Guide to Trading System

Guide to the Trading System (MIT201)

Our commitment to continue to enhance our markets and deliver better value to customers is demonstrated by the adoption of LSEG Technology's multi-asset class, ultra-low latency platform Millennium Exchange. The first download below - Guide to the Trading System (MIT201) - provides detailed information on the operation of Millennium Exchange including a generic description of its functionality.

The introduction of Millennium Exchange saw latency slashed to a tenth of our previous trading system (126us at 99th percentile average). Since that time we have launched new services including Sponsored Access providing non-members a direct technical connection to our order books under the trading codes of a sponsoring member firm.

As well as order types such Iceberg, Hidden, Stop Loss and Stop Limit, Millennium Exchange has also seen the introduction of the Closing Price Crossing Session, to allow further trading opportunities at the official closing price for a period of time after the conclusion of the closing auction that generated it.

Since November 2012, a Passive Only order type has also been introduced. This will ensure the balance of an order would be expired immediately (after any executions against non-displayed orders priced within the visible Bid and Offer) rather than aggress a visible Bid or Offer on the book. Participants can also use the Passive Only order to specify that an incoming order should be accepted only if priced within a specified number of visible price points of the prevailing BBO (including the setting of a new BBO).

 The Full Millennium Exchange Technical Specifications can be found here.

Millennium Exchange Business Parameters

The detailed operation of each Trading Service is governed by the specific configuration of Millennium Exchange for that service and the Rules of the London Stock Exchange. The Millennium Exchange Business Parameters can be found as a Download here and provides details of the configuration of each trading service including:

  • details of daily trading schedule including timings
  • basis of calculation of opening & closing prices
  • publication and settlement regime in operation
  • structure of price monitoring and ruling thresholds
  • order and trade types enabled including details of any minimum size constraints
  • comparison between Trading Services including selection criteria
  • Overview of market maker obligation sizes (EMS)