JSE Trading Services

1
JSE Trading Services

• JSE Release 6.1
• User Brief

13 February 2003 Version 1
2
Agenda

• JSE Release 6.1 Scope Recap
• Testing and Conformance
• 1 Mar 2003 - Participant Test
• 10 Mar 2003 JSE Market facing Go Live
• Implementation Timeline
• JSE User Specification Documentation
• General
• Questions

3
Release 6.1 Scope
Requirement
Mandatory 2
Parameter1
Go-Live Date
Order Modification
Segment
Yes
10 March 03
Alphanumeric SEDOL codes
Global
Yes
24 February 03
Closing Price Enhancements (Carry VWAP to Day 2)
Global
Yes
24 February 03
Trade type reporting validation
Global
Yes
24 February 03
Instrument effective date
Global
Yes
24 February 03
Option Delta Trade Type
Segment
Yes
10 March 03

• This indicates whether the new functionality is
  parameterised at a segment level, or applies
  globally across the system.
• This indicates if the functionality change is
  mandatory to the JSE Market or not.

4
Order Modification Summary

• Effective 10 March 2003
• System parameter Segment
• Introduction of 2 new messages 5MO 5M6
• Can be used to change either
• Price
• Size (Volume)
• In addition, the following can be changed
  provided that either the price or the size is
  also modified
• Participant order reference (Trader and
  Institutional IDs)
• Time validity
• Date validity
• Existing Client Order Reference Modification
  remains

5
Alphanumeric SEDOL Code Summary

• Effective 24 February 2003
• System parameter Global
• 24 February 2003 Technical Go live of new field
  format, numeric to Alpha numeric
• Quarter 4 2003 Planned Conversion of existing
  data and introduction of revised SEDOL field
  definition standards
• Changes will be implemented in CDS prior to Go
  live to facilitate adequate user testing

6
Closing Price Enhancement Summary

• Effective 24 February 2003
• System Parameter Global
• Currently, if the closing price on Day 1 for a
  JSE SETS security is determined by the Volume
  Weighted Average Price (VWAP), and no trading
  occurs on Day 2, the closing price on Day 2 is
  set to the last Automated Trade (AT) rather than
  the Day 1 VWAP
• Processing will be altered to ensure that in the
  above situation the Day 2 Closing price will be
  set to the Day 1 VWAP if the closing price on Day
  1 is a VWAP price
• This is a technical JSE SETS change for the
  responsibility of the JSE. No impact to user
  front-ends

7
Trade Type Validation Summary

• Effective Date 24 February 2003
• System Parameter Global
• New Advisory code Q453I Trade Type invalid for
  Segment
• Only the following trade types will be allowed in
  the JSE market segments

The NX trade type is only allowed in ZA11 and
additionally in ZA21 and ZA22 in CDS
8
Instrument Effective Date Summary

• Effective Date 24 February 2003
• System Parameter Global
• Facilitates the capture of instrument reference
  data with a future effective date and rejects
  trade reporting in this instrument prior to the
  effective date
• Will be used for capture of new Listings prior to
  effective date only
• Existing Advisory code Q135I Tradeable
  Instrument suspended/not effective
• Enhancement Detail
• No message layouts impacted, existing field
  published
• 50B Tradable Instrument Effective Date

9
Option Delta Trade Type Summary

• Effective Date 10 March 2003
• System Parameter Segment
• Addition of a new Trade Type OD to the JSE SETS
  and InfoWiz systems
• Purpose of the enhancement
• The Option Delta trade type will enable the
  reporting of broker-to-broker transactions, which
  involves the transfer of the delta hedge from one
  broking member to another
• Definition
• An Option Delta trade type will be used for
  transactions where a broking member (equities)
  trades as a principal with another broking member
  (equities) in a single security where the
  transaction transfers the delta hedge from one
  broking member (equities) to another broking
  member (equities) in respect of an option
  transaction which is required to be reported to
  either the JSE derivative automated trading
  system or the derivative trade recording system
  on the same day as the delta trade.

10
Option Delta Trade Type Summary

• Enhancement Detail
• Included in the overall JSE market statistics
  figures on day reported
• Not guaranteed by the JSE (ring fenced as with
  all reported trades)
• No special trade size restrictions (unlike BT and
  OP trades)
• Will not affect the closing price (as with other
  reported trades)
• Will not form part of the JSE Index calculations
  as with all other existing reported trades
• Refer to JSE user guidance note for more detailed
  explanations and revised rules
• Trade Type -gt OD
• Dealing Capacity -gt P-P
• No. of Firms -gt 2 Member firm trade ONLY
• Always Dual Sided
• No publication delay
• No size delay
• Manual trade reporting
• Allowed in segments -gt ZA01, ZA02, ZA03 and ZA04

11
Testing and Conformance

• JSE CDS and Conformance services were enhanced on
  2 December 2002 to accommodate new functionality
• Successful conformance test required prior to
  enablement on production
• 2 free conformance slots per software provider
• Conformance tests must be completed by Wed, 6
  March 2003
• 3 Conformance slots per week (Tuesday, Wednesday
  and Thursday) starting at 11h00 SAST
• JSE test scripts will be provided for users to
  follow in CDS
• JSE will be monitoring user testing in the CDS
  environment
• No production Dress Rehearsals planned for
  Release 6.1 Strongly recommend participation in
  the Participant Test Weekend (PTW) on 1 March
  2003
• Current review of JSE conformance scripts is in
  progress

12
1 March Participant Test

• Test Times 11h00 18h00
• Booking Procedures
• Closing Date Fri, 14 Feb 2003 No late
  bookings will be accepted!!!
• Closing Time 12h00
• Booking Details
• PTW Booking Form must be submitted to CSS with
  all relevant information completed
• Booking form includes contact details, enablement
  details, detailed user test scripts (if
  applicable)
• CustomerSupport_at_jse.co.za
• Testing is OPTIONAL
• Only users who have booked a slot on time will be
  enabled for testing
• PTW is executed in the JSEs production
  environment
• Only Conformed software can be tested in
  production

13
1 March Participant Test

• Release 6.1 functionality will be enabled as per
  the JSE market facing Go live configuration of 10
  March. This will be rolled back after the test
• Users will need to rollback their SW remove
  test data post the test from their systems.
  Alternatively User Rel 6.1 functionality must be
  disbaled and test data rolled back
• Users must book for either -
• Supported Live connectivity Test (LCON)
• Unsupported User Scripted Test
• Users NOT testing must ensure infrastructure is
  shut down prior the test to ensure no test data
  is received
• Recommend that unscripted user testing includes
  regression testing
• No trader participation is required, each user to
  decide on their requirements

14
10 March JSE Market Facing Go Live

• Fri, 7 March
• 18h00, JSE release 6.1 configuration enabled (3
  flags per segment)
• Sat, 8 March
• JSE downstream system enhancements migrated to
  production
• JSE Users roll out new software into production
  or enable their functionality
• Mon, 10 March JSE Market facing Go Live for Rel
  6.1 enhancements
• New Order Modification in all JSE segments, ZA01,
  ZA02, ZA03, ZA04, ZA11
• New Trade Type OD
• Concerns raised relating to the overlap with
  Telkom Listing these are being discussed and
  addressed, feedback will be provided in the next
  few days

15
JSE User Specification Documentation

• 1_JSE Specs Cover Letter
• 2_JSE Equities Market and Trading Functionality
  Overview
• 3_JSE User Connectivity to Trading and
  Information Systems
• 4_JSE Equities Trading and Information Services
• 5_JSE Interface Specification
• 6_Data Formats
• 6.1_JSE Data Formats_Broadcast Messages Layout
• 6.2_JSE Data Formats_Interactive Message Layouts
• 6.3_JSE Data Formats_Field Definitions
• 6.4_JSE Data Formats_Advisory Codes
• 6.5_JSE Data Formats_Message Types and Version
  Identifiers
• 6.6_JSE Data Formats_Data Field Cross Reference
• Appendix A Glossary of Terms
• Guidance Notes
• Guidance Note Instrument Effective Date V0.2
• Guidance Note Users Release 6.1
• Guidance Note Auction Functionality Example
• Guidance Note for CT's, PC's and TC's
• Guidance Note Catering for fractions of a cent on
  Trade Reports

16
JSE User Specification Documentation

• Updates to Documents to date
• 2_JSE Equities Market and Trading Functionality
  Overview
• 15/11/2002 Include OD Trade Type
• 15/01/2003 New ZA04 Segment for WR, TF, and
  IPs
• 4_JSE Equities Trading and Information Services
• 15/11/2002 BDG Service Hours to cater for BST
  and GMT
• 6_Data Formats
• 6.1_JSE Data Formats_Broadcast Messages Layout
• 15/11/2002 5OJ - Executable Quotes Best
  Indicator renamed to BBO/AT Indicator
• 15/11/2002 5OA Alphanumeric SEDOL Code
• 6.2_JSE Data Formats_Interactive Message Layouts
• 15/11/2002 5MO New Order Modification Message
• 15/11/2002 5M6 New Order Modification
  Acknowledgement Message

17
JSE User Specification Documentation

• Updates to Documents to Cont.
• 6.3_JSE Data Formats_Field Definitions
• 15/11/2002 New fields for Order Mod messages
  and Release 6.1 Functionality
• 15/01/2003 Inclusion of LSE Riskless Principal
  Dealing Capacity values
• 15/01/2003 Functional Sectors for new ZA04
  Segment
• 13/02/2003 3 New Announcement Group Codes (SENS
  Codes CCO, FSB, SRP)
• 13/02/2003 4 New JSE Index Values (J300, J303,
  J400, J403)
• 6.4_JSE Data Formats_Advisory Codes
• 15/11/2002 New Advisory Codes for Release 6.1
  Functionality
• 15/01/2003 Q449I description change Delete
  Only as below min order size
• 6.5_JSE Data Formats_Message Types and Version
  Identifiers
• 15/11/2002 New Order Mod Messages
• 6.6_JSE Data Formats_Data Field Cross Reference
• 15/11/2002 New Order Mod fields

18
JSE User Specification Documentation

• Updates to Documents
• Guidance Notes
• Guidance Note Instrument Effective Date V0.2
• 15/12/2002 Functionality description
• 08/01/2003 Removing functionality for existing
  instruments
• Guidance Note Users Release 6.1
• 15/11/2002 Functionality description
• 15/01/2003 Clarifying Q449I Advisory Code
  functionality
• Guidance Note Order Entry Applications
• 15/11/2002 Functionality description and
  process

19
JSE User Specification Documentation

• Updating Procedures
• JSE apply updates to the user spec
• Updates always applied with document tracking
  since the previous published version
• Covering Letter updated outlining updates
  introduced and justifications
• Published on the JSE web include published date
  in file name
• Official JSE gazette then issued to all JSE SETS
  Users. Includes members, data vendors and
  software providers
• 4 months notice is the min notification period
  for all changes technically impacting users
• 30 days notice is the min notification period for
  inclusion of additional VALUES available in
  existing defined fields
• JSE attempts to always give as much notice as
  possible but not less than min
• User briefs held to further explain more complex
  changes being introduced. E.g. Rel 6.1
  enhancements
• All JSE User spec queries must be referred to
• JSESpecs_at_jse.co.za or TradingServices_at_jse.co.za

20
Implementation Timeline
November 2002
December 2002
January 2003
February 2003
March 2003
1/2
2/12
15/11
22/2
Customer Test
Market Notice
Cutover
Production
Go-Live 10 March
Service Available
Spec Published
Rehearsal 1
Cutover
15/2
12/12
Cutover
User Brief 1
PTW Rel 6.1 Enabled 1 March
Rehearsal 2
JSE Design Phase
JSE Jan Release
User Brief 2
JSE Development Phase
Conformance Cut Off 6 March
JSE LVL 1-4 Tests
JSE LSE Integration Testing Phase
JSE Deployment Phase
JSE Mar Release 10 March
Market Design Phase
Market Development Phase
Market Testing Phase
Market Rollout Phase
WE ARE HERE
21
General

• CDS Environment Availability
• Sat 15 Feb, Available 07h00 21h00, Unsupported
• Sat 22 Feb, CDS Node Move Available 07h00
  21h00, Unsupported, notice to follow
• Fri 21 Feb, Early closure - 20h00 to accommodate
  the CDS Node Move
• JSE Release Implementation Strategy JSE
  Communication Session 20 February 2003
• Year 2003 Participant Test Week ends
• 8 Feb - Complete
• 1 March
• 5 April
• 10 May
• 14 June
• 12 July
• 23 August
• 27 September
• 1 November
• 6 December

22
General

• CDS Environment
• JSE conformance script updates
• Review of ZA21 ZA22 segments
• ZA04 resync occurred 1 Feb 2003
• CDS resync occur 1-2 weeks post the Futures
  Closeouts. JSE investigating a more automated
  process to accommodate a more frequent update
• Revised canned data
• ASP Process
• Discussions to finalise Audit program
• Next JSE SETS InfoWiz release planned for Q3/4
  of 2003
• JSE 2003 Release Implementation Dates
• Release 2 10 March Release 6.1, BDA, SENS,
  Automated Data Alignment, TMS, CAPAD DC5 returns
  through the web
• Release 3 14 April Mainly SLB
• Release 4 23 June Scope still being finalised

23
Questions
Questions should be addressed to
tradingservices_at_jse.co.za