LSEDM TRADING 

SERVICES DESCRIPTION

22 December 2015

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Version 5.9

22 December 2015

London Stock Exchange 

Derivatives Market 

TRADING SERVICES DESCRIPTION
LSEDM TRADING 

SERVICES DESCRIPTION

22 December 2015

2

1. Introduction 5

1.1. Clearing and margining 5

1.2. Product Overview 5

2. General functionality 6

2.1. Series Generation 6

2.2. Corporate Actions Treatment Rules 7

2.3. Corporate Action Identifier 7

2.4. Strike Price Generation 7

3. Trading Functionality 12

3.1. Order book Trading 12

3.2. Tailor-made (Flex) series 15

3.3. Block Trading 16

3.4. Trade Reporting 18

3.5. Trade Cancellation 18

4. Connectivity and Access 19

4.1. Physical Connectivity 19

4.2. Vendor Access Networks (VANs) 20

4.3. Vendor Software Solutions 20

4.4. BCS FTP Service 20

4.5. Trading APIs 20

4.6. Drop Copy 21

4.7. Market Data API 21

4.8. Clearing API 21

5. Market Operations and Clearing 22

5.1. Transaction reporting and Market Identifier Code (MIC) 22

5.2. Central Counterparty Protection 22

5.3. Margining and Position Controls 22

5.4. Give Ups 23

5.5. Account Structure 23

5.6. Market Operations and Clearing Processing Timetable 24

5.7. Clearing reports 25

5.8. Exercise and Assignment guide 25

5.9. Physically Settled Contracts 25

6. Risk Controls 27
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6.1. Order book 27

6.2. Price Controls on Block Trades 29

6.3. Price Controls on Trade Reports (manual process) 30

6.4. Bulk Quoting Protection 30

7. Tariff Models 32

8. Contacts 33

9. Appendix A – Order Types 34

9.1. Order types for electronic, anonymous Order book trading 34

9.2. Block Trades 35

10. Appendix B – Controls 36

10.1. Price and Quantity Controls 36

10.2. Index options (Order book price control) 38

10.3. Stock options (Order book price control) 39

11. Appendix C – Futures Contracts Value Ranges 40

12. Appendix D – Strategies 41

LSEDM suggested convention for pre-defined strategies: 41

13. Appendix E – Bulk quoting protection: Default thresholds and user configurable ranges 43

13.1. IOB options (maximum volume protection only): 43

13.2. UK stock options (maximum volume protection only): 43

13.3. Norwegian index, options and futures: 43

13.4. All other instruments: 43
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Document history

Issue Date Description

5.9 22 December 2015 Removal of Uralkali (delisted as of 22 December 2015) from Appendix E

5.8 8 December 2015 Change of minimum user defined thresholds for Bulk Quote protection

5.7 16 November 2015 Introduction of UK stock options with 100 share contract size. Amendments to Appendix B.

Change to automatic exercise rule for Norweigan single stock options (Section 5.8).

5.6 19 October 2015 Introduction of UK stock options on Order book and new UK stock futures for Block Trading and 

Trade Reporting

5.5 14 September 2015 Introduction of BIST 30 index futures and options

5.4 1 July 2015 Update to Appendix B (Price controls for Norwegian futures contracts)

5.3 1 May 2015 Minor updates reflecting Rulebook changes effective 1 May 2015

5.2 13 April 2015 Change to Norwegian derivatives strike price generation table

5.1 30 March 2015 Updated Block trade parameters for UK Stock Options in Appendix B – Controls.

5.0 6 March 2015 Updated Trading Services Description for the upgrade of the LSEDM trading platform to SOLA 

7.0. Added sections for Strategies, Tailor-made (Flex) series creation and promotion to Standard 

series, Block Trading, Bundled Orders (Multiple Block Trades), Third Party Order execution (Block 

Trading for Reporting Brokers) and Self Execution Prevention. Revised the ordering of the General 

and Trading Functionality Sections.

4.6 23 December 2014 Update to the Bulk Quoting Protection functionality

4.5 1 December 2014 Introduction of cash settled instruments

4.4 17 November 2014 Amendments to Risk Controls to reflect the new circuit breaker mechanism and parameters

4.3 20 October 2014 Introduction of Dividend Neutral Stock instruments 

4.2 7 July 2014 Change of close of trade reporting session for Norwegian Derivatives to 16:00

4.1 25 November 2013 Update to Series Generation

4.0 30 September 2013 Document creation under London Stock Exchange Derivatives Markets (LSEDM)
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1. Introduction

London Stock Exchange Derivatives Market

(LSEDM) offers trading of single stock, index 

and dividend derivatives based on United 

Kingdom, International Order Book (IOB),

Norwegian and Turkish underlyings.

LSEDM’s trading platform is hosted in the 

data-centres of the London Stock Exchange 

Group (LSEG) and has interfaces common to 

other markets of LSEG, ensuring that 

customers accessing other LSEG markets 

can connect to LSEDM with minimal 

incremental cost or effort.

LSEDM offers member firms new and 

innovative features, in addition to the highly 

successful market models used for its existing 

Norwegian and IOB business which has been

developed alongside Members. 

The LSEDM trading platform operates on 

SOLA® technology. The current instance of 

the platform is SOLA version 7.0. 

1.1.Clearing and margining

Members can improve operational efficiency 

and net margin payments across 

geographies, all through one clearer -

LCH.Clearnet Limited. 

1.2.Product Overview

Underlying Single 

Stock Index Dividend

Norway

Futures 

and 

Options on 

the 

Norwegian 

stocks

Futures 

and 

Options on 

OBX, 

Futures on 

the OBOSX

Russia and 

IOB

Futures 

and 

Options on 

the most 

liquid IOB 

DRs

Futures 

and 

Options on 

FTSE RIOB

Futures on 

the most 

liquid IOB 

DRs1

UK

Futures 

and 

Options on 

UK 

underlying 

shares

Futures 

and 

Options on 

FTSE 100; 

Futures on 

the FTSE 

UK Large 

Cap Super 

Liquid Index

Turkey

Futures 

and 

Options on 

BIST 30 

index

The list of all products traded on LSEDM and 

full Contract Specifications are available on 

the LSEDM Document Library.

 

1

International Order Book Depository 

Receipts. This includes Dividend Neutral 

Stock Futures.
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2. General functionality

2.1.Series Generation

Detailed contract specifications for each 

product are specified in the LSEDM Contract 

Specifications document. For full information 

on contract specifications, product codes and 

underlying ISIN codes, please refer to the 

LSEDM Document Library.

2.1.1. Symbology

The following symbology rules apply to 

derivatives available for trading on LSEDM.

During the normal Trading Hours for each 

Standardised Product, LSEDM disseminates 

5 levels of market depth. The Market Data 

information is distributed via HSVF as 

described in the HSVF technical specification

on the LSEDM Document Library.

In the absence of an express statement to the 

contrary, information relating to a Series 

which is listed in conjunction with Oslo Børs 

reflects the combined activity in such Series of 

Members of LSEDM and Members of Oslo 

Børs.

2.1.2. Standardised Series Codes

Each instrument is identified by a string of 4-9 

characters (excluding Options strike)

 a maximum of six characters designates 

the Underlying instrument or Index;

 one character designates the Expiration 

Year;

 one character designates the Expiration 

Month;

 (Options only) the following numeric 

characters designate the strike price;

 An additional symbol may also be added 

to indicate that a corporate action has 

occurred and the readjustment rules have 

been applied to that series (see below).

2.1.3. Tailor-made (Flex) Series Codes

Each instrument is identified by a string of 6-

12 characters (excluding Options strike)

 a maximum of six characters designates 

the Contract Underlying2;

 one character designates the Expiration 

Year;

 two characters designate the Expiration 

Day;

 one character designates the Expiration 

month;

 (Options only) the following numeric 

characters designate the strike price;

 (Options only) an “A” or “E” designates 

whether the option is American or 

European style;

 An additional symbol may also be added 

to indicate that a corporate action has 

occurred and the readjustment rules have 

been applied to that series (see below).

2.1.4. Month Code Convention

LSEDM currently uses two separate month 

coding systems. One system is in use for IOB 

and Norwegian derivatives, and a separate 

 

2

For Flex single stock derivatives with flexible 

settlement style the first character of the underlying 

code is “1” in case of cash settlement.
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coding system (international convention) is 

being used for all other products going 

forward.

IOB and Norwegian derivatives

Month Index 

Futures

Call 

Options

Put 

Options

and SSF

January A A M

February B B N

March C C O

April D D P

May E E Q

June F F R

July G G S

August H H T

September I I U

October J J V

November K K W

December L L X

All other products

Month Futures Call 

Options

Put 

Options

January F A M

February G B N

March H C O

April J D P

May K E Q

June M F R

July N G S

August Q H T

September U I U

October V J V

November X K W

December Z L X

2.2.Corporate Actions Treatment Rules

Where possible, LSEDM harmonises the 

treatment of corporate actions to market 

standards, please refer to the Derivatives 

Corporate Actions Policy available on the 

LSEDM Document Library. For Norwegian 

products, LSEDM follows Oslo Børs 

Corporate Action policy.

2.3.Corporate Action Identifier

The presence of any of the following 

additional letters on the end of a series code 

indicates that a corporate action has occurred 

and the readjustment rules have been applied 

to that series. For example, an “R” would 

indicate that five corporate actions have been 

applied to a series during its lifetime with the 

readjustment rules having been applied five 

times.

Corporate action 

number Identifier

1

st X

2

nd Y

3

rd Z

4

th Q

5

th R

6

th S

7

th G

8

th U

9

th V

2.4.Strike Price Generation

LSEDM generates new strikes on Options 

series according to the following:

 Minimum number of series in-the-money 

(ITM);
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 Minimum number of series out-of-themoney (OTM);

 Always one series at-the-money (ATM).

2.4.1. Designation of the ATM strike

Every minute, the SOLA derivatives system 

marks one of the series listed the “ATM” strike 

price. It does this by looking at the price of the 

underlying and seeing which series is closest 

to this level.

At the end of each day, an ATM strike is 

chosen (or created if it is the night before the 

listing of a new series) relative to the closing 

price of the underlying.

New In-the-Money strikes and Out-of-the 

Money strikes are generated relative to this 

ATM price.

The ATM strike for a particular underlying/ 

expiry combination will be created at a level 

determined by the strike price increment for 

that expiration. For example, if the strike price 

generation increment for a particular 

underlying/expiry combination is 25 index 

points, the ATM series will be created / 

chosen at a price ending in 25 points, 50 

points, 75 points or 00 points. If the 

generation increment is 50 points, the ATM 

strike will be created/ chosen at a price ending 

in either 50 points or 00 points.

2.4.2. On Request listing of additional 

standardised series

Members may request by phone or electronic 

communication to LSEDM Market Operations 

for a specific Options Series to be listed on 

the Order book if it is not automatically 

generated in accordance with the parameters 

described in the relevant Contract 

Specifications and the Strike Price Generation 

section of the Trading Services Description. 

This is known as an ‘On Request’ listing. 

Members shall provide the following 

information:

 The Underlying instrument;

 The Expiration Month, which should 

already exist on screen, (Expiration Day 

will always be standardised as per the 

relevant Contract Specification)

 The Strike Price (should be within the 

same strike price interval that already 

exists).

LSEDM Market Operations will confirm when 

the ‘On Request’ Standard series is available 

for trading on the Order book.
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2.4.3. IOB Market

a) FTSE RIOB Options

Expiration Minimum ITM strikes 

generated

Minimum OTM 

strikes generated Bid price Increment

All contracts 5 5

0

1000

10.00

20.00

b) IOB DR Options

Expiration Minimum ITM strikes 

generated

Minimum OTM 

strikes generated Bid price Increment

All contracts 7 7

0

5

10

50

100

200

300

0.10

0.25

0.50

1.00

5.00

10.00

20.00

2.4.4. Norwegian Market

a) OBX Options

Expiration Minimum ITM strikes 

generated

Minimum OTM 

strikes generated Bid price Increment

<3 months

2 2

0 -150 3.00

150 – 500 5.00

500 – 1000 10.00

1000 + 20.00

3 months >

0 -150 6.00

150 – 500 10.00

500 – 1000 20.00

1000 + 40.00
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b) Norwegian Stock Options 

2.4.5. UK Market

a) FTSE 100 options

Expiration Minimum ITM strikes 

generated

Minimum OTM strikes 

generated

Strike price increment 

used

1 month 10 10 25 points

≤ 3 months 10 10 50 points

≤ 1 year 10 10 100 points

≤ 2 years 20 20 100 points

≥ 2 years 0 0 -

Expiration Minimum ITM strikes 

generated

Minimum OTM 

strikes generated Bid price Increment

≤ 3 months

2 2

0 -2 0.10

2 – 5 0.25

5 – 10 0.25

10 – 30 0.50

30-80 1.00

80-200 2.50

200-400 5.00

400-600 10.00

600 + 15.00

> 3 months 

and ≤ 6 

months

0 -2 0.10

2 – 5 0.25

5 – 10 0.50

10 – 30 1.00

30-80 2.00

80-200 5.00

200-400 10.00

400-600 20.00

600 + 30.00

6 months >

0 -2 0.20

2 – 5 0.50

5 – 10 1.00

10 – 30 2.00

30-80 4.00

80-200 10.00

200-400 20.00

400-600 40.00

600 + 60.00
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b) UK Stock Options (Order book)

Expiration Minimum ITM 

strikes generated 

Minimum OTM 

strikes generated Bid price Increment

≤ 1 months 10 10

0-100 2

100-500 5

500-1,000 10

1,000-2,000 20

2,000-5,000 50

5,000-10,000 100

> 10,000 500

> 1 months and 

≤ 3 months 7 7

0-100 2

100-500 5

500-1,000 10

1,000-2,000 20

2,000-5,000 50

5,000-10,000 100

> 10,000 500

> 3 months and 

≤ 12 months 5 5

0-100 5

100-500 10

500-1,000 20

1,000-2,000 50

2,000-5,000 100

5,000-10,000 500

> 10,000 1,000

2.4.6. Turkish Market – BIST 30 options

Expiration Minimum ITM strikes 

generated

Minimum OTM strikes 

generated

Strike price increment 

used

All contracts 7 7

2 (corresponding to 2,000 

index points)
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3. Trading Functionality

The key features of the LSEDM trading 

platform are described in this section:

3.1.Order book Trading

LSEDM’s Order book operates on a PriceVisibility-Time priority basis. A summary of 

Order book types, and key information on 

each, is given in Appendix A. All executed 

trades on the LSEDM Order book will 

contribute to price and quantity updates in the 

Market Data Feed (HSVF).

Section 6 (Risk Controls) of this document

describes controls applicable to LSEDM.

3.1.1. Order Types

Orders of the following type may be placed by 

Members

 By Price type: (Limit Order, Market Order, 

Top Order, Stop (loss) order, if touched 

order);

 By Quantity type: (Minimum quantity 

order, Iceberg Order);

 By Duration type: (Day order, Good Till 

Day (GTD), Good Till Cancelled (GTC), 

Immediate order (FAK/IOC), While 

connected order).

For a full list of Order Types, please see 

Appendix A. 

3.1.2. Placing, Modification and 

Cancellation of an Order

On placing, modifying or cancelling an Order 

by way of the electronic trading system, a 

Member shall provide the following 

information:

 the Series, Type/ Style, Class and the 

Listed Product in question;

 the Expiration Month;

 whether its Order is to buy or to sell;

 in the case of an Options Contract, 

whether it is a Call or a Put;

 the price for the Order;

 the Order's volume;

 whether it is a Limit Order, Market Order 

or a Combination Order;

 the Account to which the transaction, if 

executed, is to be allocated;

 if appropriate, the identification code of 

the Client for whom the Order has been 

placed.

On placing an Order into the Order book, 

Members should ensure that the value of the 

Order does not exceed the maximum 

permitted size for the Contract in question, 

Members should note that any Order placed 

on the Order book which exceeds the 

applicable maximum permitted size shall be 

rejected. Members will receive a message 

stating this. Price and Quantity restrictions are 

detailed in Appendix B. The Tick size 

applicable for trading on the Order book is 

described in the relevant Contract 

Specification.

Any modification of an Order involving its 

price, the extension of its period of validity, or 

an increase in the volume of an Order is 

treated as the cancellation of the original 

Order and the submission of a new Order. 

The time priority of such Order shall be 

determined by reference to the time at which 

the modified Order is entered on to the Order 

book.

Where the Order modification involves only a 

reduction in its volume or period of validity or 

a change in the Client identity, the ranking of 

the original Order is not affected.
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Modification Price priority Time priority

Quantity 

decrease

Maintained Maintained

Quantity 

increase*

Maintained Lost

Price change* Lost Lost

*results in deletion of original order and entry of a new 

order with new price time priority and associated order 

number

An Order will remain valid and effective until 

an instruction to cancel or modify is given by 

the Member which placed the Order.

A Member may contact Market Operations to 

cancel an Order entered on the electronic 

trading system with the relevant order details 

(instrument, price, quantity, time etc). 

Members wishing to remove all their Orders 

from the Order book in one go should contact 

Market Operations, who can perform this 

action. Such requests must always be made 

by a Registered Person.

3.1.3. Cancellation on Disconnection

Members should be aware of the following;

 When conducting the login procedure, 

SOLA allows for the Member to specify an 

“inactivity interval” which indicates the 

number of system “heartbeats” that must 

be missed before the Member is 

considered disconnected. If the inactivity 

interval is set to “0” then the user is never 

considered to be disconnected;

 In case of member disconnection due to 

technical issues, all orders with Duration 

type parameter “While Connected” will be 

cancelled. Please note that Good Till Day” 

and “Good Till Cancelled” orders will not 

automatically cancel on disconnection “

LSEDM therefore strongly recommends the 

use of “While Connected” orders for Members 

that are concerned about cancellation on 

disconnect.

3.1.4. Bulk Quoting (product dependent)

Members that have conformed to the LSEDM

SAIL API are also able to send Bulk Quotes to

the LSEDM Order book through Bulk Quote 

Trader IDs. Bulk quotes may contain up to 

280 separate quotes with LSEDM validating 

each quote within the message. Throttles 

apply as per rates described in the SAIL 

technical specification. Bulk Quoting is a 

more efficient way of sending quotes to the 

trading system as only a single message is 

required as opposed to multiple cancellations 

and resends of order messages.

Bulk quotes are only valid for the current 

trading day. Members can remove quotes on 

disconnection by sending the Disconnection 

Instruction message.

Protections for Members using Bulk Quoting 

are described in Section 6 (Risk Controls).

Before the Opening, an “Intervention Period”

allows bulk quote users to enter Bulk Quote 

data which would be used to retrieve the 

quote ID. The Intervention Period is only 

available for specific products. Members can 

continue to cancel orders during this period. 

A specific global cancellation message, 

applying only to quotes placed using the Bulk 

Quote message, can be sent by Bulk Quote 

users and will pull all quotes related to a 

specific trader on all instruments in the same 

class. The Trader ID and instrument Group ID 

are used to specify which quotes to cancel. 

Orders which are not entered using Bulk 

quotes will not be cancelled.
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3.1.5. Quoting Obligations for Market 

Makers

Firms registered as Market Makers in a 

certain instrument class will have to meet a 

set of quoting obligations that are monitored in 

real-time by LSEDM.

Market Makers should note the following:

 Quotes must be sent using the Bulk 

Quote message in the SAIL API;

 Quotes must meet the instrument size 

requirements for a minimum instrument 

specific percentage of the trading hours in 

a month;

 Quotes must meet the instrument spread 

requirements for a minimum instrument 

specific percentage of the trading hours in 

a month.

LSEDM reserves the right to terminate the 

Market Maker Agreements if the Member fails 

to meet its obligations. LSEDM also reserves 

the right to withhold or cancel any incentives, 

including any revenue share, in the event that 

the Member fails to meet its obligations or 

terminates its Agreement early.

For further information with regards to Market 

Making obligations, please refer to the Market 

Making Obligations document on the LSEDM

Document Library.

3.1.6. Request for Quote (RFQ)

Request for Quote (RFQ) allows any Member 

to broadcast a message to Market Makers in 

a particular instrument via the HSVF market 

data feed. Market Makers, as part of their 

agreement with LSEDM, have an obligation to 

reply by entering a quote in to the Order book

for that specific instrument.

RFQs contain:

 Instrument Class;

 Instrument ID Code;

 Quantity.

3.1.7. Strategy instruments

a. User generated strategies

On all Order book traded Futures and 

Options, LSEDM has enabled SOLA 

functionality that allows users to create their 

own strategy instruments and list them as 

standalone products on the Order book 

available for trading by the rest of the market.

Derivatives strategy trades can be executed 

via both “Strategy v.s. Strategy” and “Strategy 

v.s Legs” functionality. Where a Strategy 

Instrument can be executed against another 

Strategy Instrument, the trade will be 

executed on the terms of the matching 

Strategy Instrument provided that it is not 

possible to execute the Strategy against Legs

on the Order book on better terms.

A strategy can have a maximum of four legs. 

Each leg of the strategy must: (a) contain 

instruments with the same contract size, and 

(b) have legs that appear in natural number 

ratios, i.e. as multiples of the smallest leg size 

in increasing order3. Market participants will 

need to enter the net price of the strategy, i.e. 

the sum of the price of each leg. SOLA 

automatically validates the price and quantity 

before allowing completion of the execution. 

Strategy instruments interact with circuit 

 

3

If market participants wish to enter a strategy with 

derivatives based on different underlyings/ contract sizes, 

they may use the Bundled Order functionality – please 

refer to para. 3.3.2. of this document.
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breakers. Trades executed in Strategy 

instruments contribute to price and quantity 

updates to the Market Data Feed (HSVF). 

A strategy may be placed as either as a Limit 

Order or a Market Order. See Appendix A

for more details.

 Automatically generated strategies

For Order book traded Index Futures only, 

LSEDM automatically lists Calendar Spreads 

or “Roll” strategy instruments.

Typically, LSEDM will automatically generate 

a roll instrument between the expiring series 

and the following expiry month which are 

available for trading on the Order book.

For IOB, Turkish and UK products, buying a 

Calendar Spread would mean that market 

participant buys the near month future and 

sells the far month future. For Oslo products, 

the legs are reversed i.e. buying an Oslo 

Calendar Spread would mean that market 

participants sells the near month future and 

buys the far month future.

 Pre-configured strategies for frontend solutions

Through LSEDM’s SOLA APIs, developers 

can create front-end solutions with preconfigured strategies using the FLEXCO 

creation/ New Strategy Instrument

message. For further details, please see the 

LSEDM Technical Documentation (SAIL 

Specification and FIX Specification). 

For example, BTS (the LSEG front-end 

solution) allows market participants to select 

one of several pre-configured 2, 3 and 4-

legged strategies, as per the table in 

Appendix D, through its Strategy Wizard. 

BTS also allows users to build their own 

customised strategies through FLEXCO 

creation field.

For further information on strategies, please 

refer to the specific product documentation on 

the LSEDM Document Library.

3.2.Tailor-made (Flex) series

3.2.1. Tailor-made (Flex) series creation 

LSEDM allows for participants to create 

Tailor-made (Flex) derivative series in the 

trading platform intra-day, and to report Block 

Trades on them. These series will be Hidden 

(not disseminated via HSVF as public 

Reference Data) and only visible to the 

participant that has created them. Members 

will be able to retrieve ISINs for Tailor-Made 

(Flex) derivatives through the Clearing 

System (BCS Application) or through secure 

FTP in Excel or CSV report formats.

Member firms will be able to create Tailormade (Flex) series specifying the Underlying, 

Expiry Day/Year, Strike (only for Options), 

Option Style (only for Options), Instrument 

Type (call/put, only for Options) and Delivery 

Type (cash vs physical).

Tailor-made (Flex) series will remain active 

until the expiration date specified at the 

moment of the instrument creation. 

Participants will not be able to create Tailormade (Flex) series with the same 

characteristics of an existing Standard 

instrument.

3.2.2. Conversion of Tailor-made (Flex) 

series to Standard series

When the LSEDM trading platform

automatically generates a Standard series 

with the same parameters of a Tailor-made

(Flex) series (e.g. due to the generation of 

new expiries, or new strikes due to movement 

of the underlying security), the trading
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platform automatically converts Tailor-made

(Flex) series to Standard series.

The new Standard series inherits the same 

ISIN as the original Flex series. The series will 

become public and instrument data will be 

disseminated via HSVF as public Reference 

Data. 

3.3.Block Trading

Block Trading is available for Standard series 

or Tailor-Made (Flex) series, with the 

guarantee of CCP Clearing with LCH.Clearnet 

Limited. Block trades in Standard series

contribute to price and quantity updates to the 

Market Data Feed (HSVF). Block trades in 

Tailor-made (Flex) series remain Hidden and 

only visible to the participant involved in the 

trade.

Block Trading is an electronic alternative to 

the manual Trade Reporting process (see 

section 3.4) for LSEDM Members. The 

relevant section of the LSEDM Rules (Trade 

Reporting) applies to Block Trading.

3.3.1. Block Trades – “Cross” /

“Committed” trades

LSEDM allows Block Trading, i.e.electronic 

entry and confirmation of bilaterally negotiated 

trades between two different counterparties 

(“Committed” trade) or with a single 

counterparty filling both sides of a trade 

(“Cross/ Two sided” trade). 

Block trades are permitted both in Standard 

and Tailor-made (Flex) series:

 Above a minimum “Block” Size;

 Within certain price and risk control 

parameters in addition to quantity and 

control parameters, for example the 

Bid/Ask or reasonable theoretical price 

(pre-trade or post-trade, depending on 

the product and size);

 According to the specific product tick

table. Please refer to the “HSVF

Technical Specification” on the LSEDM 

Document Library for details.

A summary of Block order types, and key 

information on each, is given is Appendix A.

A summary of minimum Block sizes and price 

controls on a product basis is provided in 

Appendix B. Further information on Risk 

controls is provided in Section 6.

3.3.2. Bundled Orders (Block trades with 

multiple legs)

LSEDM facilitates the grouping of multiple 

Block trades into one unique window through 

the Bundled Order functionality. This 

functionality offers certainty of simultaneous 

execution of all the individual legs included in 

the Bundled Order, or no execution at all. The 

functionality is highly customisable, allowing 

market participants to create their Bundled 

Orders with the same or different counterparty 

and same or different financial instruments in 

each leg, and an individual price for each leg. 

The Bundled Order functionality offers an 

alternative to the Strategy functionality on the 

LSEDM platform, whilst providing additional 

flexibility in as described below.

Through the Bundled Order functionality:

 Traders can enter a Bundled Order in up 

to four legs;

 Traders can independently specify for 

each leg of the Bundled order:

o The financial instrument (e.g. 

Option or Future), including 

Standard and/or Flex series;

o The price and size;

o The counterparty;

o Buy or Sell.

 The same Trader ID must be used for 

each leg of the Bundled Order.
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Once the Bundled Order is entered, each 

counterparty will receive a notification 

message. On receipt counterparties will be 

able to submit acceptance of its Leg of the 

Bundled Order, or reject it. In case of rejection 

from one of the counterparties, acceptance by 

any other counterparty of the Bundled Order 

will be prohibited. Pending legs will remain in 

the system till the close of the Block Trading 

Facility (i.e. end of Order book trading hours) 

until they are all accepted. The Bundled Order 

will be registered and sent to clearing only on 

acceptance of all of the counterparties. Price 

and quantity validation are also applicable.

For further information on Bundled Orders, 

please refer to the specific product 

documentation on the LSEDM Document 

Library.

3.3.3. Third Party Order execution (Block 

trades for Reporting Brokers) 

LSEDM allows for Members registered in the 

capacity of Reporting Brokers to initiate 

electronically the execution process for a 

Block trade through the Third Party Order 

execution functionality. This is an alternative 

to the manual Trade Reporting process, as 

detailed in section 3.4. Through the Third 

Party execution functionality, Reporting 

Brokers are able to submit a trade as a Block 

Trade or Bundled Order for either Standard or 

Tailor-made (Flex) series which has been 

executed between multiple counterparties:

 Reporting Brokers can enter a Third Party 

trade with up to four legs;

 Reporting Brokers can independently 

specify for each leg of the Third Party;

o The financial instrument (e.g. 

Option or Future), including 

standard and/or flex series;

o The price and size;

o The counterparty;

o Buy or Sell.

Once the Third Party Order is entered by the 

Reporting Broker, each counterparty will 

receive a notification message without 

disclosing the names of the other 

counterparties (only the name of the 

Reporting Brokers will be visible). On receipt, 

the counterparties will be able to submit 

acceptance of its own leg of the Third Party 

Order, or reject it. In case of rejection from 

one of the counterparties, acceptance by any 

other counterparty of the Third Party Order 

will be inhibited. Pending legs will remain in 

the system till the close of the Block Trading

Facility until they are all accepted. The Third 

Party Order will be registered and sent to 

clearing only on acceptance from all 

counterparties.

Price and quantity validation are also 

applicable.
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To register as a Reporting Broker and enable 

access to the Third Party Execution 

functionality in SOLA, please contact 

membership@lseg.com. 

3.4.Trade Reporting

LSEDM Trade Reporting and Registration 

service offers the manual reporting of 

bilaterally negotiated trades. Manual Trade 

Reporting is an an alternative to electronic 

Block trading (see section 3.3) for LSEDM 

Members.

These can be reported either in a Standard 

series or Tailor-Made (Flex) series, with the 

guarantee of CCP Clearing with LCH.Clearnet 

Limited. A template for trade reporting is 

provided to report trades to the Market 

Operations team via email at 

etd.tradereporting@lseg.com. LSEDM will 

register each side of the trade and confirm 

that they are on the appropriate accounts as 

per the template received.

LSEDM should be provided with following 

details of the transaction on the Trade Report:

 the type of and class of a Listed or NonStandardised Contract;

 the term if a Tailor-made Contract;

 the Strike Price;

 the style;

 whether it wishes to buy or to sell; 

 the name and account(s) of the 

Counterparty/Counterparties.

Through secure FTP in Excel or CSV 

formats,member firms are able to receive

reports containing ISIN information on a Trade 

Reporting series to aid FCA Transaction 

Reporting. Please contact Market Operations 

for further information.

Trade Reports in Tailor-Made (Flex) series will 

not be published and remain Hidden. Trade 

Reports in Tailor-Made (Flex) series will be 

subject to a reasonable theoretical price 

validation by LSEDM Market Supervision prior

to acceptance. 

Trades Reports in Standard series must 

comply with the requirements including size 

and price within Appendix B. Trade Reports 

in Standard series are always published.

3.5.Trade Cancellation

Requests for cancellations of trades executed 

through the Order Book, Block trades and 

Trade Reports should be made to LSEDM 

Market Supervision, in accordance with the 

procedure and timings as per the Rules, 

available on the LSEDM Document Library.
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4. Connectivity and Access

Tradin

g

Clearing Market 

Data

API and Connectivity

Extranex

SAIL 

API

FIX 4.2 

API

BCS API HSVF API

Hosting

VPN

NSP

Customer 

Managed 

Connectivity 

(CMC)

Access via Accredited Connectivity 

Partners

Vendor 

Access 

Network 

(VAN)

VAN* provided network and 

applications

Application

LSEDM

Market 

solution

BTS BCS

CC&

G 

FTP 

site

BTS

External 

solution

Memb

er InHouse 

GUI

ISV 

provid

ed 

GUI*

ISV 

GUI*

Market 

Data 

Vendor*

* See the London Stock Exchange website for a full 

list

Please refer to the the Connectivity section of 

the LSEG website for further details on the 

connectivity options listed below.

4.1.Physical Connectivity

4.1.1. Extranex

Extranex provides customers of the London 

Stock Exchange Group, including LSEDM

Members with a dedicated, resilient and 

secure point to point connection allowing 

transmission of data traffic to and from the 

Group’s Trading, Clearing and Information 

Systems. A range of service options are 

available to suit varying customer 

requirements. See the LSEDM Document 

Library or contact LSEDM Technical Account 

Management team (londontam@lseg.com) for 

more details:

http://www.londonstockexchange.com/product

s-andservices/connectivity/extranex/extranex.htm

4.1.2. Exchange Hosting

Members may choose to house their servers 

in LSEG’s data centre in close proximity to the 

LSEDM servers. 

 Virtual Private Network (VPN)

For Members seeking a low cost solution and 

who are less sensitive to latency, LSEDM will 

configure and deliver a router to allow trading 

and clearing access over a standard internet 

connection.

 Network Service Providers (NSP)

As an alternative to using the Extranex 

network, the Group’s services, including the 

LSEDM, can also be accessed through 

accredited NSPs.

Members contract with the NSP for provision 

of network connectivity but sign agreements 

directly with the LSEDM for access to our 

trading and information services.

Clients using an NSP connection will have 

individual service enablement’s set up on our 

trading, clearing and information systems. The 

data and trading feeds (APIs) are in exactly 

the same format as those received by a direct 

customer and are subject to the same testing 

requirements.

A list of all current NSPs for LSE can be found 

within the NSP of the LSE website.
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4.1.3. Customer Managed Connectivity 

(CMC)

Customer Managed Connectivity (CMC) 

provides customers with additional choice and 

flexibility, when directly accessing the London 

Stock Exchange Group, including LSEDM. 

Utilising an optimised network infrastructure, 

engineered for low latency, resiliency and 

scalability, customers are able to access 

LSEG markets through a number of 

Accredited Connectivity Partners.

A list of Accredited Connectivity Partners can 

be found within the CMC section of the LSEG 

website.

4.2.Vendor Access Networks (VANs)

VANs provide a full end to end solution 

comprising network connectivity and preconformed software applications through 

which their clients can interface with the 

LSEDM.

4.3.Vendor Software Solutions

 MDVs, ISVs and VANs

A full list of LSEDM conformed Front, Middle 

and Back Office Independent Software 

Vendors (ISVs), Market Data Vendors (MDVs) 

and VAN providers can be found on LSE 

website.

 BTS Trading Application

LSEG’s front end solution, BTS, allows 

access to LSEDM trading services and all

other LSEG Equity and Fixed Income 

markets, including Turquoise.

LSEDM can supply BTS to members as an 

off-the-shelf ready-made trading application. 

Using BTS, members can access functionality 

including order entry, deletion, viewing of the 

Order book to five levels of depth, creation of 

strategy instruments and the reporting of 

Cross and Committed block trades.The 

following BTS documents are available from 

the LSEDM Document Library: LSEDM801 

BItS Trading Station (BTS) User Manual

 BCS Clearing Application

Members can develop directly against the 

LSEDM clearing API, however most clearing 

members will take the LSEG supplied BCS 

application to enable them to view reports, 

perform give ups / take ups, move trades 

between accounts and perform other post 

trade administration.

The following BCS documents are available 

from the LSEDM Document Library:

LSEDM701 BItS Clearing Station (BCS) User 

Manual;

LSEDM702 BItS Clearing Station (BCS) 

Application Data Layouts

LSEDM703 BItS Clearing Station (BCS) 

Technical Notes

4.4.BCS FTP Service

LSEDM clearing reports are available via an 

FTP site accessible with a user name and 

password

Contact Technical Account Management for 

FTP Service documentation

4.5.Trading APIs

LSEDM provides 2 derivatives trading APIs 

that applications can be developed to. These 

are:

 FIX 4.2;

 SOLA Access Information Language 

(SAIL).
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The native SAIL API provides a slight latency 

advantage over the FIX API along with 

additional functionality for bulk quoting.

The following FIX and SAIL documentation is 

available from the LSEDM Document Library.

including the SOLA Release documentation

LSEDM200 – FIX Business Design Guide

LSEDM201 – FIX 4.2 Specification

LSEDM300 – SAIL Business Design Guide

LSEDM301 - SAIL Specification

4.6.Drop Copy

The drop copy feature allows drop copy 

participants to receive a copy of all order 

acknowledgements and trade notifications 

that belong to a specific Member.

Drop copy messages are all sent using the 

SOLA Access Interface Language (SAIL), 

even where the Member’s original order was 

sent using the FIX protocol.

SAIL messages included in the drop copy are:

Message

Order Acknowledgement

Order Modification Acknowledgement

Order Cancellation Acknowledgement

Order Cancellation Notice

Execution Notice*

Leg Execution Notice*

Execution Cancellation notice*

Leg Execution Cancellation Notice*

* contains “Maker-Taker” flag

For more information on drop copy 

functionality please refer to the LSEDM 

Document Library: LSEDM302 SAIL Drop 

Copy

4.7.Market Data API

LSEDM provides a single market data API 

that applications can be developed to. This is:

 High Speed Vendor Feed (HSVF)

HSVF disseminates trades, quotes, request 

for quotes, market depth, trade cancellation, 

strategies, bulletins, instrument keys, 

instrument summaries and administrative 

messages for all order-book traded 

derivatives on LSEDM. HSVF uses a TCP/IP 

broadcast interface. Users may subscribe to:

Level 1 data – best bid and ask price and 

aggregate size, last trade price and size and 

other market data as detailed in the 

documents listed below.

Level 2 data – level one data augmented with 

a further four levels of price depth and size

For more information, please refer to HSVF 

documentation available in the LSEDM

Document Library.

Members wishing to redistribute market data 

must do so under the terms of the ILA and 

should refer to our Tariff Schedule, or contact 

the LSEDM Business Development team for 

more information.

4.8. Clearing API

LSEDM provides a clearing API that 

applications can be developed to for the 

purpose of allowing clearing processing and 

trade administration.

The documentation is available on request 

from Technical Account Management.
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5. Market Operations and Clearing

5.1.Transaction reporting and Market 

Identifier Code (MIC)

Every unique series on LSEDM has an 

associated ISIN code. This ISIN is a unique 

identifier that can be used for transaction 

reporting purposes. 

Each series can also be identified by its 

unique series level code, described in the 

Section 2.1.1 (symbology).

When the LSEDM trading platform 

automatically generates a Standard series 

with the same parameters of a previously 

created Tailor-Made (Flex) series with a 

standard expiration (due to the generation of 

new expiries, or new strikes due to movement 

of the underlying security), the trading 

platform automatically converts the TailorMade (Flex) series to Standard series. The 

new Standard series inherits the same ISIN

as the original Tailor-Made (Flex) series. 

Series will then become public and instrument 

data will be disseminated via HSVF as public 

Reference Data. 

The Market Identifier Code (MIC) for LSEDM

is “XLOD” and the Exchange ID is “E”

5.2.Central Counterparty Protection

All Future and Option Contracts traded or 

reported on LSEDM will have LCH.Clearnet 

Limited acting as Central Counterparty.

At the point of trade registration, trades are 

novated to LCH.Clearnet Limited, whereby 

LCH.Clearnet Limited becomes the long 

position against the short counterparty to the 

trade, and the short position against the long 

counterparty to the trade.

5.3.Margining and Position Controls

Initial margin is calculated and collected by 

LCH.Clearnet Limited using London SPAN V 

4.0. There are three major inputs to the 

London SPAN margin calculation, Positions, 

Prices and Parameters (determined by 

LCH.Clearnet and reviewed on a regular

basis). Any change to any one of these 

parameters will result in a change to the 

margin requirement. Please refer to the SPAN 

parameters on the LCH.Clearnet Limited 

website.

LSEDM calculates daily variation margin of a 

members’ profits or losses using the Daily 

Settlement Price to mark-to-market open 

positions. The collection/return of variation 

margin is administered by LCH.Clearnet 

Limited.

Derivative outurns with the exception of 

LSEDM Norwegian contracts benefit from 

margin offsets and optional cross trade source 

netting through LCH Clearnet EquityClear 

Service.

Buyer elections on all physical delivered 

contracts, excluding LSEDM Norwegian 

contracts, will be allowed under the 

EquityClear Service. Members will have the 

ability to choose an option or combination of 

options, in a participating Corporate Action 

giving more control over their investments, as 

opposed to the current default option process.

LCH Clearnet Limited will request margin on 

all positions and it is each member’s 

responsibility to meet their margin 

requirements
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5.4.Give Ups

When one side of the trade needs to be given 

up to another Clearing Member, it is the 

responsibility of the reporting member to 

request that both the buy and sell side of the 

trade go onto their own account; they will then 

be required to manage any give ups with their 

GCM directly. 

5.5.Account Structure

Members can request the following types of 

account from Membership through a request 

to membership@lseg.com.

 Client account;

 House account;

 Market Maker account (for member firms 

registered as Market Makers).

Membership will supply the member firm with 

a “Static Data Form” ,which should be used to 

specify account set up requirements. The 

member can segregate business as required.

Through LCH.Clearnet Limited, LSEDM 

currently offers Clearing Members both 

Omnibus Segregated Accounts (OSAs), i.e. 

an account held by the Clearing Member for 

the purposes of holding positions for one or 

more Clients (which may or may not be known 

by the Clearing House) and Individual 

Segregated Accounts (ISAs), i.e. an account 

held by the Clearing Member for the purposes 

of holding positions for a single named client.
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5.6.Market Operations and Clearing Processing Timetable 

Times may vary depending on market conditions

Market

Action UK Russia Norway Turkey

Start of consultation period (Members can delete orders) 05:30 05:30 05:30 06:30

Start of Intervention Period (Members can retrieve Bulk 

Quote ID for certain products) 07:30 07:30 07:30 07:00

Start of Trade Reporting hours 07:30 07:30 07:30 07:10

Start of Continuous Trading 08:00 08:00 08:00 07:10

End of Continuous Trading 17:00415:30515:20 15:45

End of Trade Reporting hours 17:30 17:30 16:00 17:30

Surveillance intervention period ends (Members can no 

longer delete orders) 18:00 18:00 18:20 17:50

Clearing closes 

(read-only access available in BCS) 18:00 18:00 18:00 18:00

Clearing batches begin

(BCS inaccessible) 18:45 18:45 18:45 18:45

Clearing reports available 19:30 19:30 19:30 19:30

Official closing prices disseminated

(can be amended over-night) 21:00 21:00 21:00 21:00

All times are London times; Timing of clearing batches, clearing reports and closing prices dissemination is approximate

 

4 Continuous Trading for UK stock options ends at 16:30

5 Continuous Trading for FTSE RIOB derivatives ends at 16:00, except on expiry when it ends at 15:30
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Until clearing closes at 18:00 daily, members 

are able to perform trade administration such 

as give ups/ takes ups, position transfers and 

close outs in the clearing system.

5.7.Clearing reports

Members can extract reports summarising 

their activity on LSEDM from the clearing API 

and clearing applications (including the CC&G 

FTP Server).

For more information on these reports and 

how to access them, please refer to Section 4 

(Connectivity and Access).

5.8.Exercise and Assignment guide

Currently, LSEDM offers two Options styles 

on its derivatives markets with the following 

exercise windows:

Option 

style Exercise

Exercise 

window

Open Close

American 

style

Any business day from 

trade date until day 

before expiry

07:30 18:00

European 

style and 

American 

style

Expiry day 18:10 18:40

All times are London times; Timing for Exercise Window 

is approximate

LSEDM applies the following automatic 

exercise rules on expiration:

Market Index Options Stock/ DR 

Options

Norway

All series that 

are in-the-money 

by more than the 

exercise fee 

payable

All in-the-money 

series

IOB

All series that 

are in-the-money 

by more than the 

exercise fee 

payable

All in-the-money 

series

UK All in-the-money 

series

All in-the-money 

series

Turkey All in-the-money 

series

Manual exercise can be performed through 

the member’s clearing application.

5.9.Physically Settled Contracts

If the Member holds a net Short Futures 

position, LSEDM shall make available 

normally prior to 22:00 London time on the 

day in question through the Clearing 

Application BSC, the report “Expired Futures 

Positions to be settled MD51”. This report 

provides details relating to the Settlement 

Delivery obligations for the Underlying Stock 

in respect of its own Account Transactions 

and of Transactions executed on behalf of a 

Client together with the Settlement Amount 

payable to the Member in respect thereof.

If the Member holds a net Long Futures 

position, LSEDM shall make available 

normally prior to 22:00 London time on the 

day in question through the Clearing 

Application BCS, the report “Expired Futures 

Positions to be settled MD51”. This report 

provides details relating to the receipt 

obligations for the Underlying Stock in respect 

of its own Account Transactions and of 

Transactions executed on behalf of a Client 
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together with the Settlement Amount due to 

the Member in respect thereof.

Where a Member Exercises an Option and 

the Exercise is accepted by LSEDM, or the 

Member is Assigned, LSEDM shall make

available normally prior to 22:00 London time 

on the day in question through the Clearing 

Application BCS the report “Options 

Exercise/Assigned to be settled MD01”. This 

report specifies the number of Underlying 

Stock to be delivered by or to the Member in 

respect of own Account Transactions and of 

Transactions executed on behalf of a Client 

together with the Settlement Amount payable 

to or by the Member in respect thereof.

The Member shall ensure that the information 

specified in the relating reports “MD51 and 

MD01” are accurate in all respects and notify 

LSEDM of any discrepancy no later than 

08:00 London time on the Trading Day after 

the affected day of Delivery or Exercise.
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6. Risk Controls

6.1.Order book

6.1.1. Price controls

Circuit breakers will activate and trigger a 60 

second suspension of trading when a trade 

occurs at a price level deemed to be an 

unacceptably large deviation away from static 

or dynamic control prices defined by LSEDM.

LSEDM can set separate circuit breakers 

against the static control price with respect to 

both orders and trades. In particular market 

conditions, LSEDM may, with reference to 

markets, categories of financial instruments or 

individual instrument modify the maximum 

price variation limits, the static price, the 

dynamic price and other trading conditions.

Definitions of control prices are as follows:

 Static control price – the previous day 

closing price as determined by the 

London Stock Exchange Derivatives 

Market (or CC&G, where applicable);

 Dynamic control price – the last traded 

price in the current session.

Levels set by LSEDM are detailed in 

Appendix B.

For Stop Loss and If Touched orders, the 

incoming order price cannot be outside the 

price control thresholds detailed in Appendix 

B. Additionally if, when triggered, the price on 

such an order violates the control parameters, 

the incoming order is deleted and the circuit 

breaker suspension is triggered. In the event 

that the circuit breaker will continue to persist 

due to a member’s order(s) that is outside the 

static or dynamic thresholds and LSEDM has 

taken reasonable action to contact the 

member in relation to that order and the 

member has not responded, LSEDM reserves 

the right to delete the order to resume 

continuous trading. 

6.1.2. Self Execution Prevention (SEP)

LSEDM trading platform provides SelfExecution Prevention (“SEP”), with the 

purpose for market participants to avoid 

execution when an order crosses an oppositeside order sent by the same trading firm on 

the Order book (i.e. “self matching”). 

SEP on SOLA is user-configurable, allowing 

for each market participant to specify which 

Trader IDs of its member firm will or will not 

be able to interact, and determine which order 

(incoming or resting) takes precedence. SEP 

applies during continuous trading for Limit, 

Market, Top, Stop (loss) and If-Touched 

orders.

Basic functionality:

Market participants can define one or more 

Self-Execution Prevention Groups (“SEP 

Group”) for their Trader IDs. Members can set 

up their SEP Groups by contacting their 

Technical Account Manager at 

londontam@lseg.com 

 A SEP Group will contain one or more 

TraderIDs from a particular member firm. 

A SEP Group cannot include TraderIDs 

from multiple member firms. A TraderID 

will be allowed to be associated only to 

one SEP Group. 

o Orders submitted from TraderIDs 

within the same SEP Group will not 

be allowed to interact with each other;
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o Orders submitted from TraderIDs in 

different SEP Group will be allowed to 

interact with each other.

 SEP will take effect upon aggression of 

the order (before execution) and not on 

order entry or replenishment. 

The diagram above explains how the 

interaction between TraderIDs/ SEP Groups 

works on SOLA.

“SEP Rules” regulate the interaction of 

orders from a member firm and are defined at 

the TraderID level. Different rules can be 

applied to TraderIDs included in the same 

SEP Group. The SEP rule of the incoming 

order (i.e. the aggressive order) will 

regulate the interaction between two orders 

which are part of the same SEP Group.

The following SEP Rules will be available for 

each TraderID:

 Cancel Incoming Order (CIO): leaves 

the resting order while expiring the 

incoming order;

 Cancel Resting Order (CRO): expires 

the resting order while allowing the 

incoming order to aggress (and rest in the

book if it is not matched);

 Cancel Both Orders (CBO): expires 

both the resting order and the aggressing 

order;

 Reduce and Cancel (RC): cancels both 

orders if they are of the same size. For 

those not of the same size, the smallest 

order will be cancelled and the larger 

order will be reduced by the size of the 

smaller order before executing/resting. 

Both orders will also be cancelled if the 

resting order is marked with any Self 

Execution Prevention (other than RC) and 

the incoming order is smaller than the 

resting order.

The table below explains the expected 

behaviour of SOLA when orders/quotes from 

TraderIDs from the same SEP Group interact.
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Exceptions to SEP Rules:

 If a self-execution is identified involving a 

quote (as a resting or aggressive order), 

the SEP Rule attached to the incoming 

TraderID will be ignored and the following 

rules will apply:

o In case the opposite side is an 

order (i.e. it is not a quote), the 

quote will survive while the order 

(incoming or resting) will be 

cancelled;

o In case the opposite side is a 

quote (e.g. two quotes submitted 

by two different TraderIDs of the 

same market participant), no SEP 

rules will be applied i.e. the trade 

will be executed.

 Strategies: SEP will only apply for orders 

with potential executions in the “Strategy 

v Strategy” scenario, i.e. if a strategy 

instrument could execute against another 

(resting) strategy instrument, SEP will 

prevent this execution. SEP will not 

apply in the Strategy v Legs case, i.e. 

when a strategy instrument could execute 

against orders on the Order book, the 

trade will be executed;

 Minimum quantity orders: SEP will not 

apply to execute minimum quantity 

orders, including icebergs, Fill Or Kill 

(FOK) and Fill And Kill (FAK) orders;

 “Internal” cross orders: SEP will not 

apply to cross orders with the same 

counterparty on both sides.

6.1.3. Order Quantity Controls

Orders are reviewed by LSEDM Market

Supervision for purposes of market quality.

Product specific settings are in detailed in 

Appendix B.

The futures contracts value ranges are 

available in Appendix C.

6.2.Price Controls on Block Trades

Block trades on Standard series

electronically submitted to LSEDM will be 

subject to the following automatic controls:

 Where the price of the Block falls outside 

the real-time bid/ ask spread, LSEDM

SEP Rules

Expected trading behaviour

Resting is a:

Rule Order Quote

Incoming is 

a:

Quote

CIO

Cancel Resting Order

Quote takes precedence

Execution

No Self Execution 

Prevention

CRO

CBO

RC

Order

CIO Cancel Incoming

Cancel Incoming Order

Quote takes precedence

CRO Cancel Resting

CBO Cancel Both

RC Reduce and Cancel
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defines a minimum acceptable quantity for 

the trade which is product specific;

 Where the quantity of the block is above a 

threshold defined at product level as 

“minimum quantity for outside spread”, 

LSEDM sets a maximum permitted 

percentage deviation from the real-time 

bid/ ask spread;

 Any Block trade at a price more than this 

percentage i.e. below the bid/ above the 

ask, will not be accepted;

 Where the price of the Block falls inside 

the real-time bid / ask spread, the trade is 

subject to normal order quantity controls.

Product specific settings are in detailed in 

Appendix B.

Block trades on Tailor-made (Flex) series

electronically submitted will be subject to a 

post-trade theoretical price validation check 

by LSEDM Market Supervision. The 

Exchange may unilaterally cancel any trades 

that fail to its meet its controls.

6.3.Price Controls on Trade Reports

(manual process)

Trades sent to LSEDM for Trade Reporting 

and Registration are subject to price control 

by LSEDM Market Supervision.

 For Standard series, trades must obey the 

Product specific settings as detailed in 

Appendix B;

 For Tailor-made series, trades will be 

subject to a theoretical price validation

check by LSEDM Market Supervision.

6.4.Bulk Quoting Protection

Bulk quoting protection is a functionality 

provided by LSEDM that will result in an 

automatic cancellation of all quotes in a 

particular instrument class under certain 

conditions.

The feature protects Bulk Quote users against 

any “excessive” trades due to the following:

 Technical problems at participant’s end 

preventing normal market updates;

 Quoting errors at participant’s end due to 

erroneous underlying price information;

 Unintentionally being “swept” by another 

participant.

6.4.1. Bulk Quoting Protection Types 

Bulk quoting protections apply to each trader 

ID for an underlying instrument group. Users 

may opt for one of two types of bulk quoting 

protection:

 Standard protection: If protection is 

triggered on an instrument class, quoting 

will be restarted and counters (detailed 

below) reset the next time a bulk quote 

message is sent to any instrument in the 

class;

 Advanced protection: If protection is 

triggered on an instrument class, any 

subsequent quote update is rejected and 

quoting can only be resumed after the 

new “Protection subscription” (RP) 

message is sent.

Once protection is triggered, the London 

Stock Exchange Derivatives Market will 

automatically cancel all quotes posted by the 

trader on all instruments in the class and send 

a “Notice of cancellation of all quotes” (NP) 

message.

6.4.2. Protection counters

Bulk quoting protection is active on all quotes 

sent using the Bulk Quote message 

functionality.
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LSEDM provides five protection counters 

which can be set by firms using bulk quotes in 

a specific instrument class.

Any number of counters can be activated 

simultaneously. Traders must define a “Time 

Interval”. The protection counters are reset in 

the event that the time elapsed between any 

two trades is longer than the user defined 

“Time Interval”.

Protection counters are listed and described 

in the table below.

6.4.3. Default protection and ranges

LSEDM provides default thresholds for the 

protection counters within the trading system 

(see Appendix E). LSEDM sets the default to 

ensure adequate protection for bulk quote 

users. Bulk quote users may define their own 

customised thresholds. When defining their 

thresholds, users must adhere to the 

minimum and maximum configuration ranges 

in the tables in Appendix E. If a value outside 

the relevant minimum or maximum is 

selected, LSEDM will reject the message and 

users will be unable to set up their customised 

protection thresholds.The protection must be 

activated before the start of each trading day 

by sending an “RP message” to select the 

type of protection (Standard or Advanced). 

For each trader ID, bulk quote users need to 

send a “bulk quote” message (BD) to begin 

their quoting activity with the user defined 

thresholds (including the Time Interval, 

Maximum Volume and Value limits, and 

Maximum Delta Volume and Value limits). 

If the values of the thresholds are not user 

defined, then the LSEDM default thresholds 

are selected, as in Appendix E.

For further information on the Bulk Quoting 

Protection functionality, please refer to the 

Bulk Quoting Protection Description document 

on the LSEDM Document Library.

Counter type

Counter change condition

(applies to all trades in any instrument of the class)

Trigger for bulk quoting 

protection

Trade count (of 

Min Lot Size)

Increases by 1 with each execution of a trade of at least N 

lots (where N is a user defined number). Max number of 

trades = Count (Trade where volume ≥ Minimum Trade 

Volume)

LSEDM default threshold OR

User defined number of trades of 

at least N lots in size

Volume count Increases by the trade volume of every execution LSEDM default threshold OR

User defined volume

Value count

Increases by the trade value of every execution

Max Value = ∑ (Volume x Price x Contract Size x Tick 

Value)

LSEDM default threshold OR

User defined value

Delta volume 

count

Increases by trade volume of every bought call option, 

sold put option and bought future; and

Decreases by trade volume of every sold call option, 

bought put option and sold future

LSEDM default threshold OR

User defined net volume

Delta value count

Increases by trade value of every bought call option, sold 

put option and bought future; and

Decreases by trade volume of every sold call option, 

bought put option and sold future

LSEDM default threshold OR

User defined net value
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7. Tariff Models

LSEDM operates several products with 

specific pricing models. Tariff schedules are 

available on the LSEDM Document Library.

The different tariff models currently in use on 

LSEDM are detailed below.

Fee per lot 

Products using this system simply apply one 

universal fee to each side of the trade based 

on the number of contracts traded, Per-Trade 

Charging

Percentage of Futures value 

Some products are charged based on a 

“percentage of future value” system, for 

example IOB Dividend Futures.

Future Value = (future price traded) x 

(number of contracts) x (multiplier)

Percentage of premium value 

Some products are charged based on a 

“percentage of premium value” system, for 

example IOB DR Options

Premium Value = (premium) x (number of 

contracts) x (multiplier)
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8. Contacts

For more information on LSEDM, or any services offered by LSEDM, please contact a member 

of our team.

Department Telephone Email

Business Development Enquiries +44 (0) 20 7382 7650 lsedm.sales@lseg.com

Membership +44 (0) 20 7797 1900 membership@lseg.com 

Derivatives Market Operations +44 (0) 20 7797 3617 etd.operations@lseg.com

Market Supervision +44 (0) 20 7797 4632 lsedm.supervision@lseg.com

Corporate Actions team +44 (0) 20 7797 3660 etd.corporateactions@lseg.com

Technical Account Management

Functional Queries, Client OnBoarding, Technical Advice

+44 (0) 20 7797 3939 londontam@lseg.com

Client Support Team

Incident Management (Live 

Service and CDS)

+44 (0) 20 7797 1500 support@lseg.com

London Stock Exchange Group

10 Paternoster Square 

London 

EC4M 7LS 

T: +44 (0) 20 7382 7600

F: +44 (0) 20 7382 7690
LSEDM TRADING 

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9. Appendix A – Order Types

9.1.Order types for electronic, anonymous Order book trading

Order type Description

Price Type

Limit order Enters Order book at specified price and will execute at that level or better. 

Residual is retained on order-book (unless designated as an immediate order) 

until withdrawn or traded.

Market order Executes at best available price until all volume on opposite side has been 

traded. Residual is converted to a limit order at last price that original order was 

executed.

Top order Executes at best available price against any single contra order. Residual is 

converted to a limit order at price just traded.

Stop (loss) order Order enters book to prevent further loss once either the Last price or Bid or Ask 

(as selected) reaches a stated trigger price. Entering order can be set as limit 

order by entering a specific order price. Alternatively, it can be set as a market 

order by leaving the order price field blank. Residual is retained on order-book.

If-Touched order Order enters book seeking to capitalise once either the Last price or Bid or Ask 

(as selected) reaches a stated trigger price. Entering order can be set as limit 

order by entering a specific order price. Alternatively, it can be set as a market 

order by leaving the order price field blank. Residual is retained on order-book.

Quantity Type

Minimum 

quantity order

Tries to execute at the specified price for at least the stated ‘Additional Quantity’ 

(AQ). If the AQ cannot be immediately filled, the order is rejected. If the AQ is 

filled, the residual is retained on the Order book and can trade without further 

quantity constraints.

Iceberg/ 

disclosed 

quantity order

Enters book as Limit order for only the ‘Additional Quantity’ (AQ) visible, and 

any balance is held “in reserve”. The visible quantity is assigned time-priority at 

the point of insertion in relation to other displayed orders, whilst the reserve 

quantity is assigned time priority in respect of other non-displayed orders. When 

this disclosed/ AQ amount has been traded, the system refreshes the visible 

quantity from the reserve quantity.

Duration Type

Day order Remains on the book and cancelled at end of the day unless traded or deleted.

Good Till Day 

(GTD)

Remains on the book and cancelled at the end of the day specified in the GTD 

field unless traded or deleted.

Good Till 

Cancelled (GTC)

Remains on the book until expiration unless traded or deleted.

Immediate order 

(FAK/ IOC)

Immediately executed against any existing orders at the specified price of better, 

up to the stated volume. Residual volume is deleted.

While connected 

order

Remains on the book until participant disconnection or front end failure unless 

traded or deleted.
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9.2. Block Trades

Order type Description Effect market data Matching requirements

Committed 

(interbank)

Matching facility to support reporting of executions negotiated 

between different members for the purpose of trade publication 

and clearing. Trades must specify the intended counterparty and 

do not interact with the anonymous Order book. Trades stay in 

the committed book until the end of the day unless matched or 

deleted.

Trades must meet certain quantity 

and price threshold determined by 

LSEDM on a product specific basis.

Trades contribute to the Market 

Data Feed with quantity and price 

updates.

Both sides must enter a committed trade with 

opposing buy and sell sides, same price, same 

quantity and the correct counterparty or the trades 

will not match.

Committed trades not matched by the end of the 

trading session are automatically deleted.

Cross

(intrabank)

Trade is pre-arranged by one member acting on behalf of each 

side and reported to LSEDM. Trades do not interact with the 

anonymous Order book.

Matching not required as trade details are entered 

by one participant only.

Bundled

Members are allowed to group several bilaterally negotiated 

trades on same/different instruments within an unique order, 

offering certainty of simultaneous execution, or no execution at 

all. Each leg of the Bundled Order must specify the intended 

counterparty and do not interact with the Order book. Trades 

stay in the committed book until the end of the day unless 

matched or deleted. 

Each leg must be approved by the opposing 

counterparty (same price, same quantity), otherwise

the trades will not matched. Once all legs are 

approved, trades in the Bundled Order are 

confirmed and sent to clearing. Legs of the Bundled 

Orders not matched by the end of the trading 

session are automatically deleted.

Third Party

Members registed as Reporting Brokers can arrange a trade 

between two or more Members and use the Third Party Order to 

initiate the execution process for a cross order. Each leg of the 

Third Party Order must specify the intended counterparties and 

do not interact with the Order book. Trades stay in the 

committed book until the end of the day unless matched or 

deleted. 

Each leg of the trade must be approved by the 

relevant counterparties (same price, same quantity), 

otherwise the trades will not matched. Once all legs 

are approved, trades in the Third Party Order are 

confirmed and sent to clearing. Legs of the Third 

Party Orders not matched by the end of the trading 

session are automatically deleted.
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10.Appendix B – Controls

10.1. Price and Quantity Controls

Product

Order book price control Block Trade price control for Standard 

series6 Order book quantity control Block trade quantity control Trade Reporting7

% from static 

control

% from dynamic 

control

Min quantity 

for outside 

spread

Allowable % from 

bid/ask

Max single 

order 

Max combo 

order Min size Max size Min quantity for Tailormade (Flex) series

Futures

FTSE 100 +/- 5.0% for orders

+/- 3.5% for trades +/- 1.5% 100 lots +/- 7.5% 500 lots 2,500 lots 50 lots 5,000 lots 1 lot

FTSE UK SLQ +/- 5.0% for orders

+/- 3.5% for trades +/- 1.5% 100 lots +/- 7.5% 500 lots 2,500 lots 50 lots 5,000 lots 1 lot

FTSE RIOB +/- 5.0% for orders

+/- 3.5% for trades +/- 1.5% 1 lot Within bid/ask spread 500 lots 2,500 lots 1 lot 5,000 lots 1 lot

OBX +/- 10% for orders n/a 1 lot Within bid/ask spread 50,000 lots 50,000 lots 1 lot 50,000 lots 1 lot

OBOSX +/-10% for orders n/a 1 lot Within bid/ask spread 50,000 lots 50,000 lots 1 lot 50,000 lots 1 lot

BIST 30 +/- 5.0% for orders

+/- 3.5% for trades +/- 1.5% 150 lots +/- 5.0% 5,000 lots 5,000 lots 150 lots 5,000 lots 1 lot

UK Stocks (contract 

size = 1,000) n/a n/a n/a n/a n/a n/a 1 lot 30,000 lots 1 lot

UK Stocks (contract 

size = 100) n/a n/a n/a n/a n/a n/a 1 lot 300,000 lots 1 lot

Norwegian stocks +/- 50% for orders n/a 1 lot Within bid/ask spread 50,000 lots 50,000 lots 1 lot 50,000 lots 1 lot

IOB DRs +/- 20.0% for orders

+/- 7.5% for trades +/- 3.5% 1 lot Within bid/ask spread 10,000 lots 10,000 lots 1 lot 60,000 lots 1 lot

 

6 Block trades in Tailor-made (Flex) series electronically submitted to LSEDM are subject to a post-trade theoretical price validation check by LSEDM Market Supervision

7

For Trade Reporting of Standard series, Block Trade price and quantity controls apply.
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Product Order book price control Block Trade price control for Standard 

series6 Order book quantity control Block trade quantity control Trade Reporting7

% from static 

control

% from dynamic 

control

Min quantity 

for outside 

spread

Allowable % from 

bid/ask

Max single 

order

Max combo 

order Min size Max size Min quantity for Tailormade (Flex) series 

IOB DR dividends +/- 25.0% for orders

+/- 10.0% for trades +/- 5.0% 1 lot Within bid/ask spread 10,000 lots 10,000 lots 1 lot 100,000 lots 1 lot

Options

FTSE 100 See below See below 50 lots +/- 7.5% 500 lots 2,500 lots 25 lot 5,000 lots 1 lot

FTSE RIOB See below See below 1 lot Within bid/ask spread 5,000 lots 10,000 lots 1 lot 10,000 lots 1 lot

OBX n/a n/a 1 lot Within bid/ask spread 50,000 lots 50,000 lots 1 lot 50,000 lots 1 lot

BIST 30 See below See below 150 lots +/- 15.0% 5,000 lots 5,000 lots 150 lots 5,000 lots 1 lot

IOB DRs See below See below 1 lot Within bid/ask spread 10,000 lots 10,000 lots 1 lot 30,000 lots 1 lot

UK stocks (contract 

size = 1,000) See Below See below

50 lots

200 lots (VOD, 

LLOY)

+/- 7.5% 5,000 lots 5,000 lots 1 lot 30,000 lots 1 lot

UK stocks (contract

size = 100) See Below See below 500 lots +/- 7.5% 50,000 lots 50,000 lots 1 lot 300,000 lots 1 lot

Norwegian stocks n/a n/a 1 lot Within bid/ask spread 50,000 lots 50,000 lots 1 lot 50,000 lots 1 lot
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10.2. Index options (Order book price control)

Strike Price

Trade vs. Settlement Trade vs. Last

Front month All subsequent expiries All Expiries

(% Increase - % Decrease) (% Increase - % Decrease) (% Increase - % Decrease)

Over 8th OTM 900% - 80% 890% - 70% 450% - 50%

7th OTM 700% - 80% 690% - 70% 350% - 50%

5th and 6th OTM 500% - 80% 490% - 70% 200% - 50%

3rd and 4th OTM 250% - 80% 240% - 70% 100% - 50%

2nd OTM 200% - 80% 190% - 70% 70% - 50%

1st OTM 150% - 80% 140% - 70% 50% - 50%

ATM 100% - 80% 90% - 70% 40% - 40%

1st ITM 80% - 80% 70% - 70% 30% - 30%

2nd ITM 70% - 70% 60% - 60% 30% - 30%

3rd and 4th ITM 60% - 60% 50% - 50% 25% - 25%

5th and 6th ITM 40% - 40% 30% - 30% 15% - 15%

7th to 11th ITM 35% - 35% 25% - 25% 10% - 10%

12th ITM 25% - 25% 15% - 15% 5% - 5%
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10.3. Stock options (Order book price control)

Strike Price

Trade vs. Settlement Trade vs. Last

Front month All subsequent expiries All Expiries

(% Increase - % Decrease) (% Increase - % Decrease) (% Increase - % Decrease)

Over 8th OTM 900% - 80% 890% - 70% 450% - 50%

7th OTM 700% - 80% 690% - 70% 350% - 50%

5th and 6th OTM 500% - 80% 490% - 70% 200% - 50%

3rd and 4th OTM 400% - 80% 390% - 70% 100% - 50%

2nd OTM 350% - 80% 340% - 70% 70% - 50%

1st OTM 250% - 80% 240% - 70% 60% - 50%

ATM 150% - 80% 140% - 70% 50% - 50%

1st ITM 80% - 80% 70% - 70% 40% - 40%

2nd ITM 70% - 70% 60% - 60% 35% - 35%

3rd and 4th ITM 60% - 60% 50% - 50% 30% - 30%

5th and 6th ITM 50% - 50% 40% - 40% 20% - 20%

7th to 11th ITM 45% - 45% 35% - 35% 15% - 15%

Over 12th ITM 30% - 30% 20% - 20% 10% - 10%
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11.Appendix C – Futures Contracts Value Ranges

Product Value Ranges Fast Market Value Ranges

Stock index future 1.5% 3%

Stock futures 5% 10%

Dividend futures 10% 20%
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12. Appendix D – Strategies

LSEDM suggested convention for pre-defined strategies:

To assist front end developers in building a set of pre-defined strategies, LSEDM suggests the following convention 

(useful for developing front end systems). Please note, this is a simply an illustration of how to build a pre-defined list. 

Market participants can choose their own convention, using the FLEXCO message.

Strategy Description (Long position) LSEDM BTS convention

(K = strike, T = maturity)

2 legged strategies

1. Calendar Spread 

(IOB, UK and Turkish 

products)

Buy the near month future and sell the far month 

future

Buy F (T1)

Sell F (T2), T1 < T2

2. Calendar Spread 

(Oslo products)

Sell the near month future and buy the far month 

future

Sell F (T1)

Buy F(T2), T1 < T2

3. Call Calendar Spread Buy the near month call and sell the far month call Buy C (K, T1)

Sell C (K, T2), T1 < T2

4. Put Calendar Spread Buy the near month put and sell the far month put Buy P (K, T1)

Sell P (K, T2), T1 < T2

5. Diagonal Call Calendar 

Spread

Buy the near month call and sell the far month call 

at different strike prices

Buy C (K1, T1)

Sell C (K2, T2), T1 < T2

6. Diagonal Put Calendar 

Spread

Buy the near month put and sell the far month put 

at different strike prices

Buy P (K1, T1)

Sell P (K2, T2), T1 < T2

7. Straddle Buy a call and a put at the same strike (and at the 

same expiry date)

Buy C (K, T)

Buy P (K, T)

8. Collar Buy a put at the lower strike and sell a call with a 

higher strike price (and at the same expiry date)

Buy P (K1, T)

Sell C (K2, T), K1 < K2

9. Risk Reversal Sell a put and buy a call at the same strike (and at 

the same expiry date)

Sell P (K, T)

Buy C (K, T)

10. Call Spread Buy call at lower strike price and sell call at higher 

strike price (and at the same expiry date)

Buy C (K1, T)

Sell C (K2, T), K1 < K2

11. Put Spread Buy put at higher strike price and sell put at lower 

strike price (and at the same expiry date)

Sell P (K1, T)

Buy P (K2, T), K1 < K2

12. Ratio Call Spread Buy a call at lower strike price and sell 2 calls at a 

higher strike price (and at the same expiry date)

Buy C (K1, T)

Sell 2 x C (K2, T), K1 < K2

13. Ratio Put Spread Sell a put at lower strike price and Buy 2 puts at a 

higher strike price (and at the same expiry date)

Sell 2 x P (K1, T)

Buy P (K2, T), K1 < K2

3 legged strategies

14. Straddle versus Short 

Call

Buy a call and a put at the same strike (and at the 

same expiry date), sell a call at higher strike

Buy C (K1, T)

Buy P (K1, T)

Sell C (K2, T), K1 < K2

15. Straddle versus Short 

Put

Buy a call and a put at the same strike (and at the 

same expiry date), sell a put at a lower strike

Sell P (K1, T)

Buy C (K2, T)

Buy P (K2, T), K1 < K2

16. Call Butterfly

Sell two calls at a middle strike, buy two calls each 

at lower and higher strike (all with same expiry 

date and with strikes equidistant)

Buy C (K1, T)

Buy C (K3, T)

Sell 2 x C (K2, T), K1 < K2 < K3

17. Put Butterfly

Sell two puts at a middle strike, buy two puts each 

at lower and higher strike (all with same expiry 

date and with strikes equidistant)

Buy P (K1, T)

Buy P (K3, T)

Sell 2 P (K2, T), K1 < K2 < K3
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Strategy Description (Long position) LSEDM BTS convention

(K = strike, T = maturity)

18. Call Ladder

Buy call, sell call at higher strike and sell call at 

equally higher strike (all with same expiry date 

and with strikes equidistant)

Buy C (K1, T)

Sell C (K2, T)

Sell C (K3, T), K1 < K2 < K3

19. Put Ladder

Sell put, sell put at higher strike and buy put at 

equally higher strike (all with same expiry date 

and with strikes equidistant)

Sell P (K1, T)

Sell P (K2, T)

Buy P (K3, T), K1 < K2 < K3

20. Call spread versus 

Short Put

Buy Call, sell Call at higher exercise price, sell Put 

at any (lowest) strike

Sell P (K1, T)

Buy C (K2, T)

Sell C (K3, T), K1 < K2 < K3

21. Put spread versus 

Short Call

Buy Put and sell Put at lower strike, sell Call at 

any (highest) strike

Sell P (K1, T)

Buy P (K2, T)

Sell C (K3, T), K1 < K2 < K3

4 legged strategies

22. Straddle Calendar 

Spread

Selling a near term straddle while buying a longer 

term straddle at same strike prices

Sell C (T1, K)

Sell P (T1, K)

Buy C (T2, K)

Buy P (T2, K), T1 < T2

23. Iron Butterfly

Buy a put and a call at a middle strike, sell a put at 

a lower strike and a call at a higher strike (all with 

same expiry date and with strikes equidistant)

Sell P (T, K1)

Buy P (T, K2)

Buy C (T, K2)

Sell C (T, K3), K1 < K2 < K3

24. Call Condor

Sell two calls at middle equidistant strikes, buy 

two calls each at lower and higher strike (all with 

same expiry date and with strikes equidistant)

Buy C (T, K1)

Sell C (T, K2)

Sell C (T, K3)

Buy C (T, K4), K1 < K2 < K3 < K4

25. Put Condor

Sell two puts at middle equidistant strikes, buy two 

puts each at lower and higher strike (all with same 

expiry date and with strikes equidistant)

Buy P( T, K1)

Sell P (T, K2)

Sell P (T, K3)

Buy P (T, K4), K1 < K2 < K3 < K4

26. Box Buy call and sell put at same strike, buy put and 

sell call at higher strike (all with same expiry date)

Buy C (T, K1)

Sell P (T, K1)

Sell C (T, K2)

Buy P (T, K2), K1 < K2

27. Diagonal Straddle 

Calendar Spread

Sell near term straddle and buy long term straddle 

at different strike prices.

Sell C (T1, K1) 

Sell P (T1, K1)

Buy C (T2, K2)

Buy P (T2, K2), T1 < T2

28. Iron Condor

Buy Put 1, Sell Put 2, Sell Call 1 and Buy Call 2 all 

in ascending order of strike price, all at the same

maturity

Buy P (K1, T)

Sell P (K2, T)

Sell C (K3, T)

Buy C (K4, T), K1 < K2< K3 < K4
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13.Appendix E – Bulk quoting protection: Default thresholds and user configurable ranges

13.1. IOB options (maximum volume protection only):

For the IOB options in the list, the default thresholds/ ranges for the maximum volume protection counter are 

below. (Note, the default values are the same as the minimum market making size obligations.) 

Option Default maximum 

volume threshold

Minimum configuration Maximum configuration

Gazprom 1,000

1 NA

Lukoil 150

Norilsk Nickel 500

Novatek 50

Rosneft 1,000

Sberbank 650

Surgutneftegaz 800

VTB Bank 2,500

RIOB Index 30

For all other protection counters, the values are the same as for all instruments other than Norwegian products.

13.2. UK stock options (maximum volume protection only):

For UK stock options listed on the Order book, the default thresholds/ ranges for the maximum volume protection 

counter are the five times (5x) the minimum market making size obligations. 

For all other protection counters, the values are the same as for all instruments other than Norwegian products.

13.3. Norwegian index, options and futures:

For all Norwegian products, the following default thresholds/ ranges are used:

Protection type Default threshold Minimum configuration Maximum configuration

Time Interval 60 seconds NA 1 hour

Trade count

(of Min Lot size)

5

(10)

3

(5)

NA

(NA)

Volume count 500 100 NA

Value count 9,999,999 10,000 NA

Delta volume count 9,999,999 100 NA

Delta value count 9,999,999 10,000 NA

13.4. All other instruments:

For all other instruments listed on LSEDM, the following default thresholds/ ranges are used:

Protection type Default threshold Minimum configuration Maximum configuration

Time Interval 60 seconds NA 1 hour

Trade count

(of Min Lot size)

99

(Equal to minimum 

1

(Equal to minimum market 

NA

(NA)
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Protection type Default threshold Minimum configuration Maximum configuration

market maker obligation) making obligation)

Volume count 10,000 1 NA

Value count 99,999,999 1,000 NA

Delta volume count 99,999,999 100 NA

Delta value count 99,999,999 10,000 NA