T7 FIX Gateway T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4) Version V7.1 Interface Version T7-7.1-1 Back End Version T7 7.1 Date 17 May 2019 T7 FIX Gateway 17 May 2019 T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4) V7.1 c 2018 Copyright by Deutsche Borse¨ AG (“DBAG”). All rights reserved. STOXX R indexes are in no way sponsored, endorsed, sold or promoted by STOXX and its licensors All intellectual property, proprietary and other rights and interests in this publication and the subject and neither STOXX nor its licensors shall have any liability with respect thereto. matter of this publication are owned by DBAG or other entities of Deutsche Borse¨ Group. This in- Bloomberg Commodity IndexSM and any related sub-indexes are service marks of Bloomberg L.P. cludes, but is not limited to, registered designs and copyrights as well as trademark and service mark PCS R and Property Claim Services R are registered trademarks of ISO Services, Inc. rights. 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All descriptions, examples and calculations contained in this publication are the intellectual property of STOXX Limited and/or its licensors Eurex derivatives based on the are for illustrative purposes only, and may be changed without further notice. 2 T7 FIX Gateway 17 May 2019 T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4) V7.1 Contents 1 List of abbreviations 7 2 Introduction 8 2.1 Purpose.............................................. 9 2.2 Supported FIX Versions..................................... 10 2.3 Intended Readership ...................................... 10 2.4 Change Log ........................................... 11 3 Service Description 12 3.1 FIX Session Concept ...................................... 12 3.2 Party Identification........................................ 12 3.3 Market Identifier Codes..................................... 13 3.4 Security Identification ...................................... 14 3.5 Order ID Policy.......................................... 15 3.6 Uniqueness of Identifier..................................... 16 3.7 Quantity Fields.......................................... 17 3.8 Pending Responses “Request Status Unknown” ....................... 18 3.9 Order Management ....................................... 19 3.9.1 Order Types / Trading, Execution and Validity Restrictions............. 19 3.9.1.1 Relevant FIX Fields for identifying Order Types............... 22 3.9.2 Price Validity Checks ................................. 23 3.9.2.1 Price Reasonability Check .......................... 23 3.9.2.2 Extended Price Range Validation ...................... 23 3.9.3 Notional Value and Quantity Checks......................... 24 3.9.4 Cancellation ...................................... 25 3.9.5 Modification....................................... 25 3.9.6 Self Match Prevention................................. 25 3.9.7 Account Structure ................................... 26 3.9.8 Text Fields ....................................... 26 3.9.9 Order Status and Execution Report ......................... 27 3.9.10 ExecutionReport (8) ”Request Status Unknown” .................. 29 3.9.11 Order Book Restatement ............................... 29 3.9.12 Passive Liquidity Protection (PLP) (T7 Derivatives)................. 30 3.9.13 Trailing Stop Order Update Notifications (T7 Cash)................. 30 3.9.14 Unsolicited Order Cancellations generated by the Trading System (T7 Cash) . 30 3.9.15 Mass Cancellation Notification ............................ 32 3.9.16 Trading Session Events................................ 34 3.10 Trade Capture .......................................... 35 3.10.1 Trade Capture via Back-Office Session ....................... 35 3.10.2 Trade Capture via Trading Session (T7 Cash).................... 35 3.10.3 T7 Entry Service (TES) ................................ 35 3.10.4 Xetra/Eurex EnLight.................................. 35 3.10.5 Trade Capture Report - Identification Criteria .................... 36 3.10.5.1 Trade Types .................................. 36 3.10.5.2 Trade Report Types.............................. 37 3.10.5.3 Message Event Source............................ 38 3.10.6 Trade Reconciliation (On-Book Trades) ....................... 39 3.10.7 Best Practices for Order Management........................ 40 3.11 Cross Request.......................................... 41 3.11.1 Cross Trade Announcement.............................. 41 3.11.2 Client Liquidity Improvement Process (CLIP) (T7 Derivatives)........... 41 3.12 Request for Quote........................................ 43 3.13 Pre-Trade Risk Limits (T7 Derivatives)............................. 43 3 T7 FIX Gateway 17 May 2019 T7 FIX Gateway Manual (FIX 4.2 and FIX 4.4) V7.1 3.14 Risk Control Event Notifications ................................ 43 3.15 Mass Deletion Request..................................... 44 3.16 Session Details List ....................................... 45 3.17 Drop Copy for Order Information (Business Unit Level).................... 45 3.18 Regulatory Requirements - MiFID II Functionality....................... 46 3.18.1 Short Code Solution.................................. 46 3.18.2 Audit Trail and ALGO Flags.............................. 46 3.18.2.1 Client Identifier................................. 46 3.18.2.2 Execution Identifier .............................. 47 3.18.2.3 Investment Identifier.............................. 47 3.18.3 Market Making..................................... 47 3.18.4 Trading Venue Transaction Identification Code (TVTIC) .............. 47 3.19 Xetra BEST (T7 Cash)...................................... 48 3.20 Strategy Creation (T7 Derivatives)............................... 48 3.21 Variance Futures (T7 Derivatives) ............................... 48 3.22 Total Return Futures (T7 Derivatives) ............................. 49 3.23 Decaying Futures (T7 Derivatives)............................... 49 3.24 Xetra/Eurex EnLight - Selective RFQ Platforms........................ 49 4 Connectivity and Session Parameters 50 4.1 Session Identification and Authentication ........................... 50 4.1.1 Session Identification and Logon Parameters.................... 50 4.1.2 Network Authentication ................................ 50 4.1.3 Session Logon..................................... 51 4.1.4 Trader Logon...................................... 51 4.1.5 IP Addresses and Ports................................ 52 4.2 Failover.............................................. 53 4.2.1 Network Failover.................................... 53 4.2.2 Application Failover .................................. 53 4.2.3 Best Practice...................................... 53 4.3 Message Throttling and Queuing................................ 54 4.4 Mass Cancellation on Disconnect ............................... 54 4.5 Backward Compatibility..................................... 54 5 Session Layer 55 5.1 Logon............................................... 55 5.2 Sequence Number........................................ 55 5.3 Heartbeat............................................. 55 5.4 Test Request........................................... 56 5.5 Resend Request........................................