SERVICE ANNOUNCEMENT 00102112015 SETS SCHEDULED LEVEL 1 ONLY AUCTIONS

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SERVICE ANNOUNCEMENT 00102112015 SETS SCHEDULED LEVEL 1 ONLY AUCTIONS

SETS Scheduled Level 1 Only Auctions 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.

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/millennium-exchange-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/millennium-exchange/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].

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Additional Information

If you have any business queries about this announcement please contact the LSE Equity Team on +44 20 7382 7650 or e-mail: [email protected]

If you have any technical queries about this announcement please contact your Technical Account Manager on - 020 7797 3939 or [email protected].

Millennium Exchange Business Parameters Document can be found at: www.londonstockexchange.com/tradingservices

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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