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IDEM Trading Service Manual

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1. Borsa Italiana London Stock Exchange Group If the unbalanced quantity is on the sell side the minimum limit of the range is determined by the lower limit order within the unfilled quantity If the last price or the reference price are not available or if the reference price is 0 and on the book there are only market orders on both buy and sell sides at the end of the pre opening phase the instrument will be moved into a so called reserved phase that re activates the pre opening phase The following example illustrates the definition of a price range Reference Price 1 25 Order Book during pre opening phase l Buy Sell Order Quantity Price Price Quantity Order 1 100 MKT 1 05 50 1 2 50 1 00 The initial price range is 1 05 Order 1 on the Sell side to infinite the MKT order on the Buy side The engine validates the price if the reference price is located within the range Jf the reference price is 1 25 the opening price will be set at 1 25 The remaining quantity of the market order will be booked at 1 25 67 Borsa Italiana Londen Stock Exchange Group 8 2 Supervision space for MM and RFQ Management example The supervision space may be modified by Borsa Italiana and MM may chose their supervision space It will be possible to specify a number of consecutive series amongst the defined surface where the market makers will have to provide valid quotes T
2. 2 Expiry December 2010 Series name IDEBQ12 future on the quarterly contract Baseload exoiry March 2012 Codice Descrizione 1 IDEBQ Sottostante Contratto Baseload trimestrale 2 12 Scadenza primo trimestre 2012 30 Borsa Italiana London Stock Exchange Group 4 5 Categories of IDEM market participants IDEM Equity and IDEX segments In relation to the trading activity types the following categories are identified Broker entering orders exclusively for third parties broker dealer or dual capacity entering orders on their own account and for third parties dealer entering orders exclusively on their own account Within the dual capacity and dealer categories are the Market Makers who undertake the responsibility to quote according to specific obligations for each product and to each products rules Market Makers enter quote using the Bulk Quote transaction Bulk Quote messages may only be entered for series belonging to the same group within a single Bulk Quote it is possible to send a maximum number of quotes equal to a defined quantity Two categories of Market Makers two categories of specialists and two categories of Liquidity Provider are admitted on the IDEM Primary Market Makers subject to continuous quotation obligations on own behalf Market Makers subject to quote on request on own behalf Liquidity Provider subject to continuous quotation obligat
3. During the trading day the central system updates the supervision range taking into account the time variation between the last two prices received from the underlying market The supervision range is updated twice a day The system does not send any confirmation message to inform of any change in the supervision range it will be the market participants responsibility to update their quoting tools according to the new time interval The time interval is defined by Borsa Italiana and described in the Guide to the Parameters To define the supervision range the price taken by the system is the price of the last contract of the underlying traded on the day before The underlying on which the derivatives are based determines for each type of market maker the minimum number of lots to quote depending on whether the underlying belongs to the Focus Group or not the maximum allowed bid ask spread to fulfil depending on the specific spread table associated to the underlying The Focus Group composition and the underlying spread table association are communicated through Borsa notice 32 Borsa Italiana London Stock Exchange Group Primary Market Makers Primary Specialist and Liquidity Providers are required to restore their quotation within 2 minutes since the quotation is filled Market Makers and Specialists are required to meet requests for quotations within 2 minutes from the request submission the quotation
4. Settlement price FTSE MIB value calculated on the opening prices on the expiration day 3 The new interval of 250 index point will be effective as from November 2279 2010 19 Borsa Italiana London Stock Exchange Group Negotiable strategies FLEXCO 20 e Borsa Italiana wm London Stock Exchange Group 4 3 3 6 The Stock options contract Underlying stocks Stocks listed on the Borsa Official Market or the MTA Contract size Diversified by Class of Instrument Fixed with a special Borsa Notice Negotiable strike prices Series with remaining life shorter than one year at least 15 price levels with interval as detailed in the Instructions to the Rules of the Market Series with remaining life longer than one year at least 21 price levels with interval doubled with respect to the short series Negotiable expirations Monthly and quarterlies In each sessions the four quarterlies and the two nearest months are quoted at the same time for a total of 6 expiries For specific options classes communicated through Borsa Notice besides the above mentioned expirations further four six month maturities June and December of the two years subsequent the current year for a total of ten expirations are quoted Expiration day The third Friday of the month of expiration Last day of trading The day before the expiration day Exercise on expiration In the money options automatic At the money
5. Borsa Italiana London Stock Exchange Group IDEM Trading Service Manual IDEM Equity and IDEX segments October 2010 Version 1 0 Borsa Italiana messe London Stock Exchange Group 1 PURPOSE AND VALIDITY oorrerrrerrrerece rece reenrzenere sere sese setas esses sense ease seneca nice s esses stas senses seas 4 2 CHANGE HISTOR Yi c 4 FIRST VERSION OF THE DOCUMENT 222252 eee pe cat es ses tecto i lee d v doue vive pon kod iii 4 3 REFERENCES AND DEFINITIONS 02200ooooeoooooooooooooooooooaovosoooooooooooovoaoneoooeoooeosouoooeonoaoneaooeooooooee 5 4 GENERAL CHARACTERISTICS 002220eooreooveaoooooooaoooaoooaoosoveaooeaoooooooonoaonoooooooooosouosononosososoneaooeonon 9 4 1 THE IDEM TRADING SER VICE oi sisi bos ava od a dost se iii 9 4 2 DEFINITION OF SUB MARKETS i 13 4 3 2 Derivative contracts admitted to IDEX segment i 14 4 3 3 IDEM Equity contracts specifications iii 15 The trading hours are described in par 5 3 i 15 4 3 3 1 The FTSE MIB index Futures contract nennen ennt nne tette nnt nnt tne nnn nns 4 3 3 2 The FTSE MIB mini futures contract 4 3 3 3 The FTSE MIB Dividend futures contract 4 3 3 4 The Stock futures contract 4 3 3 5 The FTSE MIB index options contract 4 3 3 6 The Stock options contact iss eir m re t ko n Fe saou ni solda Pe
6. Negotiable strategies Time spread and FLEXCO 18 e Borsa Italiana ee London Stock Exchange Group 4 3 3 5 The FTSE MIB index options contract FTSE MIB index FTMIB Differentiated by Option price range Contract size Result of the multiplication of the strike price and the value of one index point Contract premium Equal to the value of the Option multiplied by the value of one index point Negotiable strike prices At least 15 price levels with intervals of 250 index points for the first series and 500 index points for the following series at least 21 price levels with interval of 1000 index points for the series with remaining life longer than one year Negotiable expirations The four quarterly expirations March June September December the two nearest monthly expirations and the four six month maturities June and December of the two years subsequent the current year for a total of ten expirations Expiration day The third Friday of the month of expiration Last day of trading Expiration day until 9 05 Exercise on expiration In the money options automatic At the money and out of the money options exceptionally according to the CCG rules Settlement Cash settlement Premium settlement day The first CCG open day following the trading day according to the CCG book of rules Option settlement day The first CCG open day following the expiration day according to the CCG book of rules
7. and out of the money options exceptionally by 8 15 on the day of expiration Premium settlement day The first CCG open day following the trading day according to the CCG book of rules Option settlement day The third CCG open day following the exercise day according to the CCG book of rules Settlement price Effective sale of the underlying stock recorded on the last day of trading Negotiable strategies FLEXCO 21 Borsa Italiana London Stock Exchange Group 4 3 4 IDEX contracts specifications 4 3 4 1 IDEX monthly futures contract Underlying Commodity Power Quotation Euro Mwh Minimum Tick 0 01 MWh Contract Size Result of the multiplication of the future price by the number of hours in the delivery period Tradeable expirations In the same trading session the first three month expirations are negotiable Expiration day Last day of the delivery month Last Trading day Last trading day before the start of the delivery period Settlement Cash settlement Physical delivery option Third trading day prior to the start of the delivery period GME market participants may send to CCG their request for physical delivery instead of the cash settlement The request is subject to GME s approval Settlement day First clearing day after the last day of the delivery period in case the last day of the delivery period is a trading day Second clearing day after the
8. Equity are 13 Borsa Italiana London Stock Exchange Group FTSE MIB Futures Futures on the FTSE MIB index FTSE MIB mini futures Mini Futures on the FTSE MIB index FTSE MIB Dividend futures Futures on the FTSE MIB Dividend index Stock futures Futures on individual shares FTSE MIB options Futures on FTSE MIB stock index Stock options Options on individual shares 4 3 2 Derivative contracts admitted to IDEX segment The standard contracts traded on IDEX segment belong to the baseload category and belong to three classes according to the delivery period DEX monthly future DEX quarterly future DEX yearly future The actual characteristics of the contracts are given below These characteristics can undergo changes to reflect any amendments to the Rules of the markets organised and managed by Borsa Italiana and the relevant Instructions 14 Borsa Italiana London Stock Exchange Group 4 3 3 IDEM Equity contracts specifications The trading hours are described in par 5 3 4 3 3 1 The FTSE MIB index Futures contract Underlying asset FTSE MIB index FTMIB Quotation Index points Minimum Tick 5 index points Value of an index point 5 00 Contract size Result of the product of the Future price and the value of its multiplier Negotiable expirations The four quarterlies March June September and December are quoted at the same time in each session
9. The main operational functions are modification of executed trades change of the Client code in relation to open close positions changes of positions international Give Up and automated Give Up option exercise requests requests for trade splitting requests for viewing collaterals download clearing reports General Clearing Members are able to manage their Indirect Members functions Furthermore the BCS also conveys information flows intraday and evening and the reports sent from CC amp G These flows are used by the back office system for calculating margins 6 1 Rectify trade function 6 1 1 Manual correction of trades executed Changes to client codes or opening closing positions already entered are allowed on Client accounts only Modification of the open close position indication is subject to immediate verification by the clearing system 6 2 Correction of positions 6 2 1 Correction of positions The trading system allows to reduce or increase the number of contracts deriving from position netting on single contracts The changes are allowed only for options traded in House accounts and are subject to immediate verification the clearing system 52 Borsa Italiana London Stock Exchange Group 6 3 Trade transfer The trade transfer is composed of three phases the first phase involves the request from the Trading Client in the second phase the Clearing Member accepts the trade
10. number of contracts Step 2 Minimisation of surplus If there are several prices available after Step 1 the TOP will equal to the price that leaves the minimum non tradable quantity in the book in relation to both buy and sell orders with prices equal or better than the TOP Step 3 Minimisation of variation against the last traded price reference price If there are prices left after Step 2 and several of these prices are left without a surplus Step 3 will define a tradable price range see Section 8 1 and determine the TOP within that range minimizing the variation against the last traded price if available or the reference price if the last trade price is not available 8 1 1 Management of the tradable price range If multiple prices are left after Step 2 the system defines a range of valid opening prices according to the following rules Ifthe market unbalanced quantity includes market order the range is set at the best limit order on the same side up to the instrument limit price Note the price must respect Step 1 and 2 If the same side best limit order price does not maximize the traded volume or minimized the unfilled quantity then the TOP range start at the first price meeting step 1 and 2 criteria Range determination when unbalanced includes limit order Ifthe unbalanced quantity is on the buy side the minimum limit of the range is determined by the highest limit order within the unfilled quantity 66
11. provided for cross committed normal orders The quantity value and the associated price rules change according to the instrument type in the table below it is reported the current rules setting provided in Borsa Italiana Instructions IDEM Equity Instrument type Minimum Maximum Quantity Quantity Price Rule Index Future FIB 5 5 000 Within the market spread bid ask included FTSE MIB Dividend Index Futures 5 5 000 Outside the spread with 2 of maximum allowed deviation with respect to the best bid ask Stock Futures 500 60 000 Outside the spread with 10 of maximum allowed deviation with respect to the best bid ask Index Options 100 30 000 Outside the spread with 10 of maximum allowed deviation with respect to the best bid ask Stock Options 500 30 000 Outside the spread with 10 of maximum allowed deviation with respect to the best bid ask 44 Borsa Italiana London Stock Exchange Group IDEX Contract type Minimum Maximum Price Rule Quantity Quantity Monthly Future 100 10 000 No price check Quarterly Future 30 3 000 No price check Yearly Future 15 1 500 No price check Trades originated by BTF orders are counted only in quantity statistics reports therefore in price list reports published by Borsa Italiana the part of the total volume generated by BTF trades is separately indicated Commi
12. 3 Tailor Made Combination FLEXCO Order The FLEXCO is only available on the IDEM Equity segment it allows market participants to create non standard combinations on a dedicated order book the exchange system automatically gives a conventional name to the FLEXCO created by the traders according to a naming convention rule described in the chapter 4 4 4 Limitations The creation of FLEXCO orders is subject to the following limitations the maximum number of FLEXCO legs is 2 FLEXCO are not allowed on index futures jt is not allowed to create a FLEXCO equal to an existing one or equal to a standard combination combo the maximum ratio that can be associated to a single leg is 100 eligible series for a FLEXCO order must have the same contract size Trades Execution Before matching the orders on the FLEXCO orderbook the matching engine searches for a best execution on the single legs orderbook The order types allowed on Standard Combo are available also for FLEXCO 41 Borsa Italiana London Stock Exchange Group In order to give a complete information to the market concerning the source of the filled orders on the FLEXCO book the FLEXCO vs FLEXCO deals are disseminated through dedicated messages as it is for combo vs combo deals Minimum trading tick values The minimum trading tick values attributed to the single FLEXCO proposals are described in the Instructions Similarly
13. Beside the trading phases there are some technical phases during which specific functions are carried in order to support the market Consultation start this phase is reserved for the Exchange Market Operation to arrange the trading day any actions on instruments phases orders etc During this phase order entries is not allowed Intervention before opening it is a technical phase prior to the opening of the market it allows market participants to cancel any long orders inserted in the previous days and receive the updated book through the information feed service Exchange intervention this is a period during which the Exchange Market Operation can perform all the modifications necessary to regulate the market and correct errors deletion of orders for a specific instrument cancellation of trades etc During this period orders cannot be entered participants may receive messages or status changes related to financial instruments Consultation End this phase is reserved to the Exchange Market Operation During this orders and messages cannot be sent Mini Batch this is a technical phase to arrange the next trading day Orders whose validity date has expired are deleted and the cancellation is notified to the users that if they are not connected they will receive the nofication as soon as the next connection is established Statistics high low volume are updated Orders cannot be entered During the Mini Batch the long o
14. Private information on clearing 7 2 2 1 Statement of OWN trades rai AAT A 7 2 2 2 Information for exercising Options sen onooooooaossossoosonooooooosoosossoosonaoonon 7 2 2 3 Clearing Reports esses 7 2 2 4 Order execution and quotation reports 7 2 3 formation to the public aceite et rco rnit lario ea unn 66 8 1 THEORETICAL OPENING PRICE CALCULATION 222ttoroooooooooooooooooooooooooooooooooooooooooooooooooooooooeoooeooosoeose 66 8 2 SUPERVISION SPACE FOR MM AND RFQ MANAGEMENT EXAMPLE eene eene 68 8 3 ORDER MANAGEMENT ORDER ENTRY PARAMETERS 00222ttttoroooooooooooooooooooooooooooooooooooooooooooooooeoooeoeoee 74 Borsa Italiana messe London Stock Exchange Group 1 Purpose and Validity This document describes the functions available in the electronic trading system of the IDEM market for trading and clearing activities relevant to the financial instruments traded on it Please note that parameters instruments denomination and any examples in this document may be subject to changes by Borsa Italiana 2 Change History Change Date Version First version of the October 8th 2010 V 1 0 document 3 Borsa Italiana messe London Stock Exchange Group References and definitions The references used in the following document are Rules for the markets organised and managed
15. Value of one index point 5 00 Contract size Result of the product of the Future price and the value of its multiplier Negotiable expirations Contracts can be traded with maturities in the months of December of the five subsequent years Expiration day The third Friday of the expiration month at 09 05 Last day of trading Expiration day 9 00 9 05 Settlement day First open day following the expiry day according to the CCG book of rules Settlement price Equal to the value of the FTSE MIB Dividend Index on the day of the maturity of the related contract Negotiable strategies Time spread 17 Borsa Italiana London Stock Exchange Group 4 3 3 4 The Stock futures contract Underlying asset Stocks listed on the Borsa Official Market or the MTA Minimum tick Differentiated by price ranges of the underlying stock Contract size The minimum trading unit is the same as that for stock Option contracts Negotiable expirations Monthly and quarterly March June September December The four nearest quarterly expirations and the two nearest monthly expirations for a total of six expirations Expiration day The third Friday of the month of expiration Last day of trading Expiration day Physical delivery Settlement day The third CCG open day following the expiration day according to the CCG book of rules Settlement price Value of the stock calculated on the opening prices on the expiration day
16. be cancelled and a new order with the updated price or quantity must be sent The order will be entered in the book with a new price time priority and will be associated with a new order number 5 5 Account type management Each trader defines by means of the Account if the order entered in the system is executed on his own account House or that of third parties Client The quotations sent to the market by Market Markers and Liquidity Providers must always be marked by the system as own account 46 Borsa Italiana London Stock Exchange Group When a contract is being executed this information of the account type is automatically sent to the CC amp G clearing system The Owner Data field is made available to the operator for storing the date or the order number proprietary identification or other information useful for the operator This information together with that previously described is always given in the information flows on orders and contracts concluded 5 6 Position management With each order entered in both Client or House account the position opening or closing instruction must be specified through a special indicator 5 7 Trading protection functions The following functions are embedded in the trading platform for protecting the trading activity 1 Automatic inactivation of orders in case of connectivity loss loss of heartbeats 2 Deny Order function 3 Price Deviation Dynamic Cont
17. exceeded 2 Limit quantity for triggering the Volume Protection 3 Limit quantity for the Delta Protection activation Limitations The function is subjected to the following limitations 1 Itis available only for the Market Makers 2 Itis available only on the underlying for which the users have market making obligations 3 The automatic cancellation is performed only on the quotes and not on the orders 5 8 Management of trades When a contract is concluded the trading system sends the executed contract to the CC amp G clearing system at the same time sending the contract conclusion message to the trading stations of the authorised operator and possibly to his interconnected systems If the contract has been concluded by a Non Clearing member the messages are also sent to the relevant reference General Member If the contract has been concluded subject to Give Up the messages are also sent to the relevant appointed clearing operator During the session or at the close the trading stations and interconnected systems can request the central system for a statement of contracts concluded at the time of the request through the message transmission mechanism SAIL protocol 51 Borsa Italiana London Stock Exchange Group 6 Clearing Post trading functions carried out by the market participants are available through the BCS platform according to the hours defined by CC amp G and indicated in the Instructions
18. futures and option contracts only for IDEM Equity In case of adjustment of options and futures contracts due to extraordinary activity on the underlying i e capital increase grouping splitting payment of extraordinary dividends etc the new adjusted series are generated by the clearing system that sends the data to the trading system the new series are identified by an X atthe end of their name if it is the first adjustment Y Z Q R S G U V for the following adjustments the valorisation of a suitable indicator in the static information flow exchanged with CC amp G Before the adjustment the system automatically cancels existing orders on the series that will be no longer negotiable on the days following the adjustment The corrected strike prices related to the expirations negotiable on the ex day will not respect the standard steps Both for the introduction of an expiration and the shifting of the Reference Price the new automatically generated series will have all the characteristics defined for the standard futures contract to which they refer steps number of underlying shares etc The system allows the co existence of corrected series until their expiration and series generated according to the normal procedures both for the same expiration and for different expirations 4 4 2 Operational strategies negotiable on the IDEM Equity The following operational strategies are admitted to trading on the IDE
19. last day of the delivery period in case the last day of the delivery period is a non trading day In both cases the settlement is always performed the day after the settlement price communication Settlement Price The settlement price of the contract shall be equal to the arithmetic average of the hourly PUNS of the delivery month rounded to two decimal digits The price will be rounded upward in case the third decimal digit is equal to 5 Negotiable strategies Not available 22 Borsa Italiana London Stock Exchange Group 4 3 4 2 IDEX quarterly futures contract Underlying Commodity Power Quotation Euro Mwh Minimum Tick 0 01 MWh Contract Size Result of the multiplication of the future price by the number of hours in the delivery period Tradable expirations In the same trading session the first four quarterly expirations are negotiable Expiration day Last day of the delivery quarter Last Trading day Forth trading day before the start of the delivery period Settlement Cascading method is applied only to the monthly future that is cash settled Cascading End of last trading day Negotiable strategies Not available 23 B orsa Italiana London Stock Exchange Group 4 3 4 3 IDEX yearly futures contract Underlying Commodity Power Quotation Euro Mwh Minimum Tick 0 01 MWh Contract Size Result of the
20. must remain in the book for at least 15 seconds 30 seconds in case of index options to be valid In the case the quotation is filled before that time the quotation obligation is considered fulfilled the same Further details concerning the different market maker categories obligations are specified in the Borsa Italiana Instructions Some examples are described in the Appendix 4 5 1 2 IDEX For all Market Makers categories the obligations in terms of quantity and spread are set in the Instructions 33 Borsa Italiana London Stock Exchange Group 5 Organisation of trading 5 1 Availability of the service The service is available starting from 8 00 The user can login to the market with the clearing and trading applications and request the following static information flows negotiable series standard negotiable combinations list of company traders information on clearing for the previous days reports on orders and trades for the previous days Availability of the service is guaranteed until receipt of the Clearing Prices sent by the CC amp G clearing system The system then executes the closing and re phasing procedures 5 2 Access procedure The procedures for accessing the electronic system are Direct or Interactive method access by means of the workstation occurs using the standard applications supplied with the trading system the BTS Client supplied to members for trading activity and the BCS Cli
21. relevant to Non Clearing Members in management Exercise At Expiry is the summary of exercise requests automatically generated by the system at expiry and may be modified through exercise by exception a General Member also receives information relevant to Non Clearing Members in management Exercises Assignments is the summary of exercises and assignments received This function allows each operator to display the exercises by exception early and automatic carried out on a specific date and the assignment notices If the applicant is a General Member the function also allows information relevant to Non Clearing members in management to be received 7 2 2 3 Clearing Reports These are reports processed by the clearing system giving the margins calculated on the positions opened in CC amp G and sent to CC amp G members through the BCS system The clearing report of a Non Clearing member is received by his General Member 7 2 2 4 Order execution and quotation reports The electronic system provides the following reports Orders provides all relevant information in relation to orders quotations entered Trades provides all relevant information in relation to contracts concluded Stop Orders provides all relevant information in relation to stop orders entered 64 Borsa Italiana London Stock Exchange Group 7 2 3 Information to the public The IDEM market Equity and IDEX segments information market feed is dissemi
22. to the combo vs combo matching the matching of FLEXCO vs FLEXCO may cause the execution of trades with prices which do not respect the minimum trading tick of the single leg Whereas bait orders are always created with prices that are consistent with the minimum trading tick of the single leg on which they are entered 5 4 4 Iceberg orders During the continuous trading phase it is possible to configure the limit price orders with limited disclosed quantity to be filled i e iceberg orders The partial disclosed quantity may be at least equal to 5 contracts Once the displayed quantity is filled a new order is generated with the same partial displayed quantity is generated or with the remaining quantity with the same price level as the original order but with a new time priority Iceberg orders are not allowed to be valid until date During the intra day volatility auctions the iceberg orders will participate in the price determination both with the displayed and non displayed quantity the displayed quantity must be at least equal to the minimum quantity set by Borsa Italiana and communicated through an official Notice 5 4 5 Stop orders The trading system for the IDEM market guarantees the centralised management of stop orders in a special separate book not visible to operators Stop orders are orders that remain inactive in the central stop order book until the trigger price is reached These orders are relate
23. A limit order is submitted by setting the Price Type field of the SAIL OE message to L Top order orders entered into the book are executed at the best price available in the market Any residual volume after partial execution is automatically converted to a limit order at the price at which it was just executed these orders are entered with the Price Type field of the SAIL OE message set to M the system allows to generate a FAK order specifying the duration type parameters E in the message Market Order can be entered both in pre opening and continuous trading During pre opening the Market Orders can be executed only at the opening auction price Any quantity left is automatically converted into a limit order at the opening price If the parameter duration time E is specified any left quantity is cancelled FAK at the end of the auction During the continuous trading phase these orders are entered and executed at the available prices till the quantity is available on the opposite side of the book Any quantity left is automatically converted into a limit order at the price of the last executed contract As for Top Orders the system allows to generate a FAK order specifying the duration type parameters E in the message Market Orders fill or kill FOK are available in the continuous trading phase The following specifications may be set for limit orders 1 fill and kill FAK the order is filled or partia
24. AVAILABLE ON THE IDEX SEGMENTS 4 TRADING FUNCTIONS 38 DA TRADING FUNCTIONS m 39 341 Orderman gement M 39 5 4 2 Single and Standard combination orders eene 40 5 4 3 Tailor Made Combination FLEXCO Order 41 3 4 4 Iceberg OF ACIS sesso se iet e Wi e va ka kaka sen kite sw de deyo ak rane e RO eme sok ia 42 3 4 9 SIOD OTeES irritante 42 5 4 6 Gross and Commilted orders eter ere Hx resan arenile 43 24 QU 45 SATAN Orders Cancel Ati Ottis suere saka kan pede kapa laaa de ertet b De ka daye toii evade alaso 46 3 47 2 Changes of orders iine netiis t k s ba v be alal 46 5 5 ACCOUNT TYPE MANAGEMENT cr 46 5 6 POSITION LECT e i ont 47 Borsa Italiana messe London Stock Exchange Group 5 7 TRADING PROTECTION FUNCTIONS i 47 5 7 2 Automatic inactivation of orders iii 47 5 7 2 Deny Order Validation of orders and quotations iii 47 5 7 3 Price deviation limits IDEM Equity and IDEX sese enn 48 5 4 7 Market Maker Protection iii 50 3 8 MANAGEMENT OF TRADES eiiiai reete thon etre Pepe carrera aa Pai aeae piani 51 6 1 RECTIFY TRADE FUNCTION 6td ya oostotans Ra alri 6 1 1 Manual correction of trades executed 6 2 CORRECTION OF POSITIONS 6 2 1 Correction of positions 6 3 TRA
25. DE TRANSFER eee een 6 3 1 Trade Transfer DAL and T2 ett ines tt teet iaia 6 3 2 International 9iVe Up c i esce ries rale ia 6 4 POSITION TRANSFER M 6 5 REQUEST FOR CONTRACT SPLIT nenne nennnnnns seen ennrasnss seien ntes nasse sese eter ansa sense nna EO MURS AI TU 0 0 1 EGFVEXICSO eye 6 6 2 Automatic exercise 6 6 3 Exercise by exception O OAASSIPNHINENIS criniera aaa 1 1 MARKET DATA FEED csi ci sdraio race PeR OASI 57 7 1 1 Public Trading Market Data Feed iii 57 7 1 1 1 Reference Data 7 1 1 2 Price Info 7 1 1 3 Price depth TATA Ticker ae 7 1 1 5 Changes of status RR IHRER EE AR AOL 7 1 1 6 Request for quotes cicli 7 1 1 7 Market Messages 7 1 2 Public information on clearing 7 1 2 1 Instrument information 7 1 2 2 Official Closing Prices BE 4 1 2 3 Theoretical values inniti reper E Eee ARIA PENARE tog sevecseasiasaasanivassscdazseassontee FEN DA Class Files i suraniane nai 12 PRIVATE INFORMATION erit eerie tenti ht ERI ONE a A E ira 7 2 1 Private information on trading iii 7 2 1 1 Information on orders i 7 2 1 2 Information on trades Combination notification 7 2 1 3 Market Messages essere 7 2 2
26. Expiration day The third Friday of the expiration month at 09 05 Last day of trading Expiration day 9 00 9 05 Settlement Cash settlement Settlement day First open day following the expiry day according to the CCG book of rules Settlement price FTSE MIB value calculated on the opening prices on the expiration day Negotiable strategies Time spread If it is a Borsa closed day the contract expires on the first Borsa open day prior to that day 15 e Borsa Italiana ee London Stock Exchange Group 4 3 3 2 The FTSE MIB mini futures contract according to the CCG book of rules Settlement price FTSE MIB value calculated on the opening prices on the expiration day Negotiable strategies Time spread FTSE MIB index FTMIB Result of the product of the Futures price and the value of one index point The two closest quarterlies are quoted at the same time in each session The third Friday of the expiration month at 09 05 Expiration day 9 00 9 05 Cash settlement First open day following the expiry day Negotiable strategies 2 The underlying index of the MINI contract was differentiated from that of the Future on FTSE MIB purely for technical reasons and identified with a specific name MINI 16 Borsa Italiana London Stock Exchange Group 4 3 3 3 The FTSE MIB Dividend futures contract Underlying asset FTSE MIB Dividend Index Quotation Index points Minimum tick 1 point
27. Internal Quotation Order entry of a single order and of a standard combo order IDEM Equity segment only is managed through the same function Order Enter the first order type is made of a single series the second is a standard strategy as defined in paragraph 4 4 2 A univocal number is assigned by the system to each order entered this is the Order Number that remains linked to the contract in case of combination allowing the entire history of the order to be traced An order is entered with the following specifications series identification price quantity owner data field is an optional field with free text 50 characters that the client enters as a reference to the order clearing data field indicates the position Open Close and the account type Own Third Party account and the client code or a proprietary sub account in the case of a P type account time validity of the order rest of day valid until date valid until expiration 39 Borsa Italiana London Stock Exchange Group 5 4 2 Single and Standard combination orders An order can be sent to the market specifying a price limit Limit order market one price Market Order and Top Order The order types are Limit order orders with a limit price entered into the order book are executed according to the price time priority Any quatity left after part of a Limit Order is executed is retained on the order book
28. M 1 Relevant to FTSE MIB Futures MINI Futures MIB Dividend and stock futures contracts 26 Borsa Italiana London Stock Exchange Group Time Spread Combination of two orders of equal quantity at the same time but of opposite sign and with different expirations Simultaneous buy sell of the future on the furthest expiration and sell buy of the future on the nearest expiration 2 Relevant to index options contracts stock options and stock futures contracts Flexible Combination FLEXCO Non standard combination of two orders created along with their own trading book by the trader 4 4 3 Operational strategies negotiable on the IDEX Standard strategies are not available on the IDEX segment 4 4 4 Series identification rules The following tables give examples of series traded on the IDEM and the structure of the alphanumeric code identifying them Instrument series structure definition root year month strike corporate action flag Root symbol 6 char Year last digit of the year Month expiry month A to L for the call options and future M to X for the put options Strike strike price Corporate Action Flag X Y Z Q R S G U V For IDEX quarterly futures in the Month field a number between 1 and 4 indicates the related quarter 27 Borsa Italiana London Stock Exchange Group 4 4 4 1 1 Segment IDEM Equity Series name MIBO0J23000 index option Code Descrip
29. ar type of order that generated them in specific cases of committed and cross trades or those coming from combo or non standard combo orders 7 1 1 5 Changes of status The system sends in real time the messages relevant to phase changes related to an instrument group and to single series 7 1 1 6 Request for quotes The system sends the request for quotes to all market participants through a specific message Market Makers must respond to requests according to their own quotation obligations 58 Borsa Italiana London Stock Exchange Group 7 1 1 7 Market Messages The system provides in real time the messages sent by Market Surveillance 7 1 2 Public information on clearing 7 1 2 1 Instrument information With particular reference to aspects tied to clearing the BCS system makes available information on the instruments negotiated on the market Data relevant to the following is distributed series traded and series expired underlying stock and contract size At the close of the market following the processing carried out by the CC amp G clearing system members receive information through the workstation BCS Client in relation to closing prices theoretical values instrument classes 7 1 2 2 Official Closing Prices The information regarding the closing prices and other summary information relevant to the session processed according to CCG Rules is distributed through the electronic BCS platfor
30. ber giving the Non Clearing member s code for give up trades concluded the code always gives the reference of the trader member Series identification code Buy or sell quantity Price General Deal Number single for type of instrument Deal Number single for type of instrument Contract number Original contract number Number of the contract sent by the trading system to the CC amp G clearing system Contract status Type of contract Contract price Contract conclusion time Account Own Client Client code Trader identification code Owner Data Position open close actually recorded Position open close requested Contract creation data Contract creation time Time of contract registration with CC amp G Contract modification time Code of clearing operator for give up contracts executed Client code recorded with the clearing operator for give up contracts Deal Source Committed type contract counterparty The system can also be queried regarding contracts concluded in the previous 5 days 7 2 2 2 Information for exercising Options Notification functions are available relevant to exercise requests sent to the Clearing system Exercise Req History is the summary of exercise requests on own or client s account early or by exception if done on expiration made during the trading 63 Borsa Italiana London Stock Exchange Group day A General Member also receives information
31. by Borsa Italiana S p A Instructions to the Rules for the markets organised and managed by Borsa Italiana S p A CC amp G di Compensazione e Garanzia S p A Rules Instructions applied to CC amp G di Compensazione e Garanzia S p A Rules Definitions used SOLA it refers to the new IDEM trading system IDEM the Italian Derivatives Market IDEM Equity it defines the IDEM segment where the derivatives instruments based on equities stocks and indices are traded IDEX it defines the IDEM segment where the derivatives instruments based on commodity and related indices are traded FTSE MIB the Borsa index relevant to future mini future and index options contracts FTMIB it is the underlying code of future and option contracts based on the FTSE MIB index FTSE MIB Dividend refers to the underlying of the futures contracts on FTSE MIB Dividend index Type of Option the type of standard Option contract Call or Put MINI Futures contracts relevant to Borsa FTSE MIB index Stock Future Futures contracts relevant to a single stock admitted to official listing on the Borsa or the MTA Stock Option Option contracts relevant to a single stock admitted to official listing on the Borsa or the MTA Borsa Italiana messe London Stock Exchange Group Expiration Date it defines concerning the IDEM Equity segment the date corresponding to the third Friday of the month of the relative Borsa month accor
32. cific information for several types of orders stop order committed interbank The status of the order portfolio is maintained through correct management of the transaction replies results of each single order entered and possibly through the forcing of updates carried out through the special query functions Through a special connection called drop copy the system disseminates to the market participants the relevant information order entered cancellations execution changes for the orders entered through all trading stations of the company BTS or 60 Borsa Italiana London Stock Exchange Group proprietary systems The market participant is enabled to manage orders entered by any other operators of the same company 61 Borsa Italiana London Stock Exchange Group 7 2 1 2 Information on trades Combination notification The electronic trading system promptly notifies the combining of an order present in the trading book The following information is given in the notification message Series identification code Buy or sell quantity Price Time Contract conclusion time Account Own Client Client code Identification code of the Trader who entered the combined offer Order number Owner Data Deal Source Position normal close Contract counterparty if committed Interbank This message is the confirmation of the conclusion of a trade which t
33. d Operator A O an Operator admitted to trading as established by article 3 1 1 of the Rules Trader the party engaged in direct trading on the markets or controlling orders sent by clients through interconnection systems Borsa Italiana messe London Stock Exchange Group Market Maker M M an A O obliged to display within the limits established by Borsa the bid and or selling prices on proper behalf relevant to contracts traded on the IDEM Liquidity Provider L P an A O a Market Maker with reduced obligation to quote Specialist an A O obliged to display within the limits established by Borsa the bid and or selling prices on client behalf relevant to contracts traded on the IDEM Member a member of the CC amp G as a General Member or Individual Member or admitted indirectly as a Non Clearing member General Member a party who becomes a CC amp G counterparty for Market operations on his own account and or that of his clients and or of Non Clearing members making use of them as per article 1 1 1 of CC amp G Rules Individual Member a party who becomes a CC amp G counterparty for Market operations carried out on his own account and or that of his clients as per article 1 1 1 of CC amp G Rules Non Clearing member a party who stipulates an agreement with a General Member for that party to undertake his own and or his clients contractual positions towards CC amp G as per article 1 1 1 of CC a
34. d Stock Futures 2 Energy derivatives segment IDEX a ENERGIA sub market IDEX i e the whole of all contracts based on energy related commodities and indices 4 3 Derivative contracts admitted to trading Futures contracts and Options contracts having as underlying assets financial instruments or commodities and related indices can be traded on the Italian Derivatives Market A futures contract is a financial instrument with which the parties undertake to exchange upon its expiration a certain quantity of the underlying asset at a fixed price Payment on expiration of the contract can likewise occur through the exchange of a sum of money established as the difference between the contract conclusion price and its settlement price An Option contract is a financial instrument with which upon payment of a premium one of the parties acquires the right to buy call Option or to sell put Option on or within the expiration date a certain quantity of the underlying asset at a fixed price strike price Settlement of the contract can likewise occur through the exchange of a given sum of money for call Options as the difference between the settlement price of the underlying asset and the strike price or for put Options as the difference between the settlement price of the underlying asset and the exercise price on the day the right is exercised or upon expiration 4 3 1 At present the standard futures contracts traded on the IDEM
35. d only to the instrument to whom the trigger price refers to The market price relevant to a comparison with the trigger price can be chosen by the operator from 42 Borsa Italiana London Stock Exchange Group The price of the last contract concluded last The best buy or sell price given in the market book The entering of a Stop Order therefore occurs by setting the parameters of the order that will be activated on the market upon the creation of a certain scenario and which are the same as those described for the single or standard combination order entering function and also the conditions that describe that same scenario Stop price the value the price of the stop series must reach for activation of the stop order Trigger condition the condition higher or equal lower or equal that must be created between the market price of the stop series and the stop price for the stop order to be activated on the market Limitations Stop Order function is subjected to the following constraints Stop orders on the IDEM market can have a time validity limited to the trading session in which they are entered Any orders present in the stop order book at the close of the session and not yet activated are removed During the suspension phase it is not allowed to place orders with a stop loss When the active series are admitted again to trading the active orders already triggered will be filled only if the condit
36. d the first in out of the money price All the strike prices generated remain visible and negotiable in the trading system until the Expiration Date even if no orders are entered on the days following their generation In particular the negotiable series are The central Strike Price level defined at the money or the strike price nearest the value of the underlying stock m Strike Price levels higher than at the money m Strike Price levels lower than at the money Currently for FTSE MIB index option contracts for each expiry up to one year monthly and quarterly there are at least 15 price levels on both call and put series with intervals of 250 index points for the first expiry and 500 index points for all the following series for expiries over 12 months at least 21 price levels may be traded For stock Option contracts for each series up to one year monthly and quarterlies there are at least 15 price levels available on the calls and the put and at least 21 price levels for the series with remaining life longer than one year The new interval of 250 index point will be effective as from November 2274 2010 25 Borsa Italiana London Stock Exchange Group When the Reference Price approaches the limit of a strike interval the system generates new strike prices using the new step in order to keep the ratio between the incremental step and the strike value constant 4 4 1 Adjustment of stock
37. ding to the expiration sequence of index futures series contracts stock Futures index options and Stock options described below see monthly quarterly and six month cycle concerning the IDEX segment the last day of the delivery period Electricity Future it defines a future contract based on the supply of 1 power Megawatt MW along the delivery period Delivery period it defines concerning the IDEX segment the time interval in which the Future contract provides for the supply of 1 power Megawatt Baseload contract it defines a contract that it is intended for supplying electricity power continuously and steadily all the clock round 24x7 for the whole delivery period Exercise on expiration exercise of the right Euro credited for index options contracts and buying and selling with Clearing House for Stock option contracts by the Option contract buyer on the expiration date Early Exercise exercise of the right buying and selling with Clearing House by the stock Option contract buyer within the session prior to the expiration date Premium the cost of the Option and therefore the exchange price of an index options contract and stock Option on the IDEM CCXG CC amp G di Compensazione e Garanzia S p A TIMS Theoretical Intermarket Margin System the system used by CC amp G to calculate margins Control Authority C O the authorities responsible for supervising trading on the markets Authorise
38. egins and the limit orders are transferred to this phase In any case at the end of he pre opening auction or the volatility auction the limit orders that are not executed are automatically transferred into the continuous trading phase with the same time price priority As for market orders if these are Fill and Kill orders they will be cancelled otherwise if there are any quantity left these will be transferred into the continuous phase at the auction opening price see par 5 4 2 for details of all order types Continuous trading phase during which the automatic matching of the orders takes place The functions available during this phase are enter modify and cancel the orders on the book request for quotes this function allows to request the Market Makers to quote a specific series and quantity 36 Borsa Italiana London Stock Exchange Group insert quotes by Market Makers automatic matching of contracts on the orderbook according to the existing rules provision of the market data information feed to the Authorised Operators the Supervisory Authority and CC amp G information of the executed contracts are sent by the trading system to the CC amp G clearing system Request for early exercise by exception are sent to the CC amp G clearing system through the BCS Information on intraday clearing are available through the BCS i e real time positions and contracts intraday margin calls
39. ent for Authorised Operators specific applications for Market Supervision Help Desk and System Monitoring functions Connection in direct mode is active in all dynamic phases of the market Indirect or Interconnection mode access occurs through SAIL and FIX protocols for sending the transactions to the market and through HVSF to receive the external market data information feed access to the clearing system is through BCS API This allows all functions available for the Authorised Operator user category to be carried out The transactions necessary for trading activities e g sending orders and quotations are available as well as specific information flows trades executed clearing reports assignments etc real time information flows generated by the IDEM market best prices book price levels etc and from the underlying official market For both connection methods a limit on the maximum number of transactions per second is defined for the Authorised Operator user category The maximum number of transactions per second i e tps allowed for each type of connection is established by Borsa Italiana and described as follows 34 Borsa Italiana London Stock Exchange Group A Basic package e FO standard user named connection type OR Order Routing or FX in case of connection via FIX e Info user According to their preferences clients will be able to choose from the HSVF channel which is the SOLA na
40. esidera negoziare non appena l ordine viene immesso Se le condizioni di mercato sono adatte la quantit minima viene eseguita immediatamente mentre la parte residua viene visualizzata sul book Disclosed Quantity indica la quantit che il trader vuole rendere visibile sul book deve essere diversa da zero se il valore del Quantity Term M o D Deve essere inferiore al valore del campo Quantity e Duration Type must contain one of the following values gt J Valid for the current Day only Day gt D Order is Valid until GTD date GTD F Valid until instrument expiration GTC E Immediate order cannot be booked FAK W while connected e Special Price Term to enter a Stop Order the following values should be assigned to the Special Price Term parameter in the OE message The Trigger Price TP together with the verb buy sell and the order price should be set together with one of the following values S E I T F H according to the type of stop order that is to be entered as described in the below table 72 Borsa Italiana London Stock Exchange Group OE for stop orders E StopOn Bid I StopOnAsk T IfTouched F IfBidTouched H IfAskTouched Buy TP TP TP TP TP Sell lt TP lt TP gt TP gt TP gt TP Ex assume that the order is BUY 5 30 TP 35 Special Price Term S If the value of the last price is 40 the order is triggered a
41. fter referred to as the IDEM Trading System The main applications are e SOLA Trading Trading System e MDF DDM Information System e Clearing Gateway Communication Systems of the contracts to CC amp G e CC amp G Central Clearing System e BCS Access to Central Clearing System e BIt Operation Market Surveillance System e BTS Front office System e Corporate Data Warehouse Data Warehouse System The technical architecture of the IDEM Trading System is described in the picture below and is composed by the central system and the access system The access systems are connected to the central systems via the LSEG network Bit Network and Extranex The primary site is located in Milan whilst the secondary site is located in London and it is activated in case of failure of the primary site disaster recovery The hardware systems are HP systems Sun Solaris and Windows Borsa Italiana London Stock Exchange Group User Front User Back Offce Cliart Office Client Application Aoplcstion Systems a 5 BTS Becs Worketation Workstatar a User Fort f User Front a Office Server Office Server Application la Applicaton LSEG Network Network Gentral Systems Cearing House ECS terer eman Disseminalion Osserrinaticn BTS Servers Systems SOLA Subsystems Subsystems SOLA DDMPlus MDF 10 Borsa Italiana London Stock Exchange Group Central system
42. he consecutive series of strikes are managed independently for the calls and for the puts At The Money series are updated twice a day at 9 30 and at 15 45 Examples Es 1 With the current model call and put series are managed together with one common strike price Valid quoting paterns with current model Calls Puts X 3 x 2 X x X 1 X X X ATM x x 1 x x x 2 x MESSE E n S 4 x 68 Borsa Italiana London Stock Exchange Group With the proposed model call and put series are managed independently with a result of more patterns Valid quoting paterns with proposed model Puts Calls Puts x 3 x x 2 x x x 1 x x x ATM x EN x ki _ xX a x eee TEM ee 4 x Calls Puts Calls Puts x a 4 x EM x _ 3 x NEN x Bu 2 x a x 1 x e i x AIM NN i x a _ x BOX x ke s 4 x Puts Calls Puts x _ 2 x x 1 x x x x ATM x x x x 1 x x x 2 x x 3 4 69 Borsa Italiana London Stock Exchange Group For the previous example obligations are defined as follow Number of strikes in the money 4 Number of strikes out of the money 1 Numbers of consecutive strikes to quote 4 There are now 9 supported patterns patterns having 3 common call put strikes 2 patterns having 2 common call put strikes 3 patter
43. he trading system sends to the counterparty operator The trading system sends confirmation of the contract conclusion to the CC amp G clearing system 7 2 1 3 Market Messages The trading system distributes to connected operators any messages addressed to them In particular who does not fulfil the quotation obligations receive the relative alarms with the frequency established by the Instructions to Borsa Italiana Rules 7 2 2 Private information on clearing The electronic system makes available in real time information relevant to trades concluded Through the BCS the post trading flows summarising the exercise requests carried out the assignments the possible receipts and the clearing reports are also distributed The same information is also available for the General members of Non Clearing Members 7 2 2 1 Statement of own trades The trading system generates the flow of trades concluded and sends it to the CCG clearing system Trades concluded are notified in real time to the counterparty operators through the BCS and to their general members and clearing operators via give up trades 62 Borsa Italiana London Stock Exchange Group A query function is also available for making available to operators the following information relevant to all the trades concluded by them identification of the counterparty operator for trades concluded by indirect CC amp G members the trade is also made available to the general mem
44. ions for activation are available During the intra day volatility auction limit orders that are already active are placed in the orderbook 5 4 6 Cross and Committed orders The system allows the sending of Committed Interbank and Cross Internal type orders to the market The first type of order is aimed at the conclusion of a contract in which the counterparties are predetermined the second type is aimed at the conclusion of a contract in which both the counterparties are formed by the single operator who entered the order For Committed orders Interbank the trader must indicate amongst all other relevant parameters that defines his order the code of his counterparty as defined by the SOLA system configuration whose order will be matched with his own The central system keeps the sent order in a dedicated private archive up until the corresponding order is entered by the counterparty 43 Borsa Italiana London Stock Exchange Group These orders belong to two different categories normal BIF In the first case the set price shall be included within the market price spread for the series relevant to the order otherwise the order will be rejected Trades closed in this way are counted in both prices and quantity statistics reports In the case of BTF orders if the order quantity is higher or equal to a fixed value see table below the set price can be included in a price spread that is wider than the one
45. ions on own behalf on a reduced number of underlying and maturities compared to the Primary Market Maker obligations Primary Specialist subject to continuous quotation obligations on client behalf with the obligation of specifying the sub account SPEC Specialist subject to quote on request on client behalf with the obligation of specifying the sub account SPEC For each underlying there are three groups the futures the options call and put and the strategy group The current maximum number of quotes with one Bulk Quotes is 100 31 Borsa Italiana London Stock Exchange Group Liquidity Provider Specialist subject to continuous quotation obligations on client behalf with the obligation of specifying the sub account SPEC on a reduced number of underlying and maturities compared to the Primary Specialists obligations 4 5 1 Quotation obligations Quotation obligations are active during the trading day except from the auction phases during which Market Makers are not obliged to quote Each Market Maker is required to fulfil its quotation obligations according to the Price Quotation Responsibility and the supervision range 4 5 1 1 IDEM Equity The supervision range is made of all the series for which the Market Maker has to quote The At The Money series that is determined with reference to the last traded contract on the underlying financial instrument defines the supervision range
46. konn pena ERE EPOR se ie Ru Ron 4 3 4 IDEX contracts specifications reete air 4 3 4 1 IDEX monthly futures contract triti treten pierre bere tende ane Free bo on eei evan e dave 4 3 4 2 IDEX quarterly futures contract i 4 3 4 3 IDEX yearly f t res Contract nasarin e nee i ee ER tcr Ee Eee DE EE EA ili 4 4 STRIKE GENERATION RULES 5 tiende pou bean ie ase no lese wobo od ake iii 4 4 1 Adjustment of stock futures and option contracts only for IDEM Equity s 4 4 2 Operational strategies negotiable on the IDEM Equity eese 4 4 3 Operational strategies negotiable on the IDEX sese 4 4 4 Series identification rules eie eene ic 4 4 4 1 1 Segment IDEM Equity aiar A AAD Segment IDEX eee err trt t tttm terr hp en re EE EO E d ar e erts 4 5 CATEGORIES OF IDEM MARKET PARTICIPANTS IDEM EQUITY AND IDEX SEGMENTS 4 5 1 Quotation obligations teer Aa A DU 2 DE lr in 5 ORGANISATION OF TRADING 0000200et0eeaoetaootavosovooovosoooooooooooonooovoaovosoveaoooonooonooonoaonsosososouonoeosononene 34 5 1 AVAILABILITY OF THE SERVICE io 34 5 2 ACCESS PROCEDURE oreste eret eee ER ERRO A E E Ea Ee ese ban louk ae O SLI 34 5 2 1 Logout and loss Of connectivity iii 35 5 3 TRADING TIMES AND PHASES saroeransoranoeoo oseokavovo ie gioooskotes nounesaosponsas raboesyosorosonoooenstoeskossaooou nous 36 STRATEGIES ARE NOT
47. lly filled for the available quantity on the opposite side of the book and the remaining quantity is cancelled automatically the system enables the appropriate parameters to implement this type of order 2 minimum quantity and FOK the order is filled for the specified quantity in the minimum quantity field and the remaining quantity is cancelled by the system the minimum quantity for FOK orders must be equal to the total quantity of the order 40 Borsa Italiana London Stock Exchange Group 3 valid till expiry the order stays in the order book until the contract expiration 4 valid till date the order stays in the orderbook until the set date 5 valid for the day the order remains in the orderbook until the end of the day session in the event of disconnection it is possible to set the order to be automatically cancelled Except for case 1 and 2 if the available quantity in the book does not satisfy the limit order the order remains in the orderbook until expiration The time parameter for the combo series is not available as for the single orders the combo series are generated daily during the evening re phasing procedure thus the standard combo orders valid till date are not allowed the only available type is that valid for the day In the Appendix a description of the parameters combination for the Enter Order EO transaction for all market orders types is provided 5 4
48. m which communicates with a specific message to the market participants the availability of the prices The following information is available Series identification Last best buy and sell prices and opening price Price of last contract Minimum and maximum price Official closing price Trading turnover Open interest Implied volatility of the closing price 7 1 2 3 Theoretical values 59 Borsa Italiana London Stock Exchange Group The theoretical prices are sent in the evening together with the other flows published by the CCG system The following information is provided for each series negotiated Market price Downside 1 2 3 4 5 Upside 1 2 3 4 5 Short Opt Adjust 7 1 2 4 Class Files This is the information flow sent by CC amp G to the back office systems required for calculating margins It is organised by class of underlying asset and type of instrument 7 2 Private information 7 2 1 Private information on trading 7 2 1 1 Information on orders The trading system allows an updated summary to be maintained on own orders with the breakdown of qualifying information Buy or Sell indicator Series Code Price Premium top price indicated Quantity Time parameter Account Client Account Free Info Open Normal Close Close Position indicator Indicator that on order has been entered by a private interconnected customer Other spe
49. minutes to send CC amp G their exercise requests In the event of sending after exercise by exception requests for the same series on expiration the clearing system only considers the last request received as valid In the event of acceptance on the same day the clearing system assigns the quantities indicated according to the procedures described in the following paragraph 6 6 4 Assignments The assignments subsequent to exercise occur at random and the relevant communications by CC amp G are sent by the clearing system to the relevant members Indirect Individual and General the latter also for their own Non Clearing members through the BCS platform There are no differences in content between assignments on expiration either automatic or by exception and assignments resulting from early exercise When instructed by CC amp G the electronic system sends assignment notices Clearing Report MX04 to the relevant General Individual and Non Clearing members according to the following times 55 Borsa Italiana London Stock Exchange Group the same evening of early exercise after the sending of Official Closing Prices and Theoretical Values Stock options after the end of the assignment phase carried out by CC amp G on the expiration day currently 9 00 for stock options contracts and 11 00 for FTSE MIB index options contracts The availability of Clearing Reports is notified to Non Clearing Members but only Di
50. mp G Rules User or interconnected system a system operating with applications receiving information flows from the IDEM or the clearing system and applications that send order flows and quotations to the market Direct or interactive mode the methods of access to system functions through the workstation Indirect mode the method of access to all functions of the electronic system through the interconnection of an application operating on a User System User Code Password the ID code and password of a user enabled to operate on the IDEM This code is used during login to the electronic system through the workstation or through a user system SAIL FIX SOLA Application Programming Interface software library used for connecting a user application to the electronic trading system HSVF SOLA Application Programming Interface software library used for subscriObing to the market data feed Borsa Italiana messe London Stock Exchange Group BCS the application on the workstation that gathers all the functions tied to the aspects of clearing derivatives Trading offer or Order the Trading offer or offer as defined in article 4 8 5 of the Rules Quotation a particular type of bid and or asked trading offer entered by a Market Maker in fulfilment of the commitments undertaken through a special transaction sent by the User System Book the book present in the central system and containing all
51. multiplication of the future price by the number of hours in the delivery period Tradeable expirations In the same trading session only the first yearly expiration is negotiable Expiration day Last day of the delivery year Last Trading day Forth trading day before the start of the delivery period Settlement Cascading method is applied only to the monthly future that is cash settled Cascading End of last trading day Negotiable strategies Not available 24 Borsa Italiana London Stock Exchange Group 4 4 Strike generation rules The system automatically manages the updating of the series of Option contracts negotiable on the IDEM according to the Rules In accordance with the Rules the following is required At the close of the session on the Expiration Date the series of the new expiration to be quoted starting from the first subsequent Borsa open day are generated Every day the new strike prices are generated i e the new single series according to the fluctuation of the Underlying Price the index last price for FTSE MIB index Options or the stock Reference Price for stock Options whenever For call options it is higher than or equal to lower or equal the average value of the at the money price and the first out of in the money price For put options it is higher than or equal to lower or equal the average value of the at the money price an
52. nated as for other Borsa markets by the electronic trading system to the DDM Plus service and is made available through the procedures provided by the DDM Plus for the IDEM market The Official Borsa List drawn up by Borsa Italiana comes within the scope of the information note to the public The following information are available Official Closing Price of the previous session Official Closing Price of the current session Price of the first contract closed except for BTF and FLEXCO Price of the last contract closed except for BTF and FLEXCO Minimum price except for BTF and FLEXCO Maximum price except for BTF and FLEXCO Average Weighted Price except for BTF and FLEXCO Number of contracts concluded including BTF and FLEXCO for which the number of contracts is indicated separately Traded quantity including BTF and FLEXCO for which the quantity is indicated separately Open Interest Implied volatility of Official Closing Prices as calculated by CC amp G Notional amount Contract size 65 Borsa Italiana London Stock Exchange Group 8 Appendix 8 1 Theoretical Opening Price calculation The Theoretical Opening Price TOP calculation is calculated and disseminated in real time on a daily basis during the pre opening phase as follows Step 1 Maximisation of traded volume The Theoretical Opening Price is the price at which it is possible to trade the highest
53. nd it appears on the book 73
54. ng to the same series involves the removal of the previously sent quotation Market Makers and Specialists are not allowed to send quotations on derivatives contracts on which they do not have any market making obligations to fulfill according to the Rules and Instructions 45 Borsa Italiana London Stock Exchange Group The quotations cannot be associated with an immediate execution FAK or FOK parameter they must be with limit price and must be sent specifying the type of account P for Market Makers and C for Specialists 5 4 7 1 Orders cancellation Operators who entered orders have the faculty to remove them from the book through the specific cancellation function The function is available during the entire session and also in the half hour preceding market opening and a half hour after the close of the trading session 5 4 7 2 Changes of orders During the trading session all market operators are allowed to change some parameters of the offers already entered in the trading book The original time priority of the order entered remains unchanged if the following items are modified the Owner Data field the type of account P C the Open Close position indicator the time validity of the order the quantity to be reduced The original time priority of the order is not maintained when the following is changed the quantity to be increased the price In this case the original order must
55. nge Group 6 6 Option exercise Authorised operators have the availability of functions for sending requests for early exercise and by way of exception options handled on the market The BCS platform also sends the summary information report relevant to exercise requests forwarded and possible assignments undergone following requests made by other subscribers to the market 6 6 1 Early exercise Early exercise of the option right for stock option trades is available from the market opening throughout the lifetime of the option until the last day of trading which is the day before expiration The request for early exercise function is suspended and therefore denied by the system if the following cases apply On the day prior to ex dividends or an operation on the capital of the underlying stock on the days of suspension of the underlying stock occurring following a Borsa Italiana provision Ontheex day when Borsa Italiana carries out the correction operation During the last day of a public offer to buy or execution of the obligation to buy according to Art 108 of the Testo Unico della Finanza in relation to the underlying instrument The request for early exercise function is transmitted to the clearing system specifying the long position to be exercised and the number of lots it is subject to immediate validation by the clearing system If further requests are sent for early exercise for the same series the clea
56. nly Trading of standard combinations is subject to the price in relation to the prices on the orderbook see par 5 7 In case one of the legs of the standard combo is in Circuit Breaker trading state the matching of the other legs is also inhibited Trades closed between two standard combinations that generate prices on the corresponding legs or between the legs of a combination can cause the Circuit Breaker trading state to be triggered when the price of the virtual deal would break the allowed spread Trade Report Cross and Committed orders entry function is not subject to price variation limits If a series is moved into Circuit Breaker status these orders cannot be entered Long Order If the Good Till Date and Good Till Maturity parameters are specified the control of prices is repeated before the market opening every time the orders are refreshed If the prices exceed the limits the order is automatically cancelled 49 Borsa Italiana London Stock Exchange Group 5 4 7 Market Maker Protection Purpose of the Market Maker Protection function is to mitigate the risk connected to the market making quoting activity through the automatic pulling of the outstanding quotes in case of two specific risk indicators set by the market participants are exceeded The Market Maker may set a maximum level of the following risk indicators within a timeframe defined by the Market Maker itself Volume Pro
57. ns having 1 common call put strike current model 2 patterns having no common call put strike but where the call put surfaces are touching patterns having no common call put strike and one strike between the call put surfaces 70 Borsa Italiana ww ondon Stock Exchange Group 8 3 Order management order entry parameters The below table provides a description of the combination of parameters for the Enter Order OE function to send orders to the market Duration Term J D E F W can be matched with top price parameters see page 69 for special price terms parameters Duration term J W QUANTITY QUANTITY GTC While connected n Y GTC While connected remaining qty goes on the book remaining qty goes on the book quantity additional quantity FOK for market orders only in continuous trading phase quantity additionat quantity quantity additional quantity See slide number 3 for all the value for special price term parameter 71 Borsa Italiana London Stock Exchange Group PARAMETERS Price Type pu assumere i seguenti valori gt L Limit price set in message gt M At best opposite price Top Order W At any price market Order gt O at opening price Quantity Term pu assumere i seguenti valori M Minimum D Disclosed Spaces None e Additional Quantity Minimum Quantity Indica la quantit che il trader d
58. r that is under validation is negative the order is rejected denied and a specific message is notified to the operator The sequence of price controls carried out by the system is as follows 1 the order price is compared with the best price on the same side as the incoming order Bid for buy orders Ask for sell orders 2 if there are no prices on the same side it is compared with the best price on the opposite side 3 if there are no prices no further checks are carried out Verification is therefore carried out only when the price of the incoming order is better higher for bids lower for offers than the best price with which it is compared IDEX Baseload Future Contract for all the delivery periods 150 lots quantity defined by Borsa Italiana The above mentioned checks are not applied to the cross and committed orders both normal or BTF 5 7 3 Price deviation limits IDEM Equity and IDEX Limits to price deviations are introduced as follows Maximum deviation of the price of an order in relation to the static control price Maximum deviation of the price of a contract in relation to the static control price Maximum deviation of the prices of two contracts in relation to the dynamic price The static control price corresponds to the reference price of the instrument of the day before Borsa Italiana can modify it in order to guarantee the regular trading in the market The dynamic control price corre
59. rders active for the next trading session are maintained on the book Post session it is a technical session during which the maintenance procedures take place The following table represents the trading parameters allowed on the IDEM Equity and IDEX segments 37 Borsa Italiana London Stock Exchange Group Pre opening Cancel Entry Y Y Strategies Creation YO Limit Vv P Market Y v MarketOnePrice Top order v Disclosed Iceberg Orders v Minimum to manage FOK Single Order v Committed Interbank Cross Internal Quote Stop Orders Day Good till Cancel Good till Date While Connected NI IS S SISI SI S SIS S S LS Strategies are not available on the IDEX segment 38 Borsa Italiana London Stock Exchange Group 5 4 Trading functions 5 4 1 Order management All Authorised Operators can enter orders On the other hand the sending of quotations is reserved to Market Makers The electronic system makes available special functions for the entering modification and cancellation of different types of orders in the orderbook In particular the following are identified Single order Standard combo order IDEM Equity segment only FLEXCO Flexible Options for the IDEM Equity segment only Stop order Iceberg order Committed order Interbank Cross order
60. rect Members General and Individual are allowed to view them 56 Borsa Italiana London Stock Exchange Group 7 Information During the session the trading system distributes the following types of information flows in real time to the workstations of market members and possible interconnected systems general or public i e available in the same way and with the same contents to all market operators and information providers for distribution to the public Specific or private i e reserved for individual authorised operators 7 1 Market data feed 7 1 1 Public Trading Market Data Feed The public information feed is available to market participants through the HSVF service the SOLA native protocol or through MDF Service 7 1 1 1 Reference Data The trading system makes available information on the instruments traded on the market and their underlying assets Data relevant to the expiration date of the series and the number of shares contract size or in the case of IDEX instruments the number of MWh underlying a standard contract is distributed For index futures contracts the contract size reports the index point value in euro 7 1 1 2 Price Info The trading system makes available in real time general information relevant to all the series negotiated For each series the following information is distributed to the trading stations and possible interconnected systems Series identification Marke
61. ring system carries out exercise for the sum of the quantities of the individual requests received The series assignment is carried out by the clearing system on the same day as described in the Assignment section 6 6 2 Automatic exercise On the expiration date through the BCS platform members may access the page displaying the automatic exercise offers 54 Borsa Italiana London Stock Exchange Group The clearing system indicates the automatic exercise ITM OTM according to the following data the index value calculated on the opening prices of the stocks making up the basket for the index contracts the reference price of the underlying stock for the stock option contracts On the expiration date if the option buyer does not provide other instructions through the exercise by exception function at the end of the period established by CC amp G for using that function the system carries out automatic exercise according to the provisions of CC amp G i e automatically exercising all the in the money options and leaving the at the money and out of the money options 6 6 3 Exercise by exception Automatic exercise is available for stock options the evening before the last trading day On the expiration day operators have 30 minutes to send CC amp G their exercise requests Automatic exercise on index options is available the last trading day that is also the expiration day Operators have 30
62. rol 4 Market Maker Protection 5 7 2 Automatic inactivation of orders In case of connectivity loss due to a series of missing heartbeat activity signals sent by the applications to the system the system will automatically remove all quotes present in the orderbook upon selection during the login phase of the disconnection instruction parameter 5 7 2 Deny Order Validation of orders and quotations The system provides a control function for each instrument on the maximum quantity of contracts negotiable within a single order The quantity limits in force on the date of publication of this document are the following IDEM Equity Index futures contracts 500 orders for single orders and 2500 for the combo orders Index options contracts 5000 for single orders and 5000 for the combo orders Stock options contracts 10000 for both single and combo orders Stock futures contracts 10000 for both single and combo orders 47 Borsa Italiana London Stock Exchange Group Limited to the IDEM Equity segment the system carries out in addition to the quantity checks mentioned above the check of the order price entered in the combinations standard and FLEXCO appraising its difference with respect to the prices in the book at the time of order entry If the validation performed on the basis of parameters that can be set according to the instrument type and possibly to the price range which refers to the price of the orde
63. s The central systems manage the trading phases the management of trades and all the data feed related to the services The architecture of the central systems is organised in two levels the back end level and the front end level The back end level is responsible for processing the requests for the functionalities available to members transmitted by the peripheral systems and for executing internal trading functionalities of the system automatic matching of orders management of the market trading phases etc Moreover it distributes to all members real time information generated by the back end level central orderbook general notification messages execution notification messages etc The front end level manages the interaction between the users systems through SAIL or FIX protocols and receives the market requests from the market participants order entry changes and cancellations etc that sends and organises to the back end level The system then distributes to all market participants the information from the back end level real time data general notifications and execution confirmations through the HSVF protocol Access systems The access system is composed of network lines and devices enabling the connectivity between the member s premises and the central systems According to the specific customer needs Borsa Italiana Bit Network or LSE Extranex will provide the appropriate bandwidth configuration The pict
64. sponds to the last traded price of the current trading day 48 Borsa Italiana London Stock Exchange Group If the price of an incoming order breaks the first type of limit the incoming order is automatically rejected and a message is sent to the market participant If either the second or the third type of limit is broken the trade is not closed the entering order is automatically cancelled and the series enters into a new trading state that is called Circuit Breaker that lasts a configured time During the Circuit Breaker trading state orders can neither be entered nor changed It is possible to only cancel orders Market Surveillance monitors the Circuit Breaker trading state and eventually can modify both the price limits and the duration of the Circuit Breaker trading state Market Surveillance can also modify the parameters that deifine the varation limits For instruments that belong to the same Instrument Class see par 3 both the standard validation or the price deviation limits validation described in this paragraph is active see par 5 7 A more detailed description for some specific cases is reported below Stop Order Stop orders cannot be converted if the series does not allow for the continuous matching of orders Otherwise stop orders for which the condition applies are converted according to a specific scenario only when the trading conditions are re set Standard Combinations and FLEXCO IDEM Equity o
65. t status indicator or the status indicator of Circuit Breaker series Underlying asset suspension readmission indicator Minimum and maximum prices of the day ast contract price Best buy price Best buy quantity The MDF service allows market participants to subscribe all information types that are not available through HSVF as for the equit market In particolar MDF allows to receive the non aggregated book order depth the aggregated book price depth with 10 and 20 levels and all book variations 57 Borsa Italiana London Stock Exchange Group Best sell price Best sell quantity Price of the first contract of the current session 7 1 1 3 Price depth For each series negotiated the system makes available in real time the information relevant to the best 5 buy and sell price levels with relevant total quantities shown In particular the following are displayed for each of the 5 prices Buy price Total buy quantity Sell price Total sell quantity Information related to price depth are distributed during the opening auction phase During this phase the theoretical opening price will be displayed on the first price level 7 1 1 4 Ticker The trading system divulges in real time prices of deals closed in the market traded quantities time of executed contract For each deal information is also provided relevant to the deal source for identifying the particul
66. tection maximum amount of quantities executed on quotes and placed on derivatives instruments based on a specific underlying Delta Protection value calculated according to the following formula Exposure abs X Volume f Abs indicates the absolute value value is equal to the volume of the contract and the f parameter becomes e 1 per each future contract bought a call option contract bought and a put contract sold e per each call option contract sold per each future contract sold and per each put option contract bought The Exposure takes place each time that the time interval between the contracts and the previous contracts executed by the same Market Maker is greater than the limit set by the Market Maker If the time interval between two contracts is smaller than the set time limit the Exposure may increase up to the value defined by the Market Maker The algorithm is applied every time that a contract is executed If the contract triggering the cancellation of the quotes involves implied orders every other quote involved in the same trade will be executed before that all quotes are cancelled Parameters that can be set by the Market Maker The Market Maker can set for each underlying the following parameters 50 Borsa Italiana London Stock Exchange Group 1 Time interval of exposure that is the timeframe during which the traded volume is calculated in order to verify if the maximum limits have been
67. the orders relevant to a single series Orderbook or Local archive the list present in the workstation for storing own orders Type of Instrument the type of derivative contract according to Type of underlying object Borsa index stock or commodity Type of contract Futures American Call Put European Call Put Class of Instrument identifies all the contracts linked to the same underlying asset for each Type of Instrument Instrument Series or Series identifies the individual contracts negotiable in each Borsa session for each Class of Instrument distinguishing them by Expiration Date and in the event of Options of Strike Price Combo type or Strategy the standard type of combination It is defined according to the market and the relationships existing between the individual Series of which it is formed Combo type or FLEXO Strategy Tailor Made Combination indicates a combination created by the trader during the day and not created by the system Combo Class indicates for each Combo Type all the standard combinations defined for the same underlying instrument Combo Series identifies for each Combo Class the individual combinations negotiable in each Borsa session Borsa Italiana London Stock Exchange Group 4 General characteristics 4 1 The IDEM Trading Service The Trading Service for the IDEM market is based on a dedicated technological infrastructure and on specific applications herein a
68. the third phase involves the trade transfer from the trading client to the clearing client The trade transfer is subject to the CC amp G rules and each phase is immediately validated by the clearing system In particular the Trading Client selects the trade to be transferred input the Clearing Member code and confirms the transfer The Clearing Member inputs the trade in the account and confirms the transfer The clearing system proceeds with the trade transfer from the Trading Member accounts to the Clearing Member account In case the Clearing Member does not accept the trade the trade remains in the Trading Member account 6 3 1 Trade Transfer T 1 and T 2 T 1 and T 2 trade transfers are subject to the trade contracts rules and may be carried out up to one or two days after the trade execution 6 3 2 International give up International give up is subject to the trade contracts rules and may be carried out only at trade date i e during the same trading day 6 4 Position transfer This function is exactly the same as the trade transfer function Only the archive differs and is dedicated to the positions 6 5 Request for contract split This function allows to divide a contract in several contracts whose total contracts may not exceed the original quantity The clearing system generates the division and maintains the reference to the original contracts for each new one 53 Borsa Italiana London Stock Excha
69. tion MIBO Index Option OJ Call expiry October 2010 23000 Strike Price 23000 index points Series name MIBO0V23000 index option Code Description MIBO Index Option OV Put scadenza October 2010 23000 Strike Price 23000 index points Series name FIBOC index future Code Description e 0C Expiry March 2010 Series name ENIOD100 stock option Description Underlying ENI Call expiry April 2010 Strike Price 100 Description Underlying ENI Put Expiry April 2010 Strike Price 100 28 Borsa Italiana London Stock Exchange Group Series name ENIOF stock future Description Underlying ENI Expiry June 2010 Series name FIBCO index future Code Description 1 FIB Index Future on FTSE MIB 2 0C Expiry March 2010 29 Borsa Italiana London Stock Exchange Group Series name ENI FC xxxx FLEXCO Description Underlying FLEXCO identification Unique number per instrument group assigned automatically by the system when the Flexco is created 4 4 4 2 Segment IDEX Series name IDEBMOC future on the monthly contract Baseload expiry March 2010 Codice Descrizione 1 IDEBM Underlying Monthly Contract Baseload 2 0C Expiry March 2010 Series name IDEBYOL future on the annual contract Baseload expiry December 2010 Desciption l Undelying Annual Contract Baseload
70. tive info system or the MDF service In addition within the standard package market makers and specialists will be supplied with e A number of Bulk Quotes named BQ based on the number of underlying per each group type futures options according to the obligations subscribed by the market participant with the option to spread the Bulk Quotes over one or more standard quotation users e A number of Panic Quotes named PQ that allow for the cancellation of all quotations entered by the Market Maker Specialist on all contracts for which the market participant has quotation obligations within the same second number PQ sec number of derivatives contracts B Drop Copy connection In addition it is possible to request the Drop Copy connection named DC that allows the user to receive all orders in the system from all traders of the company 5 2 1 Logout and loss of connectivity One of the characteristics of both market access options is the possibility to specify in the login message the disconnection instructions which the system activates in case of disconnection and allows for the automated cancellation of all quotations on the book The automated cancellation is available only for Session Orders for which the While Connected parameter is specified The automated cancellation is not active for the Good Till Date and Good Till Cancel In the event of loss of connection to the market the user is declared lost b
71. tted and Cross orders normal and BTF are not displayed in the market book but are disseminated directly as closed contracts indicating their type through the appropriate valorisation of the field price indicator market of the contract In the BTF case the trade closed doesn t update the last price and price statistics info disseminated through the market while updates the info related to the exchanged quantity Committed orders still not matched at the close of the trading session because the counterparty s order has not been entered are automatically cancelled by the system 5 4 7 Quotations Market Makers and specialists are present on the IDEM market their obligations in terms of strikes expirations spreads and quantities are specified in the Instructions to Borsa Italiana Rules and also in paragraph 4 5 1 of this document Supervision over the Market Makers and Specialists activity and fulfilment of their obligations is carried out in real time through special functions implemented on the electronic trading system and subsequently through the processing of indicators described in the Instructions to Borsa Italiana Rules Market Makers and Specialists fulfil the obligations undertaken sending quotations to the markets The quotation management functions allow them to send change and cancel their prices from the market book In particular the function used for sending the quotation is such that each subsequent update referri
72. ure below represents the SOLA overall solution including the interconnected downstream systems that make the IDEM Trading System In particular the SOLA System provides through an internal protocol the information data to Borsa Italiana s systems such as DDM Plus internal systems the Data Warehouse the Clearing Systems to which the system send the executed contracts Through the HSVF protocol the public information feed is sent to the market participants and ISVs connected to the IDEM system The SOLA systems receives the underlying data from Infolect for the automated series generation and through an interface gateway 11 Borsa Italiana London Stock Exchange Group li EM ODMPlus MDF SOLA HSVF NON UK CUSTOMER UK CUSTOMER Price Dissemination System Trading System Post Trading System Transactional Flow HSWF DDMPlus MDF Borsa Italiana London Stock Exchange Group 4 2 Definition of sub markets The trading system platform allows derivatives traded on the two IDEM segments IDEM Equity and IDEX to be organised in one or more sub markets The IDEM trading platform is currently structured in the following sub markets 1 IDEM Equity segment a INDEX sub market IDEM Indices i e the whole of all contracts based on the FTSE MIB index FTSE MIB Future MINI and FTSE MIB options b STOCK sub market IDEM Stock i e the whole of all contracts based on the various stocks Stock Options an
73. y the system and thus access to the market is disabled 7 The number of BQ equals to 7596 of the number of underlying per group type according to the market participant s quoting obligations rounded up 35 Borsa Italiana London Stock Exchange Group When the connection is restored to access the market the user must carry out the login procedure again and if necessary re enter the orders or cancel those still in the book In the login procedure through a special function indicating the number of messages the system allows the user to retrieve the orders and their status 5 3 Trading times and phases On FTSE MIB index future contracts and FTSE MIB MiniFutures contracts beside the existing continuous trading phase the opening auction phase is now also available The opening auction phase includes the pre opening phase and the contract execution phase Pre opening phase during this phase the following functions are allowed Insert modify and cancel the orders in the book Provide the market data feed to the public to the Authorised Operators to the Supervision Authority and to CC amp G During this phase the theoretical opening price is determined and updated in real time according to the selective criteria defined in the Rules Opening phase during which contracts are concluded and the opening prices are disseminated Whenever the opening price cannot be determined the continuous trading phase b

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