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					Technical User Group

Paris




Date: 10 December 2008
MOT, SedeX, ETF Plus and MAC
markets

Migration to the trading platform TradElect


Simona Cervi




  Date: 10 December 2008
Phase one – segments involved
 • Monday 10 November 2008 – successful migration of the MTA
   and Expandi markets to the TradElect platform.

 • This marks the completion of the first phase of the integration
   process with the London Stock Exchange.

 • In particular, the involved segments were:
     • Blue chips (shares, warrants, convertible bonds, rights)

     • STAR (shares, warrants, convertible bonds, rights)

     • MTA International

     • STANDARD 1 and 2 (shares, warrants, convertible bonds, rights)

     • Expandi 1 and 2 (shares, warrants, convertible bonds, rights)

     • Closed funds.


                                                                        3
Phase two – markets involved
 • In the past weeks we have started working on the second
   phase of the migration, which will involve the following
   markets:
     • ETF Plus

     • SeDex

     • MOT (Domestic MOT and EuroMOT)

     • MAC.

• The new takeover bid functionality and the validation of
  order prices upon entry will be launched too.

• The purpose of today’s presentation is to provide more details
  and outline the migration plan.


                                                               4
Central technoIogical infrastructure
 • The TradElect/Infolect central systems will be located in
   London for phase two, in two data centres with an
   active-active configuration.

 • The access sites (market hubs) located in the two data
   centres in Milan and Turin will host the MDF/DDM Plus central
   systems and the CCG clearing systems.

 • The 4 sites in London/London and Milan/Turin will be
   connected via a high capacity (10Gbps) fibre optic link
   provided by different carriers and will form a unique
   distributed operative environment (backbone).

 • The backbone will also include, as it already does for the MTA
   and Expandi markets, the two SIA-SSb central sites where the
   post-trading (X-TRM, Express) central systems are located.


                                                                5
Market connectivity

• Access to the market will be possible via both the Borsa Italiana
  network (BIt-Network) and the London Stock Exchange network
  (Extranex).

• There will be no interventions at the members’ premises on the
  peripheral network infrastructure of both the BIt-Net and the
  Extranex network.




                                                                  6
Access to the trading functionalities (1)
 •   The logical access will be done through the new application protocol
     TradElect.
 •   Access to the trading functionalities will be done through the same USAP
     (User Service Access Point) already used to trade on the MTA and Expandi
     Markets.

 •   Dedicated USAPs will be assigned to the members who perform market maker
     and/or specialist activities.

 •   The segregation of the activity performed on such markets will be granted by
     dedicated Tradergroups. Each client will be allocated with a default Trader
     Group for each market (11 alphanumeric characters) which will be composed
     as follows:
      –   SD (Sedex) + codice Ced + 00000
      –   MOT
            - DM (Domestic MOT) + codice Ced + 00000
            - EM (EuroMOT) + codice Ced + 00000
      –   ET (ETF Plus) + codice Ced + 00000
      –   AC (MAC) + codice Ced + 00000




                                                                            7
Access to the trading functionalities (2)

• A default USAP will be allocated to each Trader Group which
  will receive notifications of possible order and contract
  cancellations performed by Market Surveillance.

• An additional Trader Group will be used to identify market
  makers/specialist activity.

• The migration to the new platform may require the upgrade of
  members and ISV’s interconnected applications.




                                                                 8
Access to the information functions
• Upon completion of Affari phase two, market data for the migrated
  markets will be disseminated both via the MDF/DDM Plus service and
  the London Stock Exchange Infolect service.

• IDEM market data will continue to be available exclusively through the
  MDF/DDM Plus service until the introduction of the enhanced Infolect
  service, at which point IDEM market data will be available via
  Infolect.

• The main features of the Infolect service are:
     • complete information flow of all the variations (orders and contracts) on the
       trading book (full order book depth)
     • available profiles – new Service Channels (30 Mbps for London Stock Exchange
       and BIt markets except IDEM)
     • market data provided via a UDP multicast protocol with interactive
       services offered via TCP/IP (for re-request and order book download services)
     • snapshot service book at 5, 10 and 20 levels available by June 2009.


                                                                          9
Migration plan (1)
• The main milestones of the migration plan are:

    • 15 December 2008: availability of migration technical/functional
      documentation.

    • 15 December 2008: availability of MDF/DDM Plus technical interface
      specifications.

    • January 2009: availability of the test environment (Customer Development
      Service or CDS) for TradElect, Infolect and MDF/DDM Plus. Starting from this
      date the TradElect test environment for the MOT, Sedex, ETF Plus and MAC
      markets will be connected to the X-TRM service.

    • February 2009: availability of the conformance test service (Conformance Test
      Service or CTS).

• The conformance test sessions will take place in a dedicated operative
  environment (CTS) and will be planned as usual by BIt Systems during
  February 2008.


                                                                           10
Migration plan (2)

• The conformance test is mandatory for all of the proprietary or third
  party interconnected applications that are not compatible with
  TradElect, Infolect and MDF/DDM Plus services, or those applications
  where a new software version will be released.

• BIt Systems provides local technical support for the new application
  protocol, functional support for the new trading platform and also
  performs conformance tests.

• In March 2009 there will be 2 or 3 public test sessions in the production
  environment.

• The official live date of the new service, currently scheduled for
  beginning of Q2, will be confirmed following the outcome of the public
  test sessions.



                                                                   11
Contacts


   For more information please contact:

       Clients Services:
                clients-services@borsaitaliana.it

       Technical Support Desk:
               tradelect-support@borsaitaliana.it

       Client Technology Group: +44 (0)20 7797 3939

       Technical Support Desk:
               ctgroup@londonstockexchange.com

   Your technical account managers in both Milan and London.



                                                               12
Exchange Hosting


An overview of Exchange Hosting, the new high performance
connectivity service available from the London Stock Exchange Group

Ollie Cadman




  Date: 10 December 2008
Introduction
  • Member firms connect to the London Stock Exchange Group to
    receive real-time trading, information and other services.

  • The Group has a range of connectivity solutions suitable for
    customers with different trading strategies and budgets:
      –   Direct Exchange Connection (Extranex and BIT Network)
      –   Network Service Provider (NSP)
      –   Vendor Access Network (VAN)
      –   Accredited Proximity Hosting by an approved provider (new)
      –   Full Hosting solution within the Exchange Data Centre (new).




                                                                         14
Accredited Proximity Hosting
  •   To assist our clients in identifying suitable hosting providers, the Exchange has
      introduced a formal accreditation policy. This helps to identify suitable
      datacentre partners and provides visibility of the accreditation status of a client’s
      chosen hosting solution provider.

  •   This is particularly relevant for those customers based overseas wishing to reduce
      latency, or looking for the flexibility/scalability of a hosted facility.

  •   All commercial agreements for the provision of these services will be between the
      proximity hosting provider and their client.

  •   We currently have two providers who meet the criteria, and we are in discussions
      with a number of other solution providers.




        Contact:     Andrew Nunn                 Contact:     Greg McCullogh
        Telephone:   +44 (0)20 7650 9568         Telephone:   +44 (0)20 7375 7000
        Email:       andrew.j.nunn@bt.com        Email:       gregm@interxion.com



                                                                                    15
Exchange Hosting
  •     As part of our ongoing commitment to improving market efficiency through liquidity
        generation and performance enhancements, we have introduced Exchange Hosting.

  •     Exchange Hosting is the ultimate in low latency connectivity, providing the fastest
        possible connection to the Exchange’s trading and information systems.

  •     It is hosted physically within the Exchange’s data centre - as close as possible to the
        matching engines.

  •     It 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 and Expandi*.

  •     The service and facility are managed entirely by the Exchange.
      * MTA and Expandi access from the hosting facility is currently being enabled




                                                                                            16
Performance benefits
  • Test results suggest the following performance benefits for
    Exchange Hosting connectivity measured against an Extranex 100Mb
    connection*.

                                             c. 80 us

  Infolect
  Multicast                                                         Hosting customer
    data                                     c. 80 us                                                            c. 600 us
                                                                                             Extranex

                                                                                                                                   100Mb Extranex
                                                                                                                                      customer

                                          c. 130 us x 2

 TradElect                                                          Hosting customer
 TCP data                                 c. 130 us x 2                                                         c. 600 us x 2
                                                                                             Extranex

                                                                                                                                   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)




                                                                                                                                   17
Exchange Hosting launch
 Service offering                                                                       Phase 1                        Phase 2*

 Access to London Stock Exchange services
  Production TradElect
  Production Infolect (Performance and Service Channels)
  Customer Development Service
  Conformance Environment

 Available from                                                                          Aug-08                    May-2009 (tbc)

 Power usage (per cabinet)                                                          3 kw average                       5 kw (tbc)

 T rading connections (per cabinet)                                                    4 resilient                     4 resilient

 External data feeds*

 Management services*
  Management connectivity                                                           Internet VPN                      Leased line
  System monitoring
  Intelligent hands available                                                            Limited

                                                                                  * Phase 2 offering subject to change based on client demand


The Exchange is expecting a high level of demand for the Hosting services due to the improved performance benefits, and will aim to
encourage market efficiency by allocating space to market participants who will benefit most from the Hosting service and therefore
generate more liquidity to the advantage of the market as a whole.




                                                                                                                            18
Service details
 • Location                                         • Network and cabling
    –   central London, purpose built datacentre.
                                                      configuration
                                                       –   resilient Cisco 6509 Switches for low
                                                           latency cross connection to TradElect
 • Security and access                                     and Infolect systems
    –   24/7 on-site Security team                     –   approximately 4 resilient (8 physical
                                                           ports) Exchange ports per cabinet
    –   intelligent CCTV and access control
                                                       –   Cat 6 cabling is used throughout the
    –   pre-arranged access available.                     data centre
                                                       –   Connectivity to customer site via
 • Facilities management                                   resilient VPN connections:
    –   24/7 automated Building Management                   • primary management connection -
                                                               10mb of existing 100mb Extranex
        Systems (BMS) monitoring                               back-up line
    –   24/7 on-site engineering support                     • leased line or internet connection
    –   Facility owned and managed by the Group.             • third party connectivity also being
                                                               investigated.
 • Power capacity and configuration
    –   diversely routed incoming HV and UPS
        power supplies
    –   backup generation (redundancy of N+2)
    –   availability for 3kW average per
        cabinet.


                                                                               19
Proposed value added services
  •   We have been consulting with clients to understand requirements for phase 2 hosting
      services, and the proposed value added services cover:

  •   Dedicated hosting connectivity
       –   Dedicated connectivity for hosting traffic.
       –   Managed connectivity provided by the Exchange or hosting connectivity ordered and managed
           directly by the client.

  •   Remote hands
       –   As part of phase 1 we are looking to have a basic level of remote hands operability, covering
           basic power cycling and a visual inspection.
       –   We are considering more sophisticated remote hands services, such as server procurement,
           build, application install, ongoing support and more involved problem investigation and issue
           resolution.

  •   External data
       –   Most of the trading strategies deployed are not one market model, but require data from
           additional sources such as other exchanges, venues and derivatives information.
       –   Low latency data provided at the hosting facility for reference pricing.


  •   Other services and functionality



                                                                                       20
Further information
• If you are interested in Accredited Proximity Hosting then please
  contact the proximity hosting providers directly.

• If you are interested in Hosting then please contact Nigel Harold
  on +44 (0)20 7797 3022 or via email:

   nharold@londonstockexchange.com




                                                                 21
FIX 5.0 interface for TradElect


Functional design overview

Amin Dawuda




 Date: 10 December 2008
Contents

  • Service overview
  • Key differences between the Native and FIX 5.0 interface
  • FIX session and connectivity
  • Retransmission services
  • Business layer
  • Business layer (cont.) Security identification
  • Message mapping
  • Testing services
  • Next steps and timescales




                                                               23
Service overview

    Optional FIX 5.0 interface for TradElect
    Performant and functionally rich interface for TradElect approved by
    FPL technical committee.
    • FIXT1.1 Transport layer and FIX 5.0 SP2 specification offering
      number of features specifically designed for participant/exchange
      communication.
    • Our goal is for the fully integrated FIX 5.0 interface to be at least
      as performant as the current Native interface*.
    • Existing functionality remains supported, including Own Order
      Book, Own Trades Book Download and ‘Copy To’.
    • Participants will be able to access all markets currently operating
      on TradElect via the FIX 5.0 interface.

* Technical testing due to be completed Q1 2009




                                                                              24
Key differences between the Native and FIX 5.0 interface
   Functionality            Going forward, new functionality will only be made available via the FIX 5.0
                            interface: Minimum Execution Size and Best Bid/Offer Pegged orders. Basket
                            functionality not supported via the FIX interface
   Message Security         The practice of MAC keys and encryption obsolete. MAC keys not present on
                            any FIX message. IPSEC based option available if required

   Instrument               4 - Way Key of ISIN, Currency, Country of Register and Segment mapped to the
   Identification           SecurityID (48) field as a concatenation of the four constituents

   Order identification     ClOrdID (11) is the unique Order ID designated by the Participant upon order
                            entry. Uniqueness must be guaranteed across a Trader Group
   Chaining                 Upon submission of an order modification, the Participant will provide a new
                            ClOrdID (11) and reference the original by populating the OrigClOrdID (41)
   Session identification   USAP and Trader Group cannot be shared across Native and FIX interface
                            connections
   Iceberg order upon       When the peak of a passive Iceberg order is executed, only the new public
   execution                order code is returned when using FIX and not the original

   Re-Request message       The Native (5FR) message contains the Re-Request High Sequence Number
   response                 field. This is not included in the FIX equivalent (35 = BX)

   Parking of orders        In the event that an order is required to be Parked a FIX ExecutionReport
                            (35=8) message will be sent with the OrdStatus (39) = ‘Suspended’.



                                                                                              25
FIX session and connectivity
  • Fully compliant FIXT1.1 session layer      RELATIONSHIP MODEL - Multiple CompID’s
                                               can be associated with a FIX enabled USAP
    employed
  • Session valid for 1 trading day and will
                                                    MemberID
    begin with MsgSeqNum (34) = 1
  • FIX session layer encryption will not be
    used (optional IPSEC hardware based
    solution available)                               Trader
                                                                       TraderID
  • Separate FIX session should be used for           Group
    OOBD, OTBD and Re-Request Market
    Data
  • USAP and Trader Group cannot be
                                                      USAP
    shared across Native and FIX interface
    connections
  • FIX Message fragmentation is supported
    for ExecutionReport (35=8) using
                                                     CompID
    MaxMessageSize (383)
  • ‘Copy To’ supported



                                                                                  26
Business layer
• TradElect will assign a globally unique   Example New Order Single (Parties Component Block)
  identifier to each order, OrderID (37)
• ClOrdID (11) is the unique ID assigned
  by the Participant upon order entry.
  Must be unique across a Trader Group
• OrigClOrdID (41) is used to ‘chain’
  cancellation and modification messages
  to the previous order message
• MassQuote (35=i) message is used to
  cater for dual sided quotes
• Multiple fills will be reported within
  one Execution Report message (35=8)
  by the use of the Fills Group
  component block
• Parties component blocks used for the
  following:
   – Trader Group and Trader ID of the
     participant
   – Member ID Buy and Member ID Sell
     details.




                                                                             27
   Business layer (cont.) Security identification
Orders, the security will be identified using:                  Quotes, the security will be identified using:
• SecurityIDSource (22) = 8 (Exchange Key)                      • UnderlyingSecurityIDSource (305) = 8 (Exchange Key)
• SecurityID (48) = 4 Way Key                                   • UnderlyingSecurityID (309) = 4 Way Key

                     New Order Single                                                        MassQuote
                                             ISIN       Country Currency Segment
                        Std Header                                                           Std Header
                         Id Block       GB00B16GWD56       GB       GBX   SET1
                                                                                              Id Block
                        Party Block                                                QuoteID
                        Order Data                                                           Party Block
                Order Type                                                                   Quote Set
                Quantity
                Price                                                                        Quote Entry
                Side
                Currency                                                            QuoteEntryID
                Capacity                                                            Quantity
                                                                                    Price
                      Instrument Data
                                                                                    Side
                                                    (Vodafone UK)                   Currency
                SecurityIDSource
                SecurityID                22=8

                        Std Trailer       48=GB00B16GWD56GBGBXSET1
                                                                                    Underlying Instrument Data

                                                (Vodafone UK)                      UnderlyingSecurityIDSource
                                        305=8                                      UnderlyingSecurityID
                                        309=GB00B16GWD56GBGBXSET1                            Std Trailer




                                                                                                                 28
Retransmission services
  A participant may request the following retransmission services via the
  FIX 5.0 interactive.

  • Retransmission of Broadcast Market Data Messages supporting
    Fixed Width or FAST in Encoded Text.
  • Own Order Book Download.
  • Own Trades Book Download.




                                                                            29
Message mapping

  The following summary table provides an example of valid
  session and application messages that form part of the service:

   Message          Function             FIX       FIX Message Description       Equivalent
   Level                                 MsgType                                 Native Message
   Session          Logon                35=A      Logon                         5LI

   Infrastructure   Re-Request Market    35=BW     Application Message Request   5RR
                    Data
   Trade            Order Entry          35=D      New Order Single              5EO

   Pre-Trade        Quote Entry          35=i      Mass Quote                    5EQ

   Post Trade       Trade Report Entry   35=AE     Trade Capture Report          5ET

   Trade            Own Order Book       35=AF     Order Mass Status Request     5RO
                    Download Request
   Post Trade       Own Trades Book      35=AD     Trade Capture Report          5RT
                    Download request               Request




                                                                                       30
Testing services

  Customer Development Service (CDS)
  FIX 5.0 interface will be introduced to the CDS environment in parallel
  to the current Native interface.


  Conformance environment
  Currently under consideration. One such approach would be to introduce a
  web-based platform for FIX counterparty certification which would support:
  • multiple concurrent users testing in parallel
  • extended hours of availability
  • a faster and more efficient ‘on boarding’ process
  • user customisable tests based on the results of a Q&A session
  • progress tracking of certifying users in real-time
  • scripted tests for our implementation of FIX v5.0 SP2.




                                                                            31
Next steps and timescales
    Testing services and go live dates detailed below are for the London
    market. Dates for Milan and JSE markets TBC.
                                  Jan 2009
                            Guide to the FIX 5.0                               Summer 2009
                           Interface for TradElect                            Go live for London




     Dec 2008                                                Q2 2009
Technical User Group                                 Testing services available




                                                                                   32
Non-display orders for SETS, IOB
and ITBB
An overview of the new order types available from the
London Stock Exchange Group


Mat Saunders




  Date: 10 December 2008
Introduction
  • As part of the London Stock Exchange’s commitment to providing
    world-leading execution services we are continuing our investment
    in technology and will be implementing a programme of functional
    enhancements to SETS, IOB and ITBB.

  • These developments are designed to unlock latent liquidity,
    increase the likelihood of execution and reduce the total cost of
    trading for our customers and the end investor.




                                                               34
Background
  • The Exchange currently provides a range of order and validity types.
  • Order types - Limit, Market, Iceberg and Named Orders.
  • Validity types:
      –   Execution based validity
           • Execute and Eliminate
           • Fill or Kill
      –   Time based validity
           • Good Till Time (GTT)
           • Good Till Cancelled (GTC)
      –   Period based validity
           • Good for Day (GFD)
           • At the Open (ATO)
           • At the Close (ATC)
           • Good for Auction (GFA)
           • Good for Intra-Day Auction (GFX)


                                                              35
New functionality
  • The Exchange is launching two new order types:
      –   Phase one:
                  – Hidden Limit Orders
      –   Phase two:
                  – Hidden Limit Order with Minimum Execution Size (MES)
                  – Pegged Orders (Mid price and BBO) with MES.


  • All Non displayed orders will be subject to a Large Order Threshold.

  • All of the new functionality is optional and will be available via the
    new FIX interface - parts of it will be available via the existing
    Native (Fixed Width) interface.




                                                                       36
Hidden Limit Orders
  • Hidden Limit Orders will allow participants to enter Limit Orders
    on to the order book without displaying them to other participants.

  • They will be able to interact with both displayed and non-displayed
    orders, increasing the likelihood of execution.

  • Behaviour:
      –   execution priority: price – visibility – time
      –   no inclusion in the calculation of Best Bid and Offer (BBO) price and mid
          price
      –   validated using existing error messages and Limit Order ‘LO’ rules.




                                                                            37
Hidden Limit Orders - technical
  • Interface availability

      –   Native (Fixed Width) – YES (‘HL’ Market Mechanism Type)
      –   FIX – YES




                                                                    38
BBO and Mid-Price Hidden Pegged Orders
  •   Best Bid and Offer and Mid-Price Hidden Pegged Orders will provide participants
      with greater flexibility and enable them to place orders that are aligned with a
      reference price.

  •   Hidden Pegged Orders will be able to be placed at, or at an increment or offset
      to, the market price for a security and will be able to be capped so that users
      have price protection in volatile periods.

  •   Behaviour:
       –   execution priority: price – visibility – time
       –   peg to reference price: Best Bid, Best Offer or Mid Price
       –   peg at a tick differential: Best Bid and Best Offer only
       –   specify ‘Hard Limit’ price
       –   no Pegged Orders participate in auctions: Parked/Re-injected
       –   no inclusion in the calculation of Best Bid and Offer (BBO) price and mid
           price
       –   validated using new and existing error messages.


                                                                             39
BBO and Mid-Price Hidden Pegged Orders - technical

  • Interface availability

      –   Mid-Price Hidden Pegged Orders
           • Native (Fixed Width) – YES (‘MP’ Market Mechanism Type)
           • FIX – YES


      –   Best Bid and Offer (BBO) Hidden Pegged Orders
           • Native (Fixed Width) – NO
           • FIX - YES




                                                                       40
Minimum Execution Size
  • Minimum Execution Size (MES) will allow participants to specify a
    minimum size at which they wish their hidden order to trade.

  • Execution will not occur if this minimum size is not available. This
    anti-gaming feature will protect participants’ hidden orders from
    ‘pinging’ or ‘fishing’ and minimise information leakage.

  • MES stipulates the minimum aggregate volume against which the
    order can be executed in continuous trading. Orders entered with a
    MES will persist on the book and execute only when there is
    sufficient volume to satisfy the MES criterion.

  • Behaviour:
      –   available on Hidden Order Types only.




                                                                41
Minimum Execution Size - technical
  • Interface availability

      –   Native ( Fixed Width ) – NO
      –   FIX - YES




                                        42
Large Order Threshold
  • Hidden Orders can only be entered where the consideration is equal
    to or above the Large Order Threshold (LOT) in operation for that
    trading segment.
      –   For securities subject to MiFID regulations, hidden limit orders are only
          permitted where the order consideration meets the Large in Scale
          qualification as per Article 20 of MiFID (the MiFID pre-trade transparency
          regime).
      –   Large in Scale values are calculated by CESR in Euros (€) with reference to a
          security’s ADT.
      –   For securities not subject to MiFID regulations the Exchange will apply a LOT
          based on a security’s Average Daily Turnover (ADT).




                                                                            43
Interface availability summary
  • The table below presents an overview of order functionality and its
    availability by interface.


                       Hidden Mid   Hidden Best bid   Hidden Limit     Minimum
                       Price Pegs   and Offer Pegs                   Execution Size




    Native Interface       Y              N                Y                  N
        FIX 5.0            Y              Y                Y                  Y




                                                                         44
 Features/functionality summary
                                                                            Inc. in
                                                                          Indicative
                                                                          Uncrossing      Inc. in
                                                Hard                      Price and     Displayed
       Order type          Priced   Anonymous   Limit   LOT   MES           Volume         BBO



    Hidden Mid Peg           N         Y         Y      Y     Y       N       N            N
      Hidden Offer           N         Y         Y      Y         Y           N            N
          Peg
     Hidden Bid Peg          N         Y         Y      Y         Y           N            N
      Hidden Limit           Y         Y        N/A     Y     Y       N       Y            N
      Limit Order            Y         N        N/A     N         N           Y            Y
     Market Order            N         Y         N      N         N           Y            N
     Iceberg Order           Y         Y        N/A     N         N           Y            Y


     Named Order             Y         N        N/A     N         N           Y            Y


FIX only



Native Interface and FIX



                                                                                   45
Testing
  • Conformance
      –   Conformance testing is mandatory for all customers who wish to use the new
          functionality unless they can demonstrate that no software changes are
          required in order to support these changes.

  •   Accreditation policy
      –   The Exchange strongly recommends that all customers who want to use the
          new functionality fully test on the CDS service. The Exchange’s accreditation
          policy mandates a conformance test for all customers who have to make
          code changes to their systems to support the new functionality.

  • Customer Development Service (CDS)
      –   A service announcement will be sent out prior to the launch of the service on
          CDS confirming this date.




                                                                           46
Timelines – phase one
  • Hidden Limits.
  • The launch of the first phase of order book enhancements is
    planned for February 2009.

     Timetable


     December 2008     Exchange Service and Technical Description to be issued.




     January 2009      TradElect Customer Development Service and Conformance Test
                       Service available, enabling customers to test order entry and trade
                       execution for new order types.



     February 2009     Expected go live.




                                                                                  47
Timelines – phase two
  • Hidden Pegs and Minimum Execution Size.
  • The launch of the second phase order book enhancements is
    planned for Summer 2009.

     Timetable


     January 2009     Exchange Service and Technical Description and FIX Technical
                      Specification issued.



     Spring 2009      TradElect Customer Development Service and Conformance Test
                      Service available, enabling customers to test order entry and trade
                      execution for new order types.




     Summer 2009      Expected go live.




                                                                                 48
Further information

  • The Exchange will publish more information on both non-display
    orders and the FIX interface developments in the near future
    including a Service and Technical Description for both.

  • Please contact your technical or primary account manager with any
    questions.




                                                            49
Integration of Infolect/DDM Plus

A detailed overview of the technical changes and an update
on timelines

Ollie Cadman




 Date: 10 December 2008
    Overview
–   Following the merger, our vision is to create a bridge between London and Milan through a
    single technology platform that enables customers to access a deeper pool of liquidity and
    take advantage of new trading and investment opportunities.


–   During the second half of 2009 an enriched version of Infolect will become the single
    information delivery mechanism for both Borsa Italiana and London Stock Exchange market
    data, taking us a step closer to achieving our vision.


–   Infolect is the Exchange’s low latency market data system, publishing real time full depth
    order and trade information in only 2ms. Launched in September 2005, Infolect is built on
    next generation technology, providing a flexible, scalable platform which is one of the
    fastest market data systems in the world.


–   Infolect currently publishes Level 1 and full depth Level 2 data for MTA and Expandi, and
    following the migration of the remaining Affari markets in Q1 2009 this data will also be
    available on Infolect, as well as MDF/DDM Plus.



                                                                                  51
    Infolect – Snapshot Services
–   Infolect is being enhanced to support Aggregated and Non-aggregated Order Book Snapshot
    Services at 5, 10 and 20 depth levels.
–   Each will be a new message type – 5ST Order Book Snapshot (Non-aggregated) and 5AS
    Aggregate Snapshot.
–   These will be new fixed width message types, published on FAST compressed Snapshot
    Service Channels for each market on TradElect.



        Broadcast           Snapshot            Buy                   Sell
        message             message             orders by             orders by
        header              header              level                 level




                                                 Variable depending on the number of
                                                 orders on the book, ie 0 to depth level


                                                                                   52
5ST Order Book Snapshot Message
             Field Name                Offset     Length     Format
Segment Code                            37           4            A
Tradable Instrument Code                41           12           A
Country of Register                     53           2            A
Currency Code                           55           3            A
Volume of Orders at Best Bid Price      58           12           N
Volume of Orders at Best Offer Price    70           12           N         Field Name     Offset    Length     Format

Number of Orders at Best Bid Price      82           3            N   Order Price            0           18       N
                                                                      Aggregate Size        18           12       N
Number of Orders at Best Offer Price    85           3            N
                                                                      Member ID             30           11       A
Best Price Bid                          88           18           N
                                                                            Total Length             41 bytes
Best Price Offer                        106          18           N
Order book Depth                        124          2            N
Number of Buy Orders                    126          2            N
Number of Sell Orders                   128          2            N
Order Message String                    130          *            A
            Total Length                      130 bytes minimum




                                                                                                    53
5AS Aggregate Snapshot Message
          Field Name          Offset     Length     Format

Segment Code                   37           4            A
                                                                     Field Name           Offset    Length     Format
Tradable Instrument Code       41          12            A
                                                             Price Level                    0           18       N
Country of Register            53           2            A
                                                             Price Level Aggregate Size    18           12       N
Currency Code                  55           3            A
                                                             Number of Orders              30           6        N
Order book Depth               58           2            N
                                                                    Total Length                    36 bytes
Best Price Bid                 60          18            N
Best Price Offer               78          18            N
Number of Buy Price Levels     96           2            N
Number of Sell Price Levels    98           2            N
Price Level Message String     100          *            A
         Total Length                100 bytes minimum




                                                                                                   54
  Snapshot Service Channels
• Dedicated Order Book and Aggregate Snapshot Service Channels will be
  configured for each Borsa Italiana market on TradElect.


• The messages on each channel will be compressed using FAST v1.1 (FIX
  Adapted for Streaming) and the Group will provide templates for each
  channel to uncompress the messages back in to fixed width.


• A full list of Service Channels is outlined on the next two slides.




                                                                        55
Snapshot Service Channels (cont’d)

MTA & Expandi                                             Sedex
MTA & Expandi Level 2 Snapshot 5 (Blue Chip)              Sedex Level 2 Snapshot 5
MTA & Expandi Level 2 Snapshot 10 (Blue Chip)             Sedex Level 2 Snapshot 10
MTA & Expandi Level 2 Snapshot 20 (Blue Chip)             Sedex Level 2 Snapshot 20
MTA & Expandi Level 2 Snapshot 5 (Other)                  Sedex Level 2 Snapshot 5 Aggregate
MTA & Expandi Level 2 Snapshot 10 (Other)                 Sedex Level 2 Snapshot 10 Aggregate
MTA & Expandi Level 2 Snapshot 20 (Other)                 Sedex Level 2 Snapshot 20 Aggregate
MTA & Expandi Level 2 Snapshot 5 (Blue Chip) Aggregate
MTA & Expandi Level 2 Snapshot 10 (Blue Chip) Aggregate
MTA & Expandi Level 2 Snapshot 20 (Blue Chip) Aggregate
MTA & Expandi Level 2 Snapshot 5 (Other) Aggregate
MTA & Expandi Level 2 Snapshot 10 (Other) Aggregate
MTA & Expandi Level 2 Snapshot 20 (Other) Aggregate


                                                                           56
Snapshot Service Channels (cont’d)

 MOT                                 ETF Plus
 MOT Level 2 Snapshot 5              ETF Plus Level 2 Snapshot 5
 MOT Level 2 Snapshot 10             ETF Plus Level 2 Snapshot 10
 MOT Level 2 Snapshot 20             ETF Plus Level 2 Snapshot 20
 MOT Level 2 Snapshot 5 Aggregate    ETF Plus Level 2 Snapshot 5 Aggregate
 MOT Level 2 Snapshot 10 Aggregate   ETF Plus Level 2 Snapshot 10 Aggregate
 MOT Level 2 Snapshot 20 Aggregate   ETF Plus Level 2 Snapshot 20 Aggregate




                                                                    57
IDEM
 • IDEM data will also be available on Infolect as a Level 1, Level 2 full
   depth or Level 2 Snapshot service.


 • The messages on each channel will be compressed using FAST v1.1 (FIX
   Adapted for Streaming) and the Group will provide templates for each
   channel to uncompress the messages back in to fixed width.


 • In line with DDM Plus today snapshot data will be disseminated at one
   second intervals.


 • Full details on the message types and channels will be available in the
   Service and Technical Description, which will be published in due course.



                                                                   58
Italian market data - migration timeline
     Nov 2008                  Q2, 2009                     H2, 2009

     • MTA and Expandi         • ETF Plus, SEDEX, MOT,      • DDM Plus/MDF
       markets migrated to       and MAC migrate to           decommissioned.
       TradElect.                TradElect, not IDEM.       • FAST compression and
                               • L1 and L2 (full depth)       Snapshot functionality
                                 available on Infolect.       added to Italian data
                                                              channels on Infolect.
                                                            • IDEM data channels added
                                                              to Infolect.
    DDM Plus/MDF (all Italian markets)
                                                            Enhanced Infolect
                                                            Enhanced Infolect
               Infolect
               Infolect                Infolect
                                       Infolect
           (MTA and Expandi)
           (MTA and Expandi)      (All ex-Affari Markets)
                                  (All ex-Affari Markets)
                                                              One integrated feed
                                                              based on Infolect,
                                                              disseminating data from
                                                              all ex-Affari markets and
                                                              IDEM.



                                                                      59
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Questions?   London EC4M 7LS


             T +44 (0)20 7797 1000
             www.londonstockexchangegroup.com

				
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