
                                                    EntryPoint (E)                           consolidation




 (*) dates to be properly informed
                                                                                                             15
Order Entry – MegaDirect


 FIX tags impacted by the instruments migration to PUMA
                      Mega Bolsa System                            PUMA Trading System
  OrderID   Unique per instrument per trading day      Globally unique (generated by PUMA)
  (37)      (generated by Mega Bolsa)                  Tag in MegaDirect (and in EntryPoint) will receive
            Tag in MegaDirect combines with "session   an unique increasing numeric value, with no
            date" and "instrument symbol“ values       composition of date or instrument
            37=20120426123456ABCD1                     37=11000000123456789

  Account   MegaDirect - Data type STRING              EntryPoint - Data type INT
  (1)       Client system may complement with          Client system should send the account exactly as
            useful information                         designated by the exchange. Account
            1=001234TEXT                               information with non-numeric characters will
            It is optional to use the Memo (5149)      return a session reject (35=3) message
            field which is echoed in all replies.      1=1234
            5149=TEXT                                  It is optional to use the Memo (5149) field which
                                                       is echoed in all replies.
                                                       5149=TEXT
                                                       It is recommended to use the use the new
                                                       PartyRole (452) = 76 DeskID field which will be
                                                       echoed in all replies and pos-trading messaging.
                                                       452=76|448=TEXT

                                                                                                            16
Order Entry – EntryPoint


 New TAGs returned in instruments migrated to PUMA
                                       Data
   Tag      Tag Name     Req’d         Type       Message                             Comment

  1057    Aggressor       N      Boolean       Execution         Optionally returned to identify whether the order
          Indicator                            Report (35=8)     initiator is an aggressor or not in the trade. Valid
                                                                 values:
                                                                 Y = Order Is Aggressor
                                                                 N = Order Is Passive

  35001   Protection      N      Price         Execution         Conditionally returned for Market and Stop orders
          Price                                Report (35=8)     with protection. This contains the final protection
                                                                 price limit, which any unmatched quantity will
                                                                 remain in the book.

  378     ExecRestatem    N      Int           Execution         Conditionally returned in Execution Reports (35=8).
          entReason                            Report (35=8)     Added new domain value:
                                                                 103 = Self-Trading Prevention

  834     Threshold       N      PriceOffset   Position          Used to indicate the minimum acceptable offset
          Amount                               Maintenance       between the Strike Price and the Market Price.
                                                                 Returned in the Position Maintenance Report
                                               Request (35=AL)
                                                                 (35=AM) when provided in the request.
                                               Report (35=AM)




                                                                                                                        17
Order Entry – EntryPoint


 Changes in order modification behavior
                 Scenario                         Mega Bolsa System                       PUMA Trading System
  Modifications of Limit orders with      Rejected by means of an Execution        Accepted producing an Execution Report
  disclosed quantity to Limit orders      Report (ExecType (150) = Rejected (8))   (ExecType (150) = Replaced (5))
  without disclosed quantity

  Modification of an order to a lower     Modification is rejected with            Modification returns an Execution Report
  quantity than the executed one          OrderCancelReject (35=9)                 (ExecType (150) = Canceled (4))


  Client submits an OrderCancelReplace    Modification is rejected with            Modification is accepted producing an
  without changing any parameter of the   OrderCancelReject (35=9)                 Execution Report (ExecType (150) =
  order                                                                            Replaced (5))



 Change in the order SecondaryOrderID of iceberg orders
                 Scenario                         Mega Bolsa System                       PUMA Trading System
  An order with OrderQty = 10000 and      In Mega Bolsa the Order Identifier       PUMA matching engine will assign a new
  MaxFloor = 500 will be shown in the     (SecondaryOrderID) remains               Order Identifier (SecondaryOrderID) each
  order book as a 500 order.              unchanged.                               time the order is replenished.




                                                                                                                              18
Order Entry – EntryPoint


 Removal of the “suspended” state
          Scenario                Mega Bolsa System                       PUMA Trading System
  The domain value           In Mega Bolsa the instrument’s    In PUMA, even if an auction is triggered, the
  “Suspended (9)” in the     phase/state is set to             instrument’s phase/state will automatically
  tags ExecType (150) and    “Suspended”, e.g. if an auction   change and the order will be accepted with
  OrdStatus (39) will be     is triggered.                     an Execution Report with the tags ExecType
  discontinued in the                                          (150) and OrdStatus (39) indicating the value
  PUMA Trading Platform.                                       “New (0)”.



 Change in cancellation behavior of non executed orders by EOD
          Scenario                Mega Bolsa System                       PUMA Trading System
  The behavior in the        In Mega Bolsa the orders are      At the end of the day, all the orders will be
  Equities segment will be   removed from the matching         cancelled by the matching engine during the
  harmonized to match        engine and no execution           closing trading phase and the customers will
  what currently occurs in   reports are sent. Customers       receive Execution Reports expiring the
  Derivatives and FX.        must handle orders elimination    orders (ExecType (150) = Expired (C)).
                             on the client-side



                                                                                                               19
Order Entry – EntryPoint


 Other relevant changes
  User-Defined Spreads
  A larger list of spread types will be supported once the instruments migrate to PUMA.

  In the PUMA Trading System it is possible to create spreads up to 40 legs, whereas Mega Bolsa allows the maximum of 5 legs;

  New naming convention: Mega Bolsa                                              PUMA
                              ACME            S          447           VV          UD :       ACME           VT        123456
                              Instrument     UDS       Sequence      Template      Prefix    Instrument    Strategy    Sequence
                                 Code        (R-Z)      Number                                  Code        Type        Number




  Exercise & Blocking
  In PUMA, there has been an improvement in the Exercise functionality that allows the client to indicate the minimum
  earnings an options contract holder expects to profit by exercising his position. In case the earnings happen to be lower than
  what is specified , the position will not be exercised.


  Self-Trading Prevention
  The Self-Trading Prevention functionality, which is currently available in the Derivatives segment through the EntryPoint
  interface, will also be provided for Equities upon the migration to the PUMA Trading System.
  For more information on the Self-Trade Prevention functionality, please see:
  http://www.bmfbovespa.com.br/pt-br/servicos/download/Self-Trading-Prevention-Functionality-v100.pdf


                                                                                                                                   20
Order Entry – EntryPoint


 Resend Request changes

 • The maximum number of retransmitted messages due to a ResendRequest (35=2)
   will be limited to 10 thousand messages;
 • If ResendRequest (35=2) exceeds the established limit, the system will accept the
   request, but the number of retransmitted messages will be within the limit;
 • In this case the message SequenceReset (35=4) sent at the end of the retransmission
   of the messages will contain the tag PossMissingApplMsg (35033) = Y to indicate
   the request may not have been completely delivered:
                                  Data
   Tag     Tag Name     Req’d     Type       Message                           Comment

  35033   PossMissing    N      Boolean   Sequence       If returned with value “Y”, it indicates that the Resend
                                          Reset (35=4)   Request was not fully delivered. In this case, the client
          ApplMsg                                        system might connect to the Message Replay gateway in
                                                         order to recover the complete set of messages.




                                                                                                                     21
Order Entry – EntryPoint


 New Message Replay Service

 • Message Replay is a new service dedicated to order entry messages retransmission.

  ApplicationMessageRequest (35=BW)
   Tag         Tag Name       Req’d   Data Type                            Comment
  1355    RefApplID             Y     String      Reference to the FIX session identifier.

  1182    ApplBegSeqNum         Y     Seqnum      Beginning range of application sequence numbers.

  1183    ApplEndSeqNum         Y     Seqnum      Ending range of application sequence numbers. Zero means
                                                  sequence number of last message in transmission.




            Apart from the quantity, it is recommended that the client applications always
            request message retransmission to the Message Replay service.

                                                                                                             22
BM&FBOVESPA Update


 Agenda

  BM&FBOVESPA PUMA Trading System Project

  Impact on FIX Order Entry Interfaces

  Impact on FIX Market Data Feeds

  Final Topics




                                            23
Existing Market Data Feeds


 Fragmented formats with different implementations
 • BOVESPA (cash equities): ProxyDiff (RLC/MMTP)
 • BM&F (derivatives & FX): FIX 4.4 (BELL)
 • BM&F (clearing): SDM

 Different traffic patterns
 • BOVESPA:                                  • Signal formats based on unicast TCP
   liquidity in many securities
   (e.g. stocks tracked by index)            • Lack of signal compression creates
                                               higher bandwidth requirement
 • BM&F:
   very high liquidity in few instruments    • Sequential model requires
   (index futures, dollar futures)             persistence at customer’s end
                                             • Very bad for late joiners – can take
                                               hours to resend messages



                                                                                      24
UMDF


 Unified Market Data Feed
 • Provide a single format market feed covering all products traded on BM&FBOVESPA
   as well as those distributed by agreements (e.g. CME and NASDAQ), reducing cost to
   the exchange and its customers;
 • Leverage use of UDP multicast to reduce TCO and enhance performance of market
   data feed, reducing cost to exchange and its customers;

 • Use of FIX 5.0 standard:
  - Possibility of expansion via service packs;
  - Independent of transport layer (TCP unicast, UDP multicast, MSMQ, etc.);
  - Simple message parsing, familiar to market and with large array of available APIs.
 • Compression via FAST:
  - Offers up to 80% compression for FIX messages;
  - Flexibility to remove compressors for greater performance;
  - Messages encoded and decoded via templates.


                                                                                         25
UMDF


 Channels for market data feeds
 • Diffusion of market data divided into logical groups, or “channels”, identified by
   number (channel 1, channel 12, channel 50 etc.)
 • Each channel represents a market segment or relevant division that makes sense
   from the operational or load balancing standpoint
 • Each channel comprises three UDP streams:
  - List of instruments
       - List of instruments for the channel with all their characteristics (tick, standard lot, maturity,
         etc.)
  - Snapshots
       - Status of order books, instruments and statistical data (high price, low price, VWAP) for rapid
         recovery
  - Incrementals
       - Real-time changes in instrument status (order book, statistics, news, etc.)

 • A TCP Recovery feed can be used for on-demand message recovery.


                                                                                                             26
UMDF


 High availability and disaster recovery
 • High availability is achieved via local clusters
 • DR is live, with two parallel signals (Primary feed out of main site and Backup feed
   out of secondary site)

                                     Core exchange market data feed
                                               Primary site   Backup site


                      PRIMARY FEED                                           BACKUP FEED
          BM&F              BOVESPA              CME             BM&F           BOVESPA              CME
        market data        market data        market data      market data     market data        market data
         channels           channels           channels         channels        channels           channels


                      Market data                                                   Market data
                         feed                                                          feed


                                         RCB / RCCF2 / Low latency network
                                                   Client systems

                                                                                                                27
Impact on FIX Market Data Feeds


 FIX market data feeds impacts due to PUMA deployment for equities

 • Release of UMDF feed version 2.0 (PUMA) for the equities market after ending the
   instruments migration to PUMA;

 • Support for the UMDF 1.6 (Mega Bolsa) feed will be kept (internally converted from
   UMDF 2.0);
  - The UMDF Mega Bolsa signal will not undergo any compatibility break with the instruments
    migration to the PUMA platform;
  - Market data will keep being internally converted from the MMTP/RLC format;
  - It is expected to have 5-10 ms of added latency to UMDF 1.6 (Mega Bolsa) due to the double
    conversion among the tree formats;

 • UMDF 1.6 (PUMA Derivatives) feed will suffer no changes and will later be
   upgraded to 2.0, in a date to be properly informed.




                                                                                                 28
Impact on FIX Market Data Feeds


 Current architecture
         Broker/User                                   BVMF




                           MMTP/RLC
        ProxyDiff Client                    HUB               MegaBolsa
                                                              NSC v900

                                          RLC 2 UMDF
                              UMDF
                           FIX/FAST 5.0
                                          UMDF 1.6
         UMDF Client
                                          MegaBolsa




                                                                          29
Impact on FIX Market Data Feeds


 Post-migration architecture
         Broker/User                                    BVMF




                           MMTP/RLC                            new
        ProxyDiff Client                     HUB               UMDF 2 RLC



                                           RLC 2 UMDF



                                           UMDF 1.6
                                           MegaBolsa
                              UMDF
                           FIX/FAST 5.0
                                           UMDF 2.0              PUMA
         UMDF Client
                                            PUMA                Equities
                                          new

                                                                            30
Market Data Feeds – UMDF


  UMDF Roadmap


                              2012                                   2013
               Q1         Q2         Q3       Q4        Q1          Q2     Q3         Q4
                                      PUMA                  BM&F
                                    BOVESPA               Segment
                                    Segment               Upgrade


                UMDF 1.6 (Mega Bolsa)
                                                   DRAF
                                                                    X Planned to be discontinued*
                                                   UMDF 2.0 (PUMA Equities segment)
      customer impact
         document



              UMDF GTS
                         X Discontinued
                     UMDF 1.6 (PUMA Derivatives segment)                 UMDF 2.0 (D)



 (*) date to be properly informed
                                                                                                    31
Market Data – UMDF 2.0 (PUMA)


  UMDF 2.0 (PUMA) New supported products and tags

 • The UMDF 2.0 (PUMA) implementation is compatible with UMDF 1.6 (Mega Bolsa);
 • New messages tags and features.

 New supported products in UMDF 2.0
 Security Lending Contracts (BTC)                                          MDEntry     Description
 All market data for BTC comes with the tag 1500-MDStreamID=L to           269=0,1,2   BTC Book Entries
 differentiate the market data entries from other venues;                  269=J       BTC Book Reset
 • Tag 432-ExpireDate carries information on when the lending expires;     269=B       BTC Trade Volume
 • Tag 37019-EarlyTermination indicates if the lending can be terminated   269=C       BTC Open Interest
   earlier.

 Fixed Income Products (BovespaFIX)
 New FIX message 35=n (NonFixData) used to carry the unmodified RLC-Z5 message;




                                                                                                           32
Market Data – UMDF 2.0 (PUMA)


 Main changes in the message SecurityList (35=y)
 New indicator for Non-tradable products and eligibility for GTD/GTC orders (using 870-NoInstrAttribs block);

 New block to support for multiple Lot Types (using 1234-NoLotTypeRules);

 New indicator for User-defined spreads (UDS) versus Exchange-defined spreads (EDS) using tag 1377-MultiLegModel;

 New indicator for when strategy products legs contain individual prices (tag 1378-MultiLegPriceMethod);

 New indicator for Corporate Action Event identification (tag 37010-CorporateActionEventID);

 New Governance level indicator (tag 37011-GovernanceIndicator);

 New Special Auctions indicator (tag 37015-SecurityMatchType);

 Reviewed and enhanced security classification (tags 460-Product, 167-SecurityType and 762-SecuritySubType);


 SecurityStatus (35=f) Main changes in the SecurityStatus message (35=f)
 New tag 336-TradingSessionID informing when entering non-regular trading sessions;

 New Final Closing Call phase (625=101) and state (326=101) to indicate when the group/instrument is on the final closing call
 for the trading day;

 New tag 1174-SecurityTradingEvent to indicate when an instrument state is separating or rejoining its group phase, facilitating
 the handling of instruments that behave differently from the group they are in;


                                                                                                                                   33
Market Data – UMDF 2.0 (PUMA)


 Main changes in the messages MarketData Incremental and Snapshot (35=X,W)
 New tag 37014-MDInterestRate for reporting the interest rate for Termo (Forward Market);

 New tag 37100-IndexSeq and new Composite Underlying Prices block (269=D) with group 711-NoUnderlyings in incremental
 messages for index instruments;

 New tag indicating the date when the instrument last traded (tag 9325-LastTradeDate);

 New indicator of previous day´s closing price adjustment (tag 37013-PriceAdjustmentMethod);

 New Adjusted Closing Price block (269=5 when 286=4);

 New Quantity Limits block (269=h) and new types of limits and bands (tag 6939-PriceBandType);

 Enhanced statistics by venue. Each set based on the tag 1500-MDStreamID must be stored separately by the client application.


 Changes in the message News (35=B)
 New Unified News Channel reserved for global news broadcast and that is able to send encoded headlines and text with
 special characters (e.g. accented letters);

 Revised news sources (tag 6940-NewsSource);

 New cross-news referencing id (using tag 1472-NewsID);




                                                                                                                                34
Market Data – UMDF 2.0 (PUMA)


 Snapshot Market Recovery Changes
 The Snapshot Market Recovery feed now supports multiple Snapshot messages (35=W) per packet.

 Many small footprint Snapshots can be bundled
                                                               UDP Packet (1430 bytes)
 into a single UDP datagram (1430 bytes).

                                                                       35=W              35=W       ...        35=W




 TCP Recovery Changes
 Faster TCP Recovery feed must now be used to recover up to 10,000 missing messages, 2000 at a time.

        Customer applications should be capable of arbitrating between both incremental feeds A and B (except for colo
        clients), to be able to recover missing packages more efficiently and use the TCP Recovery feed only when needed.



 New TCP Historical Replay
 New TCP Historical Replay available for participants as an alternative for charting purposes.

 Separated TCP session for customers that need to recover more than 10,000 messages without incurring in added latency to
 the real time TCP Recovery.




                                                                                                                            35
BM&FBOVESPA Update


 Agenda

  BM&FBOVESPA PUMA Trading System Project

  Impact on FIX Order Entry Interfaces

  Impact on FIX Market Data Feeds

  Final Topics




                                            36
Brazil Easy Invest (BEI)
                                                                                                       www.bmfbovespa.com.br/bei

   BEI      Attracting international investors

 • Partnership between BVMF and Chi-X to develop technology that will enable
   Brazilian stocks to trade in foreign currencies;
 • Target: foreign investors (CMN Resolution 2689) and retail via home broker systems
   in U.S., Europe and Asia.

                                             BEI EQUITY USD ORDER BOOK
                                                                                               ILLUSTRATIVE
                                                   BID                     ASK
                                        1000             5.7333   6.3055         1000
                                        1000             5.1600   6.8788         1000
                                                                                               Streaming equity and FX quotes are
                                        1000             4.5866   7.4520         1000          merged to create a USD book



         MEGABOLSA EQUITY BRL LIMIT ORDER BOOK                              LIQUIDITY PROVIDER FX CURRENCY QUOTES

                BID                   ASK                                               BRL                   USD
         1000         10.00   11.00         1000                             BUY              SELL          Notional
         1000         9.00    12.00         1000                            1.7442            1.7445       10,000,000
         1000         8.00    13.00         1000                            1.7441            1.7446       20,000,000



                                                                                                                                    37
BEI – Market Data Message Flow


             Market Data (e.g. USD)                                           Market Data (BRL)
                Book by Price                                                  Book by Order
               TCP FIX 4.4 Conflated                                       Multicast UMDF FIX/FAST 5.0



                                                             BM&FBOVESPA
      OFF-SHORE
       CORRETORA     ON-SHORE
                     CORRETORA
       BROKER
       OFF-SHORE      BROKER
                      ON-SHORE


                                  2       Market Data Port
                                                                              1b
                                          Equity Order Entry

                                                 FX LiNe                            UMDF

                                                Portal Web
                                                                  Chi-FX


                                              FX Order Entry
                                  1a

                      BANCO
                   FX LIQUIDITY
                     DE CÂMBIO
                    PROVIDER

                                                                               ILLUSTRATIVE

                       FX Quote (35=S)
                        (e.g. USD/BRL)
                     TCP EntryPoint FIX 4.4


                                                                                                         38
BEI – Market Data Message Flow


               35=x   SecurityListRequest

               35=y   SecurityList

                ...

               35=V   MarketDataRequest

     Broker                                          BEI
               35=W MarketDataFullRefresh
                ...
               35=X   MarketDataIncrementalRefresh
                ...
               35=f   SecurityStatus




                                                           39
BEI – Order Entry Message Flow

                  TCP FIX 4.4 EntryPoint

                                                                BM&FBOVESPA
          OFF-SHORE
           CORRETORA   ON-SHORE
                       CORRETORA
            BROKER
           OFF-SHORE    BROKER
                        ON-SHORE

                                      2
                                             Equity Order Entry
                                                                                  3
                                      5
                                                    FX LiNe

                                      6a           Portal Web                     4

                                                                                        Gateway
                                                                         Chi-FX
                                                                                       EntryPoint

Quote (35=S)                          1
                                                 FX Order Entry

QuoteCancel (35=Z)                    6b
                                                                                       EP LiNe
                          BANCO
                       FX LIQUIDITY
QuoteStatusReport       DE CÂMBIO
                        PROVIDER
                                                 ILLUSTRATIVE
(35=AI)
                         1   FX Quote (USD/BRL)                   4    EQ ExecutionReport (BRL)

                         2   EQ NewOrder (USD)                    5    EQ ExecutionReport (USD)
                         3   EQ NewOrder (BRL)                    6a   FX ExecutionReport (USD)

                                                                  6b   FX ExecutionReport (BRL)

                                                                                                    40
BEI EntryPoint Specific Tags


       Tag     Tag Name      Req’d           Message                                   Comments
 15           Currency         Y     New Order Single (35=D)   Required for Chi-FX to indicate offshore currency of the
                                     Execution Report (35=8)   order
       452   PartyRole        Y     New Order Single (35=D)   Identifies the type or role of the PartyID (448) specified.
                                     Execution Report (35=8)   Conditionally required if NoPartyID > 0.
                                                               7 = Entering Firm
                                                               36 = Entering Trader
                                                               46 = Foreign Firm
                                                               54 = Sender Location


       Tag     Tag Name      Req’d           Message                                   Comments
 Component    MiscFeesGrp     N      Execution Report (35=8)
 136          NoMiscFees      N      Execution Report (35=8)   Number of miscellaneous fees
       137   MiscFeeAmt      N      Execution Report (35=8)   Miscellaneous fee value
       138   MiscFeeCurr     N      Execution Report (35=8)   Currency of miscellaneous fee. Valid value:
                                                               BRL = Brazilian Real
       139   MiscFeeType     N      Execution Report (35=8)   Indicates type of miscellaneous fee
                                                               96 = IOF Fee
                                                               97 = Trading Fee
                                                               98 = Settlement Fee
                                                               99 = Onshore Broker Commission
       891   MiscFeeBasis    N      Execution Report (35=8)   Defines the unit for a miscellaneous fee.
                                                               0 = Absolute

                                                                                                                             41
Tests and Certification


  New Release New environment for tests and certification

 • For order entry tests on the PUMA system (equities segment) and market data
   consumption on UMDF 2.0 format, the New Release environment will be available
   from July on, in a date to be properly announced;
 • The current PUMA (derivatives segment) and Mega Bolsa test environments are still
   active.

                          BM&FBOVESPA Software Update Process


             Internal Environment
                                                          PRODUCTION
              Development and
                                     NEW RELEASE
                Internal Tests

                                       version D+1
                                                         CERTIFICATION




                                                                                       42
Additional Information


   Information Sources

             PUMA website containing        www.bmfbovespa.com.br/puma
          announcements and technical
                     documentation

              Manuals for accessing the     www.bmfbovespa.com.br/bvmftrader
   technological infra-structure, trading
       interfaces and market data feeds

       Technological e-mail newsletter      boletimdetecnologia@bvmf.com.br
           published every fifteen days
     containing information on projects
                   and relevant updates

         Published Notices available for    www.bmfbovespa.com.br > Rules >
              research and subscription     Circular Letters


                                                                               43
www.bmfbovespa.com.br

  Thank you!

				
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