Service
Announcement
001/02112015
Scheduled Level 1 Only Auctions for
equities on SETS Update
Further to Market Notice N14/15 issued on 15 July 2015, the purpose of this announcement is
to inform customers that Scheduled Level 1 Only Auctions for equities on SETS will be available
for testing in the Customer Development Service (CDS) environment from Thursday 5
November 2015.
Scheduled Level 1 Only Auction for SETS equities will occur each business day (except the two
half-trading days at Christmas / New Year) at 12:00. It will consist of a two minute call period
followed by a random 30 second uncrossing. The EDSP auction will still operate at 10:10 as a
full level 2 auction as it does today on the relevant Fridays. All other auctions (Open, Closing,
circuit breaker) also continue to operate as today.
The Scheduled Level 1 Only Auction will be applicable for all equity SETS segments in
production in February 2016. For testing purposes, only instruments in the CDS trading
segment STMM will have the Scheduled Level 1 Only Auctions trading cycle enabled.
To allow customers a longer testing period, the following securities will have an extended
Scheduled Level 1 Only Auction call period of 30 minutes at different times throughout the day.
TIDM
Instrument ID
Scheduled Level 1 Only Auction
Call Period
HOME
6252
11:00 – 11:30
MARS
6423
13:00 – 13:30
BABS
6058
14:00 – 14:30
LAD
5967
15:00 - 15:30
During the auction call phase and any subsequent price monitoring or market orders
extensions, only Level 1 data (including indicative uncrossing price and trade size) will be
published. This will be disseminated through a new Top of Book Message on the Level 2
MITCH market data feed or through the existing Group Ticker Plant (GTP) Level 1 service.
Please note that Level 1 Auction data will not be disseminated down any of the GTP Level 2
services (MBO, MBP and Full depth incremental). Auction indicative information will be
disseminated on all GTP services. Customers using the MITCH market data feed should
ensure that their feed handlers can process the new message.
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Service
Announcement
001/02112015
SETS Scheduled Level 1 Only Auctions
Update
The updated MIT303 – Level 2 MITCH and MIT401 – Guide to Reference Data Services
specification document is located in the Future Functional Release (Scheduled Level 1 Only
Auctions) section at the link below:
http://www.londonstockexchange.com/products-and-services/technical-library/millenniumexchange-technical-specifications/millennium-exchange-technical-specifications.htm
Group Ticker Plant documentation can be found at the link below:
http://www.londonstockexchange.com/products-and-services/millenniumexchange/documentation/documentation.htm
If you have any queries about this announcement please contact your Technical Account
Manager on +44 (0) 20 7797 3939 or [email protected].
Relates to
Additional Information
Exchange(s)
If you have any business queries about this
announcement please contact the LSE Equity Team on
+44 20 7382 7650 or e-mail: [email protected]
—
London Stock Exchange
Environment(s)
—
Millennium Exchange CDS Environment
Type
—
Millennium Exchange Business Parameters Document
can be found at:
www.londonstockexchange.com/tradingservices
Technical Update
Product(s)
—
If you have any technical queries about this
announcement please contact your Technical Account
Manager on - 020 7797 3939 or [email protected].
Millennium Exchange
An archive of previously issued service announcements is
available in the technical library section of London Stock
Exchange's Internet site
http://www.londonstockexchange.com/techlib
Customers are reminded that London Stock
Exchange may broadcast test data from its
Production environment at the weekends which
should be discarded and not processed.
Customers are reminded that London Stock
Exchange may extend or re-enter the Post Close
session for instruments or segments in order to
perform necessary end of day activities.
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