Eris Exchange

Transcription

Eris Exchange

Specifications Overview
Eris Exchange
FIX STP Specification
Version 1.01, March 1, 2011
Revision 005
SwapEx and the SwapEx logo are registered trademarks. The products and services outlined herein are only offered to professional clients or eligible counterparties through
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Clients should be aware of the risks of participating in trading foreign exchange, equities, fixed income or derivative instruments or in investments in non-liquid or emerging
markets. Clients should be aware that products and services outlined herein may put their capital at risk.
This communication is not intended for retail clients, nor for distribution to, and may not be relied upon by, any person or entity in any jurisdiction or country where such
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consent of State Street Global Markets.
.
Confidential & Proprietary
Page 1 of 24
Table of Contents
Table of Contents............................................................................................................................................. 2
1 Introduction ................................................................................................................................................. 5
1.1
Purpose.................................................................................................................................................................. 5
1.2
Architecture ........................................................................................................................................................ 5
2 Connectivity ................................................................................................................................................. 6
2.1
Account Type ...................................................................................................................................................... 7
2.2
Secure Sockets Layer (SSL) Tunneling............................................................................................... 7
3 Nightly Sequence Number Reset ..................................................................................................... 8
4 Supported Messages ............................................................................................................................... 9
4.1
Session Messages ............................................................................................................................................ 9
4.2
Application Messages .................................................................................................................................... 9
4.3
Passwords for Logon Messages ............................................................................................................ 10
5 Message workflow.................................................................................................................................. 11
5.1
General Workflow.......................................................................................................................................... 11
5.2
Subscription ...................................................................................................................................................... 11
5.2.1
5.2.2
Trade Capture Report Request.............................................................................................................................. 11
Trade Capture Request Acknowledgment ......................................................................................................... 11
5.3
Trade Capture Models ................................................................................................................................. 12
5.4
Trade Capture Reports ............................................................................................................................... 13
5.4.1
5.4.2
5.4.3
5.4.4
Overview ........................................................................................................................................................................ 13
Trade Report Process Order ................................................................................................................................... 13
Trade Capture Reports Buffer Size ...................................................................................................................... 14
Duplicate Trade Reports .......................................................................................................................................... 14
6 Message Details ....................................................................................................................................... 15
6.1
Session Messages .......................................................................................................................................... 15
6.1.1
6.1.2
6.1.3
6.1.4
6.1.5
6.1.6
6.1.7
6.2
Standard Header ........................................................................................................................................................ 15
Standard Trailer .......................................................................................................................................................... 15
Heartbeat ...................................................................................................................................................................... 15
Logon .............................................................................................................................................................................. 15
Logout ............................................................................................................................................................................. 16
Resend Request .......................................................................................................................................................... 16
Test Request ................................................................................................................................................................ 16
Application Messages .................................................................................................................................. 16
6.2.2
6.2.3
6.2.4
6.2.5
6.2.6
Business Message Reject ........................................................................................................................................ 17
TradeCaptureReportRequest .................................................................................................................................. 17
TradeCaptureReportRequestAck ........................................................................................................................... 18
Trade Capture Report ............................................................................................................................................... 18
TradeCaptureReportAck ........................................................................................................................................... 22
Page 2 of 24
Appendix ............................................................................................................................................................. 23
I.
II.
Supported Instruments ..................................................................................................................................... 23
Coordinated Universal Time (UTC) Format ............................................................................................... 23
Page 3 of 24
Author
Anton Vasilyev
Bill Specht
Bill Specht
Bill Specht
Bill Specht
Brian Kelly
Bill Specht
Bill Specht
Date
08/16/2010
12/13/2010
12/28/2010
1/11/11
1/12/11
1/19/2011
2/4/2011
3/1/2011
Description
Initial
Updates to include CTI, Origin and other refinements
Add ClOrdId to the TradeCaptureSideGroup
Add Tag for price on offsetting leg (OXP case)
Correct the order of tags under 555. Add 600
Rebrand
Add CashFlowAlignmentDate
Add CTI and Origin for the maker trade RFQ Oddball
Page 4 of 24
1 Introduction
1.1 Purpose
The purpose of this document is to present in detail the Financial Information eXchange (FIX) protocol
subset used by the Eris Exchange Straight Through Process (STP) service for Treasury Instruments.
The Eris Exchange FIX offering supports the automatic sending of trade events that occur on the Eris
Exchange platform in real time via FIX.
This document describes the Eris Exchange FIX offerings and provides a detailed description of the
supported FIX message set.
1.2 Architecture
The RFS trading model allows Market Makers (MM) to receive quote requests for treasury instruments,
submit prices and process price executions for Treasury Instruments.
RFS service can handle all Treasury instruments including Treasury swaps.
Figure 1: Eris Exchange FIX STP Architecture.
Page 5 of 24
2 Connectivity
FIX STP users can connect to the Eris Exchange FIX Gateway via the Public Internet, financial extranets or a
private network.
•
Public Internet
Clients can connect to the Eris Exchange FIX Gateway over the public Internet. A Secure Socket
Layer (SSL) channel must be used to ensure privacy, security and data integrity. The related Eris
Exchange server certificates are signed by established signing authorities and are available on line
for verification. Eris Exchange maintains large connections via diverse local access carriers to several
major Internet backbone providers to ensure high performance and high availability. Internet access
provides the benefit of ubiquitous presence, general-purpose connectivity and instant provisioning.
•
Financial Extranets
Extranets provide Eris Exchange customers a cost effective and reliable connectivity mechanism over
a semi-private network. Throughput, routing, latency, security and failover is closely monitored and
tested regularly. Extranets are able to install on-net services quickly due to pre-provisioned
connections, and connectivity without the encryption of SSL is permitted. Eris Exchange support the
following extranet providers: BT Radianz, SFTI and Yipes.
•
Private Networks
For extremely rare cases where private connectivity is necessary, Eris Exchange supports
connectivity provisioned by the customer. Clients are required to order two private lines from two
different client locations to two Eris Exchange points of presence. Ethernet Private Line service
(EPLM) is the preferred connectivity type. Approval from Eris Exchange is required for all private
network connections, and the provisioning interval is greater than 90 days in most cases. Please
contact your Eris Exchange representative for further details.
Page 6 of 24
Figure 2: Public Internet, Financial Extranets and Private Lines are Supported
Public Internet
SSL
SSL
Financial Extranets
API
SSL
SSL
Private Lines
SSL
SSL
GUI
Secure Socket Layer (SSL) Required
Secure Socket Layer (SSL) Optional
Figure 2: Public Internet, Financial Extranets, and private lines are supported.
2.1 Account Type
One distinct connection is needed for receiving completed trade details via FIX. This connection is not
persisted. Any reconnection must be made with inbound and outbound sequence numbers set to one (1).
2.2 Secure Sockets Layer (SSL) Tunneling
Secure Sockets Layer (SSL) is required when the public internet is used to access the FIX Gateway. Its use
is optional for users connecting across private networks. Any SSL implementation that supports SSL V3
with mutual certificate based authentication can be used.
If SSL support is not available in a subscriber’s FIX implementation, Eris Exchange recommends Stunnel, an
open-source implementation used widely as an SSL proxy tool. Refer to http:/www.stunnel.org for more
information.
Eris Exchange issues digital certificates for its integration and production environments. Initial connectivity
and testing can be performed without SSL, but prior to going live, SSL connectivity must be tested.
Page 7 of 24
3 Nightly Sequence Number Reset
The Eris Exchange FIX Gateway service is offline each weekday from 17:30:00 until 18:30:00 Eastern Time.
During this time, Eris Exchange resets the FIX sequence number for all FIX service connections.
After 18:30:00 Eastern Time, the Eris Exchange FIX Gateway service expects the initial message from each
client reconnecting to have a sequence number equal to one (1). Eris Exchange will reply to this with an
outbound message with a sequence number also equal to one (1).
Prior to the FIX Gateway service being shutdown, all connected FIX trade clients will be sent tag 340,
TradesStatus, = 5, to indicate the sequence number reset process is about to occur. Once received, users
will be unable to send new orders or replace outstanding orders, but can cancel outstanding orders. Eris
Exchange will send updates to outstanding orders; e.g., fills, cancels, etc, that occur.
Eris Exchange will then send a Logout message to disconnect all active client sessions. Upon receiving the
Logout message, a client should disconnect. Upon reconnecting to the Eris Exchange FIX Gateway, the
inbound and outbound sequence numbers should be reset to one (1).
Page 8 of 24
4 Supported Messages
The Eris Exchange FIX STP implementation supports FIX version 4.4 messaging.
The following convention is used in this document to indicate message direction:
•
•
•
In – a message from the FIX STP Client to Eris Exchange
Out – a message from Eris Exchange to FIX STP Client.
In/Out – a message that can be sent to or from a FIX Client or Eris Exchange
Available fields, requirements, values and their associated meanings are documented in Message Details.
4.1 Session Messages
Session messages establish, maintain and terminate a FIX STP client to Eris Exchange connection.
•
Logon – (In/Out) message sent by a FIX STP Client to initiate a FIX session to Eris Exchange.
Logon response is sent by Eris Exchange. The Logon message establishes the communication
session, authenticates the connecting client, and initializes the message sequence number.
•
Heartbeat – (In/Out) message sent by Eris Exchange during periods of application inactivity to
ensure connection validity. An STP client should respond to heartbeat messages upon receipt.
•
Resend Request – (In/Out) message that can be sent by either Eris Exchange or a client to
request certain messages be resent. Often used when gaps are detected in the sequence
numbering, when a message is lost, or during the initialization process.
•
Test Request – (In/Out) used to verify session connectivity and to synchronize sequence numbers.
Either Eris Exchange or the connecting party can send a test request message. The recipient of a test
request message should respond to it with a heartbeat message
•
Logout - (In/Out) message signaling the normal termination of the trading session. Sessions
terminated without a Logout message will be considered an abnormal condition. The Eris Exchange
FIX gateway treats a client as logged out whenever the communication session is dropped.
4.2 Application Messages
Once a proper session is established, MPs use application messages to subscribe to and receive completed
trade information.
See the below summary. Refer to the Message Details section Application Messages.
•
Business Message Reject – (Out) application message sent in response to any application level
message that cannot be replied to with a normal matching response message.
Also sent when a request message is received during non-Eris Exchange trading hours. For a
schedule of non-trading hours, please contact your Eris Exchange service representative.
Page 9 of 24
•
Trade Capture Report Request – (In) message used in making a subscription request for trade
capture reports. Only subscription requests are currently supported. Individual report request are
not supported.
•
Trade Capture Report Request Ack – (Out) message used to acknowledge receipt of a
subscription request. If the request was successful, Eris Exchange will start publishing reports. This
message can also be used to reject a report request.
•
Trade Capture Report – (Out) message used to send completed trade details. Requires
confirmation of receipt.
•
Trade Capture Report Ack – (In) message used to confirm the receipt of a Trade Capture Report.
4.3 Passwords for Logon Messages
The Currenex service requires users connecting via the FIX protocol to present a password as part of the
logon message. Please refer to the “Eris Exchange FIX Password Specification” (which can be found on the
integration-support site or from your Currenex representative), for further details relating to passwords
including password resets.
Page 10 of 24
5 Message workflow
5.1 General Workflow
Any message received by the Eris Exchange FIX STP engine that is outside the scope of this document will
be rejected with a Business Message Reject message.
The following codes are used to indicate trading level errors and can appear in the BusinessRejectReason
field:
0.
1.
2.
3.
4.
5.
Other
Unknown ID
Unknown security
Unsupported message type
Application not available
Conditionally required field missing
5.2 Subscription
Eris Exchange
FIX STP client
Trade Capture Report Request
Trade Ca
pture Rep
o
rt Reques
t Ack
Figure 3: Capture Report Subscription Request and Acknowledgement
5.2.1 Trade Capture Report Request
A FIX STP client subscribes on the Eris Exchange FIX Gateway by sending a Trade Capture Report Request
message. The results returned depend on the values specified for fields TradeRequestType (569) and
SubscriptionRequestType (263):
TradeRequestType
•
•
•
•
5.2.2
0 – All trades
SubscriptionRequestType
1 – Snapshot + Updates: Eris Exchange sends all unconfirmed reports and continues to send new
reports based on new trade events.
9 – Updates: Eris Exchange only sends new reports, from the time of subscription. This is a Eris
Exchange specific usage.
Trade Capture Request Acknowledgment
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Eris Exchange responds to a client’s Trade Capture Request with a Trade Capture Report Request Ack
message. The status of the request is indicated in the fields TradeRequestResult (749) and
TradeRequestStatus (750).
TradeRequestResult
•
•
•
•
0
8
9
99
- Successful
- TradeRequestType not supported
- Unauthorized for Trade Capture Report Request
- Other
TradeRequestStatus
•
•
0 - Accepted
2 – Rejected
A Trade Capture Report Request acknowledgement containing TradeRequestResult = 0 and
TradeRequestStatus = 0 means a successful request has been made.
5.3 Trade Capture Models
Eris Exchange supports the following trade capture subscription models:
•
Receive all outstanding unconfirmed trade events and all new subsequent events
TradeRequestType
•
Receive all outstanding unconfirmed trade events from specified date and all new subsequent events.
TradeRequestType
TradeDate
•
- 0 (All trades)
- 1 (Snapshot + Updates)
- 0 (All trades)
- 1 (Snapshot + Updates)
- Start date (YYYYMMDD format)
Receive only new events messages.
TradeRequestType
- 0 (All trades)
- 9 (Updates)
Page 12 of 24
5.4 Trade Capture Reports
5.4.1
Overview
Before any Trade Capture Report messages will be sent, a client must establish a connection and make a
Trade Capture Report request. The client acknowledges receipt of a report through a Trade Capture Report
Acknowledgment (Ack) message.
Eris Exchange
FIX STP client
Trade Capture Report (Trade 1)
rt Ac
re Repo
tu
p
a
C
Trade
k (Trade
1)
Trade Capture Report (Trade 2)
Trade
eport Ack
Capture R
(Trade 2)
Figure4. Capture Reports Processing under Normal Condition.
For optimum performance, Trade Capture reports should be acknowledged immediately.
5.4.2
Trade Report Process Order
Eris Exchange only sends trade report messages to a client that has successfully established a FIX STP
connection and made a Trade Report Request. If no connection is established, no messages are sent.
The number of Trade Reports that can be outstanding is limited by a system default. See next section. If
this limit is reached, a one (1) to one (1) relationship becomes effective in which one (1) Trade Report will
be sent for each report acknowledged until the outstanding number of unacknowledged reports is less than
the system limit.
Upon receiving the Trade Report Request, Eris Exchange processes Trade Report messages in the order the
trades were done as follows:
•
Trade Reports from prior to the Request
any reports for trades done prior to the request are sent first.
Page 13 of 24
•
New Trade Reports
once all Trade Reports from prior to the request, if any, are acknowledged, Eris Exchange will send
reports for new trades completed since the Trade Report Request was made.
5.4.3
Trade Capture Reports Buffer Size
Trade Capture reports are sent in the order in which trades are executed. A new trade event can be sent
before a previously sent trade event is acknowledged.
There is a system limit of one hundred (100) unacknowledged trade reports. If this limit is exceeded,
additional Trade Capture reports will only be sent out in a one to one relationship to acknowledgments
received.
For example, if a user has a total of one hundred (100) unacknowledged reports outstanding and a new
trade is then completed, a Trade Capture report will not be sent for the new trade. However, if the user
subsequently acknowledges at least one (1) outstanding report, then the Trade Capture report for the new
trade will be sent out. This one (1) to one (1) relationship will continue until the number of
unacknowledged Trade Capture reports falls below the system limit.
5.4.4
Duplicate Trade Reports
A trade marked acknowledged cannot be requested again. However, the Eris Exchange Support Desk can
be asked to resend an already acknowledged trade.
The requesting client must be able to handle the possibility of receiving duplicate trade capture reports. If
multiple reports are received for a trade, all but the first report should be ignored.
Page 14 of 24
6 Message Details
Eris Exchange FIX STP supports FIX version 4.4 required fields and a portion of the non-required fields.
Some Eris Exchange customized fields are also used.
This section provides field details of all the supported FIX messages. For each message, all Eris Exchange
supported required and non-required fields are listed.
The values under the “Required” column indicate one of the following:
•
•
‘Y’ – field is mandatory and must be sent or received as a part of the message.
‘N’ – Non-required field that should be omitted unless directed otherwise by Eris Exchange.
6.1 Session Messages
6.1.1 Standard Header
Tag
Field Name
8
BeginString
9
BodyLength
35 MsgType
Required
Comments
Y
Handled by FIX engine.
Y
Should be handled by fix engine.
Y
Refer to Message Details for MsgType value.
49
SenderCompID
Y
56
34
52
TargetCompID
MsgSeqNum
SendingTime
Y
Y
Y
Provided by Eris Exchange – should match the
user’s trading account id.
CNX
6.1.2 Standard Trailer
Tag
Field Name
10 CheckSum
Required
Comments
Y
A value calculated by the FIX engine from the
message data and transferred with the data. If
the data received does not match the CheckSum
value, the data was corrupted in transit.
6.1.3 Heartbeat
Tag
Field Name
Standard Header
112 TestReqID
Standard Trailer
Required
Y
N
Comments
MsgType tag 35 = 0
Required if heartbeat is due to a Test Request
message.
Y
6.1.4 Logon
Tag
Field Name
Standard Header
98
EncryptMethod
108 HeartBtInt
Required
Y
Y
Y
Comments
MsgType tag 35 = A
0 – Not encrypted is the only accepted value.
Heartbeat interval in seconds.
Page 15 of 24
141
ResetSeqNumFlag
N
Y – Resets both the incoming and outgoing
sequence numbers to 1.
554
Password
Y
Id specific password.
Standard Trailer
Y
6.1.5 Logout
Tag
Field Name
Standard Header
58
Text
Standard Trailer
Required
Y
N
Y
Comments
MsgType tag 35 = 5
Descriptive text message.
Required
Y
Y
Comments
MsgType tag 35 = 2
First sequence number in the range to be
resent.
Last sequence number in the range to be
resent.
For single message resend requests, set
BeginSeqNo = EndSeqNo.
If request is for all messages subsequent to a
particular message, EndSeqNo = 0.
6.1.6 Resend Request
Tag
Field Name
Standard Header
7
BeginSeqNo
16
EndSeqNo
Y
Y
Standard Trailer
6.1.7 Test Request
Tag
Field Name
Standard Header
112 TestReqID
Standard Trailer
Required
Y
Y
Y
Comments
MsgType tag 35 = 1
Unique ID of test request.
6.2 Application Messages
6.2.1 Trading Session Status
Tag
Field Name
Standard Header
336
TradingSessionID
340
TradSesStatus
58
Text
Standard Trailer
Required
Y
Y
Y
N
Comments
MsgType tag 35 = h
Identifier for this trading session.
State of the trading session:
1 = Password reset is required
Descriptive text message.
Y
Page 16 of 24
6.2.2 Business Message Reject
Tag
Field Name
Standard Header
372 RefMsgType
380
Required
Y
Y
BusinessRejectReason
Y
Standard Trailer
Comments
MsgType = j
The MsgType of the FIX message being
rejected.
Reject reason code:
0 = Other
1 = Unknown ID
2 = Unknown Security
3 = Unsupported Message Type
4 = Application not available
5 = Conditional Required Field Missing
Y
6.2.3 TradeCaptureReportRequest
Tag
Field Name
Standard Header
568 TradeRequestID
569 TradeRequestType
263
55
Required
Y
Y
Y
Y
Symbol
Y
component block <TrdCapDtGrp>
1408 DefaultCstmApplVerID
Y
Standard Trailer
Y
Comments
MsgType = AD
ID assigned by the client to the request.
Trade Capture Report type:
0 = All trades.
Subscription Request Type:
1 = Snapshot + Updates.
9 = Updates only
Supported value: “NA”
Individual instrument subscription is not
currently supported.
2.0 = extended STP event type support set. If
not present, defaults to legacy spot Trade
Capture message.
Page 17 of 24
6.2.4 TradeCaptureReportRequestAck
Tag
Field Name
Standard Header
568 TradeRequestID
569 TradeRequestType
263 SubscriptionRequestType
Required
Y
Y
Y
Y
749
TradeRequestResult
Y
750
TradeRequestStatus
Y
Symbol
Y
55
Standard Trailer
Comments
MsgType = AQ
ID assigned by the client to the request.
0 = All trades
1 = Snapshot + Updates
2 = Disable previous Snapshot + Update
Request
9 = Updates.
0 = Successful
8 = Unsupported TradeRequestType
9 = Unauthorized for Trade Capture Report
Request
99 = Other
0 = Accepted
2 = Rejected
Supported value: “NA”
Individual instrument subscription is not
currently supported.
Y
6.2.5 Trade Capture Report
Tag
Field Name
Standard Header
571 TradeReportID
1003
Req'd
Y
Y
TradeID
Y
568
TradeRequestID
Y
828
TrdType
N
Comments
MsgType = AE
Unique identifier assigned by Eris Exchange to
the trade capture report.
Eris Exchange assigned trade ID; e.g.,
A200623400QJB00
ID assigned by the client to the request when
report is in response to a Trade Capture
Report Request.
Supported values:
101 - RFQ
102 - ESP
Set when ExecType (150) equals one of the
following:
0 - New Trade
150
ExecType (a.k.a. Event Type)
Y
Supported values:
0 - New Trade: generated upon a trade
execution.
.
Page 18 of 24
820
TradeLinkID
N
For offsetting trades this is an ID of the other
trade
880
TrMatchID
N
ExecID
N
The parent trade id on trades where a hub
and or prime broker is in place. Not sent for
bank direct trades.
Unique RFQ buy side identifier
Set when
TrdType (828) = 101 (RFQ) and
ExecType (150) equals one of the following:
0 - New Trade
527
SecondaryExecID
N
570
PreviouslyReported
Y
423
PriceType
Y
17
Component <RootParties>
1116 NoRootPartyIDs
1117 RootPartyID
1119 RootPartyRole
Component <RootSubParties>
1120 NoRootSubParties
Y
Y
Y
Y
Supported values:
1= fixedRate
2=NPV
2 – only supported value
Identifies each party to the trade
Role of the party identified in the
NestedPartyID:
1 – Executing firm
13 – Originating Customer
14 – Prime Broker
29 – Hub/Intermediary
N
Present for RootPartPresent for
RootPartyRoles equal to 1 or 13:
1 – only value supported. Roles equal to 1 or
13:
Eris Exchange assigned user ID for the firm
identified in RootPartyID (1117).
Type of RootPartySubID (1121):
2 - Individual Person.Type of RootPartySubID
(1121):
1121
RootPartySubID
N
1122
RootPartySubIDType
N
Unique identifier assigned to the trade by the
sell side.
Indicates if a trade capture report has been
previIndicates if a trade capture report has
been previously sent:
Y – previously sent
N – not previously sent:
End Component <RootSubParties>
End Component <RootParties>
Component <Instrument>
55
Symbol
Y
Y
InstrumentId
For RFQ value is NA.
Page 19 of 24
48
22
SecurityID
SecurityIDSource
Y
Y
460
Product
Y
167
Security Type
Y
541
873
MaturityDate
DatedDate
(CashFlowAlignmentDate)
Y
Y
874
EffectiveDate
Y
SecurityID (Zcode)
Supported values:
Eris
Supported values:
12 - OTHER
Supported values:
IRS – IR swap
Date of maturity
Cash flow alignment date
A date not adjusted for holidays use to derive
interest payment dates
The effective date of the IR Swap
(settlementDate)
End Component <Instrument>
Component <UndIntrmtGrp>
711 NoUnderlyings
Y
Only used for IRswap
Then Always 2. One for each rate stream
(usually one fixed, one float)
Component <UnderlyingInstrument>
311 UnderlyingSymbol
Y
Not used
Value - NA
241
UnderlyingCoupon PaymentDate
(First Interest Payment Date)
N
Date of first interest payment in YYYYMMDD
format
256
UnderlyingCreditRating
(DayCountConvention)
Y
Supported values:
ACT/360
ACT/365
30/360
317
UnderllyingOptAttribute
(FloatRateName)
N
Supported values:
LIBOR
436
UnderlyingContractMultiplier
(RateSetOffset)
N
RateSetOffset - number of days before
payment for rate set - value is always
negative.
435
UnderlyingCouponRate
N
Fixed Rate as a decimal.
307
UnderlyingSecurityDesc
(BusDayConvention)
Y
Supported values:
MODFOLLOWING
877
UnderlyingCPProgram
(Payment Frequency)
Y
Supported values:
3M (float)
6M (fix)
1Y (not supported)
878
UnderlyingCPRegType
(Rate Type)
Y
Supported values:
FIXED - rate is fixed
FLOAT - rate is variable. See floatRateName
318
LegCurrency
Y
Currency of payment on this leg
4.0 is 4%
End Component <UnderlyingInstrument>
Page 20 of 24
End Component <UndInstrmGrp>
32
LastQty
31
LastPx
75
TradeDate
Component <TrdInstrmtLegGrp>
555
NoLegs
Y
Y
Y
N
Par amount
Trade price
Trade Date in YYYYMMDD format.
Optional group, used for offsetting new trades
if the requester is a Hub or PB.
N
1 – if its an offsetting new trade leg
Component <InstrumentLeg>
600
Required component
Leg Symbol
Y
NA
N
Amount
End Component <InstrumentLeg>
687
LegQty
Component <NestedParties>
539
804
N
NoNestedPartyIDs
N
NestedPartyID and NestedPartyRole form a
unique combination for each repeating group:
2 – only valid value
NestedPartyID
NestedPartyRole
N
N
Identifies each party to the trade.
Role on the trade of the party identified in the
NestedPartyID (524):
1 – Executing firm
13 – Originating Customer
14 – Prime Broker
29 – Hub/Intermediary
component <NstdPtysSubGrp>
N
524
538
NoNestedPartySubIDs
N
Present for NestedPartyRole (538) equal to 1
or 29:
1 for 29
3 for 1
545
NestedPartySubID
N
805
NestedPartySubIDType
N
SubType=2
Eris Exchange assigned user ID for the firm
identified in RootPartyID (524).
SubType=25
Values: I=Customer
A=House
SubType=26
Values: 1=Trading own acct
2=Clearing firm for its prop acct
3=Member trading for other
4=All other
NOTE:25, 26 only used for NestedPartyRole=1
Type of NestedPartySubID (545):
2 - Individual Person
25 – Origin Code
26 – CTI Code
Page 21 of 24
End component <NstdPtysSubGrp>
End Component <NestedParties>
654 LegRef
N
637
LegLastPx
N
End Component <TrdInstrmtLegGrp>
60
TransactTime
Component <TrdCapRptSideGrp>
552 NoSides
54
Side
N
Y
Y
Y
Y
On Hub and Prime Broker (PB) requests: Eris
Exchange offsetting trade identifier
Trade Price
Time the trade occurred.
1 – only value supported
Trade side:
1 - buy (receive fixed for IRS)
2 - sell (pay fixed for IRS)
11
ClOrdID
Y
1
Account
Y
528
OrderCapacity (Origin Code)
Y
582
CustOrder Capacity
(CTI=customer type indicator)
Y
Suported Values:
1 - Member trading for their own account
2 - Clearing Firm trading for its proprietary
account
3 - Member trading for another member
4 – All other
AggressorIndicator
N
Optionaly supported only on trades with
RootPartyRole = 13 (Originating Customer)
Suported Values:
Y – aggressor
N - aggressed
1057
End Component <TrdCapRptSideGrp>
Standard Trailer
Unique identifier for trade as assigned by buyside
The account under which the trade was
booked.
Supported values:
I - Customer
A – House
Y
6.2.6 TradeCaptureReportAck
Tag
Field Name
Standard Header
571
TradeReportID
55
Required
Y
Y
Symbol
Y
Standard Trailer
Y
Comments
MsgType = AR
The TradeReportID (571) from Trade Capture Report being
acknowledged.
Supported value: “NA”.
Page 22 of 24
Appendix
I. Supported Instruments
Supported instruments are up to the discretion of the exchange. Supported Symbol (tag 55) values:
•
•
•
•
•
•
•
•
•
•
1Y-USD
2Y-USD
3Y-USD
4Y-USD
5Y-USD
6Y-USD
7Y-USD
8Y-USD
9Y-USD
10Y-USD
All intervening years 11Y-29Y
•
•
•
•
•
30Y-USD
SA-USD – 5 year IMM Dated Swap (Effective date coincides with next IMM Date)
7I-USD – 7 year IMM Dated Swap (Effective date coincides with next IMM Date)
SR-USD – 10 year IMM Dated Swap (Effective date coincides with next IMM Date)
I3-USD – 30 year IMM Dated Swap (Effective date coincides with next IMM Date)
II. Coordinated Universal Time (UTC) Format
All time and date formats must be in Coordinated Universal Time (UTC), more commonly known as
Greenwich Mean Time (GMT). The formats of various dates as defined by the World Wide Web Consortium
(W3C) are
•
Year:
YYYY (2003)
•
Year and month:
YYYYMM (200307)
•
Complete date:
YYYYMMDD (20030716)
•
Complete date plus hours and minutes:
YYYYMMDD-hh:mm (20030716-19:20)
•
Complete date plus hours, minutes and seconds:
YYYYMMDD-hh:mm:ss (20030716-19:20:30)
•
Complete date plus hours, minutes, seconds and milliseconds
YYYYMMDD-hh:mm:ss.mmm (20030716-19:20:30.183)
Page 23 of 24
Where
YYYY
MM
DD
hh
mm
ss
mmm
= four digit year
= two digit month (01=January, etc.)
= two digit day (01 through 31)
= two digit hour (00 through 23) (am/pm NOT allowed)
= two digit minute (00 through 59)
= two digit second (00 through 59)
= three digit millisecond (000 – 999)
Page 24 of 24

Eris Exchange

Transcription

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