EntryPoint: Order Entry Messaging Messaging Guidelines • EquitiesSystem/Component • Derivatives • FX Version: 2.9.12 Last modified: 13/11/2020 INFORMAÇÃO PÚBLICA – PUBLIC INFORMATION EntryPoint Messaging Guidelines Version 2.9.11 Contacts • Services Development Department (GDS): handles all requests for connectivity setup and general exchange supported services. o [email protected] • Certification and Testing Center: performs certification of all software solutions applying for EntryPoint connectivity. o [email protected] o +55 11 2565-5029 • Trading Support Department (GSN): provides real time connectivity monitoring and troubleshooting. o [email protected] o +55 11 2565-5000 (option 2) © B3 2 INFORMAÇÃO PÚBLICA – PUBLIC INFORMATION EntryPoint Messaging Guidelines Version 2.9.11 Index 1. PREFACE 11 1.1 DESCRIPTION ............................................................................................................................................. 11 1.2 BENEFITS .................................................................................................................................................. 11 1.3 SYSTEM FUNCTIONS AND CHARACTERISTICS ..................................................................................................... 11 1.4 INTENDED AUDIENCE .................................................................................................................................. 11 1.5 PRE REQUISITES ......................................................................................................................................... 11 1.6 CONTRACT INFORMATION ............................................................................................................................ 11 2. MARKET SEGMENTS ........................................................................................................................12 2.1 ORDER EXECUTION RULES AT B3 .................................................................................................................. 12 2.2 TRADING PLATFORM SCHEDULE .................................................................................................................... 13 3. NETWORK CONNECTIVITY ...............................................................................................................14 3.1 PHYSICAL/LINK LAYER OPTIONS .................................................................................................................... 14 RCCF ....................................................................................................................................... 14 RCB ......................................................................................................................................... 14 3.2 NETWORK SETUP FOR DMA PROVIDERS ........................................................................................................ 15 3.3 NETWORK SETUP FOR BROKERAGE FIRMS/BANKS ............................................................................................ 16 3.4 SESSION CONNECTION ................................................................................................................................ 16 3.5 AUTHENTICATION....................................................................................................................................... 17 Password Renewal ................................................................................................................. 17 Password Policy ..................................................................................................................... 17 Password Age ........................................................................................................................ 17 Session Lockout ...................................................................................................................... 17 Minimum Length .................................................................................................................... 17 Password History ................................................................................................................... 17 Password Strength ................................................................................................................. 17 3.6 CANCEL ON DISCONNECT (COD) .................................................................................................................. 18 COD Type ............................................................................................................................... 18 COD Timeout Window ........................................................................................................... 19 COD Limitations ..................................................................................................................... 19 3.7 THROTTLE ................................................................................................................................................. 20 3.8 DROP COPY .............................................................................................................................................. 21 Network Connectivity ............................................................................................................. 21 Fault Tolerance and Disaster Recovery .................................................................................. 21 Start of Day Procedures ......................................................................................................... 21 3.9 ADMIN SESSION ......................................................................................................................................... 22 4. FIX MESSAGING GUIDELINES ...........................................................................................................24 4.1 SESSION IDENTIFICATION ............................................................................................................................. 24 Data Encryption ..................................................................................................................... 24 4.2 EXTENSIONS TO THE OFFICIAL FIX SPECIFICATION .............................................................................................. 25 4.3 DATA RESTRICTIONS ................................................................................................................................... 25 4.4 FIELDS DEPRECATION .................................................................................................................................. 26 4.5 BEST PRACTICES ......................................................................................................................................... 26 5. CERTIFICATION................................................................................................................................28 6. ORDER CHARACTERISTICS ...............................................................................................................29 6.1 ORDER TYPES ............................................................................................................................................ 29 Market Orders with Protection (OrderType = 1) .................................................................... 29 Limit Orders (OrderType = 2) ................................................................................................. 30 Stop Orders with Protection (OrderType = 3) ......................................................................... 30 Stop Limit Orders (OrderType = 4) ......................................................................................... 31 © B3 3 INFORMAÇÃO PÚBLICA – PUBLIC INFORMATION EntryPoint Messaging Guidelines Version 2.9.11 Market with Leftover as Limit (OrderType = K) ...................................................................... 31 RLP – Retail Liquidity Provider (OrderType = W) .................................................................... 32 6.2 ORDER VALIDITY TYPES (TIME IN FORCE) ........................................................................................................ 38 Day (TimeInForce = 0) ............................................................................................................ 38 Good till Cancel (GTC) (TimeInForce = 1) ............................................................................... 39 Immediate or Cancel (IOC) (TimeInForce = 3) ........................................................................ 39 Fill or Kill (FOK) (TimeInForce = 4) .......................................................................................... 39 Good till Date (GTD) (TimeInForce = 6) .................................................................................. 40 At the Close (MOC) (TimeInForce = 7) .................................................................................... 40 Good for Auction (MOA) (TimeInForce = A) ........................................................................... 40 6.3 ORDER QUANTITIES .................................................................................................................................... 41 Disclosed Quantity (Iceberg Orders) ...................................................................................... 41 Minimum Quantity ................................................................................................................ 41 Trade Related Quantities ......................................................................................................