Open Day FIX Gateway. Najeeb Hamood, Javier Blecua. 5 October 2016

Transcription

1 Open Day 2016 FIX Gateway Najeeb Hamood, Javier Blecua 5 October 2016

2 Open Day 2016 Deutsche Börse Group 1 Contents 02 Rationale 08 Technical overview 04 Functionality 11 Cash T7 migration

3 Open Day 2016 Deutsche Börse Group 2 Rationale Objective enabling access to Xetra, Eurex T7 and Cash Markets on T7 via the standard FIX protocol and FIX session layer thus reducing implementation effort on participant side faster time to market expected Main target group order-routing applications trade capture applications (e.g. trade reconciliation for clearing departments) Why do we support FIX 4.2 and FIX 4.4? FIX 4.2 is still the preferred FIX connectivity solution for many firms. Even after the launch of more advanced versions, it still remains the most popular one. FIX 4.4 becomes more and more popular.

4 Open Day 2016 Deutsche Börse Group 3 Functionality Xetra FIX Gateway Xetra release 16.0 Supported functionality order handling intelligent orders (TSO, OCO, OOE) quote requests (continuous auction only) execution notifications trade notifications (all trades on member level) OTC trading (Xetra Trade Entry) and trade reporting drop copy of persistent orders (member view) Limitations (not supported) quoting (market making) functionality order mass cancellation cross requests Market supervision news market / reference data administrative functions (i.e. user maintenance / entitlement) state recovery (inquiry) for orders, quotes and instrument states Details on the Xetra FIX Gateway can be found on the Xetra website at: > Member section > Cash Market Member Section > Xetra Documentation

5 Open Day 2016 Deutsche Börse Group 4 Functionality Eurex FIX Gateway Eurex Exchange s T7 Supported functionality order handling for simple and multi-leg instruments (standard orders) quote requests and cross requests full support for the creation of strategies execution notifications order mass cancellation listener broadcast (drop copy for order history of standard orders) trade notifications (all on-exchange trades of the business unit, no TES trades) trading session events risk control broadcast Limitations (not supported) lean orders quoting (market making) functionality Market supervision news Trade Entry Service (TES) market / reference data administrative functions (i.e. user maintenance / entitlement) Details on the Eurex FIX Gateway can be found on the Eurex website at: > Technology > Eurex Exchange s T7 > System documentation

6 Open Day 2016 Deutsche Börse Group 5 Functionality T7 cash FIX Gateway Cash Market T7 Supported functionality order handling (standard orders) quote requests and cross requests execution notifications order mass cancellation listener broadcast (drop copy for order history of standard orders) trade notifications (all on-exchange trades of the business unit, no TES trades) trading session events risk control broadcast Limitations (not supported) lean orders quoting (market making) functionality Market supervision news Trade Entry Service (TES) market / reference data administrative functions (i.e. user maintenance / entitlement)

7 Open Day 2016 Deutsche Börse Group 6 Technical architecture overview Participant Trading FIX session for Xetra Back office FIX session for Xetra Xetra FIX interface ETS Xetra backends XFRA XEUB FIX engine Trading FIX session for T7 derivatives Back office FIX session for T7 derivatives Trading FIX session for T7 cash Back office FIX session for T7 cash T7 FIX interface common FIX messages for derivatives and cash separate FIX sessions ETI derivatives ETI cash T7 backend XEUR XEEE XETR XVIE XDUB

8 Open Day 2016 Deutsche Börse Group 7 Technical architecture overview session concept The Xetra, Eurex and T7 cash FIX interfaces support two types of FIX sessions: Trading FIX session It is used for order management. Each session will only receive information for all of its own orders and their executions. It can only maintain own orders. One session can be used to access several exchanges. One session can be shared by several traders. Note: execution information received via trading FIX sessions is preliminary only and not legally binding. Back-office FIX session Drop copy for persistent orders on member level (Xetra) resp. standard orders per business unit (Eurex Exchange s T7, T7 cash) All trade notifications of the member (Xetra) or all on-exchange trade notifications (with exception of TES entries) of the business unit (Eurex Exchange s T7, T7 cash), respectively, are provided. One session can be used to get data from several exchanges. Trade reversals will only be propagated via the back-office FIX session. Note: only trade capture reports are legally binding.

9 Open Day 2016 Deutsche Börse Group 8 Cash T7 migration - setup for cash markets after step 1 New T7 FIX Gateway for cash markets will replace the existing Xetra FIX Gateway for the trading venue Xetra (XETR) after migration step 1. The existing Xetra FIX Gateway will still be used for trading venue Frankfurt (XFRA). No common FIX sessions for the T7 FIX Gateway for cash (XETR) and for the existing Xetra FIX Gateway (XFRA) Existing FIX sessions for XFRA can still be used after the migration step 1. Additional FIX sessions will be required for accessing XETR. These can be ordered via the Xetra Member Section. It will be possible to use one FIX session for the access to several exchanges within each environment (Xetra FIX Gateway, T7 FIX Gateway for cash). Configuration after step 1 Xetra FIX Gateway T7 FIX Gateway for cash Member 1 Xetra FIX session for XFRA XFRA Member 1 T7 cash FIX session for XETR, XVIE Member 2 Xetra FIX session for XFRA, XBUL. XEUB XBUL XEUB XETR XVIE Member 2 T7 cash FIX session for XETR Member 3 Xetra FIX session for XBUL, XEUB, XMAL XMAL XDUB Member 3 T7 cash FIX session for XETR, XDUB

10 Open Day 2016 Deutsche Börse Group 9 Cash T7 migration Xetra FIX Gateway vs T7 Cash FIX Gateway Xetra FIX Gateway T7 FIX Gateway for cash FIX message flows and message formats No changes in the existing functionality Message flows similar to Xetra FIX Gateway. Messages formats adapted to the ETI interface and the T7 functionality. Backend interface ETS ETI (cash) Supported FIX versions FIX 4.2 and FIX 4.4 FIX 4.2 and FIX 4.4 Instrument Identification ISIN, Isix ISIN, SecurityID Back officesession functionality Functionalityon memberlevel Trade confirmations Drop-copy for persistent orders (optional activation via Xetra Member Section) Functionality on business unit level Trade confirmations Drop-copy for standard orders (optional activation via Xetra Member Section) Trading session functionality Order handling Quote request OTC trading functionality (Xetra Trade Entry) Trade reporting Order handling Quote request Cross request Risk control events Initial order transfer / order book replay Optional Can be deactivated via Xetra Member Section Mandatory Cannot be deactivated Supported order attributes Persistent,non-persistent Only standard orders (no support for lean orders) Persistent,non-persistent Support for all order types, price conditions, validity and execution restrictions implemented in backend

11 Open Day 2016 Deutsche Börse Group 10 Cash T7 migration - Eurex T7 FIX Gateway vs. T7 Cash FIX Gateway FIX message flows and message formats Eurex T7 FIX Gateway Changes in the existing functionality to adapt the existing Eurex T7 interface to a generic interface for all T7 systems (T7 derivatives, T7 cash). The extended FIX interface will not be backwardscompatible with the existing Eurex T7 FIX interface. T7 FIX Gateway for cash Message flows similar to Xetra FIX Gateway. Messages formats adapted to the ETI interface and the T7 functionality. Common FIX messages for T7 cash and T7 derivatives. Backend interface ETI (derivatives) ETI (cash) Supported FIX versions FIX 4.2 and FIX 4.4 FIX 4.2 and FIX 4.4 Instrument Identification SecurityID ISIN, SecurityID Back office session functionality Functionality on business unit level Trade confirmations Drop-copy for standard orders (optional activation via Eurex Member Section) Functionality on business unit level Trade confirmations Drop-copy for standard orders (optional activation via Xetra Member Section) Trading session functionality Order handling Quote request Cross request Risk control events Order handling Quote request Cross request Risk control events Initial order transfer / order book replay Mandatory Cannot be deactivated Mandatory Cannot be deactivated Supported order attributes Only standard orders (no support for lean orders) Persistent, non-persistent Only standard orders (no support for lean orders) Persistent, non-persistent Support for all order types, price conditions, validity and execution restrictions implemented in backend

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