BCS FIX 4.4 PROTOCOL SPECIFICATION MARKET DATA FOR FIXED INCOME MARKET

Transcription

1 BCS FIX 4.4 PROTOCOL SPECIFICATION MARKET DATA FOR FIXED INCOME MARKET

2 Change Log Date Version Description Author Initial version. Ricardo Núñez Added: Security List Update Related Sym Group component. Security List Update Report message (FIX 5) Added: Session Status Request message. Session Status message. DAU, EAU and TLR examples in Section Added: Added: Best Bid Fund Id in the PartyRole field, of the Parties component. TradeVolume in the NoMDEntries group of the Market Data Snapshot FullRefresh and the Market Data Incremental Refresh messages Modified: Changed possible value of field CPRegType (tag 876) to Y Added NoOffers (tag 10216) to Market Data Incremental Refresh (MsgType = X) Updated AuctionId (tag 10167) possible values.added TradeParties component. Added to Instrument component: tag 454 NoSecurityAltID, tag 455 SecurityAltID, tag 456 SecurityAltIDSource, tag 225 IssueDate, tag 228 Factor, tag 543 InstrRegistry, tag 696 RedemptionDate, tag 202 StrikePrice, tag 947 StrikeCurrency, tag 206 OptAttribute, tag 106 Issuer, tag 348 EncodedIssuer, tag Family, tag SplitFactor, tag Bolson, tag PaymentCurrency, tag MinCut, tag IssueAmount, tag RiskIndicator and tag FixedIncomePriceType. Removed possible value 39 from PartyRole. Added to Parties component: tag 802 NoPartySubIDs, tag 523 PartySubID, tag Ricardo Núñez Ricardo Núñez Felipe Bachmann Felipe Bachmann Miguel Fuentes Buchholtz Page 2 of 87

3 786 PartySubIDType. Added to Security List Request (MsgType=x): tag 263 SubscriptionRequestType and component [Instrument]. Removed tag 336 SessionID and tag 625 SessionSubID. Removed from Security List (MsgType = y) NoRelatedSym group: tag 15 Currency, tag 58 Text, tag 561 RoundLot, tag PresenceCategory, tag AutomaticCrossAuthorization and tag NumericPresence. Security List Update Report (MsgType = BK): removed tag 1301 MarketID. Added tag 1470 SecurityListType. Added TradeParties component. Market Data Request (MsgType = V): added component Parties, tag 1080 RefOrderID, tag 1081 RefOrderIDSource, tag RefOrderSubID. Added tag 59 TimeInForce, tag 287 SellerDays, tag 198 SecondaryOrderID, tag PublicRate, component [TradeParties], tag AuctionId, tag MDMaturity, tag MDAdjustmentCurrency, tag 63 SettlType, tag CoraMaturity, tag Duration, tag TIR, tag LocalCurrencyValue, tag ValuedAmount, tag DcvTitle, tag 423 PriceType, tag 54 Side, tag 38 OrderQty, tag 192 OrderQty2, tag OwnDemand, tag TotalDemand, tag OrderSubID, tag FractionID, tag NoFractions, tag NoAdjudicatedFractions, tag HasPriority, tag HasBid and tag NoOffers to Market Data Snapshot/Full Refresh (MsgType = W) and Market Data Incremental Refresh (MsgType = X). Modified MDEntryType possible values: added r = Duration, u = DAU offers, v = DAU bids, x = IRF EAU offers, X = IIF EAU offers, y = IRF EAU bids, Y = IIF EAU bids, z = IRF EAU trades and Z = IIF EAU trades. removed G, f, m and n. Session Status Request (MsgType=g): added tag 336 SessionID Modified: Added Tags to MsgType = X and W: 120 SettlCurrency, ShortSell, Stephanie Riesco / Eduardo Ramirez Page 3 of 87

4 InvesmentAmount, InstrumentRisk, InstrumentType, 893 LastFragment, 552 NoSides, 541 MaturityDate, 110 MinQty. Removed tags: 696 YieldRedemptionDate, PaymentCurrency and SplitFactor. Added option to MsgType = V: W (DAU trades). Added tag to MsgType = g: 1300 MarketSegmentID Changed possible value of field Currency (15) Changed possible value of field PaymentCurrency (10225) Changed possible value of field SettlementCurrency (120) Changed possible value of field MDAdjustmentCurrency (10159) Changed possible value of field AdjustmentCurrency (10224) Change system info for tag 126 ExpireTime. Change system info for tag 282 MDEntryOriginator. Change description for tag 272 Change description for tag 811 Change description for tag 38 Change description for tag Change description for tag 269=y/Y EAU bids. Change description for tag 269 When system is TLR in MDRequest message. Added tag Aggressor Change Definition for tag 432 ExpireDate Change Definition for tag MDMaturity Add tag PaymentCurrency to MsgType = X and MsgType = W Added Value 103 for bond type in the InstrAttribType (tag 871), present in the InstrumentExtension component, to inform in the SecurityList message the bond type, social, green or both. The description was added in the Instrument Identification section and in the example section for the SecurityList message. Eduardo Ramirez Stephanie Riesco Stephanie Riesco Eduardo Ramírez Page 4 of 87

5 Index 1. ABOUT THIS DOCUMENT INTRODUCTION INTENDED AUDIENCE SCOPE TERMINOLOGY CONVENTIONS CONTACTS COMMERCIAL INFORMATION HELP DESK NETWORK CONNECTIVITY TO BCS TRADING GATEWAY DIRECT LEASED LINE INTERNET VPN ACCESS SUPPORTED FIX MESSAGE FORMATS MESSAGE SUMMARY STANDARD HEADER STANDARD TRAILER COUNTER PARTY IDENTIFICATION SESSION MESSAGES Heartbeat (MsgType = 0) Test Request (MsgType = 1) Resend Request (MsgType = 2) Reject (MsgType = 3) Sequence Reset (MsgType = 4) Logout (MsgType = 5) Logon (MsgType =A) APPLICATION LEVEL MESSAGES Instrument Identification Parties Security List Update Related Sym Group TradeParties MARKET DATA MESSAGES Market Data Request (MsgType = V) Market Data Snapshot/Full Refresh (MsgType = W) Page 5 of 87

6 4.7.3 Market Data Incremental Refresh (MsgType = X) Market Data Request Reject (MsgType = Y) Security List Request (MsgType=x) Security List (MsgType = y) Security List Update Report (MsgType = BK) Session Status Request (MsgType=g) Session Status (MsgType=h) Security Status Request (MsgType=e) Security Status (MsgType = f) EVENT MESSAGES News (MsgType = B) Business Message Reject (MsgType = j) MESSAGE SCENARIOS MARKET DATA MESSAGES Successful Subscription plus Book Updates Failed Subscription Request EXAMPLES LOGON SECURITY LIST REQUEST SECURITY LIST SECURITY STATUS REQUEST SECURITY STATUS DAU: TRADING SESSION STATUS REQUEST WITH UPDATE DAU: MARKET DATA REQUEST IRF AND IIF OFFERS DAU: MARKET DATA REQUEST IRF AND IIF BIDS DAU: MARKET DATA INCREMENTAL REFRESH NEW OFFER DAU: MARKET DATA INCREMENTAL REFRESH NEW BIDS EAU: TRADING SESSION STATUS REQUEST WITH UPDATE EAU: MARKET DATA REQUEST IRF AND IIF OFFERS EAU: MARKET DATA REQUEST IRF AND IIF BIDS EAU: MARKET DATA INCREMENTAL REFRESH NEW OFFER EAU: MARKET DATA INCREMENTAL REFRESH DELETE OFFER Page 6 of 87

7 1. ABOUT THIS DOCUMENT 1.1 Introduction (BCS) provides a trading interface based on the FIX Protocol 4.4 version. This interface is named BCS Gateway, which offers direct market access (DMA) based on the Financial Information Exchange protocol (FIX). FIX is an open technical specification for electronic communication of trade-related messages. This connection allows electronic trading and real-time reception of market information. For further details refer This document contains detailed information for connecting to BCS Gateway interface, which includes the description of the FIX messages implemented by the BCS, also includes diagrams for each FIX message type and its behavior. 1.2 Intended Audience This document is directed to BCS members, customers, extranet providers and service bureaus intending to implement access to the BCS Gateway interface. It assumes previous knowledge of FIX protocol. 1.3 Scope currently offers DMA access to the fixed income market and its three sub-systems: remate electrónico, remate holandés and Telerenta. The remate electrónico of fixed income and money market papers is designed to accumulate ask offers during certain periods of the day so that buyers can submit their bid offers. After each allocated time period has lapsed, the system assigns the papers to the highest bidder in concurrent auction mode. The remate holandés is a system oriented towards the electronic negotiation of fixed income papers via the filling of offers that are auctioned off and awarded under the single rate mode to all highest received bids. The system receives offers for debt papers both from the primary and the secondary market. Telerenta is an electronic system for the transmission of bid and ask offers that allows buying and selling debt papers using the automatic matching mode. Central bank bonds, zero coupon bonds and mortgage papers issued by financial institutions are included among the securities negotiable through this system. Page 7 of 87

8 1.4 Terminology Term BCS BCS Gateway Broker Brokerage Counterparty DMA Entering Firm Entering Trader Executing Firm FIX Instrument IIF IRF Market Data Remate electrónico Remate holandés Security Telerenta Vendor Definition. s application for accessing directly to its electronic trading platform. A broker is an individual or firm who acts as an intermediary between a buyer and seller. Used interchangeably with broker when referring to a firm rather than an individual. Also called brokerage house or brokerage firm. Party to a trade. Direct Market Access functionality that allows end-customers, such as hedge funds or investment banks, to directly access the exchange electronically without the need to go over physical broker firm infrastructure. Broker or firm which originates an order to the BCS. This firms could be brokers or local and external agents from a DMA provider or order routing solution. Individual usually identified by a trading badge number or initials who belongs to an entering firm. Identifies local broker that could represent an external agent. Financial Information Exchange Protocol. Financial capital in a readily tradable form. Instrumentos intermediación financiera Money Market Instruments Instrumentos renta fija Fixed Income Instruments A collective term for bids, offers, last trades, volume statistics, indexes and other trading information used by the market to evaluate trading opportunities. Fixed income system that allows the buy-side to match previously sent ask offers in auction mode. Fixed income system oriented towards the fill of ask offers under the single rate mode to all the highest bids, using the auction mode. Stock that has been authorized for trading. Fixed income system that allows negotiation using the automatic marching mode. Its operation is similar to the equity market s Telepregón. Institution that sells services to its clients. In the context of this document, a vendor is an institution that sells access to market data feeds and order management interfaces to an Exchange. Page 8 of 87

9 1.5 Conventions All messages will provide the following information for all the fields: Column Tag Field Name Req d System Data Type Comment Definition FIX tag number. All fields added for BCS specific purposes have a tag number above Field name according to the FIX 4.4 specification. Only present in Session and Application Level messages. Possible values are: Y indicates that the field is required. N means that the field is optional. C specifies that the field is conditional. Y* states that the field is required in the BCS FIX implementation but is optional in the FIX 4.4 specification. Fixed income system(s) that use(s) the tag. This column is only visible in Application Level messages. If the value is empty, then all systems use the tag. Values are: DAU Remate holandés. EAU Remate electrónico. TLR Telerenta (automatic matching). Data storage format that contains a FIX tag s value. Field description for the message context. Page 9 of 87

10 2. Contacts 2.1 Commercial Information For issues regarding sales and contractual information please refer to: Mr. Felipe Urrutia Phone: Mr. Alexander Nannig Phone: Help Desk For issues regarding production and UAT environment, for both testing support and problems, please refer to: BCS Client Support Team Phone: Page 10 of 87

11 3. Network Connectivity to BCS Gateway BCS supports two network connectivity mechanisms: Direct leased line. Internet VPN access. 3.1 Direct Leased Line Clients may contract a direct leased line from a service provider to connect to BCS with a dedicated line. Please contact BCS for details on setting up this type of connectivity. It may be used for trading or for receiving market data. 3.2 Internet VPN access Clients may also connect to BCS via the Internet implementing a VPN tunnel, which reduces cost but does not provide contingency. This type of connection may be used for the certification process of all trading features, including market data, order management and order routing, even though in the production environment its recommendable to connect via direct leased line. Page 11 of 87

12 4. Supported FIX Message Formats 4.1 Message Summary Session Messages MsgType Sent by BCS Received by BCS Heartbeat 0 Test Request 1 Resend Request 2 Reject 3 Sequence Reset 4 Logout 5 Logon A Fixed Income Market Data Application Messages MsgType Sent by BCS Received by BCS Market Data Request V Market Data Snapshot Full Refresh W Market Data Incremental X Market Data Request Reject Y Security List Request x Security List y Security Status Request e Security Status f Session Status Request g Session Status h News B Business Message Reject j Any unsupported messages that are received by BCS will be rejected with a Business Message Reject message, with tag BusinessRejectReason (380) = 3 (unsupported message type). Page 12 of 87

13 4.2 Standard Header Tag Field Name Req d Data type Comment 8 BeginString Y String FIX BodyLength Y Int (Always unencrypted, must be second field in message). 35 MsgType Y String (Always unencrypted, must be third field in message). 34 MsgSeqNum Y Int Message sequence number. 49 SenderCompID Y String Please contact BCS for appropriate CompID assignment. 52 SendingTime Y UTCTimestamp Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as GMT ). 56 TargetCompID Y String Please contact BCS for appropriate CompID assignment. 50 SenderSubID N String It may be used by the client to tag the incoming messages. 57 TargetSubID N String BCS echoes back the incoming SenderSubID. 43 PossDupFlag N Boolean Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request. 97 PossResend N Boolean Required when message may be duplicate of another message sent under a different sequence number. 4.3 Standard Trailer Tag Field Name Req d Data type Comment 10 CheckSum Y Int (Always unencrypted, always last field in message) Page 13 of 87

14 4.4 Counter Party Identification FIX connections are established based on comp IDs fields that identify, on the session level, the counterparty in the connection. These IDs do not convey trader or firm information; they are used only on the FIX session level. FIX comp IDs and IP addresses for connection are assigned by BCS. For direct connection from client to BCS (UAT): Sender CompID Target CompID Client sends directly to BCS Client BCSG BCS sends directly to Client BCSG Client For direct connection from client to BCS (Production): Sender CompID Target CompID Client sends directly to BCS Client BCSGATEWAY BCS sends directly to Client BCSGATEWAY Client Page 14 of 87

15 4.5 Session Messages Heartbeat (MsgType = 0) The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= TestReqID N String Required when the heartbeat is the result of a Test Request message. [Standard Trailer] Y See section Test Request (MsgType = 1) The FIX Test Request message requests a heartbeat from the counterparty. The Test Request message checks sequence numbers or verifies the communication line status. The opposite application responds to the Test Request with a Heartbeat message, echoing the TestReqID (112) tag contained in the request. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType = 1 String Identifier included in Test Request 112 TestReqID Y message to be returned in resulting Heartbeat [Standard Trailer] Y See section Resend Request (MsgType = 2) The resend request is sent by the receiving application to initiate message retransmission. This function is used if a gap in sequence numbers is detected, if the receiving application lost a message, or as a part of the initialization process. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= 2 7 BeginSeqNo Y Int Message sequence number of first message in range to be resent 16 EndSeqNo Y Int Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = "0" Page 15 of 87

16 (representing infinity). [Standard Trailer] Y See section Reject (MsgType = 3) The FIX Reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= 3 45 RefSeqNum Y Int MsgSeqNum of rejected message 371 RefTagID N Int The tag number of the FIX field being referenced. 372 RefMsgType N String The MsgType of the FIX message being referenced. 373 SessionRejectReason Y Int Code to identify reason for a sessionlevel Reject message. Values issued by BCS: 0 = Invalid tag number 1 = Required tag missing 2 = Tag not defined for this message type 3 = Undefined Tag 4 = Tag specified without a value 5 = Value is incorrect (out of range) for this tag 6 = Incorrect data format for value 9 = CompID problem 10 = SendingTime accuracy problem 11 = Invalid MsgType 13 = Tag appears more than once 14 = Tag specified out of required order 15 = Repeating group fields out of order 16 = Incorrect NumInGroup count for repeating group 17 = Non "data" value includes field delimiter (SOH character) 99 = Other 58 Text N String Message to explain reason for rejection. [Standard Trailer] Y See section 4.3. Page 16 of 87

17 4.5.5 Sequence Reset (MsgType = 4) The Sequence Reset message has two modes: Gap Fill mode and Reset mode. Gap Fill mode is used in response to a FIX Resend Request when one or more messages must be skipped. Reset mode involves specifying an arbitrarily higher new sequence number to be expected by the receiver of the FIX Sequence Reset message, and is used to reestablish a FIX session after an unrecoverable application failure. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= GapFillFlag N Boolean Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent. Valid values: Y = Gap Fill message, MsgSeqNum field valid N = Sequence Reset, ignore MsgSeqNum 36 NewSeqNo Y Int New sequence number. [Standard Trailer] Y See section Logout (MsgType = 5) The FIX Logout message initiates or confirms the termination of a FIX session. Disconnection without the exchange of Logout messages should be interpreted as an abnormal condition. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= 5 58 Text N String Explanation for Logout reason (if any). [Standard Trailer] Y See section Logon (MsgType =A) The FIX Logon message authenticates a user establishing a connection to a remote system. The Logon message must be the first message sent by the application requesting to initiate a FIX session. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= A 98 EncryptedMethod Y Int Must be HeartBtInt Y Int Must be 30. Page 17 of 87

18 95 RawDataLength N Length Required. For more details on authentication data, please contact BCS. 96 RawData N Data Required. For more details on authentication data, please contact BCS. 141 ResetSeqNumFlag N Boolean Indicates that the both sides of the FIX session should reset sequence numbers. Valid values are: N=No Y=Yes 789 NextExpectedMsgSeq Next expected MsgSeqNum value to be N Int Num received. 464 TestMessageIndicator N Boolean Sent only by BCS. [Standard Trailer] Y See section Application Level Messages Instrument Identification Instruments are uniquely identified using the block of tags below. Tag Field Name Req d Data type Comment 55 Symbol Y String Contains the mnemonic of the security. It corresponds to the SVS name of the instrument, with a length between 1 and 12 characters. 48 SecurityID N String Security ID defined by ISIN. 22 SecurityIDSource C String Conditionally required if the SecurityID field is set. Valid values: 8= Exchange Symbol 454 NoSecurityAltID N NumInGroup Repeating group to describe alternate Security identifiers. For BCS internal use only. >> 455 SecurityAltID N String >> 456 SecurityAltIDSou rce N String 225 IssueDate N LocalMktDate 228 Factor N Float 543 InstrRegistry N String 202 StrikePrice N Price Alternate Security identifier value for this security. Only for TLR, indicates the name of the Generic associated to the Security. Conditionally required if the SecurityID field is set. Identifier of a Generic Security. The date on which a bond or stock offering is issued. For BCS internal use only. Date in format DD-MM-YYYY. Importance factor for TLR client ordering. For BCS internal use only. If this field has any value then it s on DCV. Strike Price for an Option. For BCS internal use only Page 18 of 87

19 Currency in which the StrikePrice (tag 202) is denominated. 947 StrikeCurrency N Currency 206 OptAttribute N Char Possible values: 1 = CLP 2 = UF paid in CLP 3 = USD paid in CLP 4 = USD paid in USD 5 = ICP paid in CLP 6 = EUR paid in CLP 7 = EUR paid in EUR 8 = IVP paid in CLP 9 = OTHER For BCS internal use only 106 Issuer N String Name of security issuer. For BCS internal use only 348 EncodedIssuer N String of the Issuer (tag 106) field. For BCS internal use only 167 SecurityType C String Required in New Order Single, Order Cancel Request and Order Cancel/Replace Request messages. The market ID of the security. Valid values: IRF = Fixed Income IIF = Money Market 762 SecuritySubType N String Sub-type qualification/identification of the SecurityType. Valid values are: RFTF = Fixed rate bond RFFL = Floating rate bond BR = Recognition bond CORA = Agrarian Reform Corporation bond 207 SecurityExchange C String Required in New Order Single, Order Cancel Request and Order Cancel/Replace Request messages. Indicates the security exchange of the instrument. Valid values are: XSGO = BCS 107 SecurityDesc N String Security description. 870 NoInstrAttrib N String This group is used only in the SecurityList message, to inform some special features of the instruments >> 871 InstrAttribType N Int Instrument features. Value 103 was added to indicate the bond type. >> 872 InstrAttribValue N String When InstrAttribType value is 103, this tag indicates the bond type of the instrument. Valid values are: S: Social V: Green A: Both (Social and Green) Page 19 of 87

20 876 CPRegType N String Family N String Bolson N String MinCut N String IssueAmount N Amt RiskIndicator N String FixedIncomePriceType N Int This tag is used only in the Security List message. Indicates if the instrument is settled in the Central Securities Depository. Family of the instrument. For BCS internal use only Indicates if the instrument is type Bolson. For BCS internal use only. When sent, it s the minimum quantity (and least common multiple) of the Quantity expected on New order single, used only on IRF EAU. Amount on issue date. For BCS internal use only. Used only on IRF EAU Risk of the instrument. For BCS internal use only. Used only on IIF EAU For BCS internal use only. 1 = Percentage 2 = Per Unit 3 = Fixed Amount 4 = Discount 5 = Premium 6 = Spread 7 = Ted Price 8 = Ted Yield 9 = Yield Page 20 of 87

21 4.6.2 Parties Repeating group block component containing party identification data (Executing Firm, entering Firm, entering trader, etc). An order sent to BCS should at least contain ExecutingFirm, EnteringFirm and EnteringTrader parties. Tag Field Name Req d Data type Comment 453 NoPartyID Y NumInGroup >> 448 PartyID Y String >> 447 PartyIDSource Y Char >> 452 PartyRole Y Int 802 NoPartySubIDs N NumInGroup Repeating group below must contain the firm identification of the parties. Used to identify the Party. If PartyRole is 1, 7 or 36 then this is a three-digit code given by BCS. If PartyRole is 39 then this is a single character code, given by the fund manager in the order, which is currently winning an auction. Identifies class or source of the PartyID. Value valid: D = Proprietary code Identifies the type or role of the PartyID (448) specified. Values accepted by BCS: 1 = Executing Firm (broker). 3 = ClientID (Broker client). Not required. 7 = Entering Firm (broker/firm). 36 = Entering Trader (trader Id). Repeating group of Party subidentifiers. For BCS internal use only >> 523 PartySubID N String Sub-identifier. For BCS internal use only >> 786 PartySubIDTy pe N String Type of Sub-identifier. For BCS internal use only Security List Update Related Sym Group Block component used in Security List Update Report message. It mainly contains the Instrument component. Tag Field Name Req d Data type Comment Page 21 of 87

22 1324 ListUpdateAction C Char If provided, then Instrument occurrence has explicitly changed. >> [Instrument] N See section TradeParties Repeating group block component containing party identification data (Executing Firm, entering Firm, entering trader, etc) for a trade. Tag Field Name Req d Data type Comment NoSides N NumInGroup Repeating group below must contain the firm identification of the parties. >> 54 Side N Char Side of order. Valid values: 1 = Buy 2 = Sell 5 = Short Sell (Will be implemented in the future, currently all orders with Side= 5 will be rejected) >> Used to identify the Entering Firm. EnteringFirm N String >> Used to identify the Executing Firm. ExecutingFirm N String >> EnteringTrader N String Used to identify the Entering Trader. >> FundManager N String Used to identify the Fund Manager. Page 22 of 87

23 4.7 Market Data Messages The Market Data feed provided by BCS is based on the regular FIX subscription model. There are different market data entry types for each subscription type, and the client institution may subscribe individually to each entry type, not necessarily in the same message. Note that subscription must be made based on a security basis. Currently, the market data service will provide for subscribing to instruments of a market segment (such as IIF or IRF ) The markets covered by the market data services are: 1. Telerenta (TLR). 2. Remate holandés (DAU). 3. Remate electrónico (EAU). Each market consists of a unique market data server identified by an IP and a specific service address. Page 23 of 87

24 MD Entry Description System Comment Type 0 Bid TLR The full book on the bid side for the security. The book is orderdepth based, i.e. each individual order will appear as a separate book entry, even if it contains the same price as other orders. 1 Offer TLR The full book on the sell side for the security. The book is orderdepth based, i.e. each individual order will appear as a separate book entry, even if it contains the same price as other orders. 2 Trade TLR The completed trades for the security. 5 Closing TLR The closing price of the security (previous day s last trade). A Imbalance TLR The price variation respect to the closing price during a trading session B Trade volume TLR The total volume traded for that security in the trading session. D Trade amount TLR The trading amount. r Duration TLR The duration of the bond. K Last Orders TLR The last orders for the current period of Telerenta. u DAU offers DAU Offers (IIF and IRF) for the current period of Dutch Auction. v DAU bids DAU Bids (IIF and IRF) for the current period of DAU (Remate holandés). W DAU Trades DAU Trades (IIF and IRF) for the current period of DAU (Remate holandés). x IRF EAU EAU IRF offers for the current period of EAU (Remate electrónico). offers X IIF EAU offers EAU IIF offers for the current period of EAU (Remate electrónico). y IRF EAU bids EAU IRF bids for the current period of EAU (Remate electrónico).. Y IIF EAU bids EAU IIF bids for the current period of EAU (Remate electrónico). z IRF EAU EAU IRF trades for the current period of EAU (Remate electrónico). trades Z IIF EAU EAU IIF trades for the current period of EAU (Remate electrónico). trades Upon request subscription (via the Market Data Request message), the institution will be verified for authorization to that specific security and entry type, as contracted from BCS. In case of failed authorization, the subscription request will be rejected with a Market Data Request Reject message. Upon successful subscription, the client will receive a full snapshot of the information requested (with the Market Data Full Snapshot message), and from that point on will receive incremental messages (Market Data Incremental Refresh), whose content will update specific entries of the full snapshot sent immediately after the subscription. In case of communications failure, such as a FIX connection drop, the client institution needs to reset their session sequences and re-subscribe to the market data entries of interest in that FIX connection. Page 24 of 87

25 Book Depth Available BCS supports two types of book depth: order depth (bid/offer entry type) and price depth (Aggregated bid/offer entry type). The client which is subscribing to market data will choose, in the subscription message, which type of book depth it wishes to receive. Both types may be received using the same subscription message, although this procedure is discouraged due to bandwidth consumption. Order depth book Not Aggregated Order depth book contains order by order information, where each entry represents an individual order. This is also called Not Aggregated, this name refers to the tag AggregatedBook set to False for this order. For example, this is how an order-depth book looks like: Bid Offer Quantity Price Price Quantity ,50 301, ,20 301, ,00 301, ,00 BCS will always send the depth defined in the MarketDepth tag. If the client subscribes to full book will always receive updates for all the orders that are in the order book. For books that are shallow this may not represent a problem, but for deeper books, they will consume high bandwidth usage. Below, is an example of the typical subscription message for an order-depth book: Tag Value Comment MDReqID [unique identifier] Unique value SubscriptionRequestType 1 Snapshot + updates MarketDepth 0 Full book MDUpdateType 1 Incremental refreshes only NoMDEntryTypes 2 2 market data entries being requested. MDEntryType 0 Bid MDEntryType 1 Offer NoRelatedSym 1 1 Symbol DES Instrument Page 25 of 87

26 Price depth book Aggregated Book Price-depth book contains information grouped by price, where each entry represents the aggregation of all order quantities at that price. This order is also called Aggregated Book, this name refers to the tag AggregatedBook that is set to True. The following table illustrates the price-depth book of the same book described above: Bid Offer Number of orders Quantity Price Price Quantity Number of orders , , In addition to the quantity and the price, the price-depth book also makes the number of orders that compose a specific price available. Notice that, the Order depth book offers more detailed information about the book, but in the other hand Price-depth book is more bandwidth efficient, since the snapshot is much smaller and tends to have fewer updates. Below, is an example of a subscription message for a price-depth book: Tag Value Comment MDReqID [unique identifier] Unique value SubscriptionRequestType 1 Snapshot + updates MarketDepth 0 Full book MDUpdateType 1 Incremental refreshes only NoMDEntryTypes 2 2 market data entries being requested. MDEntryType e Aggregate bid MDEntryType f Aggregate offer NoRelatedSym 1 1 Symbol DES Instrument IMPORTANT Book Management Considerations For bid or offer book entries (order and price depth book), the deletion is based on the entry s position (field MDEntryPositionNo). For example, assume ten bids for a security. Adding a bid with MDEntryPositionNo = 4 requires the receiver to shift down other Market Data Entries, i.e. the Market Data Entry in the 4th display position will shift to the 5th, the 5th shifts to the 6th, etc. until the 10th shifts to the 11th. BCS will not send a modification of all MDEntries in the 4th through 10th positions just to update the MDEntryPositionNo field; the counterparty must infer the change. Similarly, deleting a Market Data Entry in the 7th position causes the 8th Market Data Entry to move into the 7th position, the 9th to shift into the 8th position, etc. BCS will not issue a change Page 26 of 87

27 action to modify the position of an entry in the book. Change updates are only sent when a value applicable to a specific MDEntryPositionNo such as total quantity or number of orders changes. IMPORTANT Special considerations on Remate Electrónico (EAU) In this section we are going to describe a special context change marked by Session Status, here is a diagram describing how the context changes on EAU: Page 27 of 87

28 Let s take Auction 1 for example: after a successful subscription to Market Data (Offers) and Session Status we ll receive a Session Status message telling us the first Auction is on the offer insertion stage: Session Status (MsgType=h) ExDestination=EAU TradSesStatus=2 (open) MarketsegmentID=IRF AuctionId=1 SessionID=14 (auction offer) After this message we ll start receiving market data messages telling us to add Offers to our book: Market Data Incremental Refresh (MsgType = X) MDUpdateAction=0 MDEntryType=1 Symbol=DES MDEntryPx=301 MDEntrySize=1 OrderID=a1 MDEntryPositionNo=1 NoOffers=2 Market Data Incremental Refresh (MsgType = X) MDUpdateAction=0 MDEntryType=1 Symbol=DES MDEntryPx=302 MDEntrySize=1 OrderID=a1 MDEntryPositionNo=2 NoOffers=2 These messages should create the following book on client side: Price Quantity NoOffers Then, when the offer insertion stage ends we ll receive the following message to indicate the pre-open stage: Session Status (MsgType=h) ExDestination=EAU TradSesStatus=4 (pre open) MarketsegmentID=IRF AuctionId=1 SessionID=15 (auction bidding) IMPORTANT: when this happens we will assume the client will expand the book. For example, let s expand the previous book, we should repeat the orders as told on NoOffers field: Price Quantity NoOffers When the pre-opening ends, we ll receive the following message to indicate the open stage of the Auction: Session Status (MsgType=h) ExDestination=EAU TradSesStatus=2 (open) MarketsegmentID=IRF AuctionId=1 SessionID=15 (auction bidding) IMPORTANT: During the auction we ll receive Bids and Offers Market Data, and the Offers changes will assume that the book is already expanded When the Auction closes we ll receive the following message: Session Status (MsgType=h) ExDestination=EAU TradSesStatus=3 (close) MarketsegmentID=IRF AuctionId=1 SessionID=15 (auction bidding) Page 28 of 87

29 Special considerations on Remate Holandés (DAU) This image represents the changes in DAU Auctions, they all start at the same time but the offer insertion stage ends in different time: Page 29 of 87

30 Book Bottom Row Handling For price-depth book only, the recipient of the market data must know how many price levels are being supplied by BCS. The recipient must delete the bottom price row when the number of price rows is exceeded BCS will not send a delete of the bottom row when the number is exceeded. BCS will send the bottom row again when a higher level row is deleted. The following example illustrates this behavior: Number of orders Bid Quantity Price <-- Top Row (best bid) <-- Bottom row of the book New buy order is received (BUY ), updating the top of the book (bid): Market Data incremental Refresh MDEntryPositionNo 1 MDUpdateAction New MDEntrySize 1000 MDEntryPx NumberofOrders 1 Number of orders Bid Quantity Price <-- Top Row (best bid) <-- New bottom row of the book <-- Implicit deletion of the previous bottom row Page 30 of 87

31 Data Conflation The main goal of conflation is to send information though time intervals in order to reduce bandwidth usage without modifying the message format. Current conflation interval is 1 second. The following example illustrates how conflation works: Dissemination without conflation. Total sent message are 6. Action Side Price Quantity t (ms) INSERT BUY INSERT BUY INSERT SELL MODIFY BUY DELETE SELL INSERT SELL INSERT SELL Dissemination with conflation. Total sent message are 2, with a 1 second interval. Action Side Price Quantity t (ms) INSERT INSERT INSERT MODIFY DELETE INSERT BUY BUY SELL BUY SELL SELL INSERT SELL The resulting order book is the same in both situations (with and without data conflation): Buy Qty Buy Price Sell Qty Sell Price Page 31 of 87

32 4.7.1 Market Data Request (MsgType = V) A Market Data Request is a general request for market data on a specific security. A successful Market Data Request returns one Market Data Full Snapshot message containing one or more Market Data Entries. It is then followed by incremental updates (Market Data Incremental Refresh messages). Tag Field Name Req d Data type Comment [Standard Header] Y MsgType= V 262 MDReqID Y String Must be unique per trading session. Client must guarantee it. 263 SubscriptionRequestType Y Char Indicates what type of response is expected. Valid values: 0 = Snapshot 1 = Snapshot + Updates (Subscribe) 2 = Unsubscribe >> [Parties] N See section MarketDepth Y Int 265 MDUpdateType C Int 266 Aggregated Book N Boolean Depth of market for Book Snapshot. Values accepted by BCS: 0 = Full Book 1 = Top N = Depth number max of records returned Specifies the type of Market Data update. Required if SubscriptionRequestType=1. Values accepted by BCS: 0 = Full Refresh 1 = Incremental Values accepted by BCS: N = Detailed book Y = Aggregated book It applies only to the MDEntryTypes 0 (Bid) and 1 (Offer). Other MDEntryTypes are independent to this tag. Number of instruments requested. 146 NoRelatedSym Y NumInGroup If MDEntryType = 2, a trades wildcard can be used on NoRelatedSym to receive all trades >> [Instrument] Y See section Identifies the type of book. Valid values are (in order): [SettlementType] [OD] [Iqty] >> 466 BookingRefID N String [LP] Where: SettlementType: Page 32 of 87

33 OD: I-qty: LP: PH = Cash (T+0) PM = NextDay (T+1) = T+2 If present, indicates that is a cross order. (Only for TLR) If present, indicates that is a indivisible cross order, Where qty must be the order quantity (numeric). If present, indicates that is above security s round lot. 267 NoMDEntryTypes Y NumInGroup >> 269 MDEntryType Y Char If absent, then tag 206= A must be added in order to refer to all books related to the specified symbol. Note: all values must be separated by the character. Number of MDEntryType fields requested. Types of Market Data Entries that the firm requesting the Market Data is interested in receiving. Values accepted by BCS: 0 = TLR Bid 1 = TLR Offer 2 = TLR Trade 5 = TLR Closing Price A = TLR Imbalance. Percentage variation of the current closing price compared to the last closing price of previous market day. B = TLR Trade volume. Sum of the equity s traded quantity. D = TLR Trade amount. Sum of the equity s traded amount (price times quantity). K = TLR Last Orders r = TLR Duration. u = DAU offers. v = DAU bids. W = DAU trades x = IRF EAU offers. X = IIF EAU offers. y = IRF EAU bids. (When 279=0 means Auction selected offers. When 279=1 means inputted bids) Y = IIF EAU bids. (When 279=0 means Auction selected offers. When 279=1 means inputted bids) z = IRF EAU trades. Page 33 of 87

34 Z = IIF EAU trades RefOrderID N String Identifies the offer that the client wants to fill RefOrderIDSource N Char For BCS internal use 1021 Order repetition identification RefOrderSubID N String 4 [Standard Trailer] Y See section Market Data Snapshot/Full Refresh (MsgType = W) The Market Data Snapshot/Full Refresh messages are sent as the response to a Market Data Request message. The message refers to only one Market Data Request. It will contain the appropriate MDReqID tag value to correlate the request with the response. Tag Field Name Req d Data type Comment [Standard Header] Y MsgType=W [Instrument] Y See section MDReqID Y String Required if this message is in response to a Market Data Request. Echoed back from the Market Data Request message. 268 NoMDEntries Y NumInGroup Number of entries following. Types of Market Data entries that the firm is interested in receiving. Values accepted by BCS: 0=TLR Bid 1=TLR Offer 2=TLR Trade 5=TLR Closing A=TLR Imbalance B=TLR Trade volume >> 269 MDEntryType Y Char D=TLR Trade amount r = TLR Duration. K = TLR Last Orders u = DAU offers. v = DAU bids. W = DAU Trades x = IRF EAU offers. X = IIF EAU offers. y = IRF EAU bids. Y = IIF EAU bids. z = IRF EAU trades. Z = IIF EAU trades. >> 270 MDEntryPx C Price Used if the entry has price related data. >> 15 Currency N Currency Identifies currency used Page 34 of 87

35 for price. Values sent by BCS: CLP=Chilean Peso USD=United States Dollar CLP USD EUR ICP UF IVP Currency used for payment. >> PaymentCurrency N String >> 271 MDEntrySize C Qty Possible values: CLP USD EUR Quantity or volume represented by the Market Data Entry. Conditionally required for: 0=Bid 1=Offer 2=Trade 3=Index Value A=Imbalance B=Trade volume >> 272 MDEntryDate N UTCDateOnly Date of the entry. Only used when 269=5 (Closing Price) and 286=6, it represents the date of the official closing price. >> 273 MDEntryTime N UTCTimeOnly Time of Market Data Entry. >> 275 MDMkt C String For BCS internal use only. >> 336 SessionID C String Used only when MDEntryType=2 (Trade) to represent a specific market trading session. Values issued by BCS: 7 = EAU 14 = Auction offer 15 = Auction stance 16 = TLR (T1) 17= TLR (T2) >> 277 TradeCondition C MultipleValueString Required when MDEntryType=2 (Trade). Represents a spacedelimited list of conditions describing a trade. Values Page 35 of 87

36 >> 282 MDEntryOriginator C String >> 126 ExpireTime C UTCTimestamp >> 18 ExecInst C MultipleValueString >> 37 OrderID C String >> 286 OpenCloseSettlFlag N MultipleValueString >> 288 MDEntryBuyer C String >> 289 MDEntrySeller C String >> 552 NoSides N NumInGroup >> 541 MaturityDate N Localmktdate are: C = Cash Trade (T2) F = Intraday (T0) J = Next Day Trade (T1) Used when MDEntryType=2 (Trade). The Executing Firm is Included in this field. (Not used in TLR) Required when TimeInForce=6. Used for cross orders information and GTD orders. (Not used in TLR) Used for MDEntries: 0 = Bid 1 = Offer 2 = Trade Valid Values are: B = OkCross g = Trigger when referenced SecondaryClOrdID fills G = All or None Conditionally required for MDEntries: 0=Bid 1=Offer 2=Trade Used if MDEntryType (269) = Closing Price(5). Values sent by BCS are: 6 = If present, indicates whether the symbol s closing price is the official (and latest) of the current market day. If absent, closing price is not official. In a trade (MDEntryType=2), the buyer broker code. In a trade (MDEntryType=2), the seller broker code. In a trade (MDEntryType=2), Values sent by BCS are: 552=1 (One side) 552=2 (Both sides) End date of an instrument associated to an offer. Page 36 of 87

37 >> 110 MinQty N Qty >> 346 NumberOfOrders C Int >> 290 MDEntryPositionNo C Int >> 811 PriceDelta C Float >> 58 Text C String Date in format DD-MM- YYYY. (Only for DAU IIF) Minimum quantity of an order to be executed. Used for aggregated requests. Conditionally required when MDEntryType=0, 1, e or f (Bid, Offer, Aggregate Bid or Aggregate Offer). Displays the position of a bid or offer, numbered from most competitive to least competitive per market side, beginning with 1. Used when MDEntryType=2, A (TLR Trade or Imbalance). When MDEntryType=2, tag 811 means the trade amount. When MDEntryType=A, tag 811 means the % of Variation Used for MDEntry=2 (Trade) and MDEntry= G (Trend): When MDEntry = G, following values are issued: 0 : Current closing price is equal to previous closing price. + : Current closing price is higher than previous closing price. - : Current closing price is lower than previous closing price. 0+ : Current closing price is equal to previous closing price, but higher than the penultimate closing price. 0- : Current closing price is equal to previous closing price, but lower than the penultimate closing price. Page 37 of 87

38 When MDEntry=2, it represents the settlement date in format YYYYMMDD. >> 5463 TradeID C String Used as unique identifier for the trades, when MDEntryType=2. >> 11 ClOrdID N String Conditionally required for MDEntryTypes: 0=Bid 1=Offer 2=Trade >> 278 MDEntryID N String Unique entry identifier. >> 280 MDEntryRefID N String A correlated based upon de subscription identifier. Used for detecting message loss. >> [Parties] C See section Used only for buy or sells (MDEntryType=0, 1). >> EntryStep C String Indicates a Sequence number from the movements of the book. Required for MDEntryTypes: 0=Bid 1=Offer 2=Trade >> ClosingPrice C Price Used only for Trades, when MDEntryType: 269=2 (TLR) 269=z (EAU) 269=W (DAU) >> 466 BookingRefID N String Identifies the type of book. The values are: [SettlementType] [OD] [I-qty] [LP] Where: SettlementType: PH = Cash (T+0) PM = NextDay (T+1) = T+2 OD: If present, indicates that is a cross order. (Only for TLR) I-qty: If present, indicates that is a indivisible cross order, where qty must be Page 38 of 87

39 LP: the order quantity (numeric). If present, indicates that is above security s round lot. If it is empty then refers to all books related to the specified symbol. Note: all values must be separated by the character. >> 432 ExpireDate C Localmktdate Expiration date of an Instrument. Date in format DD-MM-YYYY for offers and bids. Date in format YYYYMMDD for MDEntryType = 2. (Only for IIF instruments) >> PrePayment C Char Valid values are: Y = The order can be paid before the due date. N = The order can t be prepaid. >> MaxRate C Price The maximum rate of an offer. >> OwnRate C Price The rate entered by a broker on a bid. >> PublicRate C Price The adjudication rate visible for all the brokers. >> BestBid C Char Valid values are: Y = The bid has the best rate on the auction. N = The bid has not the best rate. >> Divisible C Char Valid values are: D = The order can be partially filled. I = The order must be filled completely. >> Modified C Char Valid values are: Y = Re-entry of an offer with a modification. N = A new offer. >> ForwardPrice C Price Forward price of an offer. >> 1020 TradeVolume N Qty Quantity of a transaction in the Dutch Auction (DAU). >> 59 TimeInForce N Char Specifies how long the order remains in effect. Values accepted by BCS: Page 39 of 87

40 0 = Day (or session) 3 = Immediate or Cancel (IOC) 4 = Fill or Kill (FOK) 6 = Good Till Date (GTD) >> 287 SellerDays N Int >> 198 SecondaryOrderID N String >> PublicRate N Price >> [TradeParties] N >> AuctionId N Int >> MDMaturity N String >> MDAdjustmentCurrency N String If ExDestination is DAU or EAU : only 0 and 6 are supported Specifies the number of days that may elapse before delivery of the security. For BCS internal use only. Specifies the secondary order ID assigned by the exchange to this order, which will identify this order in the market data feed for order-depth book updates, whereas the OrderID is immutable and is not sent in the market data feed. If an order is received with MaxFloor (disclosure quantity) > 0, every time the quantity is replenished by the disclosure quantity amount (e.g. due to an execution), a new SecondaryOrderID is assigned to the order. This identifier may also be used for order cancellation and modification. For BCS internal use only. The adjudication rate visible for all the brokers. (MDEntryType=2). See section ID of the auction number. Value sent by BCS are positive numbers equal or bigger than 1 For BCS internal use only. For IRF Trades Adjustment currency of the instrument. Valid values are: 1 = CLP 2 = UF 3 = USD 4 = EUR paid in EUR Page 40 of 87