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1. l 1 l l l l For TAIFEX l K ror TAIFEX SEKR l l l l l v v v v v v CLEARING INFORMATION Free Text 3 Free Text 2 Free Text 1 Take Up Open Close Clearing Account 1 t t 4 ForTAIFEX _ ey al l l For KRX I ee te l For KRX and TAIFEX l a a EE EEN r Handling within Eurex Exchange s T7 The system does not perform business validations on clearing fields except for KRX or TAIFEX Products For Eurex KRX Products the participant must provide the cooperation details as follows e The External Member ID must be allowed for the entering participant and e The Final Beneficiary field must be specified 36 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 For Eurex TAIFEX Products the participant must provide the cooperation details as follows e The External Member ID must be allowed for the entering participant e The Branch Code field must be specified and e The Final Beneficiary field must be specified Clearing information from the Eurex Clearing classic system The Eurex Clearing classic system will validate and update the clearing fields if required and then provide clearing information to participants as follows Clearing Field Handling If the Clearing Account is not valid it will be replaced using rules see 5 5 4 based on Clearing Account e Take Up Member if specified e Type of Member and e Trading Capacit
2. Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 4 2 Direct Complex Instrument Match A direct complex instrument match occurs when an incoming complex order matches against an order on the opposite side of the same complex order book When the incoming order is executed a Match Event is generated for the complex instrument representing the entire execution and Match Steps are generated for each executed price level Each Match Step is broken down into Order Executions wherein one execution is generated for every order executed at every price level in the complex instrument In addition to an Order Execution ID an Order Leg Execution ID is provided for each leg of the complex instrument match Order Event messages are sent to the trader for every order involved in the Match Event including all its executions The trades are generated in the corresponding simple instrument legs of the combination only not for the complex instrument For an example refer to the diagram in section 5 4 3 In Match Step 01 the incoming Order 5 executes with Order 1 in the complex instrument AB order book Trades are then generated in the simple instrument legs A and B Trade 01 and 02 no trades are generated for complex instrument AB Each Trade is broken down into Trade Items with unique Trade Item IDs wherein one Trade Item is generated for every order executed at every price level in every simple instrument
3. Manual e Common Report Engine CRE User Guide These documents are available on the Eurex website www eurexchange com gt Technology gt Eurex Exchange s T7 gt System Documentation Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 2 Main Components The following chapter describes the main components of Eurex Exchange s T7 2 1 Multiple Markets Eurex Exchange s T7 is able to operate multiple markets on one technical instance independently of each other It is currently used by the Eurex Exchange and EEX European Energy Exchange for derivatives trading Participants products and trading rules belong to exactly one market Subject to contractual agreements participants of one market may be able to access products of another market such as with EEX cooperation products 2 2 Participant Business Unit User Eurex Exchange s T7 has a three level hierarchy which is slightly different to the member and user hierarchy in the Eurex Clearing classic system e Participant An entity accessing T7 which can be an exchange participant a clearing member or a service provider e Business Unit In T7 a participant may have several business units which are independent of each other There are two types of business units e A Trading Business Unit which is used for trading e A Clearing Business Unit which is used by clearing members to receive trade confirmations from its trading busin
4. Functional and Interface Overview V2 5 4 e Rejected in case the submitting trader chooses a mandatory price reasonability check with a specific notification to the entering trader An extended price range check also referred to as a fat finger check ensures that the price does not cross through the market to such an extent as to be considered an erroneous price The extended price range check cannot be skipped by the entering trader However if a price reasonability check requested by a trader was successfully applied the extended price range check is skipped Usually the price range applied by the extended price range check is larger than the price range applied by the price reasonability check 3 2 Quotes Quotes may be used to maintain a single bid offer in multiple instruments within a product The following applies for quotes Quotes belong to the session on which they are entered refer to section 4 2 A business unit can have multiple sessions each with its own quotes The mass quote function allows the participant to enter modify and delete multiple quotes of a session simultaneously This function is available for both options and futures T7 provides quote entry to replace an existing quote with the new quote This is done by starting a new quote life cycle with an accumulated traded quantity set to zero It also provides quote modification which refers to an existing quote and preserves the accumul
5. A participant can manage which functions the users are allowed to perform In T7 the various trading functions are grouped into different Roles such as trader market maker and service administrator A participant can assign these roles to its users and a user can be given more than one role A user can have different roles for each product assignment group For example e A trader can have the trader role for one product assignment group while having a market maker role in another e A trader role is enabled to maintain orders but is not enabled for maintaining quotes which is part of the market maker role e A user only having the trading view can see trading information but cannot enter orders or quotes e A user with a service administrator role is enabled to maintain users Please refer to the Participant and User Maintenance Manual for further details 2 3 Products and Instruments Each market in Eurex Exchange s T7 has the following hierarchy Product Assignment Groups Products and Instruments A product belongs to one product assignment group The term instrument is used to refer to the object which is traded The Eurex Reference Data Interface Eurex RDI and the Reference Data File describe each product each instrument and their trading parameters refer to section 4 4 Product Assignment Group 1 For instance the product assignment group German Intere
6. If the Clearing Account is G1 a valid Take Up Member field will be kept and an invalid Take Up Member field including set to member s own ID will be initialized to spaces If the Clearing Account is G2 a valid Take Up Member field will be kept and an invalid Take Up Member field including set to member s own ID will be initialized to spaces and the Clearing Account will be set to G1 If the trade is from a quote then the Clearing Account is set to M1 if M1 is not allowed for participant then it is set to P1 Otherwise if a valid Clearing Account is provided defaulted then it will be used If the Clearing Account is not valid then it is derived based on Trading Capacity A gt A1 P gt P1 M gt M1 If Clearing Account derived in 6 is not allowed for participant then it is set to A1 if the Clearing Account supplied by the participant starts with A If not A then it is set to P1 Note that the trade confirmation from Eurex Exchange s T7 will reference the Clearing Account that has been provided defaulted by the participant The trade information from the Eurex Clearing classic system will specify the final potentially updated Clearing Account 40 Eurex Exchange s T7 Functional and Interface Overview 6 Change log Eurex Frankfurt AG V2 5 4 No rapier Date Change page V1 0 General 8 Feb
7. function rather than quote deletion Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 3 3 Matching When trading an incoming order against the book the best priced orders in the book are traded first When there are multiple orders at the best price the allocation scheme specifies how the quantity of the incoming order is allocated to those book orders Eurex Exchange s T7 supports the following allocation schemes which can be different per product and instrument type 3 3 1 Allocation schemes e Time allocation The quantity of the incoming order is allocated to the oldest book order first If there is any remainder then it is moved to the next oldest order until the quantity of the incoming order is exhausted or all orders at the best price have been executed e Pro rata allocation The allocated quantity of the incoming order is shared amongst all book orders at the best price The allocation is proportional to the size of each book order All book orders at the best price are considered in the allocation e Time pro rata allocation The allocation of an individual order is based on its order size as well as on the order priority time combining aspects of pro rata and time allocation In that way best price orders with an older order priority time receive a higher share of the quantity of the incoming order at the expense of orders with younger order priority times and there are potentially less bo
8. 2 1 for backwards traceability Yh e 5 4 5 e APDE e New section to describe the rules applied to Clearing Accounts by the clearing system e General e Revised to T7 Release 2 0 enhancements V2 0 e 5 4 5 26 August 2013 e Revised clearing account logic 41 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 Chapter No P Date Change page e Page 2 e Updated legal section V2 0 1 1 2 14 October 2013 e Updated Eurex website document path e General e Wording document references added e 2 1 e Changed explanation of technical order attributes V2 1 e 4 6 21 February 2014 e Emergency risk control functions added to list e 5 5 e For Eurex TAIFEX link Free Text 3 will be used for Final Beneficiary instead of Free Text 2 e General e Wording v2 5 1 24 04 August 2014 e New complex instrument types e 4 2 e Information on throttle added V2 5 2 e 4 2 1 07 October 2014 e Correction on disconnection limit information V2 5 3 2 4 22 October 2014 e Minimum number of legs for strips corrected h ipti f ID display in th V254 e 5 31 05 February 2015 e Changed description o Order isplay in the Eurex Clearing classic system 42
9. 2012 Creation Minor wording adaptation Some content changes Included detailed product and instrument state V1 1 General 30 Apr 2012 description Included traceability description Included trade concept description Included description of clearing fields e 5 44 Minor wording adaptation V1 1 1 e53 9 May 2012 Removed chapter 5 4 4 Client Order ID is unique per instrument and session e General e Wording Update of References e 2 2 e Clarifications for trader group e 3 2 e Quote activation is delayed e 3 6 4 1 e Market maker protection maintenance in both GUIs e 4 4 1 e Extended Market Data Service in its own chapters 4 5 e RDI via high bandwidth connections e 4 4 4 4 e Introduction of Short Order Message layouts e 4 2 1 V1 1 2 e 4 2 1 18 July 2012 e Modification of standard non lean orders possible by other session e 4 4 2 e Handling of Reference Data Files e 44 e Clarification about not showing delisted products instruments e 5 1 1 e Closing Auction is possible during the day 5 1 2 e 5 3 e Handling of client order id in clearing interfaces e 5 3 4 e Identify and summarize leg trade confirmations vis i 23 August 2012 Removed misleading details about modification cancellation across sessions e General e Wording wane e 3 1 Oi NOveMereBIz e Stop limit orders will not be allowed for any product V1 2 1 5 5 3 28 November 2012 eClient Order ID format in various interfaces e Trade Item ID to be added to Trade Confirmation e 5
10. Trader D ila instr B 35 Order 1 Event Instr AB Order Order 2 Event Instr A Sell Buy Buy Order 4 Event Instr B level Order 5 Event Instr AB Eurex Exchange s Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 5 Clearing Fields Eurex Exchange s T7 provides full trading functionality for participants Several clearing related fields are available for internal participant use and for use by the Eurex Clearing classic system This appendix describes these fields and their handling 5 5 1 Orders Clearing fields can be specified on new orders and modifications to existing orders The following clearing fields are supported and passed through to the Eurex Clearing classic system e Open Close Indicator e Clearing Account e Take Up Member receiving Clearing Member for Give Up e Free Text 1 e Free Text 2 e Free Text 3 e Cooperation details for Eurex KRX or Eurex TAIFEX Products External Member ID Final Beneficiary For complex instruments the Open Close Indicator and Clearing Account can be specified individually per leg The diagram below shows the available clearing fields and their handling For KRX or TAIFEX Cooperation products a ENTER NEW MODIFY ORDER External Final F PARTICIPANT Member ID Free Text 3 Free Text 2 Free Text 1 Take Up Open Close Clearing Account ro
11. and to what extent e What order book information is published by the exchange e Whether or not orders and quotes are executed The following diagram describes the instrument states of T7 reflecting the hierarchy in terms of market activity Continuous matching Auction Freeze Auction call phase Restricted Order deletion only Closed No access to order book 5 1 1 The Instrument States The following describes the instrument states and what is possible in each e Instrument State Continuous The instrument state Continuous is the state where trading is continually in progress with this instrument state the following is possible Order maintenance Quote maintenance Order book data is published by the exchange Continuous matching of orders and quotes Trade data is published by the exchange 23 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 e Auction Instrument States There are four auction instrument states that represent the auction call phases of various types of auctions iE Opening Auction An opening auction occurs before the system enters continuous trading Closing Auction For some products there is a closing auction either at the end of the continuous trading phase or during the day to determine an auction price as a basis for a settlement price There can only be one closing auction per day Volatility Interrupt Auction A volatility interrupt r
12. data is published by the exchange either best bid ask or the potential auction price No trading occurs but at the end of an auction freeze instrument state an order book uncrossing may occur potentially resulting in an auction trade which is published by the exchange Orders and quotes that had been marked as pending deletion during the auction freeze phase will be deleted immediately upon leaving the auction freeze instrument state Nevertheless if an auction freeze phase ends with an uncrossing the orders and quotes that are marked as pending deletion will still participate in this uncrossing and may therefore be executed in an auction trade 24 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 1 2 Instrument State Book This instrument state enables traders to maintain their orders but no trading actually takes place Order maintenance is possible Quote maintenance is possible No order book data is published by the exchange No trading occurs Instrument State Restricted This instrument state is where traders are only permitted to delete their orders No order entry and no order modification is possible but order deletion is supported No quote maintenance is possible and there are no quotes in the order book No order book data is published by the exchange No trading occurs Instrument State Closed This instrument state is where no access to the
13. leg Trade Confirmations are provided for every Trade Item to every participant involved in a trade 5 4 3 Synthetic Match The following diagram illustrates the concepts of a synthetic match in T7 Match Step 02 is a Synthetic Match where complex Order 5 entered into complex instrument AB matches with a combination of orders in the simple instrument legs A and B Orders 2 3 and 4 When an incoming complex order is executed a Match Event is generated representing the entire execution The Match Event includes all instruments simple and complex that participated in the match Every price level executed in the match event is assigned a unique Match Step ID If the Match Step includes synthetic matches then all executions in the simple instrument legs belong to the same Match Step ID All Match Steps are published in Public Trade Volume messages Each Match Step is broken down into executions wherein one execution is generated for every order executed at every price level in each instrument either in a complex or in a simple instrument In addition to an Order Execution ID an Order Leg Execution ID is provided for each leg of a complex instrument match An Order Event with the executions is generated per order Trades are then generated in the simple instruments only not complex instruments and are assigned unique Trade IDs In Match Step 02 the incoming Order 5 entered into complex instrument AB executes with Orders 2 3 and 4 in th
14. level or for an individual trader Manual stop release can be performed by an exchange participant by a clearing member via the existing Eurex interfaces or by the clearing house e Advanced Risk Protection functionality is supported it can provide warnings slow or stop a participant if certain limits are exceeded e Price validations for orders and quotes refer to section 3 1 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 4 Interfaces Eurex Exchange s T7 provides participants with a portfolio of interfaces Gateways act as entry points for transactions market and reference data is distributed using multicast and a GUI solution is available One general design principle of the interfaces is to minimize the exchanges effect on the participants Participants do not need to install exchange hardware or software components T7 can be accessed without the need for specific hardware operating system programming language and compiler versions as long as they support the general communication components like TCP IP and IP multicast Eurex Exchange s T7 supports the following interfaces e Eurex Enhanced Trading Interface Eurex ETI The Eurex ETI is the high performance trading interface designed for participants who require the highest throughput and the lowest latency The Eurex ETI supports full trading functionality including market making quoting e Eurex FIX Gateway The Eurex
15. of DBAG U helix Base and Phelix Peak are registered trademarks of European Energy Exchange AG EEX All MSCI indexes are service marks and the exclusive property of MSCI Barra p DX is a registered trademark of Vienna Stock Exchange AG IPD UK Annual All Property Index is a registered trademark of Investment Property Databank Ltd IPD and has been licensed for the use by Eurex for derivatives SLI SMI and SMIM are registered trademarks of SIX Swiss Exchange AG The STOXX indexes the data included therein and the trademarks used in the index names are the intellectual property of STOXX Limited and or its licensors Eurex derivatives based on the STOXX indexes are in no way sponsored endorsed sold or promoted by STOXX and its licensors and neither STOXX nor its licensors shall have any liability with respect thereto Dow Jones Dow Jones Global Titans 50 IndexSM and Dow Jones Sector Titans IndexesSM are service marks of Dow Jones amp Company Inc Dow Jones UBS Commodity IndexSM and any related sub indexes are service marks of Dow Jones amp Company Inc and UBS AG All derivatives based on these indexes are not sponsored endorsed sold or promoted by Dow Jones amp Company Inc or UBS AG and neither party makes any representation regarding the advisability of trading or of investing in such products All references to London Gold and Silver Fixing prices are used with the permission of The London Gold Market Fi
16. order book is available No order maintenance is possible No quote maintenance is possible and there are no quotes in the order book No order book data is published by the exchange No trading occurs The Product states Product states give structure to the trading day and also control the general access to the system Eurex Exchange s T7 applies the product states that are described below Start of Day This product state represents the time in the morning before activity begins Participants have no functional access to the trading system in this product state Pre Trading This product state occurs in the morning before trading starts It is typically a time where traders can maintain their orders prior to the start of trading No trades occur in this phase Trading This product state represents the trading phase and includes continuous trading phases as well as auction call phases Note In T7 auction call phases and continuous trading phases belong to the same trading product state however they represent different instrument states Closing This product state is a short phase between Trading and Post Trading and covers the time between the end of continuous trading and the end of the last auction typically a closing auction The end of this product state marks the moment when no more trades can occur for the affected product for the rest of the day For products that have no closing auction at the end of
17. that require a standard FIX connection to the exchange The FIX Gateway will support two types of FIX sessions Trading and Back Office FIX Sessions The interface is a point to point service based on the technology and industry standards TCP IP FIX and FIX Session Protocol The session and application event models and messages are based on version 4 2 and 4 4 of the FIX Protocol The Eurex FIX Gateway supports the following features of Eurex Exchange s T7 via FIX trading sessions e Order handling for simple and complex instruments e Execution notifications are sent to the session on which the order was received e Request for quote e Cross request e Enhanced support for mass deletion events market reset risk control events e Creation of complex instruments strategy e Simplified handling of orders for multi leg instruments due to enhanced security identification Each Eurex FIX session has a technical transaction limit of 50 transactions per second Dedicated back office FIX sessions are available to receive trade confirmations and drop copies of standard orders at a business unit level The FIX Gateway does not provide quote functionality market data reference data or administrative functions Please refer to the FIX Gateway Manual for further details Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 4 3 The Eurex Market Data Interfaces Market data is available using multicas
18. 1 In order to protect its trading system Eurex Exchange s T7 has several measures in place to ensure that its most vital components are not harmed by a malfunctioning client application In particular the following technical transaction limits throttle are used for the respective combinations of environment session type and capacity type Environment Session type Capacity type Transactions sec HF Full 150 HF Light 50 Production LF Full 150 LF Light 50 HF Full 20 HF Light 20 Simulation LF Full 20 LF Light 20 Additionally all Eurex ETI sessions have an assigned disconnection limit of e 450 i e in case of more than 450 consecutive rejects due to exceeding the technical transaction limit for sessions with a throttle value of 150 txn sec e 150 i e in case of more than 150 consecutive rejects due to exceeding the technical transaction limit for sessions with a throttle value of 50 txn sec For both limits all technical transactions are counted using a sliding window Dedicated back office Eurex ETI LF sessions are available to receive trade and listener broadcasts This session type cannot be used to enter order quotes Please refer to the Eurex Enhanced Trading Interface Manual for further details 18 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 4 2 2 The Eurex FIX Gateway The Eurex FIX Gateway is intended for participants
19. Clearing classic system will then calculate a new Clearing Trade ID and provide participants with Trade Information including a reference back to the new Trade ID The following diagram shows how to trace the trade identifiers in the case of a reversal Eurex Exchange s T7 ORIGINAL TRADE CONFIRMATION ETI FIX te TRADE REVERSAL ETI FIX Trade ID new ETI FIX TradelD Eurex Clearing Classic System TRADE INFORMATION FIXML Trading Trade ID FIXML TrdMatchID 30 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 3 4 Complex Instrument Trades When a trade occurs in a complex instrument trade confirmations are generated in the corresponding simple instrument legs only not for the complex instrument As a result multiple trade confirmations are sent for one order at a single price level When this occurs Eurex Exchange s T7 provides two additional fields enabling participants to easily identify and summarize leg trade confirmations that belong to the same complex instrument match e A Strategy Link ID to trace all legs of the complex instrument that are matched in one match step price level e The Number of Leg Executions to convey how many trade confirmations were generated for an order in the complex instrument match step These fields are also provided with the clearing information published by
20. FIX Gateway is intended for participants who require a standard FIX connection to the exchange Market making quoting functionality is not supported by this interface e Eurex Market Data Interface Eurex MDI Provides netted price level aggregated market data using multicast technology e Eurex Enhanced Market Data Interface Eurex EMDI Provides un netted price level aggregated market data e Eurex Enhanced Order Book Interface Eurex EOBI Provides for selected futures only the entire visible order book by publishing information on each individual order and quote in un netted manner along with all on exchange executions and state information e Eurex Reference Data Interface Eurex RDI This interface provides reference data via high bandwidth connections including intra day updates Some reference data is also disseminated via Eurex MDI and the incremental channel of Eurex EMDI e Eurex Extended Market Data Service Eurex EMDS This interface provides public off book trade prices intraday settlement prices adjusted open interest and underlying ticker data e GUIs Graphical user interfaces that provide direct human access to the system e Eurex Trader GUI Basic trading functions for orders and Eurex Trade Entry Services Quoting is not supported e Eurex Admin GUI Administration functions for example user maintenance e Common Report Engine Trading reports audit trail reports and reference data files Eurex RDF are pro
21. ID ETI FIX ClOrdID Order Execution ID ETI FIX FillExecID Match Step ID ETI FIX FillMatchID i Report TE540 FIX and ETI listening sessions only PUBLIC TRADE VOLUME EMDI MDI And ETI FIX LegExeclD for complex instruments Match Step ID ETI FIX TrdMatchID EMDI MDEntryID Report TE910 Contains QuotelD for traded quotes TRADE CONFIRMATION ETI FIX ient Order Ia Client Free Text ETI FIX ClOrdID Trade Item ID ETI FIX SideTradelD Trade ID ETI FIX TradelD Match Step ID ETI FIX TrdMatchID Eurex Clearing Classic System TRADE INFORMATION clenvOrgeule Client Free Text FIXML ClOrdID Trade Item ID FIXML SideTradelD Trading Trade ID Clearing Order ID FIXML TrdMatchID FIXML OrderID Reports CBO10 TC810 others Reports CBO10 TC810 others Reports TC810 others Reports CBO10 TC810 others 28 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 3 2 Quote Traceability The following diagram shows the key identifiers available for quotes and how participants can use them to cross reference the various response messages Eurex Exchange s T7 supports quotes via the ETI Interface only One or more quotes can be entered in a Mass Quote for w
22. MDI and Eurex EOBI 4 5 Eurex Extended Market Data Service Participants and CEF ultra clients can receive via multicast the following e Public Eurex off book trade price information e Intraday settlement prices e Open interest information e Underlying ticker data 4 6 Graphical User Interfaces The Graphical User Interfaces GUIs provide exchange participants with trading market data and administrative functions The GUls are started from a standard web browser with java web start The GUls are based on web technology there is no need to install software kits provided by the 21 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 exchange The GUls can be accessed by standard leased lines or over the internet For authentication user password methods and client certificate only for internet access technologies are used The Eurex Trader GUI provides access to the following functions for products and instruments traded on Eurex Exchange s T7 e Market overview and depth for simple and complex instruments e Display of theoretical prices e Maintenance of standard non lean orders e View of standard non lean orders of the business unit e Execution information for on exchange trading of the business unit e Display of underlying ticker e Creation of complex instruments e Request for quote e Cross requests e The setting of market maker protection parameters e Quote
23. ated traded quantity The priority timestamp of a quote stored in the order book is changed when the price is changed or the open quote quantity is increased The delete all quotes function can be used to delete all quotes of a session in a product Quotes for complex instruments are supported and can be mixed with quotes for simple instruments inside a single mass quote transaction An incoming or a modified quote side which fails the price reasonability check or the extended price range validation results in the complete deletion of the quote i e both sides of the quote including existing old sides in the book are deleted Quotes are automatically deleted when an instrument changes to closed or restricted which occurs at the end of the day or when an instrument is suspended by market supervision or has expired Quotes are always deleted in case of a volatility interrupt A complete session can be inactivated and re activated for quoting This feature can be applied to all quotes of a session filtered by product or by product instrument type When quotes of a session are inactivated they are unavailable for matching but can be updated while remaining inactive During the time of the inactivation any new quotes entered into the session will also be inactivated When quotes are re activated they receive a new matching time priority The market maker protection functionality refer to 3 6 uses this inactivation
24. ce purposes On quotes and orders entered using the short order layout the free text fields are added to executed quotes using the participant configured trade enrichment rules The following table shows the mapping of the free text fields across the interfaces to Eurex Exchange s T7 and the Eurex Clearing classic system Interface Field Names Field Length Trader GUI Free Text1 Free Text2 Free Text 3 Entry of up to 12 characters Entry is truncated to 12 characters if FIX GW Text FreeText2 FreeText3 longer Trade notification always 12 characters ETI FreeText FreeText2 FreeText2 Always 12 characters Trade confirmation with truncated trailing spaces l e less than 12 PAME ripelen Fee Toxa PipeTexig characters possible Field not present if not entered or just spaces entered XML Truncated trailing spaces l e less than Report freeTextt freeText2 freeText3 12 characters possible Field not TE540 present if not entered or just spaces The last column shows how the field lengths are handled technically 39 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 5 4 Clearing Account Rules If the Clearing Account is missing or determined not valid then it will be set by the clearing system according to the following logic eS a lt If the Clearing Account is not G1 or G2 the Take Up Member field will be ignored and blanked out
25. deletion and activation deactivation e Emergency risk control functions panic cancel and stop release button e Private risk control messages e General messages from Eurex market supervision e Entry or query of Quotes or lean orders is not supported The Eurex Trader GUI also provides Eurex Trade Entry Services Note maintenance of MOGs for off book trades is done via the Eurex X tract GUI The Eurex Admin GUI contains the following functions e Administrative functions such as creation of users assignment of entitlements and transaction size limits e Trade enrichment rules setting e Emergency risk control functions panic cancel and stop release button For more information on the Eurex GUls please refer to the Eurex Trader GUI and Eurex Admin GUI Manual 4 7 Reports Trading reports audit trail reports and reference data files are provided via the common report engine where they can be retrieved by participants Please refer to the Common Report Engine CRE User Guide for details 22 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 Appendix This appendix contains early detailed information 5 1 Product and Instrument State Details Eurex Exchange s T7 includes the concept of instrument states Instruments of one product can be in different instruments states Instrument states control the following e Whether or not order and quote maintenance is possible
26. e market Initially this new functionality is planned to be used by the European Energy Exchange EEX Futures Contracts Option Series Complex instruments Futures Spreads Standard Futures Strategies Packs and Bundles Strips Inter Product Spreads Standard Options Strategies Non Standard Options Strategies Volatility Strategies Typically complex instruments are requested by traders however some futures spreads packs and bundles and inter product spreads are created by the exchange by default Complex instruments requested by traders with open orders valid beyond the current trading day will be available the next day It is possible to have different trading parameters per instrument type for example allocation schemes and price validations Therefore instruments belonging to different instrument types of the same Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 product can vary in their trading behavior The order execution notification for a complex instrument order contains the order s trade price and quantity as well as the individual leg prices and leg quantities while the trade confirmations are always based on simple leg instruments implying that there are separate trade confirmations at least for each leg in case of a complex instrument match Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 2 5 Product and Instrument States Th
27. e simple instrument legs A and B Trades are generated in the simple instrument legs A and B only Trade IDs 03 and 04 no trades are generated for complex instrument AB Each Trade is broken down into Trade Items with unique Trade Item IDs wherein one Trade Item is generated for every order executed at every price level in every simple instrument leg Trade Confirmations are provided for every Trade Item to every participant involved in a trade 34 Eurex Exchange s T7 Functional and Interface Overview New order 5 to Sell complex Instr AB Direct match then synthetic match To simplify the example order prices and quantites are omitted Complex Instr AB Buy A Sell B Eurex Frankfurt AG V2 5 4 Order Book view Match Event MEKU aia Order Executions Match step ID allocation Match step 02 aggregate per price level Order 3 Event Instr B Elum neva Order Execution EKUE td Order Executions Elie AYA Order Executions Buy Order 2 Sythetic match Instr B Execution Lower price lume Report Includes Executions fram both Match Steps Trade Confirmation order 1 Trade Items Bought Instr A Trade Confirmation order 5 Sold Instr A Trade 03 Bought Sold eee Trade Items A imple Instr A Order Bought Sold ese Trade Items Order3 e Order 4 Bought Sold Trade Items Trader E Trader A
28. e trading states of an exchange give the trading day a structure they also control what activities are available to traders and what the exchange system does Eurex Exchange s T7 applies trading states at both the product level and at the instrument level Instruments of the same product can be in different instrument states Product states give structure to the trading day and control general access to the products while instrument states control order quote maintenance execution and availability of market information Instrument states enable greater flexibility with auctions The following diagram shows a typical trading day Note how product state changes are usually accompanied by instrument state changes but there are also instrument state changes without a product state change particularly those related to auctions Product States Instrument States Start of day Pre trading Opening auction Volatility aj auction continuous P E1 Closing auction auction Closing i End of day Refer to section 5 1 for product and instrument state details Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 3 Functionality This section describes key aspects of the functionality provided by Eurex Exchange s T7 3 1 Orders T7 supports multiple types of orders These are specified with order attributes at order entry The combinations of order attributes that are permitted can differ per prod
29. entered using the short layout is enriched using the Trade Enrichment Rules QUOTE ENTRY No clearing fields on entry ORDER USING SHORT LAYOUT For KRX or TAIFEX Cooperation products eT TRADE ENRICHMENT RULES Fxtomal kmal Free Text 3 Free Text 2 Free Text 1 Take Up Open Close Clearing Account Member ID Beneficiary l l l l l I ol 1 For TAIFEX l l re TAIFEX i or KRX l l v v y y v Y CLEARING INFORMATION Free Text 3 Free Text 2 Free Text 1 Take Up Open Close Clearing Account Il t tA For TAIFEX ee l l For KRX l Se ee ee l For KRX and TAIFEX l Uyas s Sy a a anis a am aani amh T Ama iia ia Samh imh 3 Handling within T7 Using the Eurex Admin GUI participants are able to define trade enrichment rules as a simple index table and can specify on transaction entry the exact trade enrichment rule to be used at the time of execution Each enrichment rule will be identified by a participant defined integer identifier When the quote or order entered using the short layout is executed Eurex Exchange s T7 will use the Trade Enrichment Rule ID supplied by the participant to look up the rule and then apply the corresponding clearing fields to the trade information sent to the clearing system and returned to the participant KRX and TAIFEX trade enrichment Participants may define trade enrichment rules
30. ess units and from its non clearing members Each non clearing member initially has just one trading business unit and each clearing member just one trading and one clearing business unit e User s A business unit can have multiple users A user can be a trading user and or an administrator Participant Trading Business Unit Clearing Business Unit Trading user s User A Admin user s Level Business Unit Trader Group 1 Trader Group 2 User B User C User D User Ej Level Group Leval Own Level Group Level Own Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 A user can be assigned to a Trader Group Within the trader group there are three user levels e A trader can only modify delete orders that it owns An order entered into T7 always belongs to the entering trader e A head trader can modify delete orders owned by any trader in the same trader group but not for an order owned by a trader in a different trader group e A supervisor can modify delete orders owned by any trader in the same business unit e It is possible to mass delete orders across all sessions if the trader user has the appropriate permission Quote ownership does not depend on the trader group refer to section 3 2 With T7 users are configured by the participant via the Eurex Admin GUI and have to be registered via the Member Section Trading users must be activated by the exchange
31. esults in a volatility interrupt auction Intraday Auction An auction that does not fit into the three other categories is an intraday auction This will occur only for special products In an auction instrument state Order maintenance is possible Quote maintenance is possible Only top of book price data is published by the exchange either best bid ask or the potential auction price No trading occurs but at the end of an auction instrument state an order book uncrossing may occur potentially resulting in an auction trade which is published by the exchange e Auction Freeze Instrument States An auction freeze state is a state where the exchange market supervision has frozen the market during an auction call phase in order to check and control the order book if necessary Like for the auction instrument states described above for each type of auction there is one auction freeze instrument state 1 2 3 4 Opening Auction Freeze Closing Auction Freeze Volatility Interrupt Auction Freeze Intraday Auction Freeze In an auction freeze instrument state No order entry or modification is possible No immediate order deletion is possible but order deletion requests will result in the order being marked as pending deletion No quote entry or replacement is possible No immediate quote deletion is possible but quote deletion requests will result in the quote being marked as pending deletion Only top of book price
32. ex Exchange s T7 e Order handling for simple and complex instruments e Additional support of short order message layouts for simple instruments which applies streamlined functionality to achieve a comparable latency to quotes e Quote handling including quote inactivation for simple and complex instruments e Execution notifications e Market maker protection mechanisms e Creation of complex instruments strategies e Request for quote e Cross request The Eurex ETI enables participants to subscribe to private trading data in broadcast form e Drop copy of order events other than for lean orders optional subscription e Trade confirmation at a business unit level optional subscription The following trading support information is available for each session e News messages from Eurex market supervision optional subscription e Private risk control messages always sent The Eurex ETI does not provide any market data reference data or administrative functions Eurex ETI is a session oriented interface Eurex ETI responds to each request on the same session after the request was submitted It also sends unsolicited messages when there are changes or executions to any orders and quotes entered on that session The Eurex ETI is based on the following general concepts e Trade confirmations are the only legally binding information that a trade has occurred e Orders are owned by the user e Lean orders can only be modified thro
33. for external member ID and final beneficiary account that will be applied to executed quotes and orders entered using the short layout To use this feature participants must supply the exchange with a default external member ID and final beneficiary account to be used if a valid trade enrichment rule for the product is not supplied 38 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 Clearing information from the Eurex Clearing classic system The Eurex Clearing classic system will validate and update the clearing fields if required and then provide clearing information to participants as follows Clearing Field Handling If the Clearing Account is not valid it will be replaced using rules see Clearing Account 5 5 4 based on the type of member and the Trading Capacity always M for quotes For non KRX TAIFEX Products this free text is returned for participant use For Eurex KRX Products this field contains the KRX Member and Final Free Text 1 Ea Beneficiary For Eurex TAIFEX Products this field contains the TAIFEX Member and the Branch Code Free Text 2 Free text is returned for participant use Free Text 3 For non TAIFEX Products this free text is returned for participant use For Eurex TAIFEX Products this field contains the Final Beneficiary 5 5 3 Client Free Text On orders participants can provide up to three free text fields for their own referen
34. g classic system the Order ID is shown as decimal number in the field OrderlID2 Please note that the Eurex Clearing classic system assigns an additional clearing system specific Order ID which is shown as a hexatridecimal number in field OrderlD e The Client Order ID is provided in the FIXML interface from the Eurex Clearing classic system same as it was entered in the order e The Client Order ID of an order entered via the Eurex ETI is contained in the execution confirmation received in the FIX GW For an order entered via the FIX GW the Client Order ID returned in the trade confirmation is not the Client Order ID entered with the order rather an ID used by the FIX GW to communicate via the ETI with T7 e The Client Order ID is not provided in the drop copy of the FIX GW back office session Mapping can be achieved using the Order ID 27 Eurex Exchange s T7 Functional and Interface Overview Eurex Frankfurt AG V2 5 4 Participant ORDER ETI FIX Client Order ID ETI FIX ClOrdiD GISIEHGS IS Refer to section 5 5 4 Eurex Exchange s T7 Reports TE540 TE550 ORDER RESPONSE ETI FIX Client Order ID ETI FIX ClOrdID Report TE540 ORDER EVENT ETI FIX instruments Legend Functional name Z Trade Item ID ETI FIX SideTradelD And Order Leg Execution ID for complex Interface name Client Order
35. he following diagram illustrates the concepts describing a direct simple instrument match in T7 A direct match occurs when an incoming order matches against an order on the opposite side of the same order book it does not match with synthetic orders derived from other order books refer to section 5 4 3 When an incoming order is executed a Match Event is generated representing the entire execution Every price level executed in the match event is called a Match Step and is assigned a unique Match Step ID A Match Step is the total aggregated quantity executed at one price level in a Match Event For example Match Step 01 containing a traded volume of 80 at price 17 is generated when incoming Order 4 Sell 100 16 matches with Orders 2 Buy 50 17 and 3 Buy 30 17 in the order book A second Match Step 02 containing a traded volume of 20 at price 16 is generated when the remaining quantity of Order 4 matches with Order 1 Buy 20 16 All Match Steps are published in the Public Trade Volume messages Each Match Step is broken down into Order Executions wherein one execution is generated for every order executed at every price level For example e Order Execution 01 Trader A buys 50 17 Order 2 e Order Execution 02 Trader B buys 30 17 Order 3 e Order Execution 03 Trader D sells 80 17 Order 4 e Order Execution 04 Trader C buys 20 16 Order 1 e Order Execution 05 Trader D sells 20 16 Order 4 Order Event messages are sen
36. he time of publication DBAG Clearstream Eurex Eurex Clearing Eurex Bonds Eurex Repo as well as the Eurex Exchanges and their respective servants and agents a do not make any representations or warranties regarding the information contained herein whether express or implied including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy correctness quality completeness or timeliness of such information and b shall not be responsible or liable for any third party s use of any information contained herein under any circumstances including without limitation in connection with actual trading or otherwise or for any errors or omissions contained in this publication This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction This publication is not intended for solicitation purposes but only for use as general information All descriptions examples and calculations contained in this publication are for illustrative purposes only Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing Those who desire to trade any products available on the Eurex market or who desire to offer and sell any s
37. here and in Eurex Clearing s C7 In addition Eurex Exchange s T7 offers participants several clearing related fields for both internal participant use and for use by the clearing system refer to section 5 5 Eurex Exchange s T7 uses a trade enrichment rule concept as a simple index table of rules which has to be referenced on transaction entry by the originator For further details refer to section 5 5 and document Eurex Trader GUI and Eurex Admin GUI Manual 3 6 Safeguards for Participants Participant safeguard functions are available in Eurex Exchange s T7 including e Transaction Size Limits maximum order quantity enables the participant to restrict the quantity at order and quote entry e Market maker protection MMP features e MMP is available for both futures and options e MMP can be applied either on the product level or on the product instrument type level e MMP uses quote inactivation rather than quote deletion e MMP can be maintained separately via Eurex Trader and Eurex Admin GUls and Eurex ETI e Percentage volume delta and vega limits can be used for MMP e Pre Trade limits enables the participant to set limits on the number of open orders and quote sides stored in the order book to help prevent accidental massive submission of orders from algorithmic trading and or order routing systems e Manual stop release of trading is available the effect of this is on a participant level on a business unit
38. hich participants provide a Quote ID for the entire Mass Quote i e not per individual quote This Quote ID is returned on the Quote Response as well as any Quote Events for executed quotes Quote IDs are not checked for uniqueness For every match event the system assigns identifiers unique within product and business day to each aggregated price level Match Step ID and every execution Quote Execution ID Quote Leg Execution IDs are also provided for executions occurring in complex instruments Subsequent Public Trade Volume Trade Confirmations and Trade Information are provided using the same messages as with orders refer to section 5 3 MASS QUOTE ETI Quote ID ETI QuotelD eee Report TE530 QUOTE RESPONSE ETI lt Quote ID ETI QuotelD Report TE530 QUOTE EVENT ETI Quote ID Quote Execution ID Match Step ID ETI QuoteMsgID ETI QuoteEventExecID ETI QuoteEventMatchID Report TE530 And LegExeclD for complex instruments a Refer to section Order Traceability diagram for Public Trade Volume Trade Confirmation and Trade Information 29 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 3 3 Trade Reversal When a trade is reversed Eurex Exchange s T7 sends participants a Trade Reversal message containing a new Trade ID For traceability the original Trade ID is also provided The Eurex
39. ils on the interface 4 3 2 Eurex Enhanced Order Book Interface Eurex EOBI is available for a selected group of Eurex Exchange s benchmark futures The Eurex EOBI feed is distributed in the form of fixed length binary messages without any compression and uses out of band recovery Most of the functional concepts used are similar to those of Eurex EMDI however the Eurex EOBI provides greater transparency together with a high throughput at minimal latency The following information is provided on the Eurex EOBI e Order book information disseminated without any depth limitation e The side price priority timestamp and displayed quantity of each visible order and quote e Trade prices and traded quantity for each executed on exchange trade e Product state and Instrument state information e Quote requests and cross requests e Intra day changes with regard to complex instruments 20 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 The required reference data information is available via the Eurex Reference Data Interface Eurex RDI feed and the Eurex Reference Data Files Eurex RDF Please refer to the Eurex Enhanced Order Book Interface Manual which contains further details 4 4 Reference Data The following public reference data is provided to participants e Product information e Instrument information simple and complex instruments e Settlement prices and open interest fr
40. nt order 2 Order Book Order 2 Order Exec ID 01 Order 4 Order Exec ID 03 Public Trac e Report F io Order Executions 30 17 Order3 Order Exec ID 02 One message per instrument Match Step IDs 01 02 ie Order Event order 3 Order Event order 4 Match Step ID 01 N Order Execution Ds 03 05 Order ID 4 Client Order ID 99 Order Event order 1 One order event message per order Buy Sell Public T a Order 20 16 20 16 4 Executions Order 1 Order Exec ID 04 Order 4 Order Exec ID 05 Trade view Match Step 01 Trade 01 Trade ID Clearing system irade Inte Trader A ESD ME NCM ra f renter Trade Info NEM Trader D Bought Sold 50 17 Order 2 Trade Item ID 01 Trade Items 30 17 Order3 Trade Item D 02 Trade Confirmation order 2 Trader A Trade Confirmation order 3 Trader B Trade Info Trade Confirmation order 4 80 17 Order 4 Trade Item D 03 Trader D Match Step ID 01 Trade ID 01 Trade Item D 03 Order D 4 Gient Order ID 99 Match Step 02 Trade 01 Bought Sold NCM Trade Info 20 16 Trader C Order 1 Trade item ID 04 B20 16 Trade Items a 520 16 Onder Trader D GUSARE 520 16 Order 4 Trade Item ID 05 Trade Confirmation order 1 Trader C Trade Confirmation order 4 Trader D SS Match Step ID 02 Trade ID 02 N Trade Item ID 05 Order ID 4 Gient Order ID 99
41. ntly of the product and instrument states This allows for example a product to be set to Fast Market early in the morning before trading starts without any impact on the sequence and timing of the product states 5 1 4 Instrument Listing Status Eurex Exchange s T7 supports two situations where the Listing Status of an instrument changes from Active to a different value Intra day Expiry When an instrument expires during the trading day rather than at the end of the trading day it acquires the listing status Expired as opposed to Active Instrument Suspension Market supervision may suspend an instrument under unusual circumstances A suspended instrument will acquire the listing status Suspended as opposed to Active 26 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 2 Traceability This appendix describes how to reference order quote and trade messages using the identifiers supported by Eurex Exchange s T7 5 3 Order Traceability The following diagram shows the key identifiers available in the system and how participants can use them to cross reference the various response messages The primary identifier for each message type is shown in bold Each identifier is assigned a unique color and aligned vertically in the diagram making it easy to quickly see the traceability across the messages The interface field name is specified underneath in parentheses On every order partici
42. oan Eurex Exchange s T7 Functional and Interface Overview Release 2 5 Update Version V2 5 4 Date 05 February 2015 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 Eurex 2014 Deutsche B rse AG DBAG Clearstream Banking AG Clearstream Eurex Frankfurt AG Eurex Clearing AG Eurex Clearing as well as Eurex Bonds GmbH Eurex Bonds and Eurex Repo GmbH Eurex Repo are corporate entities and are registered under German law Eurex Zurich AG is a corporate entity and is registered under Swiss law Clearstream Banking S A is a corporate entity and is registered under Luxembourg law U S Exchange Holdings Inc and International Securities Exchange Holdings Inc ISE are corporate entities and are registered under U S American law Eurex Frankfurt AG Eurex is the administrating and operating institution of Eurex Deutschland Eurex Deutschland and Eurex Z rich AG are in the following referred to as the Eurex Exchanges All intellectual property proprietary and other rights and interests in this publication and the subject matter hereof other than certain trademarks and service marks listed below are owned by DBAG and its affiliates and subsidiaries including without limitation all patent registered design copyright trademark and service mark rights While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at t
43. ok orders involved compared to the pro rata allocation 3 3 2 Synthetic matching Synthetic matching is based on the combination of different order book sides being used to generate a synthetic order in simple or spread instruments competing for execution with the outright orders It is possible for an incoming order to be executed against a synthetic book order generating a synthetic match event instead of being executed against an outright order generating a direct match event For some additional information refer to section 5 4 3 3 3 3 Volatility Interrupts A volatility interrupt leads to a volatility auction state The handling of volatility interrupts in T7 is as follows e The volatility interrupt is triggered before the affected order is matched outside the volatility range e Volatility interrupts at both the instrument and the product level are supported e Volatility interrupts are possible for both options and for futures 3 4 Trade Traceability Eurex Exchange s T7 provides trade traceability allowing orders to be linked to executions trade confirmations and trades in clearing for simple instruments and complex instruments Refer to section 5 2 For matching and trade concepts refer to section 5 4 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 3 5 Clearing Trade information is forwarded to the Eurex Clearing classic system All clearing and settlement functions are performed t
44. om previous day Information is provided for published and active but not for delisted products instruments Please refer to the Eurex Market and Reference Data Interfaces Manual which contains further details on the interface 4 4 1 Eurex Reference Data Interface Eurex RDI The Eurex Reference Data Interface Eurex RDI distributes data over a number of IP multicast addresses via high bandwidth connections All feeds follow FIX 5 0 SP2 semantics and are sent with FAST encoding Information is provided as regular snapshots containing information as of the beginning of the day and as incremental messages for intra day updates created deleted complex instruments For intra day recovery purposes the snapshots are repeated during the day It uses the same technical means as the market data interfaces 4 4 2 Eurex Reference Data File Eurex RDF Reference Data Files RDF are provided at the beginning of the day with the full set of products and instruments Additional Reference Data Files with updates are provided at fixed intervals during the exchange trading day containing intra day created deleted complex instruments The first file of the day together with each of the intra day update files provide the full current information The files are available on the common report engine 4 4 3 Reference Data in the market data interfaces All information about intra day created complex instruments is also provided in the Eurex EMDI Eurex
45. oughput and reduced latency Eurex Exchange s T7 performs on exchange trading functions while Eurex Clearing s C7 and the Eurex Clearing classic system provide clearing and Eurex Trade Entry Services Trades executed on T7 are passed to the Eurex Clearing classic system to be processed for clearing T7 offers improved performance with reliable connectivity enriched trading functionality as well as a faster time to market 1 1 Purpose of this document This document describes the main capabilities and in general terms how Eurex Exchange s T7 functions The following areas are described e Main components e New and changed functionality e Descriptions of the interfaces available In addition this document contains detailed information about states traceability trade concepts and clearing fields in the appendix Content changes compared to previous document versions are listed in the change log at the end of the document 1 2 Further reading The following documents provide additional information e Eurex Functional Reference e Eurex Exchange s T7 Release 2 5 Notes e Eurex Participant and User Maintenance Manual e Eurex Enhanced Trading Interface Manual e Eurex Market and Reference Data Interfaces Manual e Eurex Enhanced Order Book Interface Manual e Eurex Extended Market Data Service Manual e Eurex FIX Gateway FIX Manuals e Eurex Trader and Admin GUI Manual e Eurex Trade Entry Services
46. pants provide a Client Order ID optional for ETI and up to three free text fields for their own reference purposes The system will return these fields on its responses where shown in the diagram The Client Order ID is checked to be unique among live orders for the same instrument and session Each new order received is assigned an Order ID by the exchange which is unique within a product and is returned to the participant on all private messages For every match event T7 assigns identifiers unique within product and business day to each aggregated price level Match Step ID every order execution Order Execution ID and every trade Trade ID For the matching of a complex order in addition to the Order Execution ID an Order Leg Execution ID is provided for each leg of the complex instrument match The Trade Item ID is the same as the Order Execution ID Order Leg Execution ID The Eurex Clearing classic system assigns new clearing Trade IDs and clearing Order IDs and provides participants with the original identifiers Trading Trade ID Trade Item ID and Trading Order ID so there is backwards traceability 5 3 1 Technical Notes e The Order ID generated by T7 and used on all electronic interfaces is a 64 bit unsigned integer e g 100000 On the GUI and on the trading reports it is shown as a up to 20 digit decimal and 12 character hexatridecimal base 36 representation e g 255S In the interfaces from the Eurex Clearin
47. rade confirmations complex instrument creation cross request quote request Quote management market maker protection 3 Public news private risk control messages Public market data on exchange trade information product and instrument states quote and cross requests 5 User maintenance password maintenance PIN procedure trade enrichment rule stop trading risk control actions For selected futures only 16 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 4 2 Trading Interfaces There are two types of trading interfaces The Eurex Enhanced Trading Interface Eurex ETI and the Eurex FIX Gateway Both are session oriented interfaces Participants are requested to order their sessions from the exchange Participant applications are connected to the trading system by opening a TCP session to an application gateway 4 2 1 The Eurex Enhanced Trading Interface The Eurex Enhanced Trading Interface Eurex ETI is the high performance trading interface designed for participants who require the highest throughput and lowest latency A participant must establish a TCP session to connect to Eurex Exchange s T7 All application messages exchanged between the client and the Eurex ETI are close to the FIX V5 0 SP2 semantics including all officially approved extension packs A proprietary session layer is used to provide the highest flexibility The Eurex ETI provides all trading functions of Eur
48. rface 4 2 2 The Eurex FIX Gateway 4 3 The Eurex Market Data Interfaces 4 3 1 Eurex Market Data Interface and Eurex Enhanced Market Data Interface 4 3 2 Eurex Enhanced Order Book Interface 4 4 Reference Data 4 4 1 Eurex Reference Data Interface Eurex RDI 4 4 2 Eurex Reference Data File Eurex RDF 4 4 3 Reference Data in the market data interfaces 4 5 Eurex Extended Market Data Service 4 6 Graphical User Interfaces 4 7 Reports 5 Appendix 5 1 Product and Instrument State Details 5 1 1 The Instrument States 5 1 2 The Product states 5 1 3 Fast Market 5 1 4 Instrument Listing Status 5 2 Traceability 5 3 Order Traceability Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 3 1 Technical Notes 5 3 2 Quote Traceability 5 3 3 Trade Reversal 5 3 4 Complex Instrument Trades 5 4 Trade Concepts 5 4 1 Direct Simple Instrument Match 5 4 2 Direct Complex Instrument Match 5 4 3 Synthetic Match 5 5 Clearing Fields 5 5 1 Orders 5 5 2 Quotes and Orders Entered Using the Short Layout 5 5 3 Client Free Text 5 5 4 Clearing Account Rules 6 Change log 27 29 30 31 32 32 34 34 36 36 37 39 40 41 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 1 Introduction Eurex Exchange s T7 is a state of the art trading system that is used to operate the Eurex and EEX derivative exchanges By taking advantage of new technologies T7 has significantly improved thr
49. st Rate Futures amp Options contains the products FGBL FGBM FGBS FGBX OGBL OGBM and OGBS A simple instrument would be FGBL DEC 2014 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 2 4 Complex Instruments Simple instruments are individual futures contracts or options series Complex instruments facilitate the simultaneous trading of two or more simple instruments The simple and complex instruments are grouped into Instrument Types e Simple instruments Individual futures contracts or options series e Futures spread All calendar spread combinations for futures e Standard options strategy Strategies with up to four legs which conform to standard rules e g BUL BER STD e Non standard options strategy Any combination of simple options instruments not covered by a standard options strategy with up to five legs e Option volatility strategy Volatility strategies with up to five legs e g C U P U BUL U e Standard futures strategy Analogous to standard options strategy Initially T7 supports two standard futures strategies for EURIBOR Futures Butterfly and Futures Condor e Pack and bundle Futures strategies containing consecutive quarterly maturity dates of the EURIBOR futures e Strip Futures strategy similar to packs and bundles with at least two and at most 20 legs e Inter product spread Combination of contracts that belong to different futures products of the sam
50. t interfaces e Eurex Enhanced Market Data Interface Eurex EMDI offers un netted market data and requires a high bandwidth connection e Eurex Market Data Interface Eurex MDI offers netted market data with fewer order book and trade updates requiring a lower bandwidth connection e Eurex Enhanced Order Book Interface Eurex EOBI provides for selected futures only the entire visible order book by publishing information on each individual order and quote along with executions and state information It is the most granular source of market data Eurex EOBI requires a 10GB connection and is available in co location installations only All data feeds are distributed over a number of IP multicast addresses 4 3 1 Eurex Market Data Interface and Eurex Enhanced Market Data Interface The Eurex EMDI and Eurex MDI feeds follow FIX 5 0 SP2 semantics and are FAST encoded Eurex EMDI uses out of band recovery while Eurex MDI uses in band recovery The following information is provided e Order book depth aggregated by price levels e Less price levels are provided on the Eurex MDI feed which can be different to the number provided on the current Eurex system e On exchange trade information e Product state and instrument state information e Quote requests and cross requests e Description of complex instruments created intra day Please refer to the Eurex Market and Reference Data Interfaces Manual which contains further deta
51. t to the trader for every one of their orders involved in a Match Event including all its executions One Order Event message is generated per order for example one Order Event to Trader D containing both executions of Order 4 Based on Match Steps Trades are then generated and assigned unique Trade IDs Trades are aggregates of the quantity traded at each price level For direct simple instrument matches there is a one to one correspondence between Trades and Match Steps this is not true for complex instrument matches refer to sections 5 4 2 and 5 4 3 Each Trade is broken down into Trade Items with unique Trade Item IDs wherein one Trade Item is generated for every order executed at every price level Note that for simple instruments Trade Item IDs will be equal to the Order Execution IDs A Trade Confirmation is then provided for every Trade Item to each participant involved in a trade 32 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 Traders note that public view is aggregated by price not by Order book 2A50 17 3B30 17 1020 16 Order IDs Conceptual representation only Order from D to sell 100 16 Client order ID 99 Order Book view Traders belong to Business Units to which Order Events are sent Match Event a es Order Respons Match Step 01 Buy Sell Match Step ID Order Event order 2 gt f p 7 F Order Eve
52. tandard orders can be persistent or non persistent e For lean orders only the execution notifications and unsolicited events can be recovered via retransmission requests on the session data channel All data on lean orders are visible only to the session that submitted the order Lean orders are always non persistent For further details please refer to the Eurex Enhanced Trading Interface Manual Market makers and high frequency traders can improve system performance by selecting lean and non persistent orders as is done in the high frequency sessions refer to section 4 2 There are two different price validations for orders and quotes both considering the most recent best bid and best ask price e A price reasonability check helps to ensure that the price does not differ significantly from the market A trader submitting an order or mass quote entry can decide individually for each order or mass quote entry whether it is subjected to a price reasonability check or whether the check is skipped If the best bid and best ask prices are not available an additional reference price last traded price theoretical price is taken into account If the additional reference price is also not available the incoming order quote is e Accepted without performing a price validation and without additional notification in case the submitting trader chooses an optional price reasonability check or Eurex Exchange s T7 Eurex Frankfurt AG
53. the Eurex Clearing classic system The following diagram is an example of trade confirmations sent to a participant resulting from two complex instrument matches one with 2 legs and one with 3 legs Eurex Exchange s T7 EXAMPLE TRADE CONFIRMATIONS ETI FIX Trade ID 01 Strategy Link ID 01 Number of Leg Executions 02 ETI FIX TradelD ETI FIX StrategyLinkID ETI FIX TotNumTradeReports Trade ID 02 Strategy Link ID 01 Number of Leg Executions 02 Trade ID 03 Strategy Link ID 02 Number of Leg Executions 03 P Complex instrument trade with 3 legs Trade ID 04 Strategy Link ID 02 Number of Leg Executions 03 Trade ID 05 Strategy Link ID 02 Number of Leg Executions 03 Eurex Clearing Classic System Complex instrument trade with 2 legs AAAAA Trade Information is sent for every Trade Confirmation TRADE INFORMATION FIXML Trading Trade ID xx Strategy Link ID xx Number of Leg Executions xx FIXML TrdMatchID FIXML StrategyLinkID FIXML TotNumTradeReports 31 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 4 Trade Concepts This appendix describes the matching and trade concepts in Eurex Exchange s T7 for simple and complex instruments including Match Event Match Step Execution Trade and Trade Item 5 4 1 Direct Simple Instrument Match T
54. the continuous trading phase the product state Closing has a zero duration except if there was an auction running at the time when Closing started Post Trading This product state occurs in the evening after trading has ended and is typically a time where traders can maintain their orders in preparation for the next trading day No trades occur in this phase End of Day This product state represents the time in the evening that is reserved for the end of day processing by the exchange Members have no access to the trading system in this product state 25 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 5 1 3 Halt Market supervision may halt the market if it deems that market conditions or technical conditions impair the integrity of the market In such a case a product will be set to the product state Halt In this product state no trading occurs and access to the order book is restricted Holiday This product state applies to products that are not open for trading on that day even though the exchange is open Participants have no access to the trading system for a product that is in the product state Holiday Fast Market A Fast Market is declared by an exchange when an especially volatile market situation is expected During this time certain price controls are relaxed e g minimum quote spread requirements In T7 Fast is a special status of the product that the exchange can set independe
55. uch products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing should consider legal and regulatory requirements of those jurisdictions relevant to them as well as the risks associated with such products before doing so Eurex derivatives are currently not available for offer sale or trading in the United States or by United States persons other than EURO STOXX 50 Index Futures EURO STOXX 50 ex Financials Index Futures EURO STOXX Select Dividend 30 Index Futures EURO STOXX Index Futures EURO STOXX Large Mid Small Index Futures STOXX Europe 50 Index Futures STOXX Europe 600 Index Futures STOXX Europe 600 Banks Industrial Goods amp Services Insurance Media Travel amp Leisure Utilities Futures STOXX Europe Large Mid Small 200 Index Futures Dow Jones Global Titans 50 IndexSM Futures EUR amp USD DAX MDAX TecDAX Futures SMIM Futures SLI Swiss Leader Index Futures MSCI World Europe Japan AC Asia Pacific ex Japan Index Futures and VSTOXX Futures as well as Eurex inflation commodity weather property and interest rate derivatives Trademarks and Service Marks Buxl DAX DivDAX eb rexx Eurex Eurex Bonds Eurex Repo Eurex Strategy WizardSM Euro GC Pooling FDAX FWB GC Pooling GCPI MDAX ODAX SDAX TecDAX USD GC Pooling VDAX VDAX NEW and Xetra are registered trademarks
56. uct and instrument type For example a regular limit order has the order type attribute regular the price condition limit and any of the time validities such as good for day A market order would be the same except for having the price condition attribute market The Book or Cancel order is an order that is accepted by the system only if it does not trade on entry T7 also supports Stop Limit orders and Stop Market orders Note for the time being no product will allow Stop Limit orders Orders for all simple and complex instrument types including options strategies can have a validity of more than the current day For all orders two mandatory technical order attributes have to be set These order attributes cannot be changed during the lifetime of an order 1 Persistent or Non persistent Orders e Persistent Orders are re instated at the start of the next business day depending on their order validity or after a failure of the trading system e Non persistent orders will be deleted end of a business day in case of session loss market resets or trading interrupts volatility interrupts state changes to halt 2 Standard or Lean Orders e For standard orders the complete order history can be recovered via retransmission requests This order data is visible to all low frequency sessions refer to section 4 2 1 belonging to the same business unit via subscription to the listener data broadcast S
57. ugh the same session where they had been entered previously e Quotes are owned by the session e Order and quote responses as well as execution messages do not completely echo the data of the original order Hence participant applications should save the details of each order and Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 quote sent e No state recovery inquiry is supported participant applications must keep track of the order book and use retransmission recovery and the order book replay which is sent at start of day and in case of an exchange system failure i e market reset e For quotes and lean orders only the execution notifications and unsolicited events are recoverable e For standard non lean orders all order events are recoverable e A listener broadcast contains order events for standard non lean orders but not for lean orders refer to 3 1 The Eurex ETI supports two session types high frequency HF and low frequency LF sessions Both session types differ in functionality e The HF session only supports lean orders Standard orders are rejected A HF session does not support the subscription of broadcasts e ALF session may also be used for the receipt of broadcasts for example listener broadcast or trade notifications at a business unit level clearing member level Orders in a LF session can be persistent or non persistent standard non lean or lean refer to 3
58. vided exclusively via the common report engine Historical information of previous days is not provided by the interfaces except for public news Trading Apphoabons partcipant or third party software vendor Reports fiks Market Data and Reference Date Multicast Feed Hander participan or third party software vendor Eurex Eurex Enhanced Reference Order Book Data interface Eurex RON in addition to the multicast besed solution there is also a file based solution for reference dete ADF 15 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 4 1 Functions compared to Interfaces The following table provides an overview refer to the next sections for more information Eurex Core Market Trade Market Reference i a Info A Admin Reports Trading Making Entry Data Data Services Eurex ETI 4 4 4 Private risk FIX Gateway A control messages New amp deleted Eurex MDI ee instruments New amp deleted Eurex EMDI S lene instruments New amp deleted Eurex EOBI SNe instruments Eurex RDI A Off book trade prices intraday settlement Eurex EMDS prices open interest underlying ticker data Quote deletion Eurex Trader activation 4 deactivation Jf Jf Jf A G Ul protection maintenance Eurex Admin Protection S U Maintenance Common Report A J Engine FIXML 4 1 Order management t
59. xing Limited as well as The London Silver Market Fixing Limited which for the avoidance of doubt has no involvement with and accepts no responsibility whatsoever for the underlying product to which the Fixing prices may be referenced PCS and Property Claim Services are registered trademarks of ISO Services Inc Korea Exchange KRX KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc BSE and SENSEX are trademarks service marks of Bombay Stock Exchange BSE and all rights accruing from the same statutory or otherwise wholly vest with BSE Any violation of the above would constitute an offence under the laws of India and international treaties governing the same The names of other companies and third party products may be trademarks or service marks of their respective owners Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 Content 1 Introduction 1 1 Purpose of this document 1 2 Further reading 2 Main Components 2 1 Multiple Markets 2 2 Participant Business Unit User 2 3 Products and Instruments 2 4 Complex Instruments 2 5 Product and Instrument States 3 Functionality 3 1 Orders 3 2 Quotes 3 3 Matching 3 3 1 Allocation schemes 3 3 2 Synthetic matching 3 3 3 Volatility Interrupts 3 4 Trade Traceability 3 5 Clearing 3 6 Safeguards for Participants 4 Interfaces 4 1 Functions compared to Interfaces 4 2 Trading Interfaces 4 2 1 The Eurex Enhanced Trading Inte
60. y required with the order Take Up Member Validated to be a valid Take Up Member and removes ignores if not valid For non KRX TAIFEX Products this free text is returned for participant use For Eurex KRX Products this field contains the KRX Member and Final Free Text 1 Beneficiary For Eurex TAIFEX Products this field contains the TAIFEX Member and Branch Code Free Text 2 Free text is returned for participant use Free Text 3 For non TAIFEX Products this free text is returned for participant use For Eurex TAIFEX Products this field contains the Final Beneficiary 5 5 2 Quotes and Orders Entered Using the Short Layout To optimize quoting efficiency clearing fields are not available on quote entry or on orders entered using the short layout Instead participants configure Trade Enrichment Rules that generate default clearing fields every time a quote or order entered using the short layout is executed These defaulted values are provided in the trade confirmation and then passed to the Eurex Clearing classic system The following clearing fields can be set up e Clearing Account e Free Text 1 e Free Text 2 e Free Text 3 e Open Close Indicator e Take Up Member e Cooperation Partner KRX or TAIFEX 37 Eurex Exchange s T7 Eurex Frankfurt AG Functional and Interface Overview V2 5 4 External Member ID Final Beneficiary The diagram below shows how an executed quote order

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