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TRANSCRIPT
Contents
1.0 Introduction 5
1.1 Revision History 5
2.0 Message Changes per Protocol 6
2.1 TQ201 – FIX 5.0 Trading Gateway 6 2.2 TQ202 – Post Trade Gateway 8 2.3 TQ203 – Drop Copy Gateway 9 2.4 TQ301 – Native Trading Gateway 10 2.5 TQ401 – Level 2 MITCH UDP Market Data 13
3.0 Reference Data Changes 14
3.1 TQ501 – Guide to Reference Data Services
14
4.0 Reject Code changes 15
4.1 TQ801 – Reject codes 15
4
Disclaimer The London Stock Exchange Group has taken reasonable efforts to ensure that the information contained in this publication is correct at the time of going to press, but shall not be liable for decisions made in reliance on it. The London Stock Exchange Group will endeavour to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only.
5
1.0 Introduction
This document provides a high level description of the changes introduced to the Turquoise Trading and Market Data protocols with Millennium Exchange Release 9.2. A more detailed description of the changes to the protocols, as well as changes to Reference Data and Reject codes are described in the following specifications on the Turquoise web site:
TQ201 – FIX 5.0 Trading Gateway – Issue 3.4.3
TQ202 – Post Trade Gateway – Issue 3.5.3
TQ203 – Drop Copy Gateway – Issue 2.5.3
TQ301 – Native Trading Gateway – Issue 3.5.4
TQ401 – Level 2 MITCH UDP Market Data – Issue 3.5.1
TQ501 – Guide to Reference Data Services – Issue 4.1
TQ801 – Reject Codes – Issue 3.4
1.1 Revision History
Issue Date Description
1.0 07 April 2017 Initial Version
1.1 27 June 2017 Further updates to the Release 9.2
specifications
1.2 22 August 2017 Further updates to the Release 9.2
specifications
1.3 8 September Further updates to the Release 9.2
specifications
1.4 13 September 2017 Further updates to the Release 9.2
specifications
1.5 13 September 2017 Further updates to the Release 9.2
specifications
6
2.0 Message Changes per Protocol
2.1 TQ201 – FIX 5.0 Trading Gateway
Document
Version
Section Message/Section Field/Tag Comment
3.4 2.5, 2.12.1 Clarified Timestamps and
dates
Clarified Timestamps and dates behaviour
3.4 2.6.2, 2.13.4 Party Identification Clarified Party Identification
behaviour.
3.4 6.4.5 Execution Report NoTrdRegPublications
Repeating Group
Added a new NoTrdRegPublications (2668) Repeating Group to the Execution Report for Pre-trade Waiver Flags.
3.4 2.13.2, 6.4.1, 6.4.5
Order Capacity, New Order Single,
Execution Report
OrderCapacity Clarified Order Capacities.
3.4 6.4.1, 6.4.5 New Order Single,
Execution Report
NoPartyIDs, PartyID,
PartyIDSource, PartyRole,
PartyRoleQualifier tag, Order Attribute
component block, OrderOrigination tag.
Clarified NoPartyIDs,
PartyID, PartyIDSource,
PartyRole behaviour and added new Party
Identification enums. Added
PartyRoleQualifier tag, Order Attribute
component block and OrderOrigination tag.
3.4 6.6.1 All messages
which have Party Identification tags
Removed trading party
component block and included the party
identification tags in the individual
messages.
3.4 All TraderID
references
TraderID Changed all references
of enum 12 to 100 for the Trader ID
PartyRole.
7
Document
Version
Section Message/Section Field/Tag Comment
3.4.1 6.4.1 New Order Single NoPartyIDs,
PartyIDSource,
PartyRoleQualifier
Clarified NoPartyIDs,
PartyIDSource and
PartyRoleQualifier
behaviour.
3.4.1 6.4.3 Order Mass
Cancel Request
RoutingInst Clarified RoutingInst
behaviour.
3.4.1 6.4.5 Execution Report NoPartyIDs, PartyRole Clarified NoPartyIDs and
PartyRole behaviour.
3.4.2 6.3.6 Reject SessionRejectReason Clarified
SessionRejectReason
behaviour.
3.4.2 6.4.6 Order Cancel
Reject
CxlRejReason Clarified CxlRejReason
behaviour.
3.4.2 6.4.7 Order Mass
Cancel Report
MassCancelRejectReason Clarified
MassCancelRejectReason
behaviour
3.4.2 6.5.1 Business Message
Reject
BusinessRejectReason Clarified
BusinessRejectReason
behaviour
3.4.2 7 Reject Codes Removed Reject Code
section since TQ801 has
all the applicable Reject
reasons and codes.
3.4.2 Updated all references of
Turquoise® to Turquoise.
3.4.3 2.1.4 Execution Reports Reference to order being
amended by Market
Operations is removed
3.4.3 6.4.5 Execution Report ExecRestatementReason Missing
ExecRestatementReason
(378)=100 is added
8
2.2 TQ202 – Post Trade Gateway
Section Message/Section Tag Comment
3.5 2.1.3 TCR Requests Added a link to the Trading Technical Parameters document
3.5 2.2.1, 2.7.4
Party Identification
Clarified Party Identification behaviour
3.5 2.5,
2.7.1
Timestamps and
dates
Clarified Timestamps and dates
behaviour
3.5 2.7.3,
7.3.1
Order Capacities OrderCapacity Clarified Order Capacities
behaviour
3.5 7.3.1 Server
Generated TCR
SettlDate Removed SettlDate (64) from
the message
3.5 7.3.1 Server Generated TCR
PartyID (448), PartyIDSource (447),
PartyRole (452), PartyRoleQualifier
(2376), AlgorithmicTradeIndicator
(2667), OrigTradeDate, OrderOrigination (1724)
repeating group, MarketID (1301),
NoTrdRegPublications (2668) repeating group.
Clarified PartyID (448), PartyIDSource (447), PartyRole
(452) behaviour and added new enums. Added
PartyRoleQualifier (2376), AlgorithmicTradeIndicator
(2667) and OrigTradeDate (1125) tags. Added
OrderOrigination (1724) repeating group. Added
MarketID (1301) and NoTrdRegPublications (2668)
repeating group.
3.5 All references to
TraderID
TraderID Renamed all instances of enum
12 to 100 for Trader ID in PartyRole (452).
3.5.1 7 Reject Code Removed Reject Code section since
TQ801 has all the applicable Reject
reasons and codes
3.5.1 7.2.6 Reject SessionRejectReason Clarified SessionRejectReason behaviour
3.5.1 Updated all references of Turquoise® to Turquoise.
9
Section Message/Section Tag Comment
3.5.2 2.2.4 Trade Type Reference to off-book is removed
3.5.2 2.4 Trade
Corrections
Reference to off-book is removed
3.5.2 7.3.1 Server
Generated TCR
Tags applicable to off-book trade are removed
3.5.3 7.3.1 Server
Generated TCR
Tags TradeReportTransType(487), TradeReportType (856), TradeHandlingInstr (1123) have been added back as they were deleted by mistake
2.3 TQ203 – Drop Copy Gateway
Document
Version
Section Message/Section Tag Comment
2.5 2.5.4, 2.7.4 Party Identification Clarified Party Identification
behaviour
2.5 2.6, 2.7.1 Timestamps and
dates
Clarified Timestamps
behaviour
2.5 2.7.2, 6.5.1
Pre-trade Waiver
Flags, Execution Report
NoTrdRegPublications Added a new
NoTrdRegPublications (2668) Repeating
Group to the Execution Report for
Pre-trade waiver flags.
2.5 2.7.3, 6.5.1
Order Capacity, Execution Report
Clarified Order Capacities
2.5 6.5.1, 6.6.1, 6.6.2
Execution Report, Order Attributes
Clarified NoPartyIDs, PartyID,
PartyIDSource, PartyRole,
Clarified NoPartyIDs, PartyID,
PartyIDSource, PartyRole behaviour
10
Document
Version
Section Message/Section Tag Comment
PartyRoleQualifier,
Order Attribute component block,
OrderOrigination
and added new
enums. Added PartyRoleQualifier tag,
Order Attribute component block and
OrderOrigination tag.
2.5.1 6.6.1 Trading Party PartyRole Clarified PartyRole
6.3.6 Reject SessionRejectReason Clarified
SessionRejectReason
behaviour.
2.5.2 7 Removed Reject Code
section since TQ801 has
all the applicable Reject
reasons and codes.
2.5.3 2.5 Execution Reports Reference to order being
amended by Market
Operations is removed,
reference to order
replenishment is added
to be in line with FIX
specification
2.5.3 6.5.1 Execution Report ExecRestatementReason Missing
ExecRestatementReason
(378)=100 is added
2.4 TQ301 – Native Trading Gateway
Document
Version
Section Message/Section Field Comment
3.5 2.3.4, 2.10.1,
7.4.1,7.4.5
Order Capacities,
Order Capacity, New Order,
Execution Report
Capacity Clarified Order
Capacities
3.5 2.6.1 Order Deletion Clarified Order Cancellation by
Market Operations
11
Document
Version
Section Message/Section Field Comment
behaviour
3.5 2.10.2 Order Record Keeping
Information
Added details on Order Record
Keeping Information
3.5 4.1 Establishing a
connection
Clarified Establishing
a connection behaviour
3.5 7.4.1 New Order Client ID, Investment
Decision Maker, Executing Trader,
FXMiFIDFlags, PartyRoleQualifiers
Extended the length
of the New Order message by adding
the following new fields: ‘Client ID’,
‘Investment Decision Maker’, ‘Executing
Trader’, ‘FXMiFIDFlags’ and
‘PartyRoleQualifiers'
3.5 7.4.5 Execution Report Waiver Flags Reserved Field at
offset 87 is now the ‘Waiver Flags’ field
3.5.1 5.3 Terminating the
Recovery Connection Clarified Terminating
the Recovery
Connection behaviour
3.5.2 2.10.1, 7.4.1, 7.4.5
Order Capacity Corrected enum values
for the Capacity field
3.5.3 2.4.6 Client Order ID Clarified Client Order ID
behaviour
3.5.3 Updated all references
of Turquoise® to
Turquoise.
3.5.4 2.4.5 Execution Reports Reference to order
being amended by
Market Operations has
been removed
3.5.4 2.10.2 Order Record
Keeping Information
PartyRoleQualifier is
removed for Client ID
=1 (AGGR), 2 (PNAL), 0
(None) since it is not
12
Document
Version
Section Message/Section Field Comment
required
3.5.5 1.3 Document Series Reformatted and added
GTP document
references.
3.5.5 2.2 Liquidity Pools Improved descriptions
3.5.5 2.3.1 Order Types Removed mention of
price band and max
order value validations
(these are defined in
service description),
clarified that ”Turquoise
Plato UncrossTM
then
Continuous” is for
Turquoise Integrated
Book only.
3.5.5 2.3.3 Time In Force Improved descriptions
3.5.5 7.4.5 Execution Report Counterparty Added footnote to clarify
that EMCF represents
EuroCCP.
3.5.5 Various Various Updated use of various
terms for consistency
throughout the
document:
“Lit Book” with “Turquoise Integrated Order Book”
“Call market” with “Start of the order submission interval”
“TQ Dark Book” with “Turquoise Plato™ Order Book”
“Block Discovery” with “Turquoise Plato Block
Discovery™”
“Dark Order” with “Hidden Order”
13
2.5 TQ401 – Level 2 MITCH UDP Market Data
Document
Version
Section Message/Section Field/Tag Comment
3.5 3.3.2, 5.5.2 Trade
Cancellations, Application
messages
Clarified Trade
Cancellation behaviour
3.5 5.5.2, 5.9.12 Trade Break Removed the
‘Trade Break’ message
3.5 5.9.5, 5.9.8 Add Order, Order
Book Clear
Reserved Field
Extended the
length of the Add Order and Order
Book Clear messages with a
Reserved Field
3.5 5.9.10 Trade PTModFlags Extended the
length of the Trade message with a
new Bit field called ‘PTModFlags’
3.5.1 Updated all
references of
Turquoise® to
Turquoise.
14
3.0 Reference Data Changes
3.1 TQ501 – Guide to Reference Data Services
Document Version Section Comment
3.8 2.4, 3.3.2, 3.5.2 Removed the layout and references to the
legacy Tq_Eq_RefFile.csv and Tq_Eq_TickFile.csv files.
3.8 3.3.1 Replaced ‘Trading Parameter ID’ with ‘Price
Tick Table ID’. Replaced ‘Min Reserve Order Value’ with ‘Pre-Trade LIS Value (Currency)’.
Renamed ‘ADT’ to ‘ADT (EUR)’. Added the following new fields to the end of the file:
'Visibility', 'Mifir Identifier', 'Mifir Subclass', ' Static Reference Price Collar Percentage,
‘Dynamic Reference Price Collar Percentage', 'Liquid', 'ADT (Currency)', 'ADNT ', 'RPW
Allowed ', 'FSIN', 'Max Order Value Lit (Currency)', 'Max Order Value Dark
(Currency)', 'Notional Currency', 'Price Notation', 'Denominated Par Value'.
3.8 3.6, 3.7 Renamed ‘LIS Limit (Currency)’ to ‘Pre-Trade LIS Value (Currency)’. Renamed ‘Tick Table’
to ‘Price Tick Table ID’.
3.9 3.3.1 Corrected enum values for the ‘Liquid’ field.
Corrected field name ‘Post Trade Parameters ID’ to match the heading in the file. Clarified
that the ‘Country of Register’ field is not in use.
4.0 3.3.1 Clarified ‘Max Order Value Dark (Currency)’ behaviour
4.0 3.3.1, 3.7 Clarified ‘Pre-Trade LIS Value (Currency)’ behaviour
4.1 3.3.1 The new field “Max Order Value Lit Auction (Currency)” has been added for future use.
15
4.0 Reject Code changes
4.1 TQ801 – Reject codes
Document Version Comment
3.0
All Reject Reasons highlighted in yellow in the
‘Codes and Reasons’ tab are introduced in Release 9.2.
3.1
3.2
3.3
3.4
Disclaimer
This service description is being distributed by Turquoise Global Holdings Limited only to, and is directed only at (a) persons who have professional experience in matters relating to investments who fall within Article 19(1) of the FSMA 2000 (Financial Promotion) Order 2005 and (b) persons to whom it may otherwise lawfully be communicated (together “relevant persons”). Any investment or investment activity to which this document relates is available only to and will be engaged in only with, relevant persons. Any person who is not a relevant person should not act or rely on this service description or any of its contents.
Turquoise Global Holdings Limited is an authorised investment firm by the Financial Conduct Authority.