TECHNICAL WORKING GROUP 4 September 2001

1
TECHNICAL WORKING GROUP4 September 2001
2
Agenda

• 1. JSE Spec
• 2. JSE Alpha Codes
• 3. JSE Generic Fields
• 4. Order Modification
• 5. Contra trades

3
Agenda (continued)

• 6. Report only trades
• 7. Trade Types
• 8. Difference between JSE SETS and LSE SETS
• 9. General

4
Use of JSE Specification documents

• Data Formats give details of the message layouts
  and describe the fields making up the message eg.
  Cancel orderLayout of message text

• JSE Interface Specification describes the
  message flows and functionality for the various
  business processes eg. Enter order

Field Description
Order Code This code is a unique reference number
allocated to each order by the Exchange. Length
10 Format Alphanumeric ISO Standard
N/A
5
What is TIDM?

• TIDM is the Tradable Instrument Display Mnemonic
• It is a 4-character field used by participants
  for ease of use to intuitively identify a
  security e.g. ABI AMBIENT in the UK
• It is a system-wide field, as opposed to segment
  specific
• It is comparable in use, to an extent, to the JSE
  instrument alpha code, but presents the following
  issues
• 4-char limit vs 6-char JSE alpha code
• Duplicate values exist between JSE LSE (e.g.
  ABI Amalgamated Beverage Industries in SA)
• Need to separate exchange specific securities
  (Which ABI refers to which?)
• We recommend that users do not to rely on the
  TIDM for unique translation as it only appears on
  some of the messages and should be looked up
  using a combination of the following four fields
• Segment
• ISIN (tradable instrument)
• Country of Register
• Currency

6
JSE Alpha Code and TIDM

• Sequence master data can be classified in two
  forms, system wide and segment specific.

Instrument Definitions
TIDM is unique at this level
System Wide
Segment (Exchange) Specific
Instrument to Segment Mapping
Segment Definitions
The JSE Alpha code will be stored on this table
in the TISGC field
In addition to using TIDM, JSE instrument alpha
codes will be used as part of the Tradable
Instrument Symbol Group Code (TISGC), which is
stored at a segment level.
7
What is the TISGC field?

• The TISGC field contains symbol group codes which
  relate to the Daily Official List published in
  the UK
• It is a 45 character field, structured to contain
  15 x 3 char symbol group codes, as follows
• Code 1 Code 2 Code 3
• . . . .
• Where for example,
• 001 REDEEMABLE AT GOVERNMENT OPTION
• 022 CO. NOT RECD UNDER SS 86,87,88 FSA
• 023 CONVERSION RIGHTS HAVE EXPIRED
• A maximum number of 5 symbol group codes have
  been used in the past for any particular security

0
0
1
0
2
2
0
2
3
8
JSE Alpha Code in TISGC

• The JSE will auto generate TIDM codes for SA
  SADC region exchange securities segments (e.g.
  NSX)
• LSE securities and securities which are primary
  listed on LSE and secondary listed on the JSE
  will have the LSE TIDM code (e.g. SAB)
• The JSE will populate part of the TISGC field,
  positions 37 to 42
• Users systems will need to read the TISGC field
  and parse the JSE Alpha Code from it for
  inclusion in their reference data
• Users systems will need to translate from the
  alpha code to the ISIN and vice versa for trading
  and processing messages. This will require a
  translation table of some sort.

LSE Reserved
JSE Alpha Code
Reserved for 12 x 3 symbol group codes
Positions 1 to 36
37 to 42
43 to 45
9
TIDM code generation

• The algorithm will be an alpha numeric starting
  with the numbers prefixes 1 and 2 and
  increment as follows
• 1st TIDM code 1000
• 2nd TIDM code 1001
• 10th TIDM code 1009
• 11th TIDM code 100A
• 35th TIDM code 100Z
• 36th TIDM code 1010
• 46656th TIDM code 1ZZZ
• 93312th TIDM code 2ZZZ
• The following JSE-LSE dual-listed securities will
  not have these generated TIDM codes for example
• SAB
• DDT
• Etc . . .

10
Building Instrument Reference Data
Instrument to Segment Mapping
Instrument Master Data
50A Instrument Reference Data Message
ZAE00123451
NEDCOR INVESTMENT BANK
10ZZ
INSTRUMENT MASTER TABLE
11
Building Instrument Reference Data
Instrument to Segment Mapping
Instrument Master Data
50B Instrument in Segment Reference Data Message
ZA01
10ZZ
ZA
ZAR
----------------------------NIB-------
NIB
ZAE00123451
LOOKUP TABLE
12
Trading Alpha Code to ISIN
ZA01
ZAE00123451
NIB
NEDCOR INV BANK
ZAE00123451
Segment ZA01 Instrument NIB
NIB
ZAE00123451
LOOKUP TABLE
13
Processing Public Data Messages
Incoming Message
ZA01
NIB
10ZZ
UDATE VALUE
It may be desirable to display both the TIDM and
Alpha Code
RECORD MATCH
ZAE00123451
ZA01
ZA
ZAR
NIB
LOOKUP TABLE
14
JSE use of generic fields

• Two generic fields on the Enter Order Message
  5EO are used for specific purposes when trading
  on JSE or NSX segments
• Participant Order Reference contains dealer code
  and institution identifier
• Client Reference contains clients BDA account
  number and the CX flag

Institution ID Bytes 8-10 char
1
2
3
4
5
X
X
X
Dealer Code Bytes 1-5 num
CX Flag Byte 15 value Y or N
1
2
3
4
5
6
7
X
BDA account Bytes 1-7 num
15
Order Modification

• Participants must have the ability to modify
  orders on the order book.
• Client reference details can be modified without
  loss of price-time priority.
• All other changes to an order will require
  existing order to be deleted and new order to be
  entered (to be handled by front-end) resulting in
  price time priority loss.

16
Contra Trades
Automatic trade - same day contra of trade 25
Front End
JSE SETS
Public Broadcast
5CN Message Trade 25
5OZ broadcast message sentTradetype
CTTrade 25n
Member A (eg. Buyer)
5
Two 5CNs are matched New trade record with
trade type CT created. Trade 25n
1
2
5
Regulatory Feed
5PH
5CN Message Trade 25
Member B (eg. Seller)
3 x 5IT 2 x 5AM messages received
Trade Type AT or UT, Trade 25, Contra
Status B, Broadcast Update Action O,
Trade Report Date Time timestamp of
. 5AM Alert message with Alert Type CR,
trade 25 Trade Type AT or UT,
Trade 25, Contra Status C, Broadcast Update
Action O, Trade Report Date Time
timestamp of Trade Type CT,
Trade 25n, Contra Status C, Broadcast
Update Action E, Trade Report Date Time
timestamp of , Client reference buy
sell 25, other buy sell fields swapped,
Converted Price Indicator not populated. 5AM
Alert message with Alert Type CT, trade
25n
3
2
4
2
5PH
5
5
5
5
17
Contra Trades
AT - post trade day contra of trade 25
Front End
JSE SETS
Public Broadcast
Member A
Sends details to Public Broadcast and Regulatory
Feed
5ET Message Tradetype PC Member has to
enter Equal opposite fields to trade 25
5OZ message Trade n Tradetype PC
1
1
1
Regulatory Feed
2
5IT message Trade n Tradetype PC
1
5AT
18
Cancellation Trades
Reported Trade - trade 25 still held on Trading
Engine
JSE SETS
Front End
Public Broadcast
5OZ broadcast message Trade 25 Tradetype
original Broadcast Update Action D
1
5CN Message Trade 25
Member A
1
Trade Published ?
YES
2
5PH
Regulatory Feed
5IT Message Tradetype original Trade 25
Broadcast Update Action D 5AM Alert message
with Alert Type CR, trade 25
1
NO
19
Cancellation Trades
Report only trade trade 25 not on Trading
Engine
Front End
JSE SETS
Public Broadcast
5ET Message Tradetype LC Member has to
enter Equal opposite fields to original trade
25
Member A
Sends details to Public Broadcast and Regulatory
Feed
5OZ message Trade n Tradetype LC
1
1
1
2
5IT message Trade n Tradetype LC
1
5AT
20
Report Only Trades

• Worst case for May 2002
• Same as current requirements including
  publication
• Currently being discussed by RWG, PWG TAC
• Current discussions indicate rationalisation
• Immediately reported but publication to market
  depends on risk and size of transaction

21
Trade Types
- this trade type will not be available for
Release 1. - these trade types may be
combined in the future. - this trade type
will only be used on the NSX functional
segment. Note All Reported Trades being
discussed.
22
Differences JSE SETS and LSE SETS

• Timestamps
• Dual-sided trade report
• Client order modification
• JSE calendar
• JSE TIDM

23
General

• Approved Software Providers
• Accreditation
• Provisional list and approved list
• Test scripts
• Notice for changes
• JSE Front End
• Depth of the order book
• Closing price determined in closing auction
• Timestamps all JSE messages will be published
  with JSE timestamps

24
Contact
Email JSESpec_at_jse.co.za Web www.jse.co.za /
jse initiatives
25
Next Session
Tuesday, 18 September 2001 11h00 JSE
Auditorium
26
QUESTIONS