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Is B2BITS ICE Trade Capture Solution certified by ICE

Yes, B2BITS ICE Trade Capture Solution is a certified software. You can find us among ICE Trade Capture Vendors listed on the ICE website - https://www.theice.com/connectivity/trade-capture-vendors.

How to deploy the package and make it work

Follow the step-by-step instruction below:

  1. Install FIXEdge using these instructions: https://kb.b2bits.com/display/B2BITS/FIXEdge+Installation+Guide

  2. Create a database for ICE trades storing:
    1. Create a database itself. ‘ICE_Trades’ is suggested as the default name.
    2. Create database tables using the ‘ICE_database.sql’ script – adjust it if necessary (database name, user, etc)
    3. Add ODBC data source for the database on the server with installed FIXEdge

  3. Adjust FIXEdge configuration (typically located here ‘C:/B2BITS/FIXEdge/FIXEdge1/conf/’)
    1. ICE Handler property file (ICEProperties.properties)
      1.  Specify SenderCompID for:
        1.  The ICESession property so that its final format is: SenderCompID[SOH]TargetCompID
        2. The ICESession.SenderCompID property
      2. Add security definitions subscriptions to the necessary markets using provided examples in the "Security Definition Subscriptions" section: 
        1. Add a security definition subscription name to the list in the ICESession.SecurityDefinitionSubscriptions property
        2. Specify SecurityID and CFICode for added security definition subscription as described in the property file comments or in the instruction below
        Codes of ICE markets can be found at: https://www.theice.com/publicdocs/technology/Supported_Market_Types_on_ICE_API.pdf
      3. Specify an appropriate value of the ICESession.SecurityDefinitionSubscriptions.RequestMode property 
        1. If you wish to receive SecurityDefinitions from p.ii only once a day, set ICESession.SecurityDefinitionSubscriptions.RequestMode = OnceADay
        2. If you wish to receive SecurityDefinitions from p.ii at each logon, set ICESession.SecurityDefinitionSubscriptions.RequestMode = EachLogon
      4. Specify a correct path in the ICESession.StorageFileName property.
    2. Make changes to the ‘FIXEdge.properties’ configuration file:
      1. For ‘ICESession’ specify SenderCompID, your ICE Username and Password. By default the parameters are filled with dummy values / not filled
    3. ‘BL_Config.xml’
      1. Make sure that all <History> entities point to the correct DSN, also adjust username and password if they are wrong
      2. Specify correct SenderCompID in the rule "Launch ICE Handler" at the line: <MatchMessage Value=".*PLACE YOUR SENDER COMP ID HERE.*" />
        E.g., if your SenderCompID is 1234, the rule will look like: <MatchMessage Value=".*1234.*" />

  4. Start FIXEdge via FIX Integrated Control Center (FIXICC)

How to subscribe to the particular ICE market

ICE markets ICE Trade Capture Solution will subscribe to are specified in the ICEProperties.properties configuration file.

In order to subscribe to the particular ICE market, follow the step-by-step instruction below:

  1. Look through https://www.theice.com/publicdocs/technology/Supported_Market_Types_on_ICE_API.pdf and find the ICE Market Type ID you are interested in;
  2. Come up with the name for the subscription and specify it in the ICESession.SecurityDefinitionSubscriptions property (it supports several values delimited by comma).
  3. Add subscription details in the following format:
    ICESession.SecurityDefinitionSubscriptions.<Subscription_Name>.SecurityID = ice_market_type_id
    ICESession.SecurityDefinitionSubscriptions.<Subscription_Name>.CFICode = FXXXXX (for Futures) or OXXXXX (for Options)

Below is the example of the subscription to the Atlantic Coal Futures market type. Market ID is 123. Let's say we are interested in options and the subscription name is ICEAtlanticCoalOptions:

Snippet from ICEProperties.properties
ICESession.SecurityDefinitionSubscriptions = ICEAtlanticCoalOptions
ICESession.SecurityDefinitionSubscriptions.ICEAtlanticCoalOptions.SecurityID = 123
ICESession.SecurityDefinitionSubscriptions.ICEAtlanticCoalOptions.CFICode = OXXXXX

To add a new ICE market, just repeat the steps 1-3 and update the ICEProperties.properties configuration fileLet's say we are interested in Singapore Energy futures (Market ID is 133) and subscription name is the ICESingaporeEnergyFutures:

Snippet from ICEProperties.properties
ICESession.SecurityDefinitionSubscriptions = ICEAtlanticCoalOptions, ICESingaporeEnergyFutures
# Atlantic Coal Futures
ICESession.SecurityDefinitionSubscriptions.ICEAtlanticCoalOptions.SecurityID = 123
ICESession.SecurityDefinitionSubscriptions.ICEAtlanticCoalOptions.CFICode = OXXXXX
# Singapore Energy
ICESession.SecurityDefinitionSubscriptions.ICESingaporeEnergyFutures.SecurityID = 133
ICESession.SecurityDefinitionSubscriptions.ICESingaporeEnergyFutures.CFICode = FXXXXX

How to perform recovery and re-request trades from some period

ICE Trade Capture Solution has inbuilt abilities to restore the trade data missed due to the outage. Basic recovery mechanism is based on the persistence file (ICE_persistStorage.out), where the date & time of the last received trade are preserved.

After the session is started, ICE Trade Capture Solution populates tags 75 (TradeDate) and 60 (TransactTime) in the Trade Capture Report Request based on the date & time from the persistence file to request the snapshot of trades starting from the time when the latest trade was received.

If the file is absent or empty, today's midnight will be specified by the ICE Trade Capture Solution as the subscription start time. Otherwise, data stated in the file will be used (if the value is more than 2 days ago, it will be reset to today's midnight).

In order to re-request trades which have already been received earlier, just remove the persistence file (ICE_persistStorage.out) or specify a desired date there (from which the snapshot of trades should be requested) and restart the session.

How long does ICE keep trades records

According to ICE Trade Capture specification, ICE holds trade capture data for last 2 business days only.

What is the ICE Trade Capture behavior in case of the ICE session termination

  1. ICE Trade Capture Solution determines that connection with ICE is lost.
  2. ICE Trade Capture Solution considers the Trade Capture Report subscription terminated.
  3. ICE Trade Capture Solution tries to reconnect in accordance with the ReconnectMaxTries and ReconnectInterval session properties specified in the FIXEdge.properties.
  4. Once the connection is back, ICE Trade Capture Solution starts execution of the main flow from:

    1. step 2, if ICESession.SecurityDefinitionSubscriptions.RequestMode = EachLogon is specified in the ICEProperties.properties

    2. step 4, if ICESession.SecurityDefinitionSubscriptions.RequestMode = OnceADay is specified in the ICEProperties.properties

    Start time in Trade Capture Report Request (MsgType = "AD") will be populated based on the data specified in the persistence file (ICE_persistStorage.out).

What is the ICE session schedule and how to setup it in ICE Trade Capture Solution

According to ICE Trade Capture specification, all FIX sessions in Production will be reset by the ICE FIX host after every 24 hours, i.e. at the beginning of the next trading day (during maintenance window between 6:30 PM to 7:30 PM EST/EDT).

As for Test environment, ICE has daily maintenance times at 6:05 PM to 8:30 PM EST/EDT except Wednesday when there is an additional maintenance between 1 PM to 3 PM EST/EDT.

The schedule can be setup in ICE Trade Capture Solution by means of FIXEdge Scheduler properties or via FIXICC Scheduler functionality.

  • Below is the example on how the ICE schedule for Production environment can be setup (applicable to FIXEdge 6.0 and higher):

    Snippet from FIXEdge.properties
    FIXICC.Schedules = true
    
    # Schedule for PROD ICE environment
    Schedules.ICEFIXSchedule.StartTime = 0 30 19 * * *
    Schedules.ICEFIXSchedule.TerminateTime =  0 30 18 * * *
    Schedules.ICEFIXSchedule.TimeZone = EST5EDT
    
    FixLayer.FixEngine.Session.ICESession.Schedule = ICEFIXSchedule
  • Below is the example on how the ICE schedule for Test environment can be setup (applicable to FIXEdge 6.0 and higher):

    Snippet from FIXEdge.properties
    FIXICC.Schedules = true
    
    # Schedule for TEST ICE environment
    Schedules.ICEFIXSchedule.StartTime = 0 30 20 * * *; 0 0 15 * * 4
    Schedules.ICEFIXSchedule.TerminateTime =  0 5 18 * * *; 0 0 13 * * 4
    Schedules.ICEFIXSchedule.TimeZone = EST5EDT
    
    FixLayer.FixEngine.Session.ICESession.Schedule = ICEFIXSchedule

Both schedules are already configured out-of-box. Need just to switch between them when move from Test to Production.


How to make a new field from ICE Trade Capture FIX interface stored in the database

In order to process new fields so that they can appear in the database, the following needs to be done:

  1. Add new fields to the BL_Config file. Use Business Rules Guide#Histories for reference.
    Check where the FIX tag you are interested in is located in the FIX message. Note that tags from repeating groups are allocated in the separate tables. Check ICE Trade Capture to Database for details.
    1. If the FIX tag is located in the root of the message (either Trade Capture Report or Security Definition), then add it to the ICEReports / ICESecurityDefinitions history
    2. If the FIX tag is located in one of the repeating groups which are already stored in the database, then add it to the corresponding history
    3. If the FIX tag is located in one of the repeating groups which are not stored in the database, then add a new history for the group and specify the required field there

  2. Add new fields to the JS files (either ICESecDef.js or ICETrdCapt.js depending on which fields you are going to add). Use BL Scripting with JavaScript for reference.
    Note that processing the values and recording them in the tables will be performed according to the order specified in the JS file.

  3. Add new fields to the database according to the changes made in BL_Config at the step 1.

In order to apply the changes, you will need to restart the FIXEdge.

Example:

Below is the example of how to add the new MiFID II related field to the ICE Trade Capture Solution so that it can be stored in the database.

Assume that tag 9707 (MiFIDID) from the Trade Capture Report message (MsgType = "AE") should be now stored in the database. Following the step-by-step instruction presented above:

  1. According to the ICE Trade Capture specification (see https://community.theice.com/docs/DOC-19796), MiFIDID is located in the root of the Trade Capture Report message (MsgType = "AE").
    Then the ICEReports history from the BL_Config file should be adjusted. Adding the new field to the ICEReports history:

    Snippet from BL_Config
    <History Name="ICEReports"
    	StorageType="ODBC"
    	MaxNumberOfRecords="15000"
    	TableName="ICEReports"
    	ColumnSize="256"
    	ConnectionString="DSN=ICE_Trades;UID=ice_admin;Pwd=temp_pass;">
    <KeyField ColumnName="TradeReportID" ColumnSize="256">571</KeyField>
    ..........
    <Field ColumnName="MiFIDID" ColumnSize="256">9707</Field>
    <Field ColumnName="ClientAppType" ColumnSize="256">9413</Field>
    </History>
  2. Add the processing of the new 9707 field to the ICETrdCapt.js:

    Snippet from ICETrdCapt.js
    ..........
    rootData = new Array();
    rootTags = new Array(487,856,828,150,17,39,570,55,48,22,461,9403,202,916,917,32,31,75,60,9018,9022,552,555,1126,207,820,9820,9520,9521,9522,9523,9524,9525,9064,762,9510,...,9707/*,in code 9413*/);
    ..........
  3. Add the new MiFIDID column with varchar (256) type to the ICEReports table.

How to move ICE Trade Capture configuration from Test to Production

In order to move your ICE Trade Capture configuration to Production, several steps are required and/or recommended to be performed:

  1. Adjust ICE session host and port from FIXEdge.properties to point it to Production;
  2. Go through the steps from ICE Trade Capture FAQ#How to deploy the package and make it work and adjust your configuration to point it to Production;
  3. Turn off (comment out) the schedule for ICE TEST and turn on (uncomment) the schedule for ICE PROD environment in FIXEdge.properties. Use ICE Trade Capture FAQ#What is the ICE session schedule and how to setup it in ICE Trade Capture Solution as a reference;
  4. In case SSL connection is required for ICE Production environment (subject for clarification with ICE team), uncomment the following properties in FIXEdge properties:

    FixLayer.FixEngine.Session.ICESession.SSL = true
    FixLayer.FixEngine.Session.ICESession.SSLProtocols = TLSv1, TLSv1_1, TLSv1_2
  5. Turn off debug and trace levels of logging by changing values of appropriate properties in FIXEdge.properties to reduce the number of log records and hence reduce the size of log files;

    Log.DebugIsOn = false
    Log.TraceIsOn = false
  6. Configure logs rotation to manage the disk space where FIXEdge is installed;
  7. Setup email notifications to be informed in case of ICE session state is changed. Check How to configure session state changes notifications article for more details.

How can I know about ICE releases which affect the ICE Trade Capture Solution

EPAM B2BITS team is constantly monitoring updates of ICE Trade Capture interface. In case of any changes, the impact on the solution is assessed. If the change is critical and it affects the solution, a new version of the software is released and distributed to the clients in advance.

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