001/05022016 /
Launch of SETS Intra-day Auction
The purpose of this announcement is to inform customers of the introduction of the new scheduled daily SETS Intra-day Auction for equities on Monday 21 March 2016.
This follows the Service Announcement issued on 2 November 2015, detailing the provision of testing arrangements on CDS. Please note that London Stock Exchange Notice N01/16 has also been issued today, detailing minor London Stock Exchange Rule amendments required for the launch of the SETS Intra-day Auction.
The SETS Intra-day Auction is a scheduled auction, which will occur each business day (except the two half-trading days at Christmas / New Year) at 12:00 Noon. It will consist of a two minute call period followed by a random 30 second uncrossing.
During the Intra-day Auction call phase and any subsequent price monitoring or market orders extensions, only Level 1 data (including indicative uncrossing price and trade size) will be published. This will be disseminated through a new Top of Book Message on the Level 2 MITCH market data feed or through the existing Group Ticker Plant (GTP) Level 1 service. Please note that Level 1 Auction data will not be disseminated down any of the GTP Level 2 services (MBO, MBP and Full depth incremental). Auction indicative information will be disseminated on all GTP services. Customers using the MITCH market data feed should ensure that their feed handlers can process the new message.
The FTSE index expiry arrangements (EDSP auction) will still operate at 10:10 as a full level 2 auction as it does today on the relevant Fridays. All other auctions (Open, Closing, circuit breaker) will also continue to operate as today.
For more details on the new SETS Intra-day Auction, including a list of the equity segments, please see Factsheet at:
www.lseg.com/sets/intra-day-auctions
Change of Customer Development Service (CDS) Arrangements
For testing purposes, the remaining CDS equity segments (to date it has just been STMM) will have the Intra-day Auction trading cycle enabled from Monday 15 February 2016.
To allow customers a longer testing period, the following 4 CDS securities will continue to have an extended Scheduled Level 1 Only Auction call period of 30 minutes at different times throughout the day.
TIDM / Instrument ID / Scheduled Level 1 Only Auction Call Period /HOME / 6252 / 11:00 – 11:30
MARS / 6423 / 13:00 – 13:30
BABS / 6058 / 14:00 – 14:30
LAD / 5967 / 15:00 - 15:30
CDS Early Closure – Friday 12 February 2016
To support the above changes there will be an early closure of CDS at 16:00 London time on Friday 12 February 2016.
Technical Documentation
Updated versions of the following documents are located in the Future Functional Release (Scheduled Level 1 Only Auctions) section using the link below:
· MIT 201 - DRAFT Guide to the Trading System
· MIT 303 - Level 2 MITCH Specifications
· MIT 401 - Guide to Reference Data Services
· Future DRAFT Millennium Exchange Business Parameters:
www.londonstockexchange.com/products-and-services/technical-library/millennium-exchange-technical-specifications/millennium-exchange-technical-specifications.htm
Customers using the MITCH market data feed should confirm technical readiness to their Technical Account Manager or Technical Account Management team on +44 20 7797 3939,
e-mail:
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Relates to
Exchange(s)
— London Stock Exchange
Environment(s)
— Millennium Exchange Production
— Millennium Exchange CDS
Type
— Technical Update
Product(s)
— Millennium Exchange
Additional Information
If you have any business queries about this announcement please contact the LSE Equity Team on +44 20 7382 7650 or e-mail:
If you have any technical queries about this announcement please contact your Technical Account Manager on +44 20 7797 3939 or e-mail:
An archive of previously issued service announcements is available in the technical library section of London Stock Exchange's Internet site http://www.londonstockexchange.com/techlib
Customers are reminded that London Stock Exchange may broadcast test data from its Production environment at the weekends which should be discarded and not processed.
Customers are reminded that London Stock Exchange may extend or re-enter the Post Close session for instruments or segments in order to perform necessary end of day activities.
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