Introduction of T7 Release 10.0

Release date: 29 Apr 2021

026/2021 Introduction of T7 Release 10.0Xetra Circular 026/21

1. Introduction

Deutsche Börse plans to introduce T7 Release 10.0 on 22 November 2021 for the trading venues Xetra and Börse Frankfurt. The simulation for T7 Release 10.0 is planned to start on 13 September 2021.

This circular provides T7 Trading Participants with the T7 Release 10.0 timeline, planned scope and the communication schedule.

The following enhancements will be introduced in T7 Release 10.0:

  • Introduction of Multi-Currency trading for ETFs and ETPs 
  • Trading Hour Extension for Börse Frankfurt
  • Self-Match Prevention (SMP) and Matching Cascades
  • Introduction of the Automated Corridor Expansion Volatility Model
  • Enhancements to the Continuous Auction with Market Maker Trading Model
  • SFTP up/download functionality for non-MiFIR transaction reporting (Art. 26 (5) MIFIR)
  • SFTP upload functionality for short codes and algoIDs
  • Trading Sessions for the T7 FIX LF interface

Please note that T7 Release 10.0 will not be backwards compatible in ETI nor FIX and that some of the described functional changes are subject to regulatory approval.

Simulation start:     13 September 2021
Production start:     22 November 2021

2. Required action

Trading Participants are requested to initiate the preparatory steps for software readiness for the new T7 Release 10.0 on 22 November 2021. This will include the readiness of ETI and FIX implementations due to no backwards compatibility being offered for T7 Release 10.0.

3. Details of the T7 Release 10.0

A. Introduction schedule and Communication Calendar

The introduction schedule in the Attachment provides an overview of the timeline.

The Communication Calendar lists all important dates on which documents for T7 Release 10.0 will be published, including existing documents that will be revised for T7 Release 10.0.

In July 2021, the Frankfurter Wertpapierbörse (FWB®, the Frankfurt Stock Exchange) will publish the detailed preliminary Release Notes listing the functional and technical enhancements that will be available in T7 Release 10.0.

Deutsche Börse will provide a dedicated simulation environment in order to give Trading Participants and Independent Software Vendors (ISVs) the opportunity to perform comprehensive testing of their trading applications, independently of the T7 production. 

In addition to the T7 Release Simulation, Trading Participants can also use the T7 Cloud Simulation that allows Trading Participants and ISVs to test against the current T7 production and simulation software versions. In this environment, Trading Participants can initiate predefined market scenarios and test specific strategies more easily than in a shared environment. The T7 Cloud simulation is permanently available (24/7) for a fixed price per hour and is accessible using an SSL-encrypted internet connection. The T7 Cloud Simulation will start in advance to the usual Release Simulation. For more information on the T7 Cloud Simulation, please refer to the Xetra website www.xetra.com under the following path:

B. Scope of T7 Release 10.0

The following paragraphs provide an overview of the functional enhancements which will be introduced in T7 Release 10.0.

Introduction of Multi-Currency trading for ETFs and ETPs 

ETFs and ETPs are already traded in different currencies on the trading venue Xetra. The prerequisite is that a participant has registered for the trading currency. Each ISIN is traded in a specific trading currency. 

Starting with T7 Release 10.0, T7 Xetra will offer the possibility to trade the same ISIN in multiple trading currencies as dedicated individual instruments. This means that an instrument will relate to a specific ISIN/currency combination. This functionality is planned for ETFs and ETPs initially. Participants that are already registered or will register for a trading currency can use the new functionality.

Trading Hour Extension for Börse Frankfurt

With the introduction of T7 Release 10.0, the technical readiness will be achieved to allow trading of all instruments listed on the trading venue Börse Frankfurt until 22:00 CET.

Currently, trading ends at 22:00 CET for instruments of Börse Frankfurt Zertifikate. Trades in these instruments are all settled bilaterally without a central counterparty. For equity and ETF/ETP instruments of Börse Frankfurt, regardless of whether they will be cleared bilaterally or via a central counterparty, it is envisaged to also extend the trading hours to 22:00 CET with or after the launch of T7 Release 10.0. 

A key pre-requisite for this extension is that the central counterparty clearing is ensured for all trades until 22:00 CET. With the introduction of a new cash equity clearing platform at Eurex Clearing, which is scheduled to go live in September 2021, it is currently expected that this will be possible. 

Self-Match Prevention (SMP) and Matching Cascades

Starting with T7 Release 10.0, the SMP functionality will be adapted for T7 Xetra in order to allow matching cascades in the context of SMP events. In addition, it will be possible to enter FOK orders using the SMP functionality.

This enhancement will allow an aggressively incoming SMP order or quote to match further into the next price levels (quantity and limit permitting), even when a SMP event occurred on a previous price level. 

In contrast to today, any remaining quantity of an aggressively incoming regular order or quote with a SMP ID left after the matching cascade - possibly with SMP events - has completed will be processed according to the respective order validity and/or order restriction. This means it will either be written into the book or cancelled. 

Besides the quantity reduction caused by the SMP event, the matching process of an order with a SMP ID will not be different to an order without a SMP ID.

Each SMP event will be reported on each price level separately allowing customers to distinguish executed quantities from cancelled quantities for incoming orders or quotes or deleted quantities for sitting orders or quotes. This will lead to changes in the ETI and FIX Order related messages that will not be backwards compatible.

Introduction of the Automated Corridor Expansion Volatility Model

Starting with T7 Release 10.0, T7 Xetra will introduce the Automated Corridor Expansion (ACE) Volatility Model in the trading model Continuous Trading with Auctions. The existing volatility mechanism currently in place will also continue to be available. Deutsche Börse will define the volatility model assigned to each instrument.

In the ACE Volatility Model, volatility interruption price corridors will widen automatically in specified time intervals to allow for consecutively larger price deviations from the reference price. The price corridors applicable for the respective call phase will be pre-defined and disclosed to the market. Additionally, Deutsche Börse may define further price quality criteria for the resolution of volatility interruptions.

Enhancements to the Continuous Auction with Market Maker Trading Model

Starting with T7 Release 10.0, the instrument covers will be offered in the Continuous Auction with Market Maker trading model available at Börse Frankfurt Zertifikate as well as the possibility to assign quoting periods by Issuers to instruments traded in the Continuous Auction with Market Maker trading model. The instrument cover activation process will resemble the one that will be introduced with T7 Release 9.1 for the Continuous Auction with Specialist trading model.

SFTP up/download functionality for non-MiFIR transaction reporting (Art. 26 (5) MIFIR)

Deutsche Börse AG sold its Regulatory Reporting Business to MarketAxess (Press Release). Subsequently the DBG affiliates Frankfurt Stock Exchange and Eurex Frankfurt AG will offboard from technical infrastructure of the Regulatory Reporting Hub (RRH). As part of this migration process, the current Axway/RRH SFTP server used for non-MiFIR trading participant data up/downloads will be replaced. 

Non-MiFIR members are required to migrate their up/download processes to the Common Upload Engine (CUE) / Common Report Engine (CRE). The CUE will be implemented as central point of trading participant data uploads. CUE and CRE are SFTP servers and the respective account management will be done in the Member Section. Furthermore, the report creation procedure and structure will be optimized. More information will be provided in a further Xetra circular soon.

SFTP upload functionality for short codes and algoIDs 

Deutsche Börse AG will implement the Common Upload Engine (CUE) as central point of Trading Participant data uploads. The CUE is an SFTP server and the respective account management will be done in the Member Section analogue to the Common Report Engine (CRE). 

The currently used SFTP server for short code and algoID uploads is going to be migrated to the CUE. Therefore, Trading Participants using the current SFTP server are required to migrate their upload processes to CUE until T7 Release 10.0.

Trading Sessions for the T7 FIX LF interface

Back office sessions for the T7 FIX LF interface were originally introduced together with T7 Release 9.0.  In conjunction with T7 Release 10.0, Xetra will also introduce the corresponding T7 FIX LF trading sessions. As with the T7 FIX LF back office sessions, the T7 FIX LF trading sessions will also be offered in parallel to the existing FIX Gateway trading sessions. The FIX LF interface will ultimately replace the existing FIX gateway interface after transition phases. For more information regarding the transition phases for both the T7 FIX LF back office and T7 FIX LF trading sessions and the decommissioning of the existing FIX gateway, please refer to the Xetra Circular 011/21.

Attachment:

  • Introduction schedule, Communication Calendar

Further information

Recipients:

All Xetra® and Börse Frankfurt Members and Vendors

Target groups:

 

Traders, Technical Contacts, System Administrators, Nominated Persons, General

Contact:

client.services@deutsche-boerse.com

Related circular:

 

Xetra circular 011/21

Web:

www.xetra.com

Authorised by:

Michael Krogmann, Holger Patt (on behalf of the Management Board)