ASX 24 Trading Platform Guide - Australian Securities Exchange
ASX 24 Trading Platform GuideVersion 1.05 April 2018INFORMATION CLASSIFICATION - CONFIDENTIAL
Table of Contents1.Introduction . 51.1.Document Information . 51.2.Reference Documentation . 51.3.Readership . 51.4.ASX Support . 51.4.1. Customer Technical Support . 51.4.2. Trading Operations . 62.1.5.Terms and Acronyms . 61.6.Version History . 6Customer Interfaces . 72.1.Trading Interface - FIX OE . 72.1.1. Transactions Per Second Message Throttling . 73.4.2.2.Market Data Interfaces - FIX MD and ASX MDP . 72.3.Drop Copy Interface - FIX DC. 7Customer Terminals . 93.1.ASX Trading Terminal - ATT . 93.2.ASX Admin and Risk Terminal - ART . 9Market Structure . 104.1.Market Structure . 104.2.Instrument Structure and Symbology . 104.2.1 Options coding . 104.3.Trading Sessions. 114.3.1. Trading Sessions . 114.3.2. Open Auction Algorithm . 124.4.Trading Day Cycle. 134.4.1. Illustrative Trading Day Cycle . 134.4.2System Availability . 144.4.2. Early close on contract expiry . 164.4.3. Statistics update rules – OHLL & auction events . 164.4.4. Settlement prices . 16ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.2/38
4.4.5. VOI . 175.Order Types and Controls . 185.1.Limit order . 185.2.Market-to-Limit order . 185.3.Time in Force (TIF) . 185.3.1. Time in Force by product . 195.3.2. GTC order behaviour with tick size changes . 195.4.Order Identifiers . 195.4.1. Client Order ID . 195.4.2. Private Order ID . 205.4.3. Public Order ID (Secondary Order ID) . 205.5.Account Identifiers. 205.6.Order Cancellation Requests . 215.7.Order Modification and Priority . 215.8.Order Workflow . 215.9.Order Management . 225.9.1. Firm & Member Unit (MU) Hierarchy . 225.9.2. Shared Order Groups . 225.9.3. ASX Trading Terminal Super Users and Trader User Roles . 235.9.4. Summary of order management options . 235.10. Central Order Deletion. 235.10.1. Cancel on Disconnect . 235.10.2. User Maintenance . 245.11. Password Reset . 246.Pre-Trade Risk Management (PTRM) . 247.Trading Protection Limits (TPL) . 258.Anomalous Order Threshold (AOT) . 259.Unintentional Crossing Prevention (UCP) . 2610. Message Facility . 2611. Off Market Trade Reporting . 2612. Combinations . 2612.1. Implied Orders . 2612.1.1. Implied Order priority . 27ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.3/38
12.2. Order Management . 2812.3. Combinations to Combination Trades . 2812.4. Exchange Defined Combinations . 3012.4.1. Intra-commodity Spreads . 3012.4.2. Inter-commodity Spreads . 3012.4.3. Bank Bill Butterflies . 3112.4.4. Packs, Bundles and Strips . 3212.5. User Defined Combinations (UDCs) . 3312.5.1. Creating UDCs . 3312.5.2. Implied Orders and UDCs . 3412.6. Combinations - Summary. 3413. Request for Quote (RFQ) . 35ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.4/38
1. IntroductionThe new ASX 24 Trading Platform (Trading Platform) will support all ASX 24 markets previously operated onASX Trade 24.The Trading Platform offers a common set of interfaces to all ASX 24 products and a suite of functionalityreplicating and enhancing those offered on the platform that it succeeded.1.1. Document InformationThe purpose of this document is to provide customers with the following information: a business overview of the ASX 24 Trading Platform a high-level technical overview of the Trading Platform, specifically focusing on trading and marketdata interfaces, user and market configuration, and disaster recovery an overview of the generic operation of the Trading Platform.The detailed operation of each futures and options contract is governed by the specific configuration andcontract specifications of that products summarised in appendix A and detailed in the ASX 24 OperatingRules.1.2. Reference DocumentationThis document should be read in conjunction with: The Rules of the Australian Securities Exchange ASX Notices ASX System StatusThe complete set of technical documentation for the Trading Platform can be found in the Trading PlatformTechnical Library. Please contact CTS @ASX.com.au or your Technical Account Manager if you have anyquestions relating to this document.1.3. ReadershipThis document when read in conjunction with the technical specifications is intended to provide participantswith the information required to develop to the services available on the Trading Platform. This document istherefore primarily aimed at business, technical, operations and compliance staff at ASX 24 Participants andsoftware providers.1.4. ASX Support1.4.1. Customer Technical SupportThe Customer Technical Support (CTS) team operates a technical support service desk for ASX customers,providing support coverage during business hours, 08:00 to 18:00 (AEST).ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.5/38
Email:CTS@asx.com.auPhone: Within Australia — 1800 663 053 (Toll free)Within Australia — 61 2 9227 0821Outside Australia — 612 9227 03721.4.2. Trading OperationsThe Trading Operations team provides a 24-hour trading support desk for Trading Participants for all tradingrelated queries from Monday 05:30am through to Saturday 07:00am (AEST).Email:tradingoperations@asx.com.auPhone: Within Australia — 1300 655 560 (Toll free)Outside Australia — 612 9256 06771.5. Terms and AcronymsTerm / AcronymDescriptionASX MDPASX Market Data ProtocolFIX DCASX FIX Drop Copy interfaceFIX FullSubscription to the FIX Full service on FIX MDFIX LightSubscription to the FIX Light service on FIX MDFIX MDASX FIX Market Data interfaceFIX OEASX FIX Order Entry interface1.6. Version HistoryThis document has been revised according to the table below:VersionDateCommentV1.00Dec 2016First releaseV1.01Feb 2017V1.02Feb 2017V1.03Apr 2017 Clarification of Time-in-force by product for optionsV1.04Aug 2017 Formatting and layout changesV1.05Apr 2018Update to system availabilityAdditional detail on UDCs and order types includedASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.6/38
2. Customer InterfacesThe Trading Platform offers interfaces for Trading (Order Entry), Market Data, and Drop Copy. All interfacessupport a common symbology and message referencing system and facilitate tracking of message flowsacross interfaces.2.1. Trading Interface - FIX OEThe FIX Order Entry interface supports private orders, quotes and certain status messages. FIX OE offers aFIX 5.0 SP2 interface.Detailed specifications for the ASX FIX Order Entry interface can be found in the ASX Trading PlatformTechnical Library.2.1.1. Transactions Per Second Message ThrottlingFIX OE connections are throttled in accordance with a user’s Transactions Per Second (TPS) subscription on aper session basis. TPS can be 15-75 messages per second, per session. The message rate is measured over arolling 1-second window. Where the throttle rate is exceeded, excess messages are queued in the FIX OEgateway and transmitted onwards to the matching engine when the rolling 1-second rate drops below thethrottle.2.2. Market Data Interfaces - FIX MD and ASX MDPThe Market Data interfaces support public order, quote, trade, and status broadcasts.The Trading Platform offers two market data interfaces:1.2. ASX FIX Market Data is a FIX 5.0 SP2 interface offering two FIX Market Data subscription services: FIX Full – order-by-order (full depth), top-of-book, and trade data in both aggregated and nonaggregated form. FIX Light – non aggregated top-of book, up to five levels of aggregated data and coalesced trades(trade-by-level).ASX Market Data Protocol is a high-speed, binary message protocol.Security lists, session status, and other non-order book messages are available from both subscriptions.The full specifications of the ASX FIX Market Data interface and the ASX FIX Market Data Protocols can befound in the ASX Trading Platform Technical Library.2.3. Drop Copy Interface - FIX DCThe FIX Drop Copy interface facilitates receipt of outbound messages pertaining to a participant’s order andexecution flow using the FIX protocol. Drop copies can be used to produce a consolidated view of orderstatus for a configured set of users. A Trading Participant may require drop copies of all executions fortrading users within the same firm.ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.7/38
The full specification of the ASX FIX Drop Copy interface can be found in the ASX Trading Platform TechnicalLibrary.ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.8/38
3. Customer Terminals3.1. ASX Trading Terminal - ATTThe ASX Trading Terminal is an order management terminal used for entry and management of orders fortrading and supervision purposes. The ASX Trading Terminal allows users to receive market data through thewatch list, order depth ladder screens and calendar spread matrix screens, enter, modify and delete orders,receive market messages, enter and receive RFQs, and create user-defined combinations (UDCs).For detailed information refer to the ASX Trading Terminal User Guide and ASX Trading Terminal InstallationGuide.3.2. ASX Admin and Risk Terminal - ARTThe ASX Administration and Risk Terminal (ART) is designed to provide participants with a greater level ofaccount and risk administration. ASX’s ART can be used to create accounts and to set up risk limits, createand manage shared order groups, change user passwords, and to disable users.For detailed information refer to the ASX Admin and Risk Terminal User Guide and ASX Admin and RiskTerminal Installation Guide.ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.9/38
4. Market StructureThe Trading Platform supports trading in all ASX 24 products.4.1. Market StructureThe Trading Platform comprises of two markets: XSFE – Australian dollar denominated derivatives NZFX- New Zealand dollar denominated derivativesMarkets are further divided into Market Lists of common products are grouped together for example,Interest Rates. Market Lists house the Segments where all tradable instruments are contained. A separateMarket List is also assigned under each market for UDCs.4.2. Instrument Structure and SymbologyThe tradable instruments within a segment should all be of the same type and commodity code. They willshare the following features, which are assigned at segment level: Trading schedule Currency Minimum tick increment Price band parameters Settlement timetable.Tradable instruments are uniquely defined in Trading Platform by their numeric order book id and symbol.Symbol is used to identify an instrument on all ASX interfaces. Participants may also use order book id toidentify an instrument on the FIX OE interface and ASX MDP. Each tradable instrument is also assigned aClassification of Financial Instruments (CFI) code in accordance with ISO 10962.4.2.1 Options codingCustomers should note several changes to options on futures and one session options coding under the Newtrading Platform: Individual options strike codes have a 7-digit strike price portion, left-padded with zeros. All optionsare now listed with a uniform size of 12 characters. For example, the 96.200 April 2017 put serialoption on the 10 Year Treasury Bond Futures is listed as XTJ0096200P.One session overnight option for 3 and 10 Year Treasury Bond Futures product codes are listed as YOand XO respectively. For example, XOM700796500 for a June 2017 10 Year Bond futures OvernightOption at a 79.650 strike.Daily Settlement Prices will be disseminated for one session options instruments equivalent to thedaily exercise VWAP. For example, the Intra-day Options on 3 Year Treasury Bond Futures – MarchASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.10/38
2017 is listed under the code YDH7. The Trading Platform will continue to publish a text message ofthe VWAP following calculation.4.3. Trading SessionsThe Trading Platform (TP) supports a number of pre-defined trading sessions where different participantactivities may be permitted (or prevented), including: Order entry and modification Order deletion Automatic execution.Specific timings and durations for sessions vary by product. Further information is available on the ASXwebsite.Customers should note that products that have Day and Night Sessions may cycle through the same sessionstates more than once in any trading day and/or business day.4.3.1. Trading SessionsThe trading sessions are summarised in the following table:Session StateOrder Entry andModificationOrderDeletionOrders PurgedCentrallyMatching EnabledPre-OpenYESYESNONOPeriod ends with an OYES*NONORegulatory HaltNOYESNOPeriod is followed by a PreOpen session* Some order types such as GTC will not be purged due to the order functionalitySession State Definitions Pre-Open: A period of 10 minutes prior to the Open in respect of a particular Futures Contract orOption Contract during which bids and offers may be entered into the system. Open: Session where orders on all contract types can be entered, overlapping orders from the PreOpen (auction) will be matched at the equilibrium price. New orders can be matched and trades can beexecuted. Close: Trading day is over and the Market is closed, no orders can be entered or modified at this time.ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.11/38
Maintenance: Relevant orders are purged. Expired instruments are deleted (including day only UDCcontracts) and new instruments are added, the trading business day is incremented and pre-trade risklimits are reset. Regulatory Halt: A pause in trading that resets the AOT reference price. Regulatory Halt transitions intoa 2 minute Pre-Open state. Orders in any combination instrument with one or more legs in aRegulatory Halt will be centrally purged and new orders rejected.4.3.2. Open Auction AlgorithmThe Auction Equilibrium Price (EP) algorithm calculates potential matched volume and surplus at eachoverlapping price level and chooses the price that maximises the traded quantity and minimum surplus.There are up to four steps used by the algorithm.1.MaximumVolume2.Minimumsurplus3. st/settleStep 1.Maximum matched volume. The Equilibrium Price (EP) should be the price at which the maximumvolume can be traded. In the case of more than one price level with the same executable volume,the algorithm should go to step 2.ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.12/38
Step 2.Minimum surplus. In the case of more than one price level with the same maximum executablevolume, the EP should be the price with the lowest surplus (imbalance) volume. The surplus isleftover volume at the EP.Step 3.Market Pressure. If multiple prices satisfy 1 and 2, establish where market pressure of the potentialprice exists. Surplus with a positive sign indicates buy side pressure while surplus with a negativesign indicates sell side pressure. If multiple positive equivalent surplus amounts exist, thenalgorithm uses the highest of the potential equilibrium prices. Conversely, if market pressure is onthe sell side then the algorithm uses the lowest of the potential prices. If both positive andnegative surplus amounts exist, precede to Step 4.Step 4.Reference to previous settlement/closing price. Select the price closest to the last trade price orprior settlement price.4.4. Trading Day CycleThe Trading Platform will operate the XSFE and NZFX markets on a 24/6 basis, with the first product preopening at 06:20 each Monday and the last product closing at 08:00 each Saturday.A Trading Day cycle consists of two trading sessions – a Night Session which always precedes a Day Session –on the same Trading Day but across consecutive business days. The Night Session for a given Trading Daybegins on the afternoon of the preceding business day. As examples, Friday’s Trading Day starts on Thursdayafternoon and Monday’s Trading Day starts on Friday afternoon).Trading Day and Calendar Day are distinct concepts in the Trading Platform. Trading business date may bereferred to as a “Trade Date”, which is a marker for transaction activity that pertains to a logical time periodin the trading cycle. For multiple session products, there will be a night and a day session which can spanmultiple calendar days, that is, a Monday trade date will start the night session on the Friday evening andclose Saturday morning, and re-open as the day session on Monday morning, and finally close Mondayevening.A number of broadcast messages carry both Trade Date and Calendar Date to ensure clarity. Further detailsare provided in the specifications for the ASX FIX Market Data interface and for ASX FIX Market DataProtocol.4.4.1. Illustrative Trading Day CycleAn illustrative trading day cycle for the 90 Day Bank Accepted Bill Futures contract (IR) is set out below.Calendar Day Time (AEST)Trade Date: TUESDAYMonday16:58:00Session StateSession: NIGHTPre-OpenStart of the Night Session.A 10 minute auction call period that ends with anuncrossing of overlapping orders at the price thatmaximises execution volume.ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.13/38
Calendar Day Time (AEST)Session StateMonday17:08:00OpenContinuous trading.Tuesday07:00:00CloseEnd of the Night session.No further order entry or modification permitted.Tuesday08:00:00MaintenancePurge of orders in accordance with their Time in Force.Trade Date: TUESDAYSession: DAYTuesday08:18:00Pre-OpenStart of the Day Session.A 10 minute auction call period that ends with anuncrossing of overlapping orders at the price thatmaximises execution volume.Tuesday08:28:00OpenContinuous trading.Tuesday16:30:00CloseEnd of the Night session.No further order entry or modification permitted.End of day settlement prices are disseminated to marketwithin a few minutes of market close.Tuesday16:40:00MaintenancePurge of orders in accordance with their Time in Force.Expired instruments are deleted (including all UDCs).Trading Day is incremented.Pre-trade risk limits are reset.Participants should note that the Trading Day cycle for business day Monday begins with the Night Sessionfor Trading Day Monday commencing on the previous Friday. In this circumstance, and additionally aroundpublic holidays, there may be one or more calendar days between the Night Session and the Day Session fora given Trading Day.Specific contract session timings follow the production times and are detailed here.4.4.2System AvailabilityThe following weekly schedule applies to these services: FIX order entry, FIX market data, FIX drop copy, ASXMarket Data Protocol (MDP): Glance, Blink and multicast data.ServiceTime (SydneyTimezone)Ping?Telnet?Login?Data?FIX OrderEntry FIXDrop CopySunday 19:00 –Saturday 09:00YesYesYesYesSaturday 09:00 –Saturday 12:00YesNoNoNoSaturday 12:00 –Sunday 12:00YesYesNoNoASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.14/38
Sunday 12:00 –Sunday 19:00YesNoNoNoSunday 19:00 –Saturday 09:00YesYesYesYesSaturday 09:00 –Saturday 12:00YesNoNoNoSaturday 12:00 –Sunday 12:00YesYesNoNoSunday 12:00 –Sunday 19:00YesNoNoNoASX MDP – Sunday 19:00 –GlanceSaturday 09:00YesYesYesYesSaturday 09:00 –Saturday 12:00YesNoNoNoSaturday 12:00 –Sunday 12:00YesYesNoNoSunday 12:00 –Sunday 19:00YesNoNoNoSunday 19:00 –Saturday 09:00YesN/AN/AYesSaturday 09:00 –Sunday 19:00YesN/AN/ANoSunday 19:00 –Saturday 09:00N/AN/AN/AYesSaturday 09:00 –Sunday 19:00N/AN/AN/ANoSunday 19:00 –Saturday 09:00YesYesYesYesSaturday 09:00 –Saturday 12:00YesNoNoNoSaturday 12:00 –Sunday 12:00YesYesNoNoFIX MarketDataASX MDP BlinkASX MDP MulticastASXTerminal(ART/ATT)ASX 24 Trading Platform Guide Copyright 2018 ASX Operations Pty Limited ABN 42 004 523 782. All rights reserved 2018.15/38
Sunday 12:00 –Sunday 19:00YesNoNoNoAfter each start up event, customers may logon to all services, and FIX connections must reset sequencenumbers to 1. FIX sequence numbers are maintained until the next shut down event.4.4.2. Early close on contract expiryThere are some contracts that will have an early expiry; examples are Bill and Bond products where, on thelast trading date of the spot month, the spot contract will close at noon.Final settlement prices may be reported after the spot close, however, settlement prices are generallydistributed after the close of the segment.Where Anomalous Order Thresholds (AOT) are enforced, on the last trading date of the spot month , thereare technical differences for how the far month prices are generated (see AOT rules for further information).4.4.3. Statistics update rules – OHLL & auction eventsThe table below describes the trade match type that would contribute to the calculation of trade statistics(Open, High, Low, and Last). The trade match type is disseminated for a trade on the market data message.Match TypeOpenHighLowLastTotal TradedVolumeNORMAL TRADEYYYYYAUCTIONYYYYYUCP Booking(applicable to combination and strip contracts aswell)NNNNNUnderlying LegsYYYYYCombinationYYYYYUnderlying LegsNNNNYCombinationYYYYYUnderlying LegsNNNNYCombinationYYYYYCOMBINATION TO OUTRIGHTCOMBINATION TO COMBINATIONSTRIP TO STRIP4.4.4. Settlement pricesThe final settlement price and prior day settlement price for an instrument are disseminated using m
The new ASX 24 Trading Platform (Trading Platform) will support all ASX 24 markets previously operated on ASX Trade 24. The Trading Platform offers a common set of interfaces to all ASX 24 products and a suite of functionality replicating and enhancing those offered on the platform that it succeeded. 1.1. Document Information
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