Empanelment Checklist- ATS

Transcription

1 Empanelment Checklist- ATS Vendor/Member: Product Name: Version:- Strategies:- A. Checklist for ATS Vendor Empanelment / In-house Sr.No Guidelines/Checklist Dashboard 1 User Name, SEBI Registration Code (if applicable), Trader Code should be visible at the top of the main screen. Password 2 Alphanumeric password 3 Incorrect user account lock count 3 4 There should be a minimum characters validation (6) 5 There should be a maximum character validation (18) 6 Should not be the same as login name 7 Should be case sensitive 8 There should be an option to change password at the time of first login 9 There should also be an option to change password anytime 10 Password Should expire periodically 11 Password should be stored in encrypted form Login 12 Should accept a valid user name and password before logging into the application. 13 Should show appropriate message if User name or password is invalid. Market Watch 14 Users must have a facility to view the NCDEX commodities ticker and the spot prices ticker (CONFIGURABLE) EMPANELLMENT CHECKLIST 1 Ver 1.0

2 15 The following columns are mandatory in the Market Watch screen:- 1. Market type 2. Commodity Name 3. Expiry Date 4. Strike Price 5. Option Type 6. BB Qty 7. BB Price 8. BS Qty 9. BS Price 10. LTP 16 Market Watch Details should get updated once every 15 seconds. 17 Complete Spot prices of Commodity should be seen 18 Session should lock in 10 mints (Should ask for password) Scrip Information 19 Scrip Information should be visible from the Market Watch and should include: Market Type Commodity Name Expiry Date Tick Size Price Range Min Lot Price Unit Quantity Unit Delivery Unit Last traded price Theoretical Price Delta Gamma Vega Theta Rho Implied Volatility Order Entry- 20 Do you have the facility of placing orders through the following User Types:- 1. PRO 2. Client 21 For a stop loss buy order, Trigger price should be less than Limit price 22 For a stop loss sell order, Trigger price should be greater than Limit price EMPANELLMENT CHECKLIST 2 Ver 1.0

3 23 DQ should not be less than 10% (configurable up to 100%) of the total quantity. 24 GTD Orders (if allowed) should not be valid for more than 7 (configurable) days 25 GTC Orders (if allowed) should not be valid for more than 7 (configurable) days 26 Exchange option to be available 27 Quantity should not be blank 28 Quantity should not accept decimals 29 Quantity should not accept negative values 30 Quantity should be in market lot size wherever applicable 31 Price should not accept negative values 32 Price should be in the market tick size 33 Price should be within circuit limits wherever applicable 34 client code to be hardcoded in the order form 35 Limit order should not accept price as 0 36 Order book to show all the pending orders Order Book 37 Order book to show the Internal Order Id and Exchange Order Id 38 Order book to show the pending quantity and Traded quantity in the same entry in case of partially traded orders 39 Order book to show the order date and time 40 Option to Modify and Cancel 41 Client should have the option to modify the Order Type(Limit, Market), Order Terms (Day), the order quantity and order Price, but can t change the client id Trade Book 42 Trade book to show the Exchange Trade ID 43 Trade Book to show the Exchange Trade Time 44 Trade Book to show the Exchange order id and Broker Order id Order Confirmation 45 Order Confirmation information should contain the following details: Order Number Order Type Market type Commodity name Order Date and Time User Id Order Status Price Quantity EMPANELLMENT CHECKLIST 3 Ver 1.0

4 Order Cancellation 46 Order Cancellation messages should contain the following information: Order Number Order Type Market type Commodity name Date and Time User Id Price Quantity Cancelled By Order Modification 47 Order Modification messages should contain the following information: Order Number Order Type Market type Commodity name Date and Time User Id Price Quantity Modified By Order Rejection 48 Order Rejection messages should contain the following information: Order Number Order Type Market type Commodity name Date and Time User Id Price Quantity Rejection Message 49 Whether system has capability to reject orders which do not go through order level validation Trade Confirmation 50 Trade Confirmation message should contain the following information: Trade Type Trade Number Order Number Market Type Commodity Name Date and Time User Id Price Quantity Message Log EMPANELLMENT CHECKLIST 4 Ver 1.0

5 51 Message Log should display information related to (without filtering): 52 Order Confirmation 53 Order Rejection 54 Order Cancellation 55 Order Cancellation Rejection 56 Order Modification 57 Order Modification Rejection 58 Trade Confirmation 59 Trade Cancellation 60 User Log on status 61 Market status (Preopen, Open, Pre-Close, Closed) 62 Frozen Order Rejection 63 Triggering of an Order 64 Messages broadcast to the users 65 Messages from Exchange 66 Internal Order Id should be sequential Net Position 67 Net Position Inquiry should be displayed 68 Calculations in Net Position Inquiry should be accurate 69 Net Position report to have the option to square off MBP 70 Should display the top 5 BB and BS (price and quantity) for the selected commodity 71 Orders with SL should not be shown unless triggered 72 The qty displayed for DQ orders should be correct Risk Management 73 Max Order limit 74 Order Value check 75 Order quantity check 76 Symbol wise User Order / Quantity limit, 77 User / Branch Order Limit 78 Algorithmic orders are tagged with a unique identifier provided by the exchange 79 Net Open position symbol wise/contract wise limit at client level EMPANELLMENT CHECKLIST 5 Ver 1.0

6 80 Net Open position symbol wise/contract wise limit at member level 81 Daily price limit (DPR) 82 Margin Violation 83 Online risk management capability System should account Executed, unexecuted and unconfirmed orders Back testing for effectiveness of RMS Other Guidelines 84 What are system check to ensure orders are not placed in mini and micro contracts? 85 Order Tracking, capturing of IP address of order entry terminals 86 Communication of Trade Confirmation / Order Status 87 Order type distinguishing capability 88 Whether the system allows for automatic trading session logout after a system defined period of inactivity 89 System checks to ensure IOC and Market orders are not generated through algo strategy/software 90 System check and log to monitor order flow i.e. orders per second limit (Max 20 order/sec measured over a rolling period of 5 seconds i.e. 100 orders for 1-5 seconds, 100 orders for 2-6 seconds, 100 orders for 3-7 seconds & so on.) 91 Does the system have the provisions to shut down immediately on command? Is there any panic button, on which system will perform below commands: 1. Stop strategy/ies running on system. 2. Cancel all outstanding orders 92 Facility for Order and Trade reports 93 Whether Session details for each users maintained 94 Log of all Trading Activity Maintained 95 Filename & Path of Log File 96 Configuration file used for Order control 97 Path of configuration file 98 Build Version of Strategy Executable 99 Details of access rights to change the parameters and system configuration. Log file of such changes EMPANELLMENT CHECKLIST 6 Ver 1.0

7 B. Detailed Scenario s for FIX and Drop Copy Gateway Test Cases Order Management Gateway - Test Cases for Certification Client/Se rver Generate Messages (Actual result-fix gateway) Client/ Server Generate Messages (Actual result- Drop copy gateway) Client/ Server Generate Message Login Logout Login and Session Termination Login and Resend Request 1. Send a Logon message to server 2. Receive a Login Response 3. Test request from the server 4. Heartbeat response from the client 1. Send a Logout message: 2. Session will be terminated and Receive a Logout Message: 1. Send a Logon message to server when server Expected Seq Num is higher than the seq number of the client 2. Server sends Logout message and session will be terminated: 1. Send a log on message with a proper sequence number : Client 2. Receives a logon response: 35=A SERVER 3. Receive a Resend Request: 35=2 Futures Options Futures Options EMPANELLMENT CHECKLIST 7 Ver 1.0

8 4. Server test request 35=1 Server CLIENT Accepting a New Order Order Books - Regular Order Books - EFP Order Types- Limit Order Order Types- Stop Loss Heartbeat by the client 35=0 Check connection type and workstation type Submit a New BUY Order (for both Options & Futures Segment) Receive an Execution Report Message /TCR Submit a New SELL Order( for both Options & Futures Segment) Message for Regular Order Book Receive an Execution Report Message /TCR 1. Submit a New Order Message for EFP Order Book: [Order Book (4)] 2. Receive an Execution Report Message /TCR: [Order Book (4)]/ [Accrued Interest Amt - 159]/[ConvertedYield ] 1. Submit a New Order Message for Limit Order: [Order Type - 40(2)] 2. Receive an Execution Report Message /TCR : [Order Type - 40(2)] 3. NNF ID (448 tag) 1. Submit a New Order Message for Stop Order: [Order Type - 40(3)] EMPANELLMENT CHECKLIST 8 Ver 1.0

9 Order Types- Stop Limit Order Time In Force (TIF) - Day 2. Receive an Execution Report Message /TCR : [Order Type - 40(3)] 3. NNF ID (448 tag) 1. Submit a New Order Message for Stop Limit Order: [Order Type - 40(4)] 2. Receive an Execution Report Message /TCR : [Order Type - 40(4)] 3. NNF ID (448 tag) 1. Submit a New Order Message for GTD Order: [TimeInForce - 59(0)] 2. Receive an Execution Report Message /TCR : [TimeInForce - 59(0)] 3. Submit a New Order Message - Submit a market order 4. Submit a GTD order in order to partial fill with the already existing contra order Time In Force (TIF) - GTC 5. Receive an Execution Report Message /TCR for Buy and Sell filled quantities: [TimeInForce - 59(0)] 6. Reminder GTD Qty should expire at EOD 7. NNF ID (448 tag) 1. Submit a New Order Message for GTC Order: [TimeInForce - 59(1)] 2. Receive an Execution Report Message /TCR : [TimeInForce - 59(1)] 3. NNF ID (448 tag) EMPANELLMENT CHECKLIST 9 Ver 1.0

10 Time In Force (TIF) - GTD 1. Submit a New Order Message for GTD Order: [TimeInForce - 59(6)] 2. Receive an Execution Report Message /TCR : [TimeInForce - 59(6)] 3. Submit a New Order Message- Submit a market order Iceberg Orders (DQ orders) EFP 4. Submit a GTD order in order to partial fill with the already existing contra order and mention the next working date in Expire Date 5. Receive an Execution Report Message /TCR for Buy and Sell filled quantities: [TimeInForce - 59(6)] 6.Reminder GTD Qty should expire at end of the specified date mentioned in Expire Date 7. NNF ID (448 tag) 1. Submit a New Order Message with Display Quantity 2. Receive an Execution Report Message /TCR 3. NNF ID (448 tag) 1. Market operation would submit a negotiated trade 2. Receive an Execution Report Message /TCR with EFP order book Receiving a Full Execution 1. Submit a New BUY Order Message EMPANELLMENT CHECKLIST 10 Ver 1.0

11 2. Receive an Execution Report Message /TCR 3. Submit a New SELL Order Message - Same price Same Qty 4. Receive an Execution Report Message /TCR: FILLED - BUY 5. Receive an Execution Report Message /TCR: FILLED - SELL 6. NNF ID (448 tag) Receiving a Partial Execution Rejecting a New Order 1. Submit a New Order Message: 2. Receive an Execution Report Message /TCR 3. Submit a New Order Message: (Contra order to match half of the order size as in step 1) 4. Receive an Execution Report Message /TCR: 5. Amending price(down) and quantity(up) of the partial filled order [MsgType=G] 6. Receive an Execution Report Message /TCR 7. NNF ID (448 tag) 1. Submit a New Order Message: ( Sending a message without a required tag) 2. Receive an Execution Report Message /TCR : 3. NNF ID (448 tag) Canceling an Order 1. Submit a New Order Message: EMPANELLMENT CHECKLIST 11 Ver 1.0

12 2. Receive an Execution Report Message /TCR : 3. Submit a Cancel Request Message for the Order: Amending an Order[QTY increase] Amending an Order[QTY decrease] 4. Receive an Execution Report Message /TCR: [Exec Type - 150(4)] 5. NNF ID (448 tag) 1. Submit a New Order Message: 2. Receive an Execution Report Message /TCR : 3. Submit a Cancel/Replace Message for the Order: Increase quantity /Decrease Price Check [Total Qty 38][Display Qty -1138] 4. Receive an Execution Report Message /TCR [Ord Status - 39(0)]/ [Exec Type - 150(5)] 5. NNF ID (448 tag) 1. Submit a New Order Message: 2. Receive an Execution Report Message /TCR 3. Submit a Cancel/Replace Message for the Order: decrease quantity /Increase Price Check [Total Qty 38][Display Qty -1138] 4. Receive an Execution Report Message /TCR [Ord Status - 39(0)]/ 5. NNF ID (448 tag) EMPANELLMENT CHECKLIST 12 Ver 1.0

13 Order Mass cancellation Note: This is not mandatory though desirable as a client benefit. In IBT, vendor may restrict party role to the NNF ID (448 tag) as well. 1. Submit a New Order Message: 2. Receive an Execution Report Message /TCR : 3. Submit a Mass Cancellation Message for the orders: 4. Receive an Execution Report Message /TCR Exchange provides mass cancellation of orders entity wise with below filters Value Meaning 1. Cancel all orders for Instrument 2. Cancel all orders for Underlying 3. Cancel all orders 4. Cancel all orders for Segment Rejecting an amend request 1. Submit a New Order Message: 2. Receive an Execution Report Message /TCR : 3. Submit a New Order 4. Receive an Execution Report Message /TCR 5. Submit a Amend Message for the Order in step 1:[Already Fill order] Spread orders 6. Receive an Order Cancel Reject Message : 1. Submit Multi-leg order [Msg Type=AB] EMPANELLMENT CHECKLIST 13 Ver 1.0

14 2. Execution Report Message /TCR with [59=3] on each of the two leg instruments will be sent for the two system generated orders 3. Submit Multi-leg order 4. Receive an Partially Filled Execution Report Message /TCR 5. Submit Multi-leg order 6. Receive Execution Report Message /TCR with order status as Expired[150=C] Open orders for specified instrument and Party ID combination 1. Submit a New Order Message 2. Get an Execution Report Message 3. Submit an Order Mass Status Request Message for the orders: - [Mass Status Req Type - 585(1)] 4. Receive an Execution Report Message : Open orders for specified segment and Party ID combination 1. Submit a New Order Message 2. Get an Execution Report Message 3. Submit an Order Mass Status Request Message for the orders: - [Mass Status Req Type - 585(100)] EMPANELLMENT CHECKLIST 14 Ver 1.0

15 4. Receive an Execution Report Message Party Risk Limit Get a Party Risk Limits Update Report message [Msg Type = CR] Get as Party Risk Limits Report message [Msg Type = CM] Drop Copy Gateway verification Orders Submit an order from the submitted via MIT trader terminal for a different vendor client. Observe terminal the execution report Primary Process Failover from the vendor side. 1. Failover primary FIXGW process when client is connected. Client should be disconnected 2. Client will re-login to mirror process 3. Log in response from the server - success 4. Test request 5. Heartbeat 6. Client submit a new order 7. Order is accepted from the Server EMPANELLMENT CHECKLIST 15 Ver 1.0

16 Annexure C : Detailed Scenario s for FAST Gateway Test Cases Market Data (Fast-UDP/TCP) - Test Cases for Certification Real Time Service Date: <Date> Vendor: <Vendor Name> 1. Security Definition:- A Security Definition message will be broadcasted for each instrument at Market Open via all 3 channels (Real time, Snapshot, Replay) 2. Security Status: - A Security Status message will be published on the Real-Time channel to indicate when a particular session has commenced for a sub book of an instrument. 3. In case of Options to check in Security Definition the tag 201 (Put or Call), 202 (Strike Price) and 1194(Exercise Style) A Security Status message will be broadcast for each tradable instrument with Pre-Trading (100) as the Security Trading Status (326) A Security Status message will be broadcast for each sub book of each tradable instrument with Regular Trading (17) as the Instrume nts Test scenario Session Pre- Trading Regular Trading Actual Result EMPANELLMENT CHECKLIST 16 Ver 1.0

17 Security Trading Status (326) A Security Status message, with a Security Trading Status (326) of Halt (2), will be published if an instrument is halted during the day. Halt Reason (327) - Reason for the halt MD Sub Book Type (1173) - Halted Order book A Security Status message will be broadcast for each sub book of each tradable instrument with Post- Close (26) as the Security Trading Status (326) At the end of this session a Security Status message will be broadcast for each tradable instrument with End of Post-Close (103) as the Security Trading Status (326) A Security Status message will be broadcast for each sub book of each active instrument with Market Close (18) as the Security Trading Status (326) A Security Status message will be published with an appropriate Security Trading Status (326) for MD Sub Book Type (1173) Halt of a particula r Post Close Start Post Close End Market Close Regular/ EFP trade EMPANELLMENT CHECKLIST 17 Ver 1.0

18 A Security Definition message, with a Security Status (965) of Active (1), will be published if an instrument is Active Longer Term A Security Definition message, with a Security Status (965) of Halted (8), will be published if an instrument is halted across multiple days with reason in Halt Reason (327). A Security Status, with a Security Trading Status (326) of Halt (2), will also be published for each sub book associated with the instrument. Longer Term A Security Definition message, with a Security Status (965) of Active (1), will be published if the halt is lifted during trading hours. Separate Security Status messages will also be published if on-book trading and/or trade reporting is resumed for the instrument. Lifting longer Term Halt A Security Status message, with a Security Trading Status (326) of Pause (111), will be published if on-book trading for an instrument is paused during the day. ` Pause EMPANELLMENT CHECKLIST 18 Ver 1.0

19 A Security Status message will be broadcast with the value Circuit Breaker Tripped (103) in the field Security Trading Event (1174). The message will indicate whether the change applies to a particular sub book (e.g. regular, EFP etc.) in field 1173 MD Sub Book Type or to trade reporting. The new time at which the circuit breaker breach will end will be specified in the Text (58) field. Instrument Suspension A Security Definition message, with a Security Status (965) of Suspended (9), will be published if an instrument is suspended during trading hours. A suspension applies to both on-book trading and trade reporting. Circuit Breaker Suspensi on EMPANELLMENT CHECKLIST 19 Ver 1.0

20 A Security Definition message, with a Security Status (965) of Active (1), will be published if the suspension is lifted during trading hours. Separate Security Status messages will also be published if on-book trading and/or trade reporting is enabled for the instrument. If, at the start of a trading day, an instrument is still in a suspended state it will be included in the Security Definition messages published by the server but not the Security Status messages. Adjustment by Market Operations A Security Status message will be broadcast with the value Extended by Market Operations (101) in the field Security Trading Event (1174). The message will indicate whether the change applies to a particular sub book (e.g. regular, EFP etc.) in field 1173 MD Sub Book Type or to trade reporting. The new time at which the session will end will be specified in the Text (58) field. A Security Status message will be broadcast with the value Shortened by Market Operations (102) in the field Resume Extensio n Shorteni ng EMPANELLMENT CHECKLIST 20 Ver 1.0

21 Security Trading Event (1174). The message will indicate whether the change applies to a particular sub book (E.g. regular, EFP, etc.) In field 1173 MD Sub Book Type or to trade reporting. The new time at which the session will end will be specified in the Text (58) field. Add Order to Top of the Order Book Market Data Incremental Refresh message will be broadcast with an MD Update Action (279) of New (0). The message will include the price, displayed quantity and number of orders for the price level[md Price Level (1023)]. The recipient s application should ensure that there are no prices higher than this price level. Adding a Price Level Market Data Incremental Refresh message will be broadcast with an MD Update Action (279) of New (0). The message will include the price, aggregate displayed quantity and number of orders for the price level. Top of order book- New order entry Adding a Price level Price depth EMPANELLMENT CHECKLIST 21 Ver 1.0

22 [MD Price Level (1023)]. The field MD Price Level (1023) will indicate the display position of the price level being added. Price levels are numbered from most to least competitive and start with 1.All rows in the order book below the new price level should be pushed down. The recipient s application should automatically renumber the price levels below the newly added price level. If there were already <five> price levels, recipients should also delete the new <sixth>price level from their applications. Market Data Snapshot (Full Refresh) messages will be used to disseminate the full picture of each order book. The snapshot will include the price, aggregate display quantity, number of orders and display position for each price level. A snapshot will be published even if there are no orders in the order book. In such a case, the Market Data Snapshot (Full Refresh) message will include an MD Entry Type (269) of Empty Order Book Market Data Snapshot (Full refresh) Price depth EMPANELLMENT CHECKLIST 22 Ver 1.0

23 (J).An order book snapshot may span across multiple Market Data Snapshot (Full Refresh) messages. In such cases, the Last Fragment (893) field will be N for all but the final message for the instrument. The final message will include a Last Fragment (893) of Y. MD Book Type(1021) of Market Data Snapshot (Full Refresh) message will be Price Depth (2) to indicate that the message is published via price depth service. Changing a Price Level Market Data Incremental Refresh message will be broadcast with an MD Update Action (279) of Change (1). The field MD Price Level (1023) will indicate which price level is being updated. The message will include the price, quantity and number of orders for the updated price level. Deleting a Price Level Market Data Incremental Refresh message will be broadcast with an MD Update Action (279) of Delete (2). The field MD Price Level (1023) will indicate which price level is being Changing a Price Level Deleting a Price Level by cancellin g an order EMPANELLMENT CHECKLIST 23 Ver 1.0

24 removed. All rows in the order book below the deleted price level should be pushed up. The recipient s application should automatically renumber the price levels that were below the deleted price level. The server will separately publish an update to add a new price level at the bottom of the order book. Market Data Incremental Refresh message will be broadcast with an MD Update Action (279) of Delete (2). The field MD Price Level (1023) will indicate which price level is being removed. All rows in the order book below the deleted price level should be pushed up. The recipient s application should automatically renumber the price levels that were below the deleted price level. The server will separately publish an update to add a new price level at the bottom of the order book. Trades When a trade is executed a Market Data Incremental Refresh message will be broadcast with an MD Update Action (279) of New (0) and MD Entry Type (269) of Trade (2). The trade price, quantity, Deleting a Price Level by executin g an order Execute two orders in session EMPANELLMENT CHECKLIST 24 Ver 1.0

25 time and sub book will be specified in the fields MD Entry Px (270), MD Entry Size (271), MD Entry Time (273) MD Sub-Book Type (11 73) respectively. Each trade will include a unique Trade ID in the field MD Entry ID (278) which will be referenced if the trade is cancelled or corrected. As this identifier is the Trade ID (1003) assigned to the trade by the post trade system, recipients will be able to identify their own trades. In case of Options Added Volatility (1188) to Execution Report message Update should be correctly observed via the front end. Instrument stat - Order Book Stat Market Stat - Bill The MD Stat Type (31001) field will be used to indicate whether the statistic being published relates to a market or sector (it will not be present in the case of a statistic for a sub-book of an instrument). The market or sector will be identified via the Symbol (55) field. Update should be correctly observed via the front end. Sector Stat Perform a trade during the regular trading session. EMPANELLMENT CHECKLIST 25 Ver 1.0

26 The MD Stat Type (31001) field will be used to indicate whether the statistic being published relates to a market or sector (it will not be present in the case of a statistic for a sub-book of an instrument). The market or sector will be identified via the Symbol (55) field Volume for the day >> MD Entry Type (269) Turnover for the day >> MD Entry Type (269) = x MD Entry Px (270) Number of trades for the day >> MD Entry Type (269) = y MD Entry Size Update should be correctly observed via the front end. Perform a trade during the regular trading session in normal order book and observe the changes N/A Index update Market Data Incremental Refresh message will be broadcast with an MD Update Action (279) of New (0) and an MD Entry Type (269) of Index Value (3). The unique identifier and updated value of the index will be specified in the fields Symbol (55) and MD Entry Px (270) respectively. The value of each index will be updated to reflect the closing price of each Perform a trade during the regular trading normal order book and observe the market data incremen EMPANELLMENT CHECKLIST 26 Ver 1.0

27 constituent instrument once these prices are published. Each such index update will include a Trade Condition (277) of Closing Index (AJ).The closing value of each index from the previous trading day will be published soon after the market opens. Each such update will include a Trade Condition (277) of Previous Closing Index (ZZ).Update should be correctly observed via the front end. Announcement Market announcements are included in the market data feed. In addition to the actual text of the announcement and an associated headline or subject, recipients are provided with its urgency, the time it was generated and the list of instruments and underlying s, if any, to which it relates. Announcements are disseminated via the News message. Update should be correctly observed via the front end. Requesting a Market Data Snapshot tal refresh Send an announc ement via service desk EMPANELLMENT CHECKLIST 27 Ver 1.0

28 Log into snapshot channel. Send a market data request. A request for an order book snapshot should include an MD Entry Type (269) of Bid (0) and/or Offer (1). An order book snapshot will always contain the details both sides the order book even if the Market Data Request contained just an MD Entry Type (269) of Bid (0) or Offer (1). Clients are unable to request just one side (i.e. bid or offer) of an order book. MD SubBook Type (1173) field of the Market Data Request may be used if the client wishes to recover the order book or statistics for a specific sub book. A request for a Top of Book snapshot should include MD Book Type (1021) of Top of Book(1). If MD Book Type (1021) is not specified, the server will publish snapshots of MBP and MBO order books, excluding Top of Book information. The Market Data Request should include an MD Req ID (262) and at least one Symbol (55) or Product Complex (1227). A Market Data Request for missed trades should include an MD Entry Type (269) of Trade (2). MD Entry Time (273) /MD Req ID (262) of the applicable Market Data Order book with active orders Request for missed trades EMPANELLMENT CHECKLIST 28 Ver 1.0

29 Request/ The corresponding message and instrument sequence numbers from the Real- Time channel will be included in the Appl Seq Num (1181) and Rpt Seq (83) fields of each retransmitted trade. The last message sent in response to the request will include a LastRpt Requested (912) of Last Message (Y). If the request includes an MD Entry Time (273) that is prior to that of the oldest trade in the server s cache, all eligible trades in the cache will be retransmitted Request for a statistics snapshot should include one or more of the relevant entries for MD Entry Type (269) (e.g. High Price (7), Low Price (8), Volume (B), etc.). A statistics Snapshot will contain all available statistics even if the Market Data Request contained just some of the statistics-related entries for MDEntryType (269). Clients are unable to request for a snapshot of selected statistics (e.g. high price and low price only). In case of Options check for MDEntryType (269) (i.e. Theoretical Price (h), Delta (i), Gamma (j), Vega (k), Theta (l), Rho (m), Implied Volatility (w) request for statistics N/A EMPANELLMENT CHECKLIST 29 Ver 1.0

30 Security Definition Request message to request the details of all active instruments in the market data group or those in the group from a particular segment. The Security Definition Request should include a unique Security Req ID (320) and a Security Request Type (321) (i.e. all instruments or all instruments for a segment). If the request is successful, the server will disseminate the details of each instrument via the Security Definition message. Each such message will include a Security Response Type (323) of List of Securities Returned (4) and the Security Req ID (320) of the request. The last message sent in response to the request will include a LastRpt Requested (912) of Last Message (Y). The client will not receive the details of any subsequent master file updates. The MDSubBookType (1173) field of the Market Data Request may be used if the client wishes to recover the order book or statistics for a specific sub book (e.g. regular). If anmdsubbooktype (1173) is not included in a request, the server will interpret it as a request Requesti ng Instrume nts N/A EMPANELLMENT CHECKLIST 30 Ver 1.0

31 for all of the sub books that apply to the instrument. Client may request for missed announcements by using MDEntryType (269) as News (w). Client will receive all the News messages for the specified instruments and/or segments after the time specified in MDEntryTime (273). The last message sent in response to the request will include a LastRptRequested (912) of Last Message (Y).ApplSeqNum (1181) of News messages retransmitted to honor a Market Data Request will be set to zero. A client may cancel an outstanding instrument or market data request via the Security Definition request or Market Data Request respectively. Such a message should include a SubscriptionRequestType (263) of Unsubscribe (2) and the SecurityReqID (320) or MDReqID (262) of the request to be cancelled. While the server will not confirm a successful cancellation, it will transmit a Business Message Reject if the request is rejected. Missed Announc ements Cancelin g a request EMPANELLMENT CHECKLIST 31 Ver 1.0

32 Login to replay channel Transmit an Application Message Request within 5 seconds of establishing the connection. The message should include the identifier of the Real- Time channel to which the retransmission request applies along with the list of messages to be resent. The ApplBegSeqNum (1182) and ApplEndSeqNum (1183) fields should be used to specify the Appl Seq Num (1181) of the first and last message in the range to be resent. The ApplBegSeqNum (1182) and ApplEndSeqNum (1183) should both be the message sequence number of the missed message. Following are expected; SEND: FAST Application Message Request RECEIVE:FAST Application Message Request Ack RECEIVE: Server responses : Messages RECEIVE:FAST Application Message Report The ApplBegSeqNum (1182) should be the message sequence number of the first message of the range and the ApplEndSeqNum (1183) should be that of the last message of the range. (i) To request a single message. (ii) To request a specific range of message. N/A EMPANELLMENT CHECKLIST 32 Ver 1.0

33 Following are expected; SEND: FAST Application Message Request RECEIVE : FAST Application Message Request Ack RECEIVE: Server responses : Messages RECEIVE: FAST Application Message Report The ApplBegSeqNum (1182) should be the message sequence number immediately after that of the last processed message and the ApplEndSeqNum (1183) should be zero (0). (iii) To request all message after a particula r message. N/A Following messages are expected: FAST Application Message Request FAST Application Message Request Ack Server responses FAST Application Message Report An outstanding retransmission can be requested via an Application Message Request. Such a message should include an ApplReqType (1347) of Cancel Retransmission (5) and the ApplReqID (1346) of the request to be cancelled. The server Retrans mission request of cancellati on EMPANELLMENT CHECKLIST 33 Ver 1.0

34 will transmit an Application Message Request Ack or a Business Message Reject to confirm or reject the cancellation request respectively. Order Book Depth Check the Order book depth = 10 Create a depth on both Buy & Sell side EMPANELLMENT CHECKLIST 34 Ver 1.0

35 Recommendations: Demo Conducted by: CTCL: Demo given by: (Member Name / On behalf of) EMPANELLMENT CHECKLIST 35 Ver 1.0