bts : sola8 idem quick reference guide - borsa italiana · (bo), bts® client introduces new...

BTS®: SOLA8 IDEM

Quick Reference Guide

User Manual

May 2016

Version 1.0

Contents

1 Revision History 4

2 Introduction 5

3 3 and 4 legs Strategies 6

4 Bundle Orders 8

4.1 Bundle Order Entry: 8 4.2 Bundle Order Monitor 10 4.3 Bundle Order/Third Party Manager 11 4.4 Workflow steps 12

5 “Third Party Orders” 29

5.1 “Third Party Entry”: 29 5.2 Third Party Order Monitor” 31 5.3 “Bundle Order/Third Party Manager” 31 5.4 Workflow steps 32

Index

BTS®: SOLA8 IDEM Quick Reference Guide

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1 Revision History

Date Version Description Author

May 2016 1.0 First release Borsa Italiana


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2 Introduction

Derivatives business team is aiming to extend and diversify progressively the derivatives contracts traded on IDEM, IDEX and AGREX to add a set of market functionalities that provide an up-to-date and efficient trading platform for market Participants.

Some enhancements to the current BTS® have been implemented in order to deploy the set of

new functionalities introduced by SOLA8. These new functionalities include:

3 and 4 legs Strategies; Bundle Order; Third Party.


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3 3 and 4 legs Strategies

Following the introduction of strategies with 3 and 4 legs, the following strategies will be added to the “Strategy Wizard” window under the “Orders” tab in the “Price Info” window:

Strategy name N. of legs

Description (for long position / buy)

1. Straddle vs. short Call

3 Buy a call and a put at the same strike (and at the same expiry date), sell a call at higher strike

2. Short Straddle vs. long Put

3 Sell a call and a put at the same strike (and at the same expiry date), buy a put at a lower strike

5. Call Ladder 3 Buy call, sell call at higher strike and sell call at equally higher strike (all with same expiry date and with strikes equidistant)

6. Short Put Ladder 3 Buy put, buy put at higher strike and sell put at equally higher strike (all with same expiry date and with strikes equidistant)

7. Short Straddle Calendar Spread

4 Buy Call and Put in near month, sell Call and Put in far month, all at same strike

8. Iron Butterfly 4 Sell a put and a call at a middle strike, buy a put at a lower strike and a call at a higher strike (all with same expiry date and with strikes equidistant)

9. Call condor 4 Sell two calls at middle equidistant strikes, buy two calls each at lower and higher strike (all with same expiry date and with strikes equidistant)

10. Put condor 4 Sell two puts at middle equidistant strikes, buy two puts each at lower and higher strike (all with same expiry date and with strikes equidistant)

11. Box spread 4 Buy call and sell put at same strike, buy put and sell call at higher strike (all with same expiry date)

12. Short call spread vs long put

3 Buy put at lower strike, sell call at middle strike and buy call at higher strike (all with same expiry date)

13. Short put spread vs long call

3 Buy put at lower strike, sell put at middle strike and buy call at higher strike (all with same expiry date)

14. Short diagonal straddle calendar spread

4 Buy call and a put in near expiration, sell a call and a put in more distant expiration with different strike.


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“Strategy Wizard” window has been adapted in order to support 3 and 4 strategy legs.

Also “Flexco” creation window has been adjusted in order to allow 3 and 4 legs strategy creation.

Strategy creation windows keep same functionalities and behaviors as the current production client version.


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4 Bundle Orders

Following the introduction in the trading system SOLA® of the new order type Bundle Order

(BO), BTS® client introduces new windows that allow BTS

® user to create, accept, modify and

reject Bundle Orders.

Three new windows have been added:

- Bundle Order Entry;

- Bundle Order Monitor;

- Bundle Order/Third Party Manager.

4.1 Bundle Order Entry:

This window allows Initiator of Bundle Order proposals to perform order entry for BOs. This option will be available:

in the “Price Info” window Orders menu;

in the “Price Info” Instrument context menu;

in the “Derivatives Price Info” window Orders menu;

in the “Derivatives Price Info” Instrument context menu;

via a ctrl+shift+B keyboard shortcut;

via “Orders” sub-menu and Instrument context menu in the “Bundle Order Manager” and “Bundle Order Monitor” windows;

In the “Flexible Series Creation” window, in Orders button and in Series context menu;

In the “Flexible Series Creation” window, in Orders button and in Series context menu.


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For instance, in “Price Info” window from the Instrument Context Menu:

“Bundle Order Entry” window will open:


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4.2 Bundle Order Monitor

This window, where the Initiator of a Bundle Order will be able to check the status of the BO proposals sent by its own trader/company (depending on the configuration requested), including the status of each leg (accepted/refused/cancelled/traded). It also offers to the Initiator of the BO the possibility to reject the created Bundle Order.

This window is available from the “Trading” menu:

Clicking on the Icon, “Bundle Order Monitor” window will open:


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4.3 Bundle Order/Third Party Manager

This window (common to Third Party Orders), shows to the Receivers of BO proposals all their received proposals. From this window, Receivers of the proposals are able to accept, cancel, refuse and edit their own proposals.

The status of each proposal is identified by the colour of its own row.

This window is accessible from the “Trading” menu:

Clicking on the icon, “Bundle Order/Third Party Manager” window will open:


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4.4 Workflow steps

Creating and submitting Bundle Orders

A new Bundle Order can be created by the Initiator through the following steps in the “Bundle Order Entry” window (see 4.1).

a) Select the instrument: a dropdown menu with all available markets is presented. In the contract selector field, it is possible to select the instrument by:

o opening the Dictionary;

o dragging and dropping one instrument from another window;

o typing the instrument itself (ISIN, Sico and Symbol). Auto-completion logic is the same applied in other BTS

® windows.


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b) Input TraderID, Counterparty Code, Price and Quantity.

o Counterparty Code can be edited manually or selected from a pre-populated drop-down list as per current behavior in cross/committed orders.

c) Select Account Type for the Initiator of the proposal (and also – as concerns the Initiator of the proposal - Clearing Instruction, Customer, Position Effect, Order Ref., Portfolio, Notes). By clicking the leg Side, leg is created.


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d) Create the leg (up to 4): the leg of the BO is created by clicking the Side of the leg.

Once a leg is created, it is displayed in the lower part of the window, listing the following data as frozen cells:

o Series

o Trader (the identifier of the Initiator of the BO);

o Published flag (Published/Unpublished).

And the additional details with reference to the side of the BO Initiator that can be modified:

o Side (of the Initiator of the BO);

o Counterparty (that will then be required to approve the proposal, the Receiver);

o Clearing Instruction;

o Quantity;

o Price;

o Account Type;

o Position effect;

o Portfolio;

o Customer;

o Order Ref;

o Notes.


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e) Steps from a) to d) must be carried out for each leg of the BO.

f) The details of just created leg are maintained in order to speed up the order entry process for the following leg, and by clicking on Reset previously entered data is cancelled.

Previously created leg can be removed by clicking on the on the left side of legs table.


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g) By clicking on Submit a pop up requesting confirmation of Bundler Order creation will be displayed. Upon confirmation the Bundle Order is sent to the market.

h) A pop up showing the confirmation of Bundle Order Creation will be displayed.

Bundle Order Monitor window (reserved to the Initiator of a Bundle Order)

a) The status of the BO proposals sent to counterparties for acceptance is available to the Initiator in the “Bundle Order Monitor” window:


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b) Created proposals are listed and grouped by Key and Mkt Order ID.

c) For each bundle, the following data are provided:

o Internal Key Id;

o ID (Market Code + Market Order Id);

o Market ID;

o Bundle Creation Time;

o Bundle Status Last Update time;

o Market;

o Bundle Status;

o BTS® Initiator User;

o TraderId (identifier of the Sender of the BO proposal).

d) For each leg, the following data are provided:


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o Internal Key ID;


o Market Order ID;

o Leg Creation Time;

o Leg Status Last Update time;

o Instrument Id;

o Leg Status;

o TraderId (identifier of the Sender of the BO proposal);

o Approval Firm (identifier of the Receiver of the BO proposal);

o Counterparty (identifier of the counterparty of BO proposal);

o Side (referred to the Approval Firm);

o Account Type;

o Price;

o Quantity;

o Proposal ID;

o Transparency flag (published / unpublished).

e) Possible Status of Bundle/Leg are:

1) WFA : Waiting for Acceptance (proposal has been received but not accepted yet);

2) A : Accepted (proposal has been accepted);

3) ERR : Error (creation error);

4) CWFA : Cancelled, Waiting for acceptance (proposal previously accepted then cancelled);

5) RJ : Rejected (proposal has been rejected).

Each status is identified by a specific text colors.


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f) Via Context Menu, it is possible to delete the entire Bundle Order.

Reject button is available by right clicking on Bundle Order row or on the dedicated button.

Once the Bundle Order is rejected or traded, its status is updated, and previous leg status is maintained.

For Instance if the Bundle Order is Rejected by the Initiator:


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Each row of Bundle Order Monitor shows a side of a Bundle Order leg.

From Approval Firm column Bundle Order Initiator is able to identify which member is in charge of proposal acceptance.

See the screenshot above, where Bundle Order has been created by member 1994: The leg that trades instrument FIB6F is composed by proposals with key 2764 (Bundle Order receiver 8089 on SELL side) and 2759 (Bundle Order creator 1994 on BUY side). The 2764 is waiting for approval (WFA status) by member 8089 (ApprAccovalFirm column) that is on BUY side of the transaction with 1994 as counterpart.

The 2759 instead, has been automatically accepted by SOLA since it is the Bundle Order creator transaction side, in this case the counterpart is 8089.


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Manage received Bundle Order

Bundle Order/Third Party Manager window

a) The Receiver of a Bundle Order (Type :B) or Third Party (Type : T) can manage the received proposals from “Bundle Order/Third Party Manager” window:

b) Received proposals are listed and grouped by ID.

c) For each Bundle (or Third Party), the following data are displayed by default:

o Internal ID (Market Code + Market Order Id);

o Bundle / Third Party Creation Time;

o Bundle / Third Party Status Last Update time;

o Type (B : Bundle, T : Third Party);

o Bundle / Third Party Status;


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d) For each leg, the following data are provided:

o Internal ID (Market Code + Market Order Id);

o Market Order ID;

o Leg Creation Time;

o Leg Status Last Update time;

o Instrument Id;

o Type (B : Bundle, T : Third Party);

o Leg Status;

o TraderId (TraderId identifier of the user following Acceptance of the BO or TP proposal);

o Counterparty (identifier of the counterparty of BO proposal);

o IDB Member (Description of the initiator of TP);

o Side;

o Account Type;

o Price;

o Quantity;

o Transparency flag (published / unpublished);


6) WFA : Waiting for Acceptance (proposal has been received but not accepted yet);

7) A : Accepted (proposal has been accepted);

8) ERR : Error (creation error);

9) CWFA : Cancelled, Waiting for acceptance (proposal previously accepted then cancelled);

10) RJ : Rejected (proposal has been rejected);

Each status is identified by a specific text colors


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Reject a Received Bundle Order / Third Party leg

a) Via Context Menu, it is possible to reject the selected leg. Reject button is available by right clicking on Leg row or on the dedicated button

b) Once a proposal is rejected, the entire Bundle Order / Third Party is cancelled (Status : RJ, foreground red).

Accept a Received Bundle Order / Third Party leg.

a) Via Context Menu, it is possible to Accept the selected proposal. Accept button is available by right clicking on Leg row or on the dedicated button.


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b) By clicking “Accept/Edit” button, the “Accept/Edit” window appears:

In order to accept the proposal, BTS® User needs to compile mandatory fields (Trader and

ClearInstr), and then click Submit. Please note that all the fields are automatically filled in case default values are setup in the “Default Setup” window.

c) Once the proposal is accepted, Bundle Order / Third Party Manager displays the Acceptance TimeStamp, TraderId and ClearInstruction.

The proposal will be also displayed like a committed order in the Trading Manager window.

d) All Received Legs are accepted (Status : A), but Bundle Order / Third Party is not traded, waiting for other participants to accept their proposals (Status : WFA):


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e) Once all the legs are accepted, Bundle Order / Third Party status will switch to A.

Bundle Order Initiator will find its own legs in this window too. SOLA automatically accepts the legs belonging to Bundle Order creator.


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Cancel a Bundle Order / Third Party Leg acceptance

a) If a leg has been accepted but the Bundle Order / Third Party is not yet traded, SOLA allows the user to cancel the leg acceptance.

b) Proposal cancellation confirmation is requested.

c) Following cancellation of the acceptance, the Bundle Order / Third Party proposal Status switches.


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d) Cancelled proposal doesn’t cancel the Bundle Order / Third Party, instead the proposal is still active and can be Accepted or Rejected again.

Edit a Bundle Order / Third Party Leg acceptance

a) If a leg has been accepted but the Bundle Order / Third Party is not yet traded, SOLA allows the user to edit the data of the accepted leg.

b) To edit the proposal, just click on Accept/Edit button.


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c) From Accept/Edit window BTS® user may amend also mandatory fields such as

TraderId, Account Type, Position Effect, ClearingInstruction and Notes.

d) Proposal is still Accepted, but TraderID has been modified

Following the editing, Cancel and further Editing are still possible.


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5 “Third Party Orders”

Following the introduction in the trading system SOLA® of the new order type “Third Party

Order” (TP), BTS® client introduces new windows that allow BTS

® user to create, accept, modify

and reject Third Party Orders.

Three new windows have been added:

- Third Party Entry;

- Third Party Order Monitor;

- Bundle Order/Third Party Manager.

5.1 “Third Party Entry”:

This window allows “Sender” of Third Party Order (“TP”) proposals to perform order entry for TPs. This option will be available:

in the “Price Info” window Orders menu;

in the “Price Info” Instrument context menu;

in the “Derivatives Price Info” window Orders menu;

in the “Derivatives Price Info” Instrument context menu;

via a ctrl+shift+P keyboard shortcut;

via “Orders” sub-menu and Instrument context menu in the “Bundle Order / Third Party Manager” and “Third Party Monitor” windows;

In the “Flexible Series Creation” window, in Orders button and in Series context menu;

In the “Flexible Series Creation” window, in Orders button and in Series context menu.


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For instance, in PriceInfo window from the Instrument Context Menu:

Third Party Entry window will open:


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5.2 Third Party Order Monitor”

This window, where the “Sender” of a TP will be able to check the status of the TP proposals sent by its own trader/company (depending on the configuration requested), including the status of each leg (accepted/refused/cancelled/traded).

This window is available from the “Trading” menu:

Clicking on the Icon, “Third Party Monitor” window will open:

5.3 “Bundle Order/Third Party Manager”

This window (common to Bundle Orders), shows to the Receivers of TP proposals all their received proposals. From this window, Receivers of the proposals are able to accept, cancel, reject and edit their own proposals. The status of each proposal is identified by the colour of its own row;


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5.4 Workflow steps

Creating and submitting Third Party Orders

A new Third Party will be created by the “Sender” through the following steps in the “Third Party Entry” window (see 5.1):

a) Select the instrument: a dropdown menu with all available markets will be

presented. In the contract selector field, it will be possible to select the instrument by:

o opening the Dictionary;

o dragging and dropping one instrument from another window;

o typing the instrument itself (ISIN, Sico and Symbol). Auto-completion logic will be the same applied in other BTS

® windows;

b) Input IDB TraderId, Counterparty 1 and 2, Price and Quantity.

Counterparty Codes can be edited manually or selected from a pre-populated drop-down list as per current behaviour in cross/committed orders.

Once selected, Counterparty 1 will be the same for all the proposals.


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c) By clicking the Counterparty 1 Side (Ctpy1 Buy or Ctpy 1 Sell), the leg will be created.

d) Create the leg (up to 4): the legs of the TP will be created by clicking the Side of Counterparty1.

Once a leg is created, it will be displayed in the lower part of the window, listing the following data as frozen cells:

o Ctpy1

o Ctpy2 Side (depending on Ctpy1 Side)

o Series


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o Trader (the identifier of the “Sender” of the TP);

o Published flag;

And the additional details with reference to the side of the Counterparty 1 that can be modified:

o Counterparty 1 Side;

o Counterparty 2;

o Quantity

o Price;

o Account Type;

o Position effect.


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e) Steps from a) to d) must be carried out for each leg of the Third Party order.

f) The details of just created leg are maintained in order to speed up the order entry process for the following leg, and by clicking on Reset previously entered data will be cancelled.

Previously created leg can be removed by clicking on the on the left side of legs table.

g) By clicking on Submit a pop up requesting confirmation of Third Party Order creation will be displayed. Upon confirmation the Third Party Order is sent to the market


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h) A pop up showing the confirmation of Third Party Order Creation will be displayed.


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Third Party Order Monitor window (reserved to the “Sender” of a Third Party)

a) The status of the TP proposals sent to counterparties for acceptance is available to the Initiator in the “Third Party Monitor” window:

b) Created proposals are listed and grouped by Internal Key and ID (Market Code + Instrument Symbol + Market Order Id).

c) For each Third Party, the following data are provided:

o Internal Key ID;


o Market Order ID

o Third Party Creation Time;

o Third Party Status Last Update time;

o Market;

o Bundle Status;

o BTS® Creator User;

o TraderId (identifier of the Sender of the Third Party).

d) For each proposal, the following data are provided:


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o Internal Key ID;

o ID (Market Code + Instrument Symbol + Market Order Id);

o Market Order ID.

o Proposal Creation Time;

o Proposal Status Last Update time;

o Instrument Id;

o Proposal Status

o IDB Member (description of the creator of the TP proposal);

o Counterparty (identifier of the receiver of the TP proposal);

o Side (referred to the Counterparty);

o Price;

o Quantity;

o Proposal ID.


1) WFA : Waiting for Acceptance;

2) A : Accepted;

3) ERR : Error;

4) CWFA : Cancelled, Waiting for acceptance;

5) RJ : Rejected.

Each status is identified by a specific text colors.

f) Via Context Menu, it is possible to delete the entire Third Party.

Reject button is available by right clicking on Third Party row or on the dedicated button.


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Once the Third Party is rejected, its status is updated to RJ.

Manage received Third Party Order

Bundle Order/Third Party Manager” window

a) The Receiver of a Third Party can manage the received proposals from “Bundle Order/Third Party Manager” window:


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b) Received proposals are listed and grouped by ID.

Since bundle “Order/Third Party manager” window displays both TP and BO proposals, for instructions regarding Reject, Accept, Cancel and Edit a Third Party proposal, please refer to Bundle Order section.

Disclaimer Heading

This document contains text, data, graphics, photographs, illustrations, artwork, names, logos, trade marks, service marks and information (“Information”) connected with Borsa Italiana S.p.A. (“Borsa Italiana”). Borsa Italiana attempts to ensure Information is accurate, however Information is provided “AS IS” and on an “AS AVAILABLE” basis and may not be accurate or up to date. Information in this document may or may not have been prepared by Borsa Italiana and in this last case is made available without responsibility on the part of Borsa Italiana.

The publication of this document does not represent solicitation, by Borsa Italiana, of public saving and is not to be considered as a recommendation by Borsa Italiana as to the suitability of the investment, if any, herein described.

Contact Details

Borsa Italiana Clients Technology Service Team

Technical Account Management Italy

[email protected]

+39 02 72426348/606/647

Service Desk Italy

[email protected]

Toll Free: 0080026772000

From mobile: +39 02 45411399

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