London Stock Exchange
Intraday Auction for Exchange Delivery Settlement Price (“EDSP”) Technical Guidance Note - Customer Testing
The purpose of this guidance note is to provide details of the changes being made to the CDS environment to support the introduction of an intraday auction to calculate the final EDSP for FTSE 100 index and FTSE 250 index contracts in time for the 19 November 2004 expiry.
Full details of this enhancement, including the market model and security details, are contained within the Service and Technical Description which is available on the Exchange’s website at:
Customer Development Service (CDS)
The new EDSP intraday auction will be introduced to the LSE's Customer Development Service ("CDS") test environment on a daily basis from Monday 13 September 2004.
All securities in the FTSE 100 and FTSE 250 will be included in the auction every day. The following segment/sector combinations will be affected by this change:
Segment / Sector / Segment / SectorSET1 / FS10 / STMM / F25F
SET1 / FE10 / STMM / F25T
SET1 / FT10 / STMM / F25S
SET1 / SS10 / STMM / F25E
SET2 / FE25 / STMM / 25FS
SET2 / FT25 / STMM / 250F
SET2 / SS25 / STMM / 250T
STMM / 250S
The EDSP CDS Testing will be run as follows:
There will be one EDSP Intraday auction run per day between 10:10 and10:15. Please note that depending on auction extensions, securities may not uncross in SETS until 10:28 and SETSmm until 10:31.
The auction will be run for an initial period of at least 5 weeks. Depending on the outcome, further testing may be scheduled.
For a total of 8 days over the 5 week period, FTSE International Limited (“FTSE”) will have sole access to the segments and sectors[1] shown in the table above, from start of day until 10:31. These FTSE exclusive test mornings are required to ensure that all possible scenarios can be replicated in a controlled environment. The following timetable provides details of the exclusive and non-exclusive mornings.
Monday / Tuesday / Wednesday / Thursday / Friday13 Sept / * / 14 Sept / * / 15 Sept / * / 16 Sept / * / 17 Sept / *
20 Sept / # / 21 Sept / * / 22 Sept / X / 23 Sept / * / 24 Sept / X
27 Sept / * / 28 Sept / X / 29 Sept / * / 30 Sept / X / 1 Oct / *
4 Oct / * / 5 Oct / X / 6 Oct / * / 7 Oct / X / 8 Oct / *
11 Oct / * / 12 Oct / * / 13 Oct / * / 14 Oct / * / 15 Oct / *
* = Non-exclusive test morning
# = Exchange exclusive test morning
X = FTSE exclusive test morning
FTSE exclusive test mornings
Users of CDS will not be able to interact with these segments from the start of the trading day until after 10:31. Participant and test tool order entry will be disabled until this time.
All 8 scenarios will be replicated over the 8 days beginning on Wednesday 22 September; 1 scenario per day for all FTSE 100 & FTSE 250 securities. Therefore the EDSP auction will end at a different time each day. An additional day will also be required, Monday 20 September, by the Exchange to test an EDSP scenario. The same restrictions will apply on this day.
On FTSE exclusive test mornings, a different reference price will be used each day for all securities that are subject to EDSP testing.
As the reference price is derived from the previous day’s closing price and needs to be pre-determined, the Exchange will need to manipulate the closing price. On the evening preceding a FTSE exclusive test morning, the closing price will therefore be disseminated twice: once at the end of the closing auction with the actual closing price and again shortly after with the new pre-determined closing price. The Exchange will also delete all orders on the book after the closing auction has been completed.
During the FTSE exclusive test mornings we will also be suspending a small number of securities as part of this testing. These are included here for information:
Catlin Group / CGL / BMG196F11004 / SETSmm
ITV / ITV / GB0033986497 / SETS
Unilever / ULVR / GB0005748735 / SETS
Capital Radio / CAP / GB0001742393 / SETSmm
Benfield Group / BFD / BMG0985D1039 / SETS
Geest / GET / GB0003637815 / SETSmm
Smiths Group / SMIN / GB0008182700 / SETS
Kidde / KID / GB0000154020 / SETS
Corus Group / CS. / GB0008280538 / SETS
Scottish Radio / SRH / GB0007914780 / SETSmm
NHP / NHP / GB0006523483 / SETSmm
PZ Cussons ‘A’ / PZCA / GB0006752827 / SETSmm
Westbury / WBY / GB0009536870 / SETSmm
Tesco / TSCO / GB0008847096 / SETS
MM02 / OOM / GB0030872716 / SETS
Next / NXT / GB0004397567 / SETS
ISIS Asset Management / ISIS / GB0004658141 / SETSmm
Non-exclusive test mornings
All CDS Users will have the opportunity to test against the EDSP intraday auction on the non-exclusive test mornings, during which, all securities will enter the auction with uncrossing occurring for each security based on market participation.
During the non-exclusive test mornings there will be no re-dissemination of closing prices, deletion of orders or suspension of instruments.
Testing Access
CDS sessions can be booked through the Testing Help Desk on +44 (0)20 7797 3100 - Option 2. Three working days notice is required when booking sessions. There is no booking requirement for Continuous Access customers.
Further support
The Client Technology Group is available to provide technical support via the following points of contact:
The Technical Information Desk - Tel: 020 7797 3939, STX 33939
E-mail Client Technology Group at:
Technical queries may also be raised directly through your Technical Account Manager
[1] Customers will continue to have access to all other segments and sectors, including SET3