Preparing for the Implementation of
the MiFID at the Warsaw Stock
Exchange
Split, 15 June 2007
WSE READY FOR MIFID?
Main Opportunities and Challenges:
• Best execution & transparency requirements
• Connectivity, speed, latency and algorythmic
trading
• Market for analysis & integrated data sources
• Abolition of concentration rule & increased
competition
1
BEST EXECUTION
Price, Size & Cost of order execution
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Fully electronic, order driven market
Trading sessions: from 9:00 to 16:35
Auction & continuos trading modes with openning and closing procedures
Trading supported by Exchange and Issuer Animators
Block trades and trade reporting facility for cash and derivatives
Fixed and moving price variation limits & trading halts
Trading fee dependent of the volume executed with the maximum cap of
1000 PLN (<200 EUR)
Further improvements:
• Cross trade facility
• Changes in liquidity supporting model – revenue sharing
• Continous decreasing of trading fees
2
BEST EXECUTION
Likehood of execution and settlement
WSE provides the highest level of execution certainty and quality on
the Polish market:
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Most of traded instruments are supported by Exchange or/and Issuer
Animators providing the market with maximum spread and minimum
volumes continously during the trading session
Automatic triggering of Stop Orders increases the probability of order
execution
All session trades are subject of the Guarantee Fund which gives the
certainty of settlement
The continuity of settlement process is supported by Buy In- Sell Out
Market operated by WSE
3
BEST EXECUTION
Order types and traded instruments
IT system operated by WSE allows a numerous types of orders and order
execution conditions:
Limited orders
• Orders with no limit:
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Must be Filled Order
Market Order
Market At Opening Order
• Stop Loss, Minimum Quantity and Iceberg Orders
•Fill and Kill, Fill or Kill Orders
The rules for order entry and execution, as well as available trading phases, price limits and price ticks
are dependent of type of instrument in order to fit to its characteristics and investors needs. The WSE
currently maintain the wide range of cash and derivatives instruments on fully integrated trading
platform with single access point.
4
BEST EXECUTION
Speed
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High avaiability of trading platform
Order execution notices in on-line mode
Easy and fast access to order book through Internet for retail clients
of Brokerage Houses
Algorythms for minimizing the number of trades at opening to speed
up order execution
Continuous improvement of the IT architecture – recent swith to
Itanium processor improved the trading system efficency four times.
5
TRANSPARENCY
WSE provides a full range of information for all market participants and
Data Vendors with no delays for block trades.
Pre trade:
• Theoretical Opening Price
• Theoretical opening Volume
• Full range of order book with prices and volumes of orders awaiting for the execution
Post trade:
•On line distribution of traded volumes and prices with timestamp
•Calculation and on-line distribution of main indexes
•Distribution of analytics data after trading session
6
CONNECTIVITY AND ACCESIBILITY
WSE offers fast and secured access to the trading system
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Two Communication Protocols:
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Open Architecture:
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Flexibility
Possibility for Member System Customization
Numerous Client Applications:
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MMTP (MARKET MESSAGE TRANSFER PROTOCOL)
OR FIX (FINANCIAL EXCHANGE PROTOCOL)
GL
RTS
LIST
ORC
FIDESSA
WSE as a maintanance services provider for GL Trade products, including software for automated
trading
7
WSE AS INTEGRATED SOURCE OF MARKET DATA
•Possible numerous trading venues, best execution requirements and trade
transparency rules would lead to increased demand of integrated data sources
and analysis.
•WSE maintains the largest data distribution network in CEE consisting of:
– 26 Polish and 16 Foreign (UK, Switzerland, US, France, Austria,
Sweden and Norway) with 130 000 end-users worldwide
– Satellite and ISDN connections
– Different types of data including row figures and analysis
7
NEW QUALITY IN MARKET INFORMATION
WSEInfoSpace
CURRENT INFORMATION
(Level 1, 2 and 3 data)
COMPANIES
ANALYSES
Information & analyses
Macroeconomic & sector information
on WSE-listed companies
& analyses on individual CEE countries
(Level 1 data)
(Level 2 and 3 data + link to level 1 data)
Data levels:
3 – MACROECONOMIC
2 – SECTORS
1 – COMPANIES
Data sources:
PAP – PRESS AGENCY
WSE
COMPANIES
Data channels:
ANALYSTS
ESPI
OTHER
MEDIA
OTHER
9
INCREASED COMPETITION
• Alternative market for small
caps with big growth
potential
• Support for growing sector of
high technology
companies
• Further development of Polish
capital market financial
infrastructure as an element of
increasing WSE
competence at the local and
regional market
• Strenghtening a co-operation
between the WSE and its
business partners in order to
speed up the growth of
the Polish capital market
10
Warsaw Stock Exchange
4 Ksiazeca Street, 00-498 Warsaw
Phone: +48 22 537 76 74
http://www.wse.com.pl
E-mail: [email protected]