MIT901 ∙ MILLENNIUM EXCHANGE
Guide to Millennium Exchange
Functional Release:- Q2 2012
Issue 2 ∙ March 2012
Contents
Guide to Millennium Exchange Functional Release:- Q1 2012 ................................. 1
Disclaimer ............................................................................................................ 3
1.
Release Overview ............................................................................................. 4
2.
Key Enhancements ........................................................................................... 5
2.1. Enhancement 1: Introduction of a Closing Price Crossing Session ..... 5
2.1.1. Brief summary of the service ................................................................ 5
2.1.2. Closing Price Publication (CPP) Session ............................................. 6
2.1.3. Commencement of the Closing Price Crossing (CPX) Session ............ 6
2.1.4. Operation of the CPX for SETS ............................................................ 6
2.1.5. Operation of the CPX for IOB ............................................................... 7
2.1.6. Order Management during the CPP session ........................................ 8
2.1.7. Order Management during the CPP session cont/d.............................. 8
2.1.8. Orders that are parked during the CPP session: .................................. 9
2.1.9. Commencing the CPX session ............................................................. 9
2.1.10.
Order Management during the CPX session................................... 10
2.1.11.
Amending inactive and active orders during the CPX ..................... 11
2.1.12.
Trade Cancellation during CPP and CPX ....................................... 12
2.1.13.
Introduction of a new Trade Type for CPX ...................................... 12
2.1.14.
Market Data Feed for CPP session................................................. 13
2.1.15.
Market Data Feed for CPX session................................................. 13
2.1.16.
Market Data Feed for the uncrossing at the start of the CPX .......... 13
2.1.17.
Market Data Feed for Executions taking place during the CPX ....... 14
2.2. Enhancement 2: Introduction of an automated process to update
Restricted Instrument Lists for users of Sponsored Access and a “CFD Give
up” dealing capacity ......................................................................................... 14
2.2.1. Introduction of a “CFD Give-Up” flag on the Dealing Capacity ............ 17
2.3. Enhancement 3: Introduction of 2 further Trade Types for Off Book
trade reporting ................................................................................................... 18
2.3.1. Introducing New Trade Types ............................................................ 18
2.3.2. Introducing new trade types for MTFs (reserved for future use) ......... 19
2.4. Enhancement 4: Start and End of Day activities ................................... 20
2.4.1. Suppression of Previous Days’ Closing Price for subset of securities. 20
2.4.2. Dissemination of “End of Post Close” trading status ........................... 21
2.4.3. Dissemination of “No Active Session” trading status .......................... 21
2.4.4. Reference Data file format change ..................................................... 21
2.5. Enhancement 5: Level 2-ITCH message format changes ..................... 21
2
Disclaimer
The London Stock Exchange Group has taken reasonable efforts to ensure that the
information contained in this publication is correct at the time of going to press, but
shall not be liable for decisions made in reliance on it. The London Stock Exchange
Group will endeavour to provide notice to customers of changes being made to this
document, but this notice cannot be guaranteed. Therefore, please note that this
publication may be updated at any time. The information contained is therefore for
guidance only.
3
1. Release Overview
Millennium Exchange delivers world class performance to customers of the London
Stock Exchange Group, and we continue to develop the platform by updating the
service with functional and technical enhancements to improve the overall customer
experience.
The following document outlines the content of our next functional release, scheduled
for Q1 2012. Customers are advised to also refer to the existing Millennium
Exchange specifications to identify how these changes will technically impact the
interfaces and services.
The document includes the business rationale for the functional enhancements and
the technical changes that will be implemented to deliver the release.
Specification Number
Document Title
MIT 201
MIT 202
MIT 203
MIT 204
MIT 205
MIT 302
MIT 303
MIT 401
MIT 701
Millennium Exchange Business
Parameters
Guide to Trading Service
FIX Trading Interface
Native Trading Gateway
Post Trade Gateway
Drop Copy Gateway
FIX/FAST Specification
Level 2-ITCH Specification
Guide to Reference Data Services
Guide to Sponsored Access
The most updated version of these technical documents can be found at:http://www.londonstockexchange.com/products-and-services/millenniumexchange/technicalinformation/technicalinformation.htm
Please contact either Client Technology Services or your Technical Account
Manager if you have any functional questions about the Millennium Exchange
services outlined in this document. Client Technology Services (UK) can be
contacted at:


Telephone: +44 (0)20 7797 1500
Email: support@londonstockexchange.com
As part of these functional and technical upgrades there are no planned changes to
the current Rules of the London Stock Exchange. The rules can be found at
http://www.londonstockexchange.com/traders-and-brokers/rules-regulations/orderbook-trading/order-book-trading.htm
4
Document history.
This document has been through the follow iterations:
Issue Date
Description
1.0
21 December
2011
2.0
6 March 2012
First issue of this document published via the London
Stock Exchange’s website and distributed to
customers.
Second issue of this document published via the
London Stock Exchange’s website and distributed to
customers.
In subsequent issues, where amendments have been made to the previous version,
these changes will be identified using a series of side bars as illustrated opposite.
2. Key Enhancements
2.1. Enhancement 1- Introduction of a Closing Price Crossing
Session
Following customer feedback we are pleased to announce the creation of a Closing
Price Crossing session which will take place immediately following the generation of
an uncrossing trade (UT) at the Closing Auction, allowing participants a further
opportunity to execute business at the day’s closing price.
2.1.1. Brief summary of the service
As part of the introduction of this new enhancement we will be creating two additional
sessions to the SETS and IOB trading services.
1. Closing Price Publication Session (CPP). The purpose of which is to
disseminate the closing price set by the Closing Auction. It will run
immediately following the Closing Auction.
2. Closing Price Crossing Session (CPX). This session will provide a further
continuous trading session where trading can take place fixed at the closing
price.
Use of these sessions will be optional and the algorithm used to calculate the
uncrossing price at the end of the Closing Auction for individual instruments will
remain unchanged.
5
2.1.2. Closing Price Publication (CPP) Session
This session is specifically designed for dissemination of the closing price for an
individual instrument at the end of the closing auction, following the successful
completion of the uncrossing algorithm. The Closing Price Publication session will
commence after the Closing Auction. If there are any Price Monitoring, or Market
Order Extensions triggered the CPP will commence following the completion of all
triggered extensions.
The CPP session will be a scheduled session and will last for 1 second in duration.
Immediately following this session the system will transition into the CPX Session.
2.1.3. Commencement of the Closing Price Crossing (CPX) Session
The Closing Price Crossing Session will commence immediately after the completion
of the CPP session.
2.1.4. Operation of the CPX for SETS
The CPX session for instruments traded on SETS will start no earlier than 16.35
(12.35 on early close sessions on the final trading days before Christmas and New
Year).
The exact start and end time of the CPX will be determined by the number of Price
Monitoring/Market Order extensions an instrument enters into ahead of the
completion of the closing auction uncrossing algorithm.
Please note the random uncrossing period at the end of the closing auction call will
take place, but will be ignored when determining the end time for the CPX.
Finishing times for the CPX session



If the instrument doesn’t enter into any extensions the CPX will end at
16:40:00 (12:40:00 on early close sessions).
If the instrument experiences one extension (regardless of whether it is a
market order or price monitoring extension) the CPX will end at 16:45:00
(12:45:00 on early close sessions).
If the instrument experiences two extensions or more the CPX will end at
16:50:00 (12:50:00 on early close sessions). Where there are three
extensions less time will be allocated to the CPX.
6
If there is no closing auction execution due to an uncrossed book, or following a price
monitoring and/or market order extensions where the price is still outside the ruling
parameters and any ruling minimum auction volume has not been satisfied, the
Closing Price Crossing session will not occur
2.1.5. Operation of the CPX for IOB
The CPX session for instruments traded on the International Order Book (IOB) will
start no earlier that 15:40:00 (12:40:00 on early close sessions i.e. the day before
Christmas and New Year).
The exact start and end time of the CPX will be determined by the number of
extensions (Price Monitoring /Market Order). The random uncrossing period at the
end of the closing auction call will be ignored for the purpose of determining the end
time of the CPX session.
Finishing times for the CPX session for IOB



If the instrument doesn’t enter into any Extensions the CPX will end at
15:45:00 (12:45:00 on early close sessions)
If the instrument experiences one Extension (regardless of whether it is a
market order or price monitoring extension) the CPX will end at 15:50:00
(12:50:00 on early close sessions)
If the instrument experiences two Extensions or more the instrument will close
at 15:55:00 (12:55:00 on early close sessions). Where there are three
extensions less time will be allocated to the CPX.
If there is no closing auction execution due to an uncrossed book, or following a price
monitoring and/or market order extensions where the price is still outside the ruling
parameters and any ruling minimum auction volume has not been satisfied, the
Closing Price Crossing session will not be triggered.
7
2.1.6. Order Management during the CPP session
Injecting Stop and Stop Limit Orders at the start of the CPP.
Qualifying Stop and Stop Limit Orders which were parked during the closing auction
call will be injected based upon the last traded price (UT price) immediately after the
uncrossing but before the commencement of the CPP.
For example a buy Stop Order will be injected if the last traded automated price is
equal to or greater than the stop price. Sell Stop Orders will be injected if the last
traded automated trade is equal or less than the stop price.
Upon injection, Stop Orders will become Market Orders.
Upon injection Stop Limit Orders will become Limit Orders. Injected Stop Limit Orders
will be added to the order book based on standard price time priority.
Injected Stop Orders and Stop Limit Orders having a better limit price than the
closing auction price can result in a crossed book.
This crossed book is carried over to the CPP session. However at the start of the
CPX session this book will be uncrossed at the closing auction price in order to
ensure that there are no executable orders at the closing auction price sitting on both
sides of the order book.
2.1.7. Order Management during the CPP session cont/d
No trading will take place during the CPP session. Any incoming order will be parked
(based on time priority) during this session.
Hence when an order is submitted:
An Execution Report with OrdStatus (39) = 9 (Suspended) and ExecType (150) = 9
(Suspended) will be sent via FIX Gateway

An Execution Report with Order Status = 9 (Suspended) , Exec Type = 9
(Suspended) and Container = 5 (parked) will be sent via Native Gateway

An Execution Report with OrdStatus (39) = 9 (Suspended) and ExecType (150) =
9(Suspended) will be sent via Drop Copy Gateway
All quotes submitted during this session will be rejected

Via a Quote Status Report in with Quote Status (297) = 5 (Rejected), QuoteReject
Reason (300) = 114500, Text (58) = Invalid Session (Quotes are not allowed) in FIX
Gateway

Via an Execution Report with ExecType (150) = 8 (Rejected), Order Status = 8
(Rejected) in Native Gateway.
8
When the CPX session is enabled all quotes will be expired following the successful
completion of the Closing Auction (in the SETS and IOB Trading session models).
The expiration confirmation will read “End of Closing Auction Call” to confirm the
Quotes have been expired.
Any order amendment requests sent via Order Management Gateways to amend
order quantity, displayed quantity, expiration time, expiration date, stop price, limit
price will be rejected as follows

An Order Cancel Reject message with CxlRejReason (102) = 113200, Text (58) =
Invalid Amend (Order Amendments are not allowed during CPP) will be sent via FIX
Gateway

An Order Cancel Reject Message with Cancel Reject Reason = 113200 will be sent
via the Native Gateway
Order Cancel Request messages received via both Native and FIX gateways will be
accepted and processed as normal.
2.1.8. Orders that are parked during the CPP session:
Orders that are parked during the CPP session will be injected into the order book at
the start of the CPX. All such orders will be treated the same as any other order
submitted during the CPX session.
2.1.9. Commencing the CPX session
At the start of the CPX session, the existing order book for the instrument will be
carried forward and uncrossed at the closing auction price, this allows newly injected
Stop Order and Stop Limit Orders with a price better than the closing auction price to
enter the session and qualify for immediate execution, ensuring a crossed book will
become uncrossed.
The uncrossing algorithm used during the uncrossing will be similar to that of any
LSE auction, except for the fact that the volume maximizing algorithm is not used to
derive the auction price, the uncrossing will take place at the closing auction price.
Any new order injected during the CPX session will not be considered for the
uncrossing (Please note Market Orders not executed in the Closing Auction Process
will expire before the market transitions into the CPX).
At the end of the uncrossing and at the start of the CPX, if there are any remaining
Market Orders (i.e. which are injected Stop Orders), they will remain as passive
orders based on time priority on the order book.
9
2.1.10. Order Management during the CPX session
Market Orders injected as part of the CPX (Stop Orders)
Any Market Order left over from the uncrossing at the start of the CPX (injected Stop
Orders) will take execution priority over any Limit Order in the order book during the
CPX session.
If any of these Market Orders has a Time in Force (TIF) that extends into the next
trading day and remains unfilled following the CPX session, it will be carried forward
to the next day’s opening auction call. Any other unfilled Market Orders that has any
other TIF (i.e. Day) and remains unfilled after the CPX session they will expire at the
market close.
Any new Market Order entered during the CPX session will have the same behaviour
of Market Orders in Continuous trading and will not persist following aggression.
Limit Orders carried forward from the Closing Auction
Un-expired and non-cancelled Limit Orders carried forward from the uncrossing at
the start of the CPX session will remain in the order book subject to their time in
force.
Only buy or sell orders with a limit price equal to or better than in the case of injected
Stop Limit Orders the closing auction price will participate in the CPX. Orders with a
limit price worse than the closing auction price will remain inactive in the order book.
Partial or fully Hidden Orders (including Icebergs) that remain following the closing
auction at the correct price will qualify for the session.
It will not be possible to amend existing Iceberg, Hidden, GTD or GTT orders
regardless of whether they are active or inactive. Any such amendments will be
rejected with the relevant reject codes.
Newly entered orders
Once the CPX has commenced newly submitted Market and Limit Orders (including
orders in the parked during the CPP) with a price equal to the closing auction price
will be accepted.
o
An Execution report will be received via FIX Gateway with OrdStatus (39) = 0
(New) and ExecType (150) = 0 (New)
o
An Execution Report with Order Status = 0 (New) , Exec Type = 0 (New) will
be sent via Native Gateway
o
An Execution Report with OrdStatus (39) = 0 (New) and ExecType (150) = 0
(New) will be sent via Drop Copy Gateway
10
Limit Orders with any other price than the qualifying price will be rejected by an
Execution Report with the reject code 111201 - Invalid limit price (not equal to the
closing auction price).
o
Native Gateway – Order Reject Code (67)= 111201
o
FIX Gateway – OrdRejReason (103)= 111201
o
Drop Copy Gateway – OrdRejReason (103) = 111201
The qualifying TIF has to be DAY, IOC or FOK. Any other TIF will be rejected with
the reject code 111502 – Invalid TIF (not allowed for the session). DAY, IOC and
FOK TIFs will behave in the usual manner during the CPX session.
There is not a TIF value to allow orders to be submitted before the CPX for the
commencement of the session.
Order book priority for new incoming visible orders will work on time priority and not
price. Hidden Orders (carried over to the CPX session) will continue to have lower
priority compared with visible orders;
Hidden Orders (including Icebergs)
Entry of new Iceberg or Hidden Orders will not be permitted during the session
Hence the submission of such an order will be rejected by an Execution Report with
the reject code 111104 – Iceberg and Hidden orders are not allowed.
o
Native Gateway – Order Reject Code (67)= 111104
o
FIX Gateway – OrdRejReason (103)= 111104
Drop Copy Gateway – OrdRejReason (103) = 111104
2.1.11. Amending inactive and active orders during the CPX
An inactive order can only be amended if the new price is equal to the closing auction
price (but not better than it). Where an order remains inactive it will continue with the
time in force it was entered with.
Amendment of unelected Stop and Stop Limit Orders during the CPX session may
result in either a rejection where the TIF is not permitted or immediate expiry on
election if the TIF is Day
Otherwise the amendment will be rejected with the reject code 113201 – Invalid
Amendment (price is not equal to the closing price). Order quantity or display
quantity changes of inactive orders will only be accepted if the price is also being
changed to be the closing auction price;
o
Native Gateway – Cancel Reject Reason (41)= 113201
o
FIX Gateway – CxlRejReason (102)= 113201
11
Active orders (both orders submitted during the CPX and those carried forward that
meet the price criteria) can be amended to change quantity or display quantity but
not price. The same order book logic will be applied to these orders i.e. if they are
amended to increase their order quantity they lose time priority (but not if the volume
is reduced). However, in the case of active Stop Limit Orders where the limit price is
better than the closing auction price, the price must also be amended so that it is
equal to the closing price. In this scenario the order will lose time priority regardless
of whether the quantity is increased or reduced.
Amendments to the Time in Force including changes of expiry date for GTD orders,
expiry time for GTT orders or client reference will not be permitted for either active or
inactive orders. Such an attempt will be rejected with the reject code 111500 - Invalid
amend (cannot amend TIF) or 113700 - Invalid Amend (Cannot amend Client
Reference) respectively.
o
Native Gateway – Cancel Reject Reason (41)= 111500
o
FIX Gateway – CxlRejReason (102)= 111500
o
Native Gateway - Cancel Reject Reason (41)= 113700
o
FIX Gateway – CxlRejReason (102)= 113700
Any existing order (both active and inactive) can be cancelled at any time during the
CPX;
Amendments and cancellation that take place with respect to all orders in the order
book will be disseminated via the ITCH and FIX/FAST market data feed.
All the eligible Market and Limit orders will be executed at the closing auction price
(where there is sufficient volume); Orders submitted during the CPX will not be
carried forward to the next trading day. They will be expired at the end of the day
since only DAY orders are allowed to be submitted for the session as persistent
orders.
Trades and order book updates that take place during this session will update all
relevant order book related statistics (i.e. turnover, VWAP, high price, low price etc in
FIX/FAST)
2.1.12. Trade Cancellation during CPP and CPX
Trade Cancellations are possible during CPP and CPX sessions and are initiated in
the standard way.
2.1.13. Introduction of a new Trade Type for CPX
All trades that take place during the CPX (including those that take place during the
uncrossing at the start of the session) will be assigned a new trade type of “PT”.
12
2.1.14. Market Data Feed for CPP session
The beginning of the CPP session will be communicated via both the Level 2-ITCH
and the FIX/FAST market data feeds. Level 2-ITCH will communicate the
commencement of the session through the use of the Symbol Status message of
value “v.” FIX/FAST will communicate the commencement of the session using the
Security Status message of value “125.”
2.1.15. Market Data Feed for CPX session
The beginning of the CPX session will be communicated via Level 2-ITCH feed and
over the FIX/FAST market data feeds. To indicate the beginning of the new CPX
session in the Level 2-ITCH feed, a Symbol Status message will be sent with trading
status set to “u” to denote the transition into the CPX.
A new value “120” will be introduced to the SecurityTradingStatus(326) field of
security status message in the FIX/FAST feed. At the beginning of the CPX session a
security status message will be sent with the SecurityTradingStatus(326) is set to
“120.”
2.1.16. Market Data Feed for the uncrossing at the start of the CPX
session.
Level 2- ITCH feed
During the uncrossing at the start of the CPX, all executions will be notified to the
market via individual Level 2-ITCH Order Executed with Price/Size messages. There
will be no amalgamated uncrossing Auction Trade disseminated.
Market Orders which are executed during the CPX uncrossing will be notified via
order executed with price size messages. Execution of Limit Orders will be notified to
the market via order executed message when their limit price = execution price (CPX
price) and via order executed with price size messages when the limit price is
different to the execution price (CPX price) for Stop Limits.
FIX/FAST feed
All executions taking place during the uncrossing will be notified to the market via
Market Data Incremental Refresh (Trade) messages where MDEntryPx (270) is the
executed price of the orders. (No bulk trade auction message will be disseminated
each trade will be sent out via a separate MDIR trade message).
13
2.1.17. Market Data Feed for Executions taking place during the CPX
session
Execution of Limit Orders submitted during the CPX will be notified via the order
executed message. Execution of Market Orders submitted during the CPX will be
notified via the order executed with Price/Size message on the Level 2-ITCH feeds.
Execution of Limit Orders with a better price than the closing auction price and added
to the order book before the commencement of the CPX session in the form of Stop
Limit will be modified via the Order Executed with Price/Size message via the ITCH
feed.
On FIX/FAST Execution of Market or Limit Orders will be broadcast via the Market
Data Incremental Refresh Message with MDUpdateAction (279) of New (0) and
MDEntryType (269) of Trade (2) in the feed.
2.2. Enhancement 2: Introduction of an automated process to
update Restricted Instrument Lists for users of
Sponsored Access and a “CFD Give up” dealing capacity
The Restricted Instrument List allows a Sponsoring Firm to restrict orders entered by
a Sponsored User to a limited set of instruments, in the form of a negative permission
list (set for an individual Sponsored User). This Restricted Instrument List is the list of
instruments the Sponsored User cannot trade, if a Sponsored User attempts to
submit an order in a restricted instrument, it will be rejected.
The initial list is created (following notification from the Sponsored Firm) by the
Exchange’s Market Operations team. The restricted instruments on each list are then
maintained either:


by the Market Operations team;
o
Sponsoring Firms must submit a request to the Exchange’s Market
Operations Team for changes to the Restricted Instrument Lists of
Sponsored Users.
o
Where an instrument becomes restricted intraday by the Market
Operations Team, the Exchange will cancel any open orders of the
Sponsored User in the restricted instrument.
or by the Sponsoring Firm by uploading a .csv file via SFTP (via LSE Extranex or
Hosting).
This SFTP fill upload is a new feature to the service that allows Sponsoring Firms to
update their restricted lists themselves (intra or inter-day) using a .csv file by applying
for an LSEG managed SFTP account.
14
Once the SFTP account has been set up and the Restricted List shell has been
created and assigned to the Sponsored User (or Users) by the Exchange’s Market
Operations team, Sponsoring Firms can drop off CSV files to add or remove
Instruments from a particular Restricted List.
Please note that when a new list is uploaded into the SFTP and into Millennium
Exchange via this automated process, existing orders in the affected instruments will
not be automatically deleted and firms should arrange for existing orders to be
deleted by themselves.
The SFTP server should be available 24 hours a day, 365 days a year for file
submission, but will only process files between 0600 and 1800 (UK Time) on trading
days. Files can be submitted outside of this time window.
The SFTP will have the following directories:
Directories
Description
This is where users can drop off updated
Restricted List .csv files
This is where users can see what happened to
every file (with a correct name and valid size)
that they have asked the Exchange to process
This is where users can see the most recent list
successfully processed
Outbox
Inbox_Audit
Inbox_Current
The .csv file uploaded, must adopt the following characteristics:

The Restricted List name will be provided by the Exchange’s Market Operations
team and must be used in the file name submitted and within the file itself.

The file must have the following naming convention:
o
[RestrictedListName]_[YYYYMMDDHHMMSS].csv

o
e.g. [XXXX]{YYY}[SP/ST]_20111130142535.csv
o
X Represents the Sponsoring Firm (member firm)
o
Y Represents the Sponsored User OR Group of Sponsored
Users
o
SP= Sponsored Access Production/ST = Sponsored Access
Test
The timestamp used must be unique and should be current.

The file must not exceed a size of 200KB.

The file should contain a list of all the instruments that the Sponsoring Firm would
like to restrict on a given Restricted List.
o
For example:

To add an instrument, you would add it to the list of instruments
previously submitted.
15

To remove an instrument, you would delete it from the list of
instruments previously submitted.

All Restricted Lists will persist overnight, meaning a file should only be submitted
if there is a change required to a given Restricted List. It is expected that each
file will result in at least one addition or one removal of an instrument from the
specified Restricted List.

A file should only include updates to a single Restricted List. It is not possible to
update more than one Restricted List with a single file.

Each Restricted List can contain up to 100 instruments.

The .csv file should be comma delimited. The first row of the file should contain
the following format:

o
<Restricted List Name>,<Instrument A>,<Instrument B>,…
o
The Instrument ID should be used to identify the instrument(s) to be
restricted.
Up to 10 attempts can be made to update each Restricted List per day( with files
that are not out of date).
Upon successful processing of a file, we will deliver:
 A file with the same name with a .ok file extension (replacing .csv) to the
“Inbox_Audit” directory;

AND
If a file for the same Restricted List exists in the “Inbox_Current” directory, it will
be updated with the new Restricted List.
The content of the file in both directories will contain the original contents provided on
line 1.
Upon unsuccessful processing of a file, we will either:
 Do nothing (i.e. not provide an error file) where:

o
The file has been named with an incorrect Restricted List name prefix
o
A file exceeds the permitted size
o
On the second error where a firm has already exceeded their 10
attempts. i.e. on the 12th attempt.
Deliver a file with the same name with a .err file extension (replacing .csv) to the
“Inbox_Audit” directory. Where a filename is not unique a timestamp will be
added
to
the
.err
extension
to
make
it
unique
e.g.
FirmName_RL1_20111130142535.err_20111130142540.
o
The file will contain the original contents provided on line 1 and an error
code and description on line 2. The error code provided will be the first
error detected.
16
The following table summarises all of the errors that can be provided.
Error
Code
Description
Reason for error
3
File cannot be
processed
Instrument Group
not found
Instrument not found
4
System unavailable
5
File contains
expression based
instrument(s)
File is not formatted correctly or file
is corrupt
Restricted list does not exist or is
incorrect
Instrument provided is invalid
There was an error processing the
file
There is an issue in the way the
Restricted List has been set up, as
a query has been used.
Market Operations will need to be
contacted to resolve this issue
File has an out of date timestamp
1
2
6
7
8
Out-dated file
No update from
previous file
Update rejected by
system
9
Max Instrument
Group updates
exceeded
10
Max Instruments per
Group exceeded
11
Instrument Group
does not match file
name
12
Duplicate file
2.2.1.
File has not changed
There was an error in processing
the file
The maximum number of Restricted
List updates has been exceeded for
the day. No further updates will be
accepted or .err files provided
The maximum number of
Instruments within the file have
been exceeded
The Instrument Group Name in the
File Name, does not match the
Instrument Group Name within the
file
The file is a duplicate
Example entry on .err file
1
0002, Inst_Grp_x
0003, Inst_Grp_1, Inst_x
4
0005, Inst_Grp_1, Inst_x
6
7
8
0009,
InstGrp_20111103035100
10
11
12
Introduction of a “CFD Give-Up” flag on the Dealing Capacity
To reflect the trading activity of Sponsoring Firms and their clients a new Dealing
Capacity will be added as part of Release 7.0 entitled “CFD give-up”. This is to
enable a Sponsored User to submit an order indicating it requires a CFD give up
from their Sponsoring Firm. The order containing the new flag is subsequently
converted into a Principal and is then entered into the order book.
Sponsored Users will need to be configured to allow them to use the new dealing
capacity.
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If the Sponsored User is configured and subsequently uses this conversion capacity
every order they submit with “CFD Give Up” capacity flagged, their order will be
converted to Principal for submission to the order book.
If the Capacity Conversion is not enabled for the individual Sponsored User and an
order with “CFD Give up” is submitted, the dealing capacity will still be converted but
the order will be subsequently rejected by the system with:LSE: Order Reject Code= 111903 Invalid Capacity (Capacity Conversion
Disabled
Additionally, a Capacity Code field was added to the Execution Report message type
for the Native Trading Gateway. For further details, please refer to the MIT203
Native Trading Gateway Specification.
2.3. Enhancement 3- Introduction of additional off book
Trade Types
2.3.1. Introduction of 2 off book cancellation Trade Types
Off book trades are only retained in the trading system up to and including the day of
publication. The process for cancelling a trade report therefore depends on the day
the trade is due to publish. When submitting a cancellation before or on the day the
trade is due to publish the process to cancel the original trade report by submitting a
cancellation message using the original trade code, remains unchanged.
The process for cancelling a trade when submitting an amendment after the day of
publication (or after the date of submission where the trade is never due to publish)
will now be amended to ensure that the cancellation trade type follows the same
publication regime as the originally submitted trade. This has led to the creation of 2
new trade types and the amendment of when the existing LC trade type is used.
TradeSubType
Purpose
Publication
GC
Cancellation of on-Exchange
trade after date of submission
where cancelling trades in Gilts
and Order Book for Retail
Bonds (Gilts).
Follows
same
regime as
submitted
trade
NC
Cancellation of on-Exchange
trade after date of submission
where original submitted trade
was a NM
Not
Published
The GC Trade Type should be used to cancel an off book trade report that falls under
the publication regime that currently applies only to Gilts and Order Book for Retail
Bonds (Gilts). From a publication perspective the GC will follow the same rules as the
trade being cancelled.
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The NC Trade Type can be used to cancel an off book trade report (NM) that itself
was never due for publication.
LC trade type should now be used for all other cancellation of on-Exchange trade
after date of submission not covered by above. The new trade types will be
represented in the Trade Capture Report as the following TradeSubTypes:TradeSubTypes
Value
Trade Type
1032
GC
1033
NC
2.3.2. Introducing new trade types for MTFs (reserved for future use)
To facilitate the trade reporting of Broker MTF business we are creating a number of
new trade types to facilitate this business.
These are not expected to be used initially and a further announcement will be made
when they are about to be used in live service.
The following trade types will be added to the system:-
Trade Type
Publication
BT
BK
Immediate
Delayed
BF
Delayed
BC
QT
QK
Immediate
Immediate
Delayed
QF
Delayed
Equivalent
current
Trade Type
OT
TK
IF
OT
TK
OTC Trade
OTC Trade- delayed publication request
Inter fund cross- delayed publication
request
Cancellation of OTC Trade after date of
publication
OTC Trade
OTC Trade-delayed publication requested
Inter fund cross- delayed publication
request
Cancellation of OTC Trade after date of
publication
OTC Trade
OTC Trade- delayed publication request
Inter fund cross- delayed publication
request
Cancellation of OTC Trade after date of
publication
OTC Trade
OTC Trade-delayed publication requested
IF
Inter fund cross- delayed publication
OC
OT
TK
IF
OC
QC
MT
MK
Immediate
Immediate
Delayed
MF
Delayed
MC
CT
Immediate
Immediate
CK
CF
Delayed
Delayed
Purpose
OT
TK
IF
OC
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request
Cancellation of OTC Trade after date of
publication
OC
CC
Immediate
The following TradeSubTypes will now be available via the post trade gateway
TRADESUBTYPES
Value
Trade Type
2001
BT
3001
BK
1018
BF
1019
BC
1020
QT
1021
QK
1022
QF
1023
QC
1024
MT
1025
MK
1026
MF
1027
MC
1028
CT
1029
CK
2002
CF
1031
CC
2.4. Enhancement 4: Start and End of Day activities
2.4.1. Suppression of Previous Days’ Closing Price for subset of
securities
The London Stock Exchange does not derive a closing price for securities residing on
our European Quoting Service (EQS) and International Trade Reporting (ITR)
segments. As such we will no longer disseminate previous days closing prices for
these two segments.
This release will halt the dissemination of the Previous’ Days Closing Price for all
The Previous Days’ Close was historically disseminated on both the FIX-FAST and
Level 2-ITCH market data protocols each morning.
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2.4.2. Dissemination of “End of Post Close” trading status
The FIX-FAST market data protocol and Level 2-ITCH market data protocols will
introduce new trading statuses of “103” and “x” respectively, to indicate the end of the
Post Close trading session to indicate the end of trading for the day.
Following the transition out of the Post Close trading session client order book
interaction is prohibited. Prior to Functional Release Q1 2012 the market data
protocols did not communicate this change in order book logic.
2.4.3. Dissemination of “No Active Session” trading status
The FIX-FAST market data protocol and Level 2-ITCH market data protocols will
introduce new trading statuses of “199” and “w” respectively to indicate when an
instrument has No Active Session available.
Clients who perform a Recovery request for a suspended instrument will receive the
aforementioned trading status in the Symbol Directory and Security Status
messages.
2.4.4. Reference Data file format change
The London Stock Exchange Instrument reference data file
(YYYYMMDD_XLON_Instrument.csv) will be updated to introduce an additional four
columns. The four columns will identify the allocation of a particular instrument to
relevant market data channels across all London Stock Exchange market data
protocols.
This enhancement will facilitate the identification of instrument-channel allocation
through the potential removal of the manual LoadID/MDS Channel ID mapping
process.
Clients should refer to MIT401 – Guide to Reference Data Services (Issue 9.0) for
further information.
2.5. Enhancement 5: Level 2-ITCH message format changes
In response to client feedback and as a further enhancement to our highly performant
Level 2-ITCH market data protocol, the London Stock Exchange will shortly introduce
the unique instrument identifier, InstrumentID, to both the Level 2-ITCH Order Delete
and Level 2-ITCH Trade Break messages. Clients should consult the relevant
technical specifications to identify the position of this new field in the message
format.
This enhancement facilitates client order book management through immediate
identification of the affected security, thus allowing clients to quickly target the
required update rather than purging all order books.
The Group is keen to receive feedback on this enhancement. If client feedback is
positive we may investigate the provision of InstrumentID across additional Level 2-
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ITCH real time market data messages. Post Functional Release Q1 2012 the Level
2-ITCH market data protocol will stamp the current execution date in the Off-Book
Trade message; currently, only off-book trades of previous date have this field
populated.
Copyright © March 2012 London Stock Exchange plc.
Registered in England and Wales No. 2075721.
London Stock Exchange plc has used all reasonable efforts to ensure that the information
contained in this publication is correct at the time of going to press, but shall not be liable for
decisions made in reliance on it.
London Stock Exchange and the coat of arms device are registered trade marks of London Stock
Exchange plc.
London Stock Exchange
10 Paternoster Square
London EC4M 7LS
Telephone: +44 (0)20 7797 1000
www.londonstockexchange.com
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