open day 2015 - deutsche börse market data + services · vikram opal, stefan germer . 0/0/153 ......
TRANSCRIPT
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Open Day 2015
30 September 2015
Handling special events in Eurex Enhanced Trading Interface and Xetra Enhanced Transaction Solution
Vikram Opal, Stefan Germer
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Contents
02 Agenda 19 Further information
04 Xetra Enhanced Transaction
Solution
11 Eurex Enhanced Trading
Interface
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Agenda
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A note on system availability
Trading system availability (%) 2014 2013
Cash market trading system Xetra® 99.981 99.999
Derivatives market trading system Eurex® T7 99.986 99.969
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Source: Annual Report 2014
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During this workshop, we will talk about the handling of some events during the downtimes depicted in the statistics above
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Agenda
Xetra Enhanced Transaction Solution
Managing orders/quotes after loss of a session
Market Reset and Market Reallocation
Exit strategy: pulling orders and quotes out of the market
Eurex Enhanced Trading Interface
Session management
Exit strategy: pulling orders and quotes out of the market
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Exchange backend, gateways and sessions
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Exchange backend Gateway ETS/ETI Session
In this workshop our focus is on the sessions used in:
Xetra® Enhanced Transaction Solution
Eurex® T7 Enhanced Trading Interface
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Xetra® Enhanced
Transaction Solution
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No automatic failover provided application must start a new session logon
Non-persistent orders and quotes are deleted1)
The deletion is performed on a best effort basis (fire and forget). If an attempt fails due to inappropriate instrument state, there will be no retries.
Applications are responsible to maintain intelligence about the status of their orders.
Managing orders/quotes after loss of a session
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1) Depending on the “deletion” flags set upon session logon. The field persOrderDelFlag is not yet in use and will not be accepted at session logon
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Managing orders/quotes after loss of a session recovery
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(User) Retransmission: The lastEventSeqNo provided with the session logon
response can be used to learn about gaps for retransmission (for e.g. to get
matching events)
(User) Inquire Order or Quote
(User) Inquire Single Order
(User) Delete All Orders/Quotes
For inquiries or deletions of orders from another session: use oboSesId
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Market Reset and Market Reallocation
If a technical interruption occurs, e.g. the failure of a matcher process, a Market
Reset/Market Reallocation Event occurs.
A corresponding message is sent out
to indicate the deletion of all non-persistent orders and quotes for the affected
set IDs
with information about the time of the event
The Market Reallocation Event additionally provides information about the time
up to which all order response information is correct.
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The Market Reallocation Event (simplified)
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Match
time
Problem! Persistency
In case of technical problems between the match and persistency, affected sessions
are informed about a Market Reallocation Event – and should initiate re-conciliation
measures as preliminary execution status of the non-persistent orders or quotes
entered most recently may differ from the final execution status.
TimeG – Time up to which all executions and modifications are guaranteed
TimeM – Time of market reallocation event
TimeG TimeM
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Market Reset and Market Reallocation
post event
Non-persistent orders and quotes before the event are deleted.
Persistent orders are reloaded.
Inquire persistent orders to re-concile own view of the orderbook
If persistent orders are expected but a message ‟BUSY: TXN REJECTED. TRY AGAIN“ is
returned: wait a few seconds and re-send the inquire request.
Check EventSeqNum for Gaps and Request retransmission.
Use the timestamps provided in the messages:
lastEventTrnId for the time of the market reset
lastGuarTrnTime contains the date and time of the last guaranteed transactions
in the market reallocation message.
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Exit strategy: Pulling orders and quotes out of the market
Delete all orders and quotes
Disconnect session (make sure flags at session login and session logout are in harmony with
required target)
Xetra J-Trader GUI
Market Supervision
Use non-persistent orders (quotes are non-persistent by default) so that these are deleted
automatically upon market reset/system failure/session loss
Use on-behalf of functionality to delete orders and quotes on-behalf of a session
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Eurex Enhanced Trading
Interface
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Three step login process
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Note:
120 sec
timeout
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Session management
Eurex T7 returns two trading gateway IP-addresses when sending a Connection Gateway Request.
1. Login to one of the two trading GW IP-addresses you received in the Connection Gateway Response. Please note: the login must follow within 120 seconds.
2. If Eurex T7 returns no response or a Reject message (TemplateID 10010) to the Session Logon Request, try to send the Session Logon Request to the other trading gateway IP-address directly (there is no need to connect again to the connection gateway).
3. If Eurex T7 again returns no response or a Reject message (TemplateID 10010) to the second Session Logon Request, log the SessionRejectReason field (373; TemplateID 10010) and the VarText field (30355; TemplateID 10010) and contact Customer Technical Support.
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Reasons for session disconnects
Network connection failure
Eurex ETI gateway failure
Three consecutive missing heartbeats
Throttle Disconnect Limit exceeded
Too many heartbeats sent
Mal-formed request
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Heartbeats
Heartbeats work in both directions (sessionEurex T7 and Eurex T7session)
Sessions will be disconnected from Eurex T7 after three consecutive missing heartbeats.
It is highly recommended to implement a similar logic into your application as described below:
In case Eurex T7 does not send Heartbeat Notifications (TemplateID 10023) for a time period of three times the HeartBtInt value, it is recommended to disconnect the session. This results in the deletion of all non-persistent orders and quotes which were entered via this session.
It is recommended to set the HeartBtInt (108) in the Session Login Request (TemplateID 10000) in the range of 1 to 2 seconds.
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What to do in unclear situations
If Eurex T7 disconnects the session without
a Reject message (TemplateID 10010) or
a Logout Notification (TemplateID 10012) or
there are no Heartbeat Notifications (TemplateID 10023) sent anymore by Eurex T7
it is recommended to start a re-connect process for the session immediately.
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Disconnect the session
Login again to the same session
Send Order Mass Cancellation Request
Use the ‟Panic Cancel“ functionality in the Eurex T7 GUI
Call Market Supervision
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Exit strategy: pulling orders and quotes out of the market
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Some points to note
1. Do not hard code gateway IP-adresses keep the flexibility to connect to an alternate gateway
2. Do not set the heartbeat interval to more than one or two seconds this enables you to react fast to unexpected events
3. Simulate strategies for handling recovery/special events during focus days provided in the simulation environment
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Further information
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Sources for further information
Xetra®
Circular 079/15 ‟Best practices for the handling of non-persistent orders/quotes
and persistent orders“
‟Best practice“ guidelines in the Xetra Enhanced Transaction Solution
specifications document
Eurex T7
Enhanced Trading Interface Manual
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Simulate strategies for handling recovery/special events during
focus days provided in the simulation environment
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Thank you for your attention
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Validation
Application
Response
Notification
time
Matching post-Matching
Info
Notification
Incoming
Order
First notifications/responses are only sent out after matching has concluded and
the transaction is made persistent
Event
Notification
Market Reset and Market Reallocation
Message flow for persistent orders (simplified)
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Validation
Application
Response
Notification
time
Matching Post-matching
Info
Notification
Incoming
Order Event
Notification
First notifications/responses are sent out after the matcher process has
processed the transaction
Recoverable messages are sent out after the transaction has been made
persistent
Market Reset and Market Reallocation
Message flow for non-persistent orders (simplified)
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