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December 2015
System Training –Xetra and Börse Frankfurt (Frankfurt Stock Exchange)
December 2015
Proof of practical experience for admission as trader at FWB
December 2015
All proprietary rights and interest in this publication shall be vested in Deutsche Boerse AG Administration and Management and all other rights including, put without limitation, patent, registered design, copyright, trade mark, service mark, connected with this publication shall also be vested in Deutsche Börse AG
Whilst all reasonable care has been taken to ensure that the details contained in this publication are accurate and not misleading at the time of publication, no liability is accepted by Deutsche Börse AG for the use of information contained herein in any circumstances connected with actual trading or otherwise. Neither Deutsche Börse AG, nor its servants nor agents, is responsible for any errors or omissions contained in this publication which is published for information only and shall not constitute investment advice. This brochure is not intended for solicitation purposes but only for the use of general information.
All descriptions, examples and calculations contained in this publication are for guidance purposes only and should not be treated as definitive. Deutsche Börse AG reserves the right to alter any of its rules or product specifications, and such an event may affect the validity of information in this publication.
The following names and designations are registered trademarks of Deutsche Börse AG:
Deutsche Börse®; Eurex®; FWB®; Xetra®; DAX®; MDAX®; TecDAX®; SDAX®; DivDAX®; DAXplus®; DAXglobal®; ShortDAX®; GEX®; CDAX®; HDAX®; VDAX®; VDAX-NEW®; Classic All Share®; Technology All Share®; RX REIT Index®; ÖkoDAX®; CX®; RDAX®; REX®; eb.rexx®; eb.rexXJumbo Pfandbriefe®; PEX®; L-DAX®; L-MDAX®; L-TecDAX®; L-SDAX®; iNAV®; FDAX®; ODAX®; SCHATZ-FUTURE®; Buxl®; EXTF®; Euro-GC Pooling®; XTF Exchange Traded Funds®; Eurex Repo®; Eurex Bonds®; Xetra-Gold®; Xetra BEST®; Xetra Stars®; Xetra XXL®; Newex®; Börse Frankfurt Smart Trading®; Deutsche Börse Listing Partner®; ExServes®; AlphaFlash®; CEF®; CEF alpha®; TRICE®; xlaunch®; Xpider®; StatistiX®; Xpect®; ERS®; PROPRIS®; Vision&Money®; 1585®.
CFF®, Vestima® and Xemac® are registered trademarks of Clearstream International.
These names and trademarks, as well as all other trademarks and protected rights mentioned on this website are subject unreservedly to the applicable trademark law in each case and are not permitted to be used without the express permission of the registered owner. The simple fact that the website mentions them does not imply that trademarks are not protected by the rights of third parties.
The STOXX® indices, the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited, Zurich, Switzerland and/or its licensors which is used by Eurex Frankfurt AG under license. Eurex' derivatives based on the STOXX indices are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto.
Deutsche Börse Cash Market 2System Training - Xetra and Börse Frankfurt
December 2015
1Introduction
2Continuous trading/Mini Auction
4Rules and regulations
5Trading Risk Limits
3Continuous auction
Deutsche Börse Cash Market 3System Training - Xetra and Börse Frankfurt
6Basic trading functions(Xetra J-Trader)
December 2015
Overview Deutsche Börse's Cash Market
Trading platform (MIC) Xetra (XETR) Frankfurt Stock Exchange (XFRA)
Tradable instruments§ Shares§ ETFs/ETPs§ Company Issued Warrants
In principle all instruments listed at FWB
Trading models
§ Continuous trading in connection with auctions§ Mini Auction in connection
with auctions
§ Continuous auction– Specialist model – Market Maker model
(structured products only)
§ Single auction within the Specialist model
Trading participants
§ Traders(agent/proprietary trading)
§ Designated Sponsors§ BEST Service Providers
§ Traders(agent/proprietary trading)
§ Specialists§ Market Makers
(for structured products)
Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt 4
December 2015
Overview trading interfaces
Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt 5
Trading functionalityEnhanced Transaction Solution
FIX Gateway
VALUES API
Web-Trading(J-Trader)
Order typesNon persistent orders Yes Yes Yes No
Intelligent Orders No Yes No No
TOP / TOP+ Order Yes No No No
QuotationDesignated Sponsor Yes No Yes Yes
Specialist No No Yes Yes
OTC entry & reporting Yes Yes Yes Yes
Trading Risk Limits Yes Yes Yes Yes
Cross request Yes No Yes Yes
Clearing member stop button No No Yes Yes
User administration No No No Yes
December 2015
Overview market data Interfaces
Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt 6
Market data Enhanced Broadcast Solution
Xetra Market Data Interface
VALUES API Web-Trading(J-Trader)
Order book depth in continuous trading Up to 20 limits Up to 5 limits Up to 10 limits Up to 10 limits
Netted broadcast No Yes Yes Yes
Reference data Yes No Yes Yes
December 2015
1Introduction
3Continuous auction
2Continuous trading/Mini Auction
4Rules and regulations
5Trading Risk Limits
Deutsche Börse Cash Market 7System Training - Xetra and Börse Frankfurt
6Basic trading functions(Xetra J-Trader)
December 2015
Trading segments Xetra (XETR)
§ Similar trading parameters for each segment (except tick sizes)
§ Criteria for segmentation are e.g.: instrument type, currency, index membership and country of origin
§ ETFs (EUR, GBP, USD, CHF, CNY*)
§ Shares
§ DAX, MDAX, STOXX …
§ Asia, Great Britain, …
§ Company Issued Warrants
* In systems and handbooks of Deutsche Börse AG used for offshore renminbi.
System Training - Xetra and Börse Frankfurt Deutsche Börse Cash Market 8
December 2015
Trading forms
Continuous trading Auction
Order book transparency Open order book
Partially closed order bookDisplay of indicative auction price with turnover and surplus or best bid/ask with volume
Price determinationContinuous price determinationPrice/time priority
Concentration of liquidityPrinciple of most executable volume
Trading phase TradeCall with random endPrice determination if possible*
Safeguards Volatility interruptionLiquidity interruption
Market order interruptionVolatility interruption
PDRECALL
* Display of valuation price without turnover for selected ETFs in closing auctions, if price determination is not possible
Deutsche Börse Cash Market 9System Training - Xetra and Börse Frankfurt
December 2015
Trading model - Continuous trading in connection with auctions
Pre trading Post tradingMain trading phase
CET
7.30 am 8.30 pm
Information about the auction plan and trading parameters are available on www.xetra.com > trading > trading information
8.50 am 5.35 pmAll times without safeguards
Closingauction
5.30 to 5.35 pmfor DAX instruments
Openingauction
8.50 to 9.00 amfor DAX instruments
auction1.00 to 1.02 pm
Continuous trading(interrupted by auction)
Continuous trading in connection with auctions
10Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt
December 2015
Trading model - Mini Auction in connection with auctions
§ Improvement of price quality for selected passive investment products§ Structure of trading day corresponds to structure of trading model continuous trading in
connection with auctions§ During pre-auction phase the order book is open§ In the event of an executable order book situation call phase of a mini auction starts, during
the call phase the order book is partially closed§ In case the Designated Sponsor with the best quote in the order book prior to the start of the
mini auction updates its quote the mini auction ends ahead of time§ Auction price can trigger a volatility interruption§ Liquidity interruptions in selected instruments
Min
i Auc
tion
1
… ……
Min
i Auc
tion
2
Min
i Auc
tion
3
Min
i Auc
tion
4
Min
i Auc
tion
6
Min
i Auc
tion
n
… … …… …
Min
i Auc
tion
5
… ClosingAuction
Opening auction
Intradayauction
Pre-auction phase
11Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt
December 2015
Provision of Additional Liquidity by Designated Sponsors
§ Only in the trading models “Continuous trading in connection with auctions” and “Mini auction in connection with auctions”
§ Banks or financial services companies admitted to trading at the exchange (FWB)
§ Market participants can ask for liquidity in instruments with DS by a quote request
§ Obligation to quote in line with the minimum requirements(e.g. minimum quote quantity, maximum spread, participation rate in auctions)
§ No significant information advantage compared to other market participants
§ Not a monopolist, there can be one or more DS for an instrument
§ One DS can sponsor more than one instrument
§ Trading fees for trades executed as a Designated Sponsor will be remitted in full at the end of a period if the minimum requirements are met
12Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt
December 2015
Safeguards
§ Occurs if potential execution price lies outside a pre-defined price range§ Change of trading form (continuous trading) or call phase extension (auction)§ Ensuring price continuity, extended volatility interruption in the event of
significant divergence
§ Occurs in the event of a market order surplus at the time of price determination (only in auctions)
§ Call phase extension§ Improves the execution probability of market orders during auctions
Volatility interruption
Market Order interruption
Deutsche Börse Cash Market 13System Training - Xetra and Börse Frankfurt
§ Occurs in the event of an executable order book situation in continuous trading or in the pre-auction phase of a mini auction without Designated Sponsor quote in the order book
§ Change of trading form § Ensuring price quality
Liquidity interruption
December 2015
Volatility Interruption - Price ranges
Price
Time
II potential price
reference price 2(last auction price)
reference price 1(last traded price)
dyna
mic
pric
e ra
nge
I
stat
ic p
rice
rang
e
Dynamic price range: reference price (1) = last traded price of a security
Static price range: reference price (2) = last auction price of a security
Price ranges are stipulated individually for each security, are not published and regular verified and adjusted to correspond with the actual market situation
Deutsche Börse Cash Market 14System Training - Xetra and Börse Frankfurt
December 2015
Volatility interruption at slight indicative price variations
Price
Time
Dyn
amic
pric
e ra
nge
Sta
tic p
rice
rang
e
Opening Auction Volatility Interruption (Auction)
A volatility interruption occurs if the indicative price lies outside the static price corridor. The determined auction price leads to new reference price
A steady increase/decrease of prices will lead to a volatility interruption if the next indicative price breaks the static corridor
Deutsche Börse Cash Market 15System Training - Xetra and Börse Frankfurt
December 2015
Volatility interruption during continuous trading
Time
Continuous trading Continuous trading
PDVola
Volatility interruption
Interruption of continuoustrading, as the potential execution price is outside a pre-defined price range
Market participantsmay react by modifying/deletingexisting orders, orby entering new orders
Auction only orders are not considered, orders from continuous trading only PD = Price Determination (if possible)
Deutsche Börse Cash Market 16System Training - Xetra and Börse Frankfurt
December 2015
Volatility interruption in an auction / Mini auction
Time
Indicative price
CALL
Extended call phase PD
Continuous trading
Outside the pre-defined price rangeat the end of the call phase
Non-executed orderswhich are not restrictedto auctions
Market participantsmay react by modifying/deletingexisting orders, orby entering new orders
PD = Price Determination (if possible)
Extended call phase
Deutsche Börse Cash Market 17System Training - Xetra and Börse Frankfurt
December 2015
Extended volatility interruption
§ Further extension of the call phase if the potential execution price lies outside of the double dynamic price range
§ Volatility interruption is terminated manually§ Trader who had entered the order will be contacted by the exchange
Aim: Avoidance of mistrades
ContinuousTrading
Vola
ContinuousTrading
Indicative price outside of one price range
PDExtended Vola
Respective trader verifies/confirms the order; manual control by market supervision
Indicative price outside of the double dynamic price range
Time
F*
* Freeze phase is started and terminated manually by market supervision
18Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt
December 2015
Liquidity interruption in continuous trading or in the pre-auction phase of a mini auction
§ Only for selected Exchange Traded Funds or Exchange Traded products§ Occurs in the event of an executable order book situation without Designated Sponsor (DS)
quote in the order book§ Procedure equals volatility interruption§ Ends after maximum duration or ahead of time due to DS quote submission§ If the potential price is outside of one of the price ranges a volatility interruption follows
time
Continuous trading/pre-auction phase Continuous trading/ pre-auction phase
PDVola indicator L
Liquidity Interruption
Executable order book situationwithout DS quote
PD = price determination (if possible )
Ends as soon asa DS quote is entered
19Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt
December 2015
Market order interruption
Time
CALL
Extended call phase PD
Continuous trading
Auction (extended)
Extended call in theevent of market ordersurplus
Market is informed about market order interruption
Non-executed orderswhich are not restrictedto auctions
PD = Price Determination (if possible)
Deutsche Börse Cash Market 20System Training - Xetra and Börse Frankfurt
December 2015
Basic order types and attributes
Validityconstraints
* Any unexecuted part of a market-to-limit order is entered into the order book with a limit equal to the price of the firstpartial execution
** max. 360 calendar days (T+359)
Good-for-day (GFD) / Good-till-date (GTD)** / Good-till-cancelled (GTC)**
Tradingrestrictions Opening Auction only (OA) / Closing Auction only (CA) / Auction only (AU)
Market-to-limit order
unlimited order, to be executed at the best limitin the order book*
Limit order
be executed at their specified limit or better
Market order
to be executed at thenext price determined
21Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt
December 2015
Execution conditions in countinuous trading
IOC immediate-or-cancel Immediate execution as far as possible, non executed partsare deleted
BOC book-or-cancel(limit orders only)
Placed as resting liquidity to ensure passive execution, if immediate execution is possible it is rejectedVolatility and Liquidity interruption: Deletion of existing orders and rejection of new orders
FOK fill-or-kill Immediate full execution, if not possible it is rejected
Deutsche Börse Cash Market 22System Training - Xetra and Börse Frankfurt
TOP and TOP+(Enhanced Transaction Solution only)
Accepted and added to the order book if it is not immediatelyexecutable against a visible order in the order book and if the total value of all orders on the same order book side with equal or betterlimits is below a certain threshold value (different for TOP or TOP+)Volatility and Liquidity interruption: Deletion of existing orders and rejection of new orders
December 2015
Stop Market and Stop Limit Order
§ A buy (sell) stop order is triggered as soon as the last price is equal to or higher (lower) than the stop limit (trigger limit)§ Upon entry, stop orders are written into a separate stop order book which is not
transparent to the market§ After a stop market order is triggered, the order is transferred without limit into the
order book, a stop limit order with the respective limit§ If the order is still in the stop order book each modification leads to a new time
stamp (even internal text field)
Additional limit for Stop limit order
System Training - Xetra and Börse Frankfurt Deutsche Börse Cash Market 23
December 2015
Waivers from Pre-trade Transparency
In order to facilitate large transactions without market impact MiFID I has allowed for exemptions from the otherwise strict pre-trade transparency regime. These exemptions apply for:§ trading at the reference price of an instrument (reference price waiver),§ negotiating the price bilaterally (negotiated trade waiver),§ orders exceeding a certain size (large-in-scale waiver) or§ orders in the order management system of the exchange (order management facility waiver)
With MIFID II these exemptions will be severely restricted:§ trading securities using the reference price waiver or the negotiated price waiver will then be
limited for each instrument to 4 percent per trading venue and 8 percent for the overall European market (volume cap waiver)*§ exceeding these limits will lead to a six-month suspension of dark trading in the respective
instrument
* These volume caps are not valid for negotiated transactions in shares or similar instruments, where a liquid market is not available.
System Training - Xetra and Börse Frankfurt Deutsche Börse Cash Market 24
December 2015
Orders with pre-trade transparency waivers
Deutsche Börse Cash Market 25System Training - Xetra and Börse Frankfurt
Volume Discovery Order Order exceeds a certain size*(Large-in-scale Waiver/Order Management Facility Waiver)
Iceberg Order Order is in the order management system of the Stock Exchange (Order Management Facility Waiver)
Hidden Order Order exceeds a certain size* (Large-in-scale Waiver)
Midpoint Order Trading at the reference price of an instrument (Reference Price Waiver)
* The minimum order size per security is defined by „European Securities and Markets Authority“ (ESMA) and avialable under: http://mifiddatabase.esma.europa.eu/For instrument not listed in the MiFID database the minimum order size is defined by the board of management of FWB.
December 2015
Iceberg Order
§ Only peak size (and remaining part of it) is active in continuous trading
§ Each subsequent peak is submitted with a new timestamp
§ Full size activated during auctions
§ Potential visibility during auctions (full size)
§ Minimum overall volume 1.000, minimum peak size 1
§ Peak size has to be at least 5 % of the overall volume (peak-to-total ratio: 1:20)
System Training - Xetra and Börse Frankfurt Deutsche Börse Cash Market 26
December 2015
Volume Discovery Order
§ Parameter analog iceberg order with peak-to-total ratio: 1:100, additional§ second limit§ instrument parameter „Volume Discovery Minimum Execution Quantity“ (MEQ)*§ Second limit is not used for price determination. It serves as a boundary for midpoint
executions and has to be higher (lower) then the visible limit of the buy (sell) iceberg order§ Hidden parts of volume discovery orders are only executed against other hidden parts of
volume discovery orders at the midpoint. No execution against visible orders in the order book or midpoint orders.§ Matching of the hidden parts accords to price time priority which is deducted from the visible
limit of the volume discovery order§ Execution restriction GTX (Good till Crossing/Auction): order gets deleted with the beginning
of the call phase of any auction/volatility interruption
*Daily calculation with instrument master data availble (via Enhanced Broadcast Solution-interface, Common Report Engine or Xetra Member Section).
System Training - Xetra and Börse Frankfurt Deutsche Börse Cash Market 27
December 2015
Hidden Order
§ Minimum order size has to be exceeded(Large-in-scale waiver)
§ Same matching rules as limit orders (price/time priority)
§ In continuous trading the visible orders (includingthe hidden volume of iceberg orders) are always executed with priority (price-visibility-time priority)if at one price both visible and hidden orders do exist
§ For determination of the auction price, hidden orders are fully considered (according to strict price/time priority)
§ If determination of an indicative auction price is not possible, hidden orders are not considered for disclosure of the best bid and/or best ask limit
System Training - Xetra and Börse Frankfurt Deutsche Börse Cash Market 28
December 2015
Midpoint Order
§ Hidden in a separate order book (reference price waiver)§ Execution only against other midpoint orders
– at the midpoint of Xetra best bid/best ask spread– only within the dynamic and/or static price range– according to volume/time priority§ Execution conditions immediate-or-cancel or fill-or-kill are supported§ Limit are optional, limit serves as cap (floor) at which a buy (sell) midpoint order
may be executed (not considered for price determination)§ Minimum acceptable quantity (MAQ/MinAccQty) is optional, not combinable with
FOK
System Training - Xetra and Börse Frankfurt Deutsche Börse Cash Market 29
December 2015
Intelligent order types (FIX Gateway only)
One-Cancels-Other (OCO) § Combines a limit and a stop order§ Execution of the order which limit or stop limit is reached first
Trailing Stop Order§ In addition to the regular stop limit an absolute or percentage distance
between the stop limit and the current reference price have to defined§ The stop limit adjusts automatically to the development of the reference
(price determination or quote depending on trading form)§ Monitoring of effective Trailing Stop Limit via web based solution possible
Order-on-Event§ Execution will be possible after a predefined reference price level is reached,
exceeded or fallen below (trigger event)§ A reference can be a future or an index level
System Training - Xetra and Börse Frankfurt Deutsche Börse Cash Market 30
December 2015
Order deletion
Reason for deletion
Code in the Report„Daily Order Maintenance“
Explanation
Corporate action CPA Next trading day is ex-capital adjustment for the instrument
Last trading day LTD Last trading day of the instrument was reached today
Expired validity VAL Order is no longer valid for next business day
Change of trading parameters CTP
A trading relevant instrument parameter has changed, e.g. the Trading Model
Instrument suspension SUS Trading is suspended e.g. because of ad-hoc information.
Trading Risk Limit TRL Halt limit exceeded
Clearing Member Stop Button CMS
Clearing Member has stopped its Non-Clearing Member’s trading activity because agreed risk limits were exceeded
Deutsche Börse Cash Market 31System Training - Xetra and Börse Frankfurt
December 2015
Price Determination
§ Price determination is carried out according to price/time priority§ Only market orders involved: orders are executed at the reference
price
§ Limit with maximum executable order volume (principle of maximum executable volume)
§ More than one limit possible: lowest surplus or reference price is considered.
§ Only market orders in the order book: the auction price is the reference price
§ Only existing order limits or the reference price are considered for price determination
Auction
ContinuousTrading
Principle
Deutsche Börse Cash Market 32System Training - Xetra and Börse Frankfurt
December 2015
Price Determination in Auctions
The auction price is determined on the basis of the order book situation stipulated at the end of the call.
1. Limit with the maximum executable order volume and lowest surplusMaximumvolume
Marketdirection
Pricecontinuity
2. Highest limit for a surplus of demand 3. Lowest limit for a surplus of offerings
More than one limit?
Surplus on both order book sides/ no surplus?
4. Reference price (RP) between possible limitsa) RP = possible limit = auction price (AP)b) RP = not a possible limit and not exactly middle, AP = nearest limit to RP c) RP = not a possible limit, but exactly middle of the highest and lowest possible limit,
AP = highest limit
5. Reference price outside of possible limits, AP = nearest limit to RP
System Training - Xetra and Börse Frankfurt Deutsche Börse Cash Market 33
December 2015
Price Determination in Auctions
Corresponding to this limit, the auction price is fixed at € 200.
Bid AskQuantity Acc. Surplus Limit Surplus Acc. Quantity
Quantity Quantity
There is exactly one limit at which the highest order volume can be executed andwhich has the lowest surplus.
Example re. No. 1
200400700700700
700 700700600400
100300
500300
Limit 200 202Limit 200 201Limit 300 200 100 Limit
198 200 Limit197 400 Limit
Deutsche Börse Cash Market 34System Training - Xetra and Börse Frankfurt
December 2015
Corresponding to the highest limit, the auction price is fixed at € 201.
Limit 400 202Limit 200 201
199 300 Limit198 200 Limit
Price Determination in Auctions
There are several possible limits and there is a surplus of demand.
Bid AskQuantity Acc. Surplus Limit Surplus Acc. Quantity
Quantity Quantity
400600600600
500500500200
100100400
100
Example re. No. 2
35Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt
December 2015
Price Determination in Auctions
There are several possible limits and there is both a surplus of demand and offerings.
Bid AskQuantity Acc. Surplus Limit Surplus Acc. Quantity
Quantity Quantity
Market 100 100 Market 100 200100 202 100 200 100 Limit
Limit 100 200 100 199 100200 100 Market 100 100 Market
a) RP € 199.00, b) RP € 200.00,c) RP € 201.00,d) RP € 200.50,
RP between the possible limitsAuction price either equals the reference price or is fixed according to the limit nearest to the reference price (exception c)
auction price is € 199.00auction price is € 199.00auction price is € 202.00auction price is € 202.00
Example re. No. 4
36Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt
December 2015
Price Determination in Continuous Trading
Existing orders on the opposite side of the order book
Inco
min
g or
der
Reference price
Reference price
Lower of reference price
or buy limit
Higher ofreference price
or sell limit
Lowest ask limit
Highestbid limit
Lowest ask limit
Highestbid limit
Lower ofreference price
or ask limit
Higher ofreference price
or bid limit
Lower ofreference price
or limits
Higher ofreference price
or limits
Buymarket order
Sellmarket order
Buylimit order
Selllimit order
Market order Limit order Market andlimit order
37Deutsche Börse Cash MarketSystem Training - Xetra and Börse Frankfurt
December 2015
Price Determination in Continuous Trading
Existing orders on the opposite side of the order book
Inco
min
g or
der
Reference price
Reference price
Lower of reference price
or buy limit
Higher ofreference price
or sell limit
Lowest ask limit
Highestbid limit
Lowest ask limit
Highestbid limit
Lower ofreference price
or ask limit
Higher ofreference price
or bid limit
Lower ofreference price
or limits
Higher ofreference price
or limits
Buymarket order
Sellmarket order
Buylimit order
Selllimit order
Market order Limit order Market andlimit order
Existing orders on the opposite side of the order book
Inco
min
g or
der
Reference price
Reference price
Lower of reference price
or buy limit
Higher ofreference price
or sell limit
Lowest ask limit
Highestbid limit
Lowest ask limit
Highestbid limit
Lower ofreference price
or ask limit
Higher ofreference price
or bid limit
Lower ofreference price
or limits
Higher ofreference price
or limits
Reference price
Reference price
Lower of reference price
or buy limit
Higher ofreference price
or sell limit
Lowest ask limit
Highestbid limit
Lowest ask limit
Highestbid limit
Lower ofreference price
or ask limit
Higher ofreference price
or bid limit
Lower ofreference price
or limits
Higher ofreference price
or limits
Buymarket order
Sellmarket order
Buylimit order
Selllimit order
Buymarket order
Sellmarket order
Buylimit order
Selllimit order
Market order Limit order Market andlimit orderMarket order Limit order Market andlimit order
500 Market500 201
BidTime Quantity Limit
AskLimit Quantity Time
BidTime Quantity Limit
AskLimit Quantity Time
The incoming sell order is partial executed in two steps. 500 against the market order at € 202 (reference price) and 500 against the limit order at € 201.
The reference price is € 202.
Incoming order:Sell order, limit € 198quantity 1500 shares
500 Market500 201
198 500
Deutsche Börse Cash Market 38System Training - Xetra and Börse Frankfurt
December 2015
1Introduction
3Continuous Auction
2Continuous Trading/Mini Auction
4Rules and regulations
5Trading Risk Limits
Deutsche Börse Cash Market 39System Training - Xetra and Börse Frankfurt
6Basic trading functions(Xetra J-Trader)
December 2015
* Defined by the issuer** Consolidated Exchange Feed, central information dissemination system of Deutsche Börse AG, quotes are displayed on
www.scoach.de
Overview Continuous Auction - Frankfurt Stock Exchange (XFRA)
All times CETStructuredproducts Funds
EquitiesETFs & ETPs Bonds
Trading timeSingle auction
9.00 am - 8.00 pm11.00 am - 1.00 pm
8.00 am - 8.00 pm-
8.00 am - 8.00 pm-
9.00 am - 5.30 pm11.00 am - 1.00 pm
Trading model Market Maker / Specialist model* Specialist model Specialist model Specialist model
Quote binding / indicative indicative indicative indicative
Quote display/ dissemination via CEF**
Xetra(MR Bid/Ask)
Xetra(MR Bid/Ask)
Xetra(MR Bid/Ask)
Deutsche Börse Cash Market 40System Training - Xetra and Börse Frankfurt
December 2015
Continuous Auction
CET
Pre trading Post trading
Continuous Auction with 1 to n auctions(number of auctions depends on trading activity
in the respective instrument)
Main trading phase
Auction
Market Maker model
Price determinationCallPre-Call
Auto-execution
Price determinationFreezePre-Call
Specialist model
Auction Auction Auction
7.00 am 8.00 / 9.00 am 5.30 / 8.00 pm 8.30 pm
Deutsche Börse Cash Market 41System Training - Xetra and Börse Frankfurt
December 2015
Continuous Auction with Specialist
§ Order entry, modification, deletion§ Quote request with Quote ID for structured products (via FIX Gateway and
Enhanced Transaction Solution only)§ Basically the order book is closed, indicative quote is displayed only or for
structured products disseminated via CEF
§ Order book freeze initiated by the Specialist as soon as the limit control system indicates an executable order book situation§ Order book transparency analogue XPREC§ New orders, modifications or order deletions are entered in a looked stock
queue and not used for the next price determination§ Specialist is able to enter, modify or delete orders on behalf of other trading
participants
§ Price determination by the system after entry of a matching quote (if still executable orders in the order book) according to the modified principle of highest executable volume
PreCall (XPREC) Freeze (XFRZ) PD
XPREC
XFRZ
PD
XPREC XFRZ PD XPREC …
System Training - Xetra and Börse Frankfurt Deutsche Börse Cash Market 42
December 2015
Modified principle of highest executable volumeExample midpoint
43
100200400800
1400 10001000800400400
1400900800400
Bid AskQuantity Acc. Surplus Limit Surplus Acc. Quantity Quantity Quantity
Several possible limits with no surplus or same surplus on bid and ask.
The midpoint of the highest and lowest possible limit is calculated and used as auction price.
200 400 QuoteLimit 100 199Limit 100 198 200 LimitLimit 200 197 400 LimitQuote 400 196 400 Limit
Corresponding to the midpoint of 196 and 197 the auction price is fixed at 196.50 €.
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Order types and attributes
Basic order types Market and limit orderValidity constrains Good-for-day (GFD)
Good-till-date (GTD)* Good-till-cancelled (GTC)*
Trading restriction Special Auction (SA)Execution conditions Stop Market and Stop Limit order
Triggered by bid or ask limit of the specialist or market maker quote
Intelligent order types(FIX Gateway only)
Trailing Stop (reference is the quote)
One-Cancels-Other order (Stop order is triggered by the quote)
Order-on-Event (reference can be a price determination in a future or an index level)
* max. 360 calendar days (T+359)
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Quote Request driven trading in Continuous Auction with Specialist
§ Via FIX Gateway or Enhanced Transaction Solution Interface only§ For all instruments traded at Börse Frankfurt Zertifikate AG in continuous auction with
Specialist (exceptions: Special Auction or Single Auction flag set or are traded in subscription) § Quote requests must contain at least one instrument and a QuoteID (numeric data) and must
be unique per instrument and member § The Specialist is obliged to send an answer using the same QuoteID as a reference. The
Specialist may either answer the request with a quote (single or double sided) or with an empty quote and a corresponding rejection reason (e. g. “A” Requested size too small, “B” Requested size too big, “S” Sold out)§ In case the Specialist does not answer in due time Xetra will close the open quote request
with rejection reason “X”§ The quote requestor have to enter an order within the respective time frame using again the
QuoteID, orders entered after the time frame will be rejected§ Orders with a QuoteID are executed fully or not at all by the Specialist. In case the execution
will be not within a dedicated time frame the order is deleted automatically (even in phase “Freeze”)
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3Continuous Auction
4Rules and regulations
5Trading Risk Limits
1Introduction
2Continuous Trading
Deutsche Börse Cash Market 46System Training - Xetra and Börse Frankfurt
6Basic trading functions(Xetra J-Trader)
December 2015
MistradeApplication
Continuous trading with auctionsMini auction in connection with auctions
Continuous auction
Reason Price not in line with market conditions*Price not in line with market conditions*,exchange rate does not comply with the requirements
Applicant CounterpartiesCounterpartiesSpecialistQuote Provider
Deadline Latest 10 minutes upon receipt of the execution confirmation
Latest upon 2 hours (in case of application via phone1 additional hour to inform in writing)
Form in writing, via telephone, fax or e-mail
Details
Company and contact person of applicantName of security and ISINTime, volume and price of transactionDetails regarding the price in line with the market
Contact + 49 (0)69 - 211 - 1 14 [email protected]
+ 49 (0)69 - 211 - 1 38 [email protected]
Cancellation of Transactions upon Application (Mistrade Rule) §§ 23 - 28 Conditions of transactions (in extracts)
* In §§ 25 to 28 of the Conditions for Transactions on FWB the parameters for prices in line with market conditions are defined
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Official Cancellation of Transactions§ 29 Conditions of transactions (in extracts)
The Management Board cancels a transaction if
§ the price of the transaction is obviously not in line with market conditions anda mistrade application is missing
§ it based on an error in the technical system of the exchange§ an event leading to a cancellation of existing orders have not or erroneously
been realized by according system entries (e.g. dividend payment)§ the price was determined outside of the predefined period in which the
Specialist should determine prices in single auction in continuous auction with Specialist
§ the price was determined outside the trading hours
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Deletion of Orders§ 31 Conditions of transactions
The Management Board may officially delete orders if it becomes aware of orders:
§ which, in case of their execution, would result in transactions which would have to be cancelled by the Management Board upon application or officially, and
§ for which the companies admitted for trading for whom the orders have been entered, are not available for feedback concerning the entered orders.
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Cross trades and pre-arranged trades§ 3 Conditions of transactions
Orders and binding quotes concerning the same security must not be entered if they are immediately executable against each other§ neither knowingly by one or more traders of the same company (cross trade)§ nor, after prior arrangement by traders of two different companies
(pre-arranged trade)
If a cross request with the respective volume has been entered prior and the orders/quotes are entered within the required period in continuous trading
§ Order-/quote entry earliest 5 seconds and latest 35 seconds after the cross request
Exception
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Self Match Prevention (SMP) in Continuous Trading
§ Crossings are forbidden in some home states of Xetra trading participants§ SMP functionality prevents the execution of
orders/quotes against any other orders/ quotes of the same member in the same instrument§ A “CrossID” (numeric value) can be set
individually by the members themselves(different values/CrossID possible)§ Orders/quotes which become executable
against each other during a volatility interruption or a regular auction will not be validated for the SMP criteria.
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SMP Process
An incoming SMP-Order* is matched until it hits a sitting SMP-Order of the same participantwith the same CrossID, after that the SMP process is triggered:
Incoming SMP-Order = First SMP-Order in the order book
Both SMP-Orders will be deleted
Incoming SMP-Order < First SMP-Order in the order book
The incoming SMP-Order will be cancelled and the quantity of the sitting SMP-Order will be reduced by the incoming order’s quantity
Incoming SMP-Order > First SMP-Order in the order book
§ The incoming order’s (remaining) quantity will be reduced by the sitting SMP-Order’s quantity and the sitting order is deleted.
§ The incoming SMP-Order’s then remaining quantity will match against other executable sitting orders
- until there are no further executable orders on this price level, until it is fully executed or
- until it hits another sitting SMP-Order on this price level and the described steps will be repeated
- in case there is still quantity left from the incoming SMP-Order after matching on the respective price level has completed, it will not match further price levels but will be cancelled.
.
* Order or Qqote with CrossID
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Trading on behalf § 44 (4) Exchange Rules
§ Application by the trader
§ Trading on Behalf service will only be offered if sufficient staff resources available at Market Supervision Xetra/Scoach
§ Authorization by the valid Xetra trader ID
§ Market Supervision will enter or modify on behalf of the market participant
§ Immediate confirmation of the entry/modification by fax
In cases of technical problems on the trading participant's side, there is the possibility to give instructions via telephone to Market Supervision
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Identification of algorithmic orders § 72a Exchange Rules &Order to Trade Ratio § 72b Exchange Rules
Identification of algorithmic orders and trading algorithms
§ Trading participants are obligated to mark the orders or binding quotes generated through algorithmic trading within the meaning of § 33 Paragraph 1a Clause 1 of the German Securities Trading Act and to identify the trading algorithms used in each case (Compliance ID)
Order to Trade Ratio
§ Trading participants are obligated to ensure an adequate ratio between order- and binding-quote-entries, -modifications, and –deletions (order-entries) and trades concluded
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4Rules and regulations
5Trading Risk Limits
3Continuous Auction
1Introduction
2Continuous Trading/Mini Auction
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6Basic trading functions(J-Trader)
December 2015
Trading Risk Limits
§ System-based risk management§ Two limits and one calculation method can be configured per trader subgroup and trading
platform (XETR und XFRA)
§ Takes all trades of one trader subgroup from a certain trading platform into account§ First set up is active on the next business day§ Afterwards the respective threshold values can be changed intra-day, especially to
reactivate a halted trader subgroup or to define new limits for the next trading day§ Modification of the calculation method is effective on the next business day
Calculation Method
Warning limit(smaller than halt limit)
Total Traded Volume (sums up all on-exchange trades)or
Netted Traded Volume (difference of buy and sell trades)Halt limit
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Trading Risk Limits in the J-Trader GUI
§ Maintenance of threshold values and calculation method and reactivation (increase of the Halt limit) of halted trader subgroups is done via the Trading Risk Limits window
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Trading Risk Limits in the J-Trader GUI
§ Trader receives warning message via the Message Log window
§ A trader of a halted trader subgroup cannot enter new orders/quotes, existing orders are deleted
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4Rules and regulations
5Trading Risk Limits
3Continuous Auction
1Introduction
2Continuous Trading/Mini Auction
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6Basic trading functions(J-Trader)
December 2015
Order Entry
Fast Order Entry
§ Window opens automatically upon login (depending on trading authorisation)§ Pre-filled by selecting a limit within a market overview window§ Average price displayed when multiple limits are selected§ Most fields are supported by context menus§ Quote Request input option§ Entered limit is checked for plausibility in trading model continuous trading only,
not in continuous auction
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Market Overview Continuous Trading (XETR)
Order Market Overview§ Displays market data for multiple instruments§ Choice of best bid/best ask or variable market depth (2-10)§ Display of own persistent orders (POwnBidQty/POwnAskQty) next to the respective limit§ Post trade transparency for Volume Discovery and Midpoint Order
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Market Overview Continuous Auction (XFRA)
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Own Orders Continuous Auction (XFRA)
Own Order Overview
PD (pending) in the column „TrdRes“ shows that the order was entered during the freeze phase and that it will be considered in the next price determination.
If the order will be deleted during the freeze in the specialist model (looked stock queue), a new order number is assigned to the respective deleted order.
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Order Maintenance Continuous Auction
§ Modification of an existing order§ Access via the "Own Order Overview“ window
§ Can be opened via the „modify“ button in the "Own Order Overview" window when an order is selected
§ Modification of ISIN, order book side (buy/sell) or order volume is not possible
§ New time stamp if- the limit is modified or- a longer validity is chosen
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Trade Information
§ Dynamic display of execution confirmations for own orders§ Settlement related trade details are not displayed within this window - can be retrieved
using Back Office Information window
Calculation of average price and accumulated quantities for selected execution confirmations
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Trading BoardIndividual configurable frame set with information and functionality of several windows
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Ticker
§ Real-time trading information for Xetra and external instruments § Up to 2.000 prices are displayed – no historic data
(TrdTyp: empty = Xetra, XM = midpoint or XB = Xetra Best)
Price type(PrcTyp)
O Opening auction
A Intraday auction
F Closing auction
C Continuous trading
V Volatility interruption
S Special Auction
M Mini Auction
L Liquidity interruption
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Xetra J-Trader Screencasts
§ Find more information on the Trading Board and other functionalities of the J-Trader front end on Capital Markets Academy web page
www.deutsche-boerse.com/cma
- under E-learning and mobile learning
- Screencasts trading systems
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Thank you for your attention!Capital Markets AcademyDeutsche Börse AG
60485 Frankfurt/Main
Germany
E-Mail: [email protected]