Open Day 2015 - Deutsche Börse Market Data + Services · Vikram Opal, Stefan Germer . 0/0/153 ......

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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

Deutsche Börse Group 1 Open Day 2015

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Agenda

2

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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

Open Day 2015

Source: Annual Report 2014

Deutsche Börse Group 3

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


Open Day 2015 Deutsche Börse Group 4

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Exchange backend, gateways and sessions


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

3

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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


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


(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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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)


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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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

3

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Three step login process


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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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

4

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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


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


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


Message flow for non-persistent orders (simplified)


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