Frequently Asked Questions 
21/03/2012 
 
General
   
1. What are the key enhancement areas for AMS/3.8 and MDS/3.8? 
 

AMS/3.8 and MDS/3.8 are primarily technology upgrades to fast track capacity and latency improvements of HKEx's securities trading and market data systems. 

The aim of the upgrade to AMS/3.8 is to enhance the existing securities trading system by increasing its order processing capacity to 30,000 orders per second and reducing its order processing latency, excluding the network transmission time, to around 9 milliseconds on average. If future need arises, HKEx will be able to scale up the processing capacity of AMS/3.8 to 150,000 orders per second with additional hardware. 

The market data broadcast rate of AMS/3.8 and MDS/3.8 at launch is 2,000 stock page updates per second. The upgrades also enable HKEx to increase market depth from the five best price levels to the 10 best for better market transparency. 

AMS/3.8 and MDS/3.8 include a number of streamlined functions and technical changes in order to ensure the systems are aligned with the prevailing market environment to improve trading efficiency and pave the way for future system upgrades and expansion. 

After the rollout of AMS/3.8 and MDS/3.8, HKEx will introduce more market datafeed products to meet increasing demand for deeper and faster market data. 
 

AMS/3.8
   
2. Why AMS/3 needs to be continuously upgraded? 
 

Continuous upgrades of capacity and speed of the existing Third Generation Automatic Order Matching and Execution System (AMS/3) to handle rising order rates have always been a top priority of HKEx. 

AMS/3 was launched in October 2000, and the upgrade (known as AMS/3.5) was completed in January 2010 to process up to 3,000 orders per second with latency at around 150 milliseconds. While the enhancements implemented during the last few years have served the local market adequately, increased order traffic arising from both organic market growth (e.g. with more trading in Exchange Traded Funds and structured products such as derivative warrants and callable bull/bear contracts, and consequently more market making activities by liquidity providers) and changing trading dynamics (e.g. more orders as algorithmic traders slicing orders into smaller size) have resulted in more capacity utilization. Additional capacity demand arising from future growth opportunities would present new challenges. Implementation of the next phase of hardware and software upgrades to AMS/3 (known as AMS/3.8) has therefore been scheduled by end of 2011.  
     

3. What functional and technical changes will be made for this upgrade? 
 

The order processing capacity of AMS/3.8 has been increased to 30,000 orders per second (10 times larger than present) with average latency reduced to 9 milliseconds (16 times faster than present). Throughputs for market data dissemination has also been enhanced to 2,000 stock page updates per second. In addition, the market depth has been increased from 5 to 10 best price levels for better market transparency and include a number of streamlined functions to improve operation efficiency such as increasing the maximum number of matchable price queues for enhanced limit orders and special limit order, streamlining input operations for handling price warning, and enhancing the function for cross-device bulk order cancellation. 

Details of the functional and technical changes in AMS/3.8 are listed in Appendices 3 and 5 of the Information Paper
 

4. While AMS/3.8 no longer provides most active securities ranking information, are there other sources where I can find similar information? 
 
Similar information is available on HKEx's corporate website under (a) homepage (showing the top 5 active shares); (b) the Investment Service Centre (showing the top 20 most traded securities by both turnover and volume); and (c) Daily Quotations (showing the top 10 most traded securities by both turnover and volume). 
 
5. Can AMS/3.8 support Cross Broker Bulk Order Cancel by Market? 
 

The Cross Broker Bulk Order Cancel function allows a trader to cancel orders (multiple of board lots and odd lots) entered by a Broker Number other than his own since the start of day. This function can only be performed by traders on Broker Numbers belonging to the same EP. 

AMS/3.8 also supports Cross Broker Bulk Order Cancel by market (e.g. all orders for Main Board securities, or Growth Enterprise Market securities). 
 

6. While market depth has been increased from 5 to 10 in AMS/3.8, has the number of matchable price queues been increased as well for Enhanced Limit Order and Special Limit Order? 
 

In AMS/3.8, the maximum number of matchable price queues for Enhanced Limit Order and Special Limit Order has been increased from 5 to 10. Any outstanding Enhanced Limit Order will be treated as a limit order and put in the price queue of the input price whereas any outstanding Special Limit Order will be cancelled immediately. 
   

7. Could the Exchange clarify the measurement basis of the 9 ms latency target in AMS/3.8? 
 
The 9 ms latency is the average response time of AMS/3 host, excluding the latency of SDNet. 
 
8. Is the order sequence number unique for each EP firm, or a single trading device? 
 
The order sequence number assigned to each order by AMS Host is unique market-wide (i.e. across all EP firms). 
 
9. Would the maximum number of throttles which could be assigned to an OG be changed with the AMS/3.8 upgrade? 
 
There is no plan to increase the maximum number of throttles that can be assigned to an OG. 
 
10. Would the price warning threshold be changed from 20 spreads deviation to a higher number in AMS/3.8? 
 
There is no plan to change this threshold but we will continue to review the need for changes in the market.  
  
11. Would the 9 times nominal price validation rule be still applicable in AMS/3.8? 
 
For the avoidance of erroneous order price input due to shifting of decimal point, the 9 times nominal price validation  would remain applicable in AMS/3.8. 
 
12. Is the requirement for message reference number in ascending order by firm or by OG? 
 
The message reference number is required to be in ascending order on a per OG device basis. If a BSS is connected to multiple OGs, it may use a different set of message reference number for each OG as long as they are in ascending order within the same OG. 
 
13. How does BSS determine what transactions to be re-transmitted during the recovery if AMS/3.8 does not provide the Last Message Reference per Broker Number in message 9113 (BS Supervisor Sign-On Response)? 
 
BSS has to rely on its own record to determine if there are unacknowledged transactions before the disconnection. These unacknowledged transactions are considered as doubtful transactions and should be re-sent to AMS Host.