Technical User Group

London

Date: 10 July 2009

Sub-Millisecond Market Access

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

Andrew Bailey

July 2009

Exchange Hosting - Agenda

Strategic drivers for Exchange Hosting product
Exchange Hosting product overview

performance benefits

facility overview

Phase 2 delivery progress update

Project timelines

External market data provision

Dedicated connectivity options

Our Strategic Approach to Growing Liquidity

Continuously drive
market efficiency

Attract more issuers

Launch market-led
new products &
services

Facilitate more trading

Improve access

Implement planned
technology
enhancements

By working in partnership
with the market as a whole

Liquidity
growth

By more participants

In more securities

We remain focused on
these objectives

Connectivity Options

Member firms connect to the London Stock Exchange Group to receive realtime trading, information and other services through a range of options.

Exchange Hosting

Provides fastest access to the Exchanges trading & information systems

Extranex

Dedicated point-to-point connection between the client & the Exchange

Network Service
Providers
Vendor Access
Networks

Extending our global reach by partnering with accredited network partners (NSPs)

Provides non-latency sensitive connectivity, normalised market data and a

front-end trading platform via accredited providers

Exchange Hosting

As part of our ongoing commitment to improving market efficiency through

liquidity generation and performance enhancements, we have introduced
Exchange Hosting.
Hosting physically within the Exchanges data centre - as close as possible to
the matching engines.
Minimises the overall latency between the Exchanges TradElect and Infolect
systems and the customers own trading applications:

Propagation delay: reduced components for packets to pass through

Transmission delay: physically close to the matching engines and infrastructure

Processing delay: significantly less components for packets to be processed by

Exchange Hosting covers access to all London Stock Exchange Group markets
that are based in London, including MTA, Expandi, MOT and SEDEX.
Service and facility managed entirely by the Exchange.
Facility available to Trading Participants (including non-members).

Performance Benefits
Test results suggest the following performance benefits for
Exchange Hosting connectivity measured against an Extranex 100Mb
connection*.
c. 80 us
Infolect
Multicast
data

c. 80 us

Hosting customer
Extranex

c. 600 us
100Mb Extranex
customer

c. 130 us x 2
TradElect
TCP data

c. 130 us x 2

Hosting customer
Extranex

c. 600 us x 2
100Mb Extranex
customer

Infolect (Multicast) data

TradElect (TCP) data
* 100mb Extranex connection latency in London metro areas is on average approx 600us for single trip (c. 1.2ms round trip)

Exchange Hosting Service Overview

Service Offering
Access to LSE Services
Production TradElect
Produciton Infolect (Performance and Service Channels)
Customer Development Service
Conformance Environment
Available From
Power usage (per cabinet)
Trading connections (per client)
External data feeds
Management services
Management connectivity
Rack and stack
Remote hands available
Local precision time sync facility

Accelerated Hosting

Full Hosting

Sep-08

Aug-09

3kw

Choice of 3kw or 5kw

4 resilient

4 resilient

VPN over Extranex

Dedicated Lines

Exchange Facility Details

Location

Security and Access

24/7 on-site Security team

intelligent CCTV and access control
pre-arranged access available

Facilities Management

central London, purpose built datacentre

24/7 Automated Building Management

Systems (BMS) monitoring
24/7 On-site engineering support
Facility owned and managed by the Group

Network and cabling configuration

resilient Cisco 6509 Switches for low

latency cross connection to TradElect
and Infolect systems
approx 4 resilient (8 physical ports)
Exchange ports per client
Cat 6a cabling is used throughout the
data centre
Connectivity options available to site
via:
Exchange managed leased line
Third party connectivity
Internet VPN connection (Backup)

Power Capacity and Configuration

diversely routed incoming HV and UPS

power supplies

backup Generation (redundancy of N+2)

Choice of 3kw or 5kw service

External Market Data Provision

From September the Exchange plans to

offer a wide range of data from other
Exchange venues and MTFs (to be
sourced from a low latency data
consolidator).
Key elements of the service will be:

Wide range of data sets available

Normalised or Raw data accessible

through a single interface

Low latency

Choice of shared/dedicated infrastructure

This service would be provided at

additional charge and would be based on
the number of data sets taken.
Further details of our partnership with
data consolidator planned End July

Region

Exchange/Venue

North America

BATS US

North America

CBOT

North America

CME

North America

NASDAQ

North America

NYMEX/COMEX

North America

NYSE Euronext and NYSE Arca

Europe

BATS Europe

Europe

CHI-X

Europe

Eurex

Africa

JSE

Europe

Liffe

Europe

Nasdaq OMX Europe

Europe

NASDAQ OMX Nordics Exchanges (Copenhagen,

Stockholm, Helsinki, Iceland)

Europe

NYSE Euronext

Europe

SWX

Europe

Turquoise

Europe

Xetra (Deutsche Borse)

Asia

Australian Security Exchange

Asia

Hong Kong (HKEX)

Asia

Osaka Securities Exchange

Asia

SGX -Singapore Exchange (merger of SES and SIMEX)

Asia

Tokyo Stock Exchange Group (TSE)

10

Dedicated Hosting Connectivity

The Exchange is planning to offer a choice of dedicated connectivity
options for Exchange Hosting connectivity:
1. Option 1 - Exchange managed solution

Single point of contact for all Hosting services

Resilient connection (two diversely routed active lines)

Low latency

Choice of connection sizes (likely to be 10Mb, 100Mb, 1Gb and 10Gb)

2. Option 2 - Customers own provisioned lines

Client choice of connectivity provider

Low latency

Choice of connection sizes (and type)

3. Option 3 1Mb internet connectivity

Basic connectivity option offered as part of Exchange Hosting

Single point of contact for all Hosting services and escalation

11

Current Delivery Status

Phase 1 (Accelerated Hosting)

Launched in September 2008

Phase 2 (Full Hosting)

Launch planned for Monday 3rd August (dependant on customer readiness)

High demand for space from new and existing clients

Currently on-boarding new clients in to the Phase 2 space

Migration of Phase 1 clients to new data hall

External Market Data available from September

Exchange Managed Dedicated Connectivity available from September

Local precision time sync solution available from August

12

Further Information
If you are interested in Colocation/Hosting then
please contact Andrew Bailey on +44 (0) 207 797
4114 or via email:
abailey@londonstockexchange.com

10 Paternoster Square
London EC4M 7LS
T +44 (0)20 7797 1000
www.londonstockexchangegroup.com

Technical User Group

London

Date: 10 July 2009

Market Data Optimisation 2009

Phase II
Overview of changes

Ollie Cadman
Date: 10/07/2009
Author:

Introduction
Market Data Optimisation 2009 went live in April and aligned Service Channels
with the liquidity aligned structure of Performance Channels, along with a
number of other enhancements
In May the Group consulted on a proposed second phase to MDO, which aims
to deliver further enhancements and a more diverse distribution of
instruments across channels

The existing Service and Performance Channel structure will be expanded to

incorporate the reserved channels, providing improved load balancing and
increased simultaneous publishing
MDO Phase II will deliver the following benefits:
Improvements in the parallel distribution of real time messages
Optimised channel configurations, ensuring a consistent delivery approach across all
markets and services

16

Scope
The confirmed scope items of Phase II are:
Additional load balancing of instruments across the reserved Service and Performance
channels
Reduction in idle poll interval from 15 to 5 seconds,
Transfer of all Covered Warrants market data messages (some added value and trade
reports message types) to appropriate Covered Warrants Service/Performance Channels,
Rename of Px3 channels to Px2 to mirror Service Channel structure,
Decommissioning of the following legacy Level 1 Plus messages:

5AB Return Measures

5MV Market Share Top 5
5AF Alpha/Betas
5AP Average Cumulative Volumes,
Decommissioning of the 5UP Uncrossing Price message from the Level 2 channels.

17

Channel distribution
Channel Structure - Existing
S/Pax

SETS: FTSE 100 > 1%

S/Pbx

SETS: FTSE 100 < 1%

S/Pcx

SETS: FTSE 250 1

S/Pdx

SETS: FTSE 250 2

S/Pex

ETFs, ETCs & Specialists

S/Pfx

SETS, SETSqx, SEAQ, IRS & Misc.

S/Pax

FTSE 100 Group 1

S/Pgx

Reserved for future use

S/Pbx

FTSE 100 Group 2

S/Phx

Reserved for future use

S/Pix

Reserved for future use

S/Pcx

FTSE 100 Group 3

S/Pjx

Reserved for future use

S/Pdx

FTSE 100 Group 4

S/Pex

FTSE 100 Group 5

S/Pfx

STMM, SET2, SET3, SSMM, SSMU, AMSM Group 1

S/Pgx

STMM, SET2, SET3, SSMM, SSMU, AMSM Group 2

S/Phx

ETFs, ETCs, Group 1

S/Pix

ETFs, ETCs Group 2

S/Pjx

SETSqx, SEAQ, SFM and Miscellaneous

Channel Structure Future (example)

18

Timelines
August
Customer Development Service

July
Service & Technical Description

September
Production

19

Technical User Group

London

Date: 10 July 2009

Update on FIX 5.0 Interface & Hidden Order

Functionality

Author:

Stuart English

Date: 10 July 2009

Introduction
FIX 5.0 Project Update
Performance Comparison: FIX Vs Native
Functionality Supported on FIX 5.0 and Native
Hidden Order Functionality New Native Messages
Next Steps

22

FIX 5.0 Project Update

London Stock Exchange Group (LSEG) on track to launch a FIX 5.0 interface to
TradElect for the London and Oslo* markets this year
Revised project timeline:
September 2009, Customer Test Services inc. CDS go-live
November 2009, technical go-live on production for the London market

FIX 5.0 interface will be offered alongside current Native interface

Core trading functionality to be supported on both interfaces going forward resulting
in a choice of connectivity options for customers

* Oslo equities and fixed income markets due to migrate to TradElect in February 2010

23

Performance Comparison: FIX 5.0 Vs Native

Our initial target was for the FIX 5.0 interface to be at least as
performant as the Native interface
In parallel, we have been constantly reviewing and fine tuning our
technology in order to reduce latency and increase capacity:
November 2007 TUG: Current system delivering up to 4,200 messages per
second with around 6ms* latency measured at the Exchange.
Today, TradElect can now support 18,000 messages per second with
roundtrip times of approximately 3.7ms*

These improvements have meant that forecasts made during the

original evaluation of FIX are no longer valid
Technical testing to date suggests that the Native interface will be
approximately 0.5ms faster than the FIX 5.0 interface**

Both interfaces will be supported for future TradElect performance and

functional enhancements
* Excluding line latency. For a 100Mb Extranex Service located in London this could be approximately 1.5ms
roundtrip
** Based on a load of 4,000 messages per second and an equal message mix

24

Functionality Supported on FIX 5.0 and Native

Core trading functionality will be supported across both interfaces
going forward
Minimum Execution Size (MES) will be introduced to the Native
interface
Hidden Best Bid and Offer Pegs and the Oslo fixed income market
will only be supported via the FIX 5.0 interface
Hidden Order functionality will not be launched ahead of Mid Price
Pegs and MES
Hidden Order functionality will go live at the same time as the FIX
5.0 interface
Hidden Mid
Price Pegs

Hidden Best
Bid and Offer
Pegs

Hidden Limit
Orders

Minimum
Execution Size

Native Interface

FIX 5.0 Interface

25

Hidden Order Functionality

New Native Messages

In order to support new Minimum Execution Size and Matching

Instruction fields, the following new message versions will be
introduced to the Native interface:
Message Name

Current Version

New Version

Message Description

5EO

AD and AE

AF

Enter Order

5E3

AD and AE

AF

Acknowledge Order Details

5MO

AB and AC

AD

Modify Order

5M6

AB and AC

AD

Acknowledge Modify Order

5RO

AA and AB

AC

Request Own Order Book Download

5OF

AA and AB

AC

First Order Book Download Response

5S1

AA and AB

AC

Subsequent Order Book Download Response

No existing message versions will be decommissioned as a result of

this change

26

Next Steps
September 2009
FIX 5.0 and Hidden
Order functionality live
on CDS

10 July 2009
Technical User Group

31 July 2009
Updated Service &
Technical Descriptions
published

November 2009
FIX 5.0 and Hidden
Order functionality live
on production

27

Technical User Group

London

Date: 10 July 2009

10th & 16th July: London Stock Exchange

Technical User Group
Baikal Update
Mark Ryland, Chief Technology Officer, Baikal

Investment for experts

Content
Baikal product overview
Relevance/context of dark pools
Baikal technology platform, partners & connectivity

Delivery plan
Summary

30

Baikal product overview

Investment for experts

Baikal proposition two core products

Baikal order book (BOB)
Pan-European non-display MTF
(approx 3000 leading shares across Europe)

Baikal liquidity aggregation services

Smart order routing
Bespoke liquidity seeking strategies including dark pool aggregation

Both of the above supported by Baikal post trade services

32

Schematic
Exchanges

Client

Baikal liquidity
aggregation services

MTFs

Other dark
pools
Client

Baikal pan-European
dark order book (BOB)

Algos

Baikal post trade

33

Baikal order book (BOB)

Characteristics
Unique two-mode matching
Continuous matching
Random periodic auctions
Price referencing
Anti-gaming & anti-timing controls to ensure market integrity

Baikals order book aggregates different customer types and order

types in a trusted trading environment

34

Liquidity aggregation strategiesexamples

Lit smart order routing (aggressive)
Sweep (multi pass), post and dynamically re-sweep

Dark only (passive)

Sweep, post, periodically re-sweep
Dark pool aggregation

Dark + lit (passive & aggressive)

Sweep dark, sweep lit (multi-pass), post part dark/part lit, dynamically resweep
Aggressiveness controls level of participation in lit venues

Others

35

Product applicability v client needs

Liquidity Aggregation
Baikal
order book
direct
Global tier 1
bank

Electronic
liquidity
provider

Specialist mid
tier broker
Buy side

via sell side

Lit
SOR

Dark
only

Dark to lit
strategies

Algos

Baikal
post
trade

via sell
side

via sell
side

via sell side

via sell
side

via sell side

36

Relevance/context of dark pools

Investment for experts

Dark or hidden liquidity

Visible liquidity

Dark liquidity has always existed

Public
markets

Exchanges
iceberg orders

Resident liquidity on
sell side brokers
blotters
Liquidity pools on
sell side brokers
books
Resident liquidity on
buy side brokers
blotters

38

Intra day liquidity is fragmented along the value

chain (for larger orders)
Buy side trader

Sell side traders

Exchange/MTF(s)

A
Accumulation
of orders in
same name
from multiple
funds creates
block order

Buy side trader

instructs sell
sides for part
quantity

Sell side traders split

part of the order to
market with (optional)
hidden quantity

39

Attracting resting and ping liquidity to dark

pools
Buy side

Sell side
Resting
liquidity
from buy
side
order
books

Resting
liquidity from
buy side
order books

Exchange/MTF

Ping
liquidity
from sell
side

dark pool
40

The dark pool landscape

Buy side only

pools
(aka crossing
networks)

Exchange/MTF
dark pools

Broker
dark pools

Independent
&
consortia
dark pools

41

Dark pools seek to automate and improve

efficiency
Huge opportunity to match dark liquidity in dark pools
Dark pools seek to deliver

Anonymity
No market impact
Improved execution price (typically mid-price)
Economic operation

This concept invented and proliferated in the US over the last 5 years

42

Why liquidity aggregation with the dark pool?

Managing liquidity fragmentation is already complex
Complexity is increasing further with the proliferation of dark pools
Not all clients are able to manage this complexity cost effectively
themselves
Provide cost effective services from a market neutral provider to help
members meet their own clients needs

43

Technology platform & connectivity

Investment for experts

Baikal technology platform highest level summary

Clients
systems

Front
office

Baikal liquidity
aggregation platform
(Fidessa enhanced)

Exchanges
MTFs
Other dark
pools

OR*
Baikal order book
TradElect/BOB

Algos

Baikal
Back
office

OR*

Back office (BNP)

Baikal MTF CCP
EMCF & CC&G

Baikal platform key components

*Connection point depends upon product/service(s) accessed & client preference

45

Selection of trading technology platform vendors

Platform component

Provider

Dark pool matching platform

(BOB)

London Stock Exchange TradElect

Liquidity aggregation layer

Fidessa (Direct Liquidity Access)

Client FIX connectivity

Infrastructure

Fidessa Express + London Stock

Exchange FIX Gateway

Pan-European market data feed

QuantHouse

Surveillance

SMARTS

*Fidessa Express and LSE FGW to Liquidity Aggregation, TradElect interface direct to BOB

46

Two Levels of Trading Platform Connection

Connection Method/Level

Summary of Key Features

Option A: Connect to Liquidity

Aggregation Layer

Fix 4.2
Wide range of services and venues
including BOB
Ultimately not as fast as direct to BOB

Option B: Connected to Baikal Order

Book Directly

Highest capacity/lowest latency

connection to BOB
Re-use existing LSE connection
infrastructure and TradElect native API

47

A: Connectivity to liquidity
aggregation layer

Clients
Systems
Front
Office

Baikal Liquidity
Aggregation Platform
(Fidessa Enhanced)

Exchanges
MTFs
Other Dark
Pools

OR*
Baikal Order Book
TradElect/BOB

Algos

Baikal Broker
OR*

Back Office (BNP)

FIX 4.2
Managed via Fidessa Express
Connections available from all the usual network suppliers
Back
Office

Baikal MTF CCP

CC&G

Baikal Platform Key Components

Also possible to run a FIX 4.2 over your Extranex connection

London Stock Exchange FIX Gateway service is also connected
through to Fidessa Express

Direct FIX session to Baikal can be implemented bypassing the

Express routing hub to minimise latency
Additional FIX tags for liquidity strategies
Customer test environment available now

48

B: Connectivity: direct to BOB

Clients
Systems
Front
Office

Baikal Liquidity
Aggregation Platform
(Fidessa Enhanced)

Exchanges
MTFs
Other Dark
Pools

OR*
Baikal Order Book
TradElect/BOB

Algos

Baikal Broker

Use common London Stock Exchange

Group connectivity infrastructure

OR*

Back Office (BNP)

Back
Office

Baikal MTF CCP

CC&G

Baikal Platform Key Components

BOB is a separate market & hence separate sessions

BOB interface simple and a sub-set of the TradElect native API - 2 new
order attributes apply to 3 messages
Minimum execution size
Matching Instructions

Market Data NO PRICES - delivery via 2 new service channels

X02 Reference data
X01 Trade reports (prints) & market status information

49

Client Testing Environments

Liquidity aggregation layer
Available now!

BOB
Will be available through the same Customer Development Service (CDS) as
other TradElect markets from September

Customers choosing direct BOB connection will need to participate in a

conformance test
New message versions 5EO, 5MO, 5OF & its response 5S1
New trade types HL & HM (hidden limit & market)

50

Delivery plan phasing

Investment for experts

Delivery schedule phasing

Initial delivery end June LIVE NOW!
Lit SOR liquidity aggregation
Baikal back office for OTC client settlement

September delivery
Baikal order book (BOB) available in customer test (CDS)

Q4 delivery
BOB live
Wide range of liquidity aggregation strategies including dark pool
aggregation

Subsequent phases
TBA

52

Baikal session summary

Pan-European dark pool & liquidity aggregation services

Cost effective, differentiated services from a market neutral
provider
Technology platform uses proven technology + partners
Connectivity is simple/standard and leverages existing pipes & APIs
Phased release schedule has started
Plan & start implementing your connections to Baikal Order Book
now!

Investment for experts

IMPORTANT NOTICE
Baikal Global Limited is a company registered in England & Wales with Company Number 06630018, whose Registered Address is 10 Paternoster Square,
London EC4M 7LS. Baikal Global Limited is a wholly-owned subsidiary of London Stock Exchange Group plc.
Please note that Baikal Global Limited has applied for authorisation as an Investment Firm (as defined in the Financial Services and Markets Act 2000) which
is regulated by the Financial Services Authority, and is seeking permission to operate a Multilateral Trading Facility (as defined in the Markets in Financial
Instruments Directive). Therefore, the operation of Baikal Global Limited as an authorised Investment Firm and as an MTF both remain subject to gaining
the necessary regulatory approvals.
This material is furnished on a confidential basis only for the use of the intended recipient and only for discussion purposes. This material may be amended
and/or supplemented without notice and may not be relied upon for the purposes of entering into any transaction. The information presented herein will be
deemed to be superseded by any subsequent versions of this material and is subject to the information later appearing in any related prospectus, offering
circular, pricing supplement or other offer document (the "Related Documentation"). Information other than indicative terms presented herein (including
market data and statistical information) has been obtained from various sources which Baikal considers to be reliable. However, Baikal and its affiliates
make no representation as to, and accept no responsibility or liability whatsoever for, the accuracy or completeness of such information. All projections,
valuations and statistical analyses are provided to assist the recipient in the evaluation of the matters described herein. They may be based on subjective
assessments and assumptions and may use one among alternative methodologies that produce different results and, to the extent that they are based on
historical information, they should not be relied upon as an accurate prediction of future performance. This material does not constitute advice or a
recommendation to enter into any transaction or an offer or an agreement, or a solicitation of an offer or an agreement, to enter into any transaction
(including, without limitation, for the provision of any services). By furnishing this material to the recipient, neither Baikal nor any of its affiliates is not
committing to any transaction. Although any indicative information included in this material is reflective of the terms, as of the specified date, under which
Baikal believes a transaction might be arranged or agreed, no assurance is given that such a transaction could, in fact, be executed at the specific levels or
on the specific terms indicated. This material and its contents are proprietary to Baikal and its affiliates, and no part of this material or its subject matter
may be reproduced, disseminated or disclosed without its prior written approval.
2009 Baikal Global Limited. All rights reserved.
References herein to "London Stock Exchange" shall include London Stock Exchange Group plc and its affiliates. London Stock Exchange and the London
Stock Exchange coat of arms device are registered trade marks of London Stock Exchange plc. The Baikal trade mark is a service mark of London Stock
Exchange plc and is subject to trade mark applications. All other logos, organisations and company names referred to may be the trade marks of their
respective owners.

54

Technical User Group

London

Date: 10 July 2009

An overview of MTS
The European Bond Exchange

Author:

Fabrizio Cazzulini

Date: July 10th, 2009

About MTS
MTS S.p.A., founded in 1988 and privatised in 1997, was the first
electronic market for government bonds and is the founding member
(in 1998) of the MTS Group of companies.
Since its launch over 10 years ago, the MTS Group has established
itself as the leading pan-European market for fixed income securities,
setting new standards of transparency and liquidity for government
bonds.
With average trading volumes of up to 90 billion a day, MTS is active
in all the Eurozone countries and now also extends into the Middle
East.
The majority of shares in the Company are owned by the London Stock
Exchange Group (60.37%). Major international financial institutions
hold the remaining shares.

57

Products
Trading Services
MTS provide facilities for trading:
Government Bonds and Repos
Selected Pfandbriefe and Covered Bonds and Repos
Corporate Bonds and Repos
Sovereign Agency and Supranational securities
EONIA Swaps

EuroMTS Indices
The EuroMTS Indices are the first independent, transparent, real-time
and tradable fixed income indices in the Eurozone.
The indices currently consist of five main index groups:
EuroMTS Index
EuroMTS Government Broad Index
EuroMTS Inflation-linked Indices
EuroMTS New EU Index
EuroMTS Covered Bond Index

58

Markets
Inter-dealer Cash Markets
The wholesale markets managed by MTS include: EuroMTS, EuroCredit MTS,
NewEuroMTS, EuroGlobalMTS, MTS Quasi-Government Market, Eurobenchmark
Treasury Bills Market, EuroMTS Linkers Market, MTS Cedulas Market, MTS
Amsterdam, MTS Austrian Market, MTS Belgium, MTS Denmark, MTS Deutschland,
MTS Espaa, MTS Finland, MTS France, MTS Greek Market, MTS Ireland, MTS Israel,
MTS Italy, MTS Poland, MTS Portugal and MTS Slovenia.

Money Markets
The Money Market Facility (MMF) platform provides a dedicated segment of MTS for
the electronic transaction of repurchase agreements, buy/sellbacks and EONIA swaps
through an efficient order driven market place.

BondVision
BondVision is the fastest growing Multidealer-to-Client market for Fixed Income
trading. BondVision is also a regulated market, thus providing a best execution
environment. The Italian Ministry of Finance regulates the government bond trading
area whilst CONSOB regulates the non-government trading section.
59

The MTS trading system at a glance

60

Key Technical Features

Speed
TradeImpact has reached the highest level of performances in the Fixed Income
industry.

Flexibility
TradeImpacts modularity has allowed MTS to respond rapidly to changing business
needs with no significant impact on architecture.
Primary Market Auctions, Click and Trade activity and negotiation via Request for
Competitive Quotes use same technology and infrastructure.

Scalability
The modularity of the components, all designed with a multi-threads approach and a
multi-layers architecture, allow both horizontal and vertical scalability.
Hardware platform is mostly based on a cost-effective Linux/Intel architecture.

Resilience
Each software process is replicated on different systems, with no single-points of
failure. A secondary Disaster Recovery site can handle emergency situations and
restore trading services within 3 hours from any severe event impairing the primary
system site.
61

High Capacity
The level of throughput that can be sustained by the cash market facility
of MTS has continuously improved over the last releases of the platform
and can be considered as first class in the Fixed Income arena:
Indicator

Measurement

Production peak msgs/s

6,000msgs

Production peak msgs/day

45,000,000msgs

Production Average Latency

Maximum msg per second per server (*)
Maximum trade executions per second per server (*)

<2ms
>12,000msg/s/server
>3,000msg/s/server

(*) Values based on laboratory tests

Please note: currently there are 4 Back-End server components configured in Production

62

Low Latency
Currently (CMF R6), the average round-trip time of market
transactions (e.g. quotes and orders) is below 2ms :
#Transactions

CMF R6 TransactionTime Distribution

100,000,000

Perc

Sample observation period: 24/11/2008 - 28/11/2008

Total Number of Transactions: 55,791,774

99.83728%

100.00000%

10,000,000
10.00000%
1,000,000

0.01396%

10,000

1,000

0.10000%

0.00087%

1.00000%

0.14753%

100,000

0.01000%

0.00037%
100

0.00100%
10

55,700,987

82,309

7,791

483
204

1
0-10ms

10-25ms

25-50ms

50-100ms

100-500ms

0.00010%

>500ms

Latency (RTT) intervals

63

Connectivity
User Software
MTS provides market members with a Reference Graphical User Interface
allowing traders to connect to markets.
Members can decide to implement more sophisticated solutions or
integrate MTS trading functionality within their existing applications via
MTS protocols.
Amongst the others, the ISVs providing software for MTS markets include:
ION Trading Ltd
List SpA
Icubic AG
etc

Network Connections
Participants can connect to the MTS markets through any of its authorised
network service providers, i.e.:
BItSystems
BTRadianz
SIASSB
64

Next Releases (I)

MMF R2.1
Introduction of OTC Trade Registration Facility
Members will be able to utilise the extensive MTS member and settlement
network in order to register trades that did not originate on the MTS Trading
platform taking advantage of the automated settlement and Straight Through
Processing to all major European settlement entities and clearing houses. The
registration can be performed by either of the counterparties to a trade or by
MTS or potentially by a third party.

Improvements to RFQ mechanism, Messaging and addition of MTS

Support Chat function
RFQ mechanism is being updated to improve ergonomics and its integration
with the messaging facility.
A new messaging function will allow traders to contact directly their MTS
representative within their Trading application.

Improvements to GC allocation and Best Execution reporting

Upgrade of the Reference GUI
MMF R2.1 is due to go live on July 20th

65

Next Releases (II)

CMF R6.1
Introduction of Multi-leg RFCQ Functionality
Buyside members can build trading lists of bonds (up to 100) to buy or sell
and issue a unique request for competitive quote to a number of dealers.
Sellside members will be able to either send quotes for single bonds in the
list, ignore/reject single bonds or the RFCQ as a whole.

Introduction of Single Dealer Pages

BondVision sellside dealers will have the possibility of showing individual
pages with specific prices for their clients.

Pre-Allocation mechanism at Central System Level

Improvements of Best Execution mechanism for BondVision RFCQs
Improvements of the Trading Relations mechanism
CMF R6.1 is due to go live by Q4.2009

66

Questions

10 Paternoster Square
London EC4M 7LS
T +44 (0)20 7797 1000
www.londonstockexchangegroup.com

Technical User Group

London

Date: 10 July 2009