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Preface

B2BITS' FIX ICE Trade Capture Solution is a server application pre-configured to work with ICE Trade Capture FIX interface. ICE Trade Capture Solution design is based on B2BITS' generic server FIXEdge extended with the ICE handler. It inherits and leverages all FIXEdge features including easy configuration, administration and monitoring. 

Workflow Overview

1. Supported FIX Messages

ICE Trade Capture data is captured by FIXEdge via FIX 4.4 session. The ICE Trade Capture Solution supports the following FIX messages: 

  • From ICE Trade Capture Solution to ICE:
    • Security Definition Request (MsgType = ''c");
    • Trade Capture Report Request (MsgType = ''AD").
  • From ICE to ICE Trade Capture Solution:
    • Security Definition (MsgType = ''d")
      new and old message formats are supported (new format is enabled by default);
    • Trade Capture Report Request Ack (MsgType = ''AQ");
    • Trade Capture Report (MsgType = ''AE").

2. ICE Trade Capture Solution Workflow

See also step-by-step description below:

Main flow:

  1. ICE Trade Capture Solution starts and establishes FIX Session to ICE Trade Capture using details from FIXEdge.properties file.
  2. Once session is established  ICE Trade Capture Solution is doing the following in a loop for each subscription stated in ICEProperties.properties: 
    1. generates Security Definition Request (MsgType = 'c'), filling the values of tags 48 (SecurityID) and 461 (CFI Code)
    2. waits until previous request is completed or predefined timeout (60 seconds by default) is expired
    FIX message example:  8=FIX.4.4|9=100|35=c|49=SenderCompId|56=ICE|34=77|50=1|52=20140915-19:32:54.954|320=1410809574952_76|321=0|48=1|461=FXXXXX|10=043|
    Note: Security Definitions can be requested once a day or on each logon depending on the value of the property ICESession.SecurityDefinitionSubscriptions.RequestMode specified in ICEProperties.properties configuration file. The date&time of last processed Security Definition is preserved in persistence file (ICE_persistStorage.out) per each subscription with the time accuracy received in the incoming message.
    Note: Mentioned timeout (p.2.2) can be changed by specifying ICESession.SecurityDefinitionSubscriptions.RequestTimeout parameter (in milliseconds) in ICEProperties.properties configuration file.
  3. ICE Trade Capture determines that request parameters are valid and replies with Security Definition (MsgType = 'd') messages. 
    Note: Format of Security Definitions (new or old) depends on the value of tag 9006 sent in custom Logon message.
  4. ICE Trade Capture Solution generates Trade Capture Report Request (MsgType = 'AD') for all available trades, based on the data preserved in persistence file (ICE_persistStorage.out), and sends it to ICE Session. Trade Capture Report Requests (if any) are sent after the last Security Definition response is downloaded or predefined timeout is expired.
    FIX message example: 8=FIX.4.4|9=129|35=AD|49=SenderCompId|56=ICE|34=78|50=1|52=20140915-19:32:54.954|568=1410809574953_77|569=0|263=1|580=1|75=20140915|60=20140915-00:00:00|10=228|
  5. ICE Trade Capture determines that subscription parameters are valid and sends Trade Capture Report Request Ack (MsgType = 'AQ') with tags 749=0 (Success) and 750 = 0 (Accepted) confirming successful subscription:
    FIX message example: 8=FIX.4.4|9=104|35=AQ|49=ICE|34=165|52=20141001-23:32:24.029|56=SenderCompId|568=1410809574952_76|569=0|749=0|750=0|10=178|
  6. ICE Trade Capture sends Snapshot of trades - one or more Trade Capture Report (MsgType='AE') messages.
  7. ICE Trade Capture notices saying that all snapshot of trades is sent by Trade Capture Report Request Ack (MsgType = 'AQ') with tags 749=0 (Success) and 750 = 1 (Completed):
    FIX message example: 8=FIX.4.4|9=104|35=AQ|49=ICE|34=167|52=20141001-23:32:24.029|56=SenderCompId|568=1410809574952_76|569=0|749=0|750=1|10=178|
  8. ICE Trade Capture starts sending live updates (new trades or changes to existing ones - Trade Capture Report (MsgType='AE') messages).

Exceptional cases:

3a. ICE Trade Capture determines that request contains invalid ICE Market Id or such which user is not allowed to access.

3a1. ICE Trade Capture sends Security Definition (MsgType = 'd') with tag 323 (SecurityResponseType) = '5' or '6'

3a2. Main flow continues from step 4. 

3b. ICE Trade Capture determines that request contains invalid CFI Code.

3b1. ICE Trade Capture sends Security Definition (MsgType = 'd') for the specified ICE Market ID for CFI code = FXXXXX (Futures)
3b2. Main flow continues from step 4.

6a. ICE Trade Capture does not have data available to be sent as Snapshot.

6a1. Main flow continues from step 7. 

3. Processing Incoming ICE Trade Capture Data

ICE Trade Capture Solution Configuration

Please see the table below that represents the components included into the FIXEdge package intended for ICE Trade Capture Solution:

Add-on ComponentConfiguration FileDescription
ICE Trade Capture Handler
(ICEHandler)		ICEProperties.properties

Configuration file used to specify the following ICE Handler parameters: ICE session name, persistence file location, parameters of security definition request(s).

# ============ YOU NEED TO FILL SENDER COMP ID IN THE FOLLOWING PROPERTIES: START =============
#ICE session name in format SenderCompID[SOH]TargetCompID 
ICESession = SenderCompIDICE
#ICE Session SenderCompID
ICESession.SenderCompID =  
# ============= YOU NEED TO FILL SENDER COMP ID IN THE FOLLOWING PROPERTIES: END ==============

# ====== YOU NEED TO SPECIFY SECURITY DEFINITION SUBSCRIPTIONS REQUEST MODE: START =======
# Security definitions' request mode, defines frequency of requests for security definitions (once a day after the very first logon or after each logon).
# Setting will be applied to all subscriptions defined under 'ICESession.SecurityDefinitionSubscriptions' property
# Valid values: 'OnceADay', 'EachLogon'
ICESession.SecurityDefinitionSubscriptions.RequestMode = OnceADay
# ======= YOU NEED TO SPECIFY SECURITY DEFINITION SUBSCRIPTIONS REQUEST MODE: END ========

# ====== YOU NEED TO SPECIFY SECURITY DEFINITION SUBSCRIPTIONS: START =======
#Security definition subscriptions
ICESession.SecurityDefinitionSubscriptions = ICEEuropeBrentFutures, ICEEuropeBrentOptions, ICEEuropeNaturalGasFutures, ICEEuropeNaturalGasOptions, ICEUSCocoa, ICEUSCoffee
# Example of subscription configuration:
# ICESession.SecurityDefinitionSubscriptions.SubscriptionName.SecurityID = ice_market_type_code
# ICE instrument type: Futures (FXXXXX) | Options (OXXXXX) | Unique Option market IDs (OXXFXX) 
# ICE Market Type. List of all available ICE market types:  https://www.theice.com/publicdocs/technology/Supported_Market_Types_on_ICE_API.pdf 
#ICE Europe Brent Futures
ICESession.SecurityDefinitionSubscriptions.ICEEuropeBrentFutures.SecurityID = 5
ICESession.SecurityDefinitionSubscriptions.ICEEuropeBrentFutures.CFICode = FXXXXX
#ICE Europe Brent Options
ICESession.SecurityDefinitionSubscriptions.ICEEuropeBrentOptions.SecurityID = 5
ICESession.SecurityDefinitionSubscriptions.ICEEuropeBrentOptions.CFICode = OXXXXX
#ICE Europe Natural Gas Futures
ICESession.SecurityDefinitionSubscriptions.ICEEuropeNaturalGasFutures.SecurityID = 3
ICESession.SecurityDefinitionSubscriptions.ICEEuropeNaturalGasFutures.CFICode = FXXXXX
#ICE Europe Natural Gas Options
ICESession.SecurityDefinitionSubscriptions.ICEEuropeNaturalGasOptions.SecurityID = 4
ICESession.SecurityDefinitionSubscriptions.ICEEuropeNaturalGasOptions.CFICode = OXXXXX
#ICE US Cocoa
ICESession.SecurityDefinitionSubscriptions.ICEUSCocoa.SecurityID = 20
ICESession.SecurityDefinitionSubscriptions.ICEUSCocoa.CFICode = FXXXXX
#ICE US Coffee
ICESession.SecurityDefinitionSubscriptions.ICEUSCoffee.SecurityID = 21
ICESession.SecurityDefinitionSubscriptions.ICEUSCoffee.CFICode = FXXXXX
BL_Config.xml

Is used to specify the following:

  • declare ICE Handler;

    ..........
<DllHandlers>
	<Handler Name="ICEHandler" 
        Description="ICE Handler" 
        DllName="libICEHandler-gcc44-MD-x64.so" 
        VerifyHandlersVersion="true" 
        ConfigFile="../FIXEdge1/conf/ICEProperties.properties" />
    ..........
</DllHandlers>
..........

  • define rules for ICE Handler launch;

    ..........
       <Rule Description="Launch ICE Handler">
       <Source> 
            <FixSession SenderCompID=".*" TargetCompID=".*" />
       </Source>
       <Condition>
         <MatchMessage Value=".*PLACE YOUR SENDER COMP ID HERE.*" /> 
            <MatchMessage Value=".*Established.*" /> 
       </Condition>
       <Action>
         <!-- <Send><Client Name="SMTPClient" /></Send> --> <!-- Optional action to be used if email notification is required -->
         <HandlerAction Name="ICEHandler" />
       </Action>
 </Rule>
..........

  • rules for processing incoming FIX messages (including those which call java scripts storing data todatabase)

    ..........

 <Rule Description="Register messages in ICEHandler" >
     <Source Name=".*ICESession"/>
     <Condition>
        <EqualField Field="35">
           <Val>d</Val>
           <Val>AE</Val>
        </EqualField>
     </Condition>
     <Action>
       <HandlerAction Name="ICEHandler"/>
     </Action>
 </Rule>


 <Rule Description="Save ICE Trade Capture Report data and register trade in ICEHandler">
     <Source Name=".*ICESession" />
     <Condition>
         <EqualField Field="35" Value="AE" />
     </Condition>
     <Action>
         <HandlerAction Name="FMXMLHandler" EntryIndex="true" />
         <SaveToHistory Name="ICEReports" />
     </Action>
 </Rule>


 <Rule Description="Save ICE Security Definition data and register secdef in ICEHandler">
     <Source Name=".*ICESession" />
     <Condition>
         <EqualField Field="35" Value="d" />
     </Condition>
     <Action>
        <HandlerAction Name="FMXMLHandler" EntryIndex="true" />
        <SaveToHistory Name="ICESecurityDefinitions" />
     </Action>
 </Rule> 
..........

  • description of DB tables to store data to (if applicable)

    ..........
     <History Name="ICEReports"
             StorageType="ODBC"
             MaxNumberOfRecords="15000"
             TableName="ICEReports"
             ColumnSize="256000"
             UseStoredProcForInsert="true"
             StoredProcName="SaveReports"
             ConnectionString="DSN=ICE_Trades;UID=ice_admin;Pwd=temp_pass;">
      <KeyField ColumnName="xmlData" ColumnSize="256000">213</KeyField> 
    </History>
    <History Name="ICESecurityDefinitions"
             StorageType="ODBC"
             MaxNumberOfRecords="15000"
             TableName="ICESecurityDefinitions"
             ColumnSize="256000"
             UseStoredProcForInsert="true"
             StoredProcName="SaveDefinitions"
             ConnectionString="DSN=ICE_Trades;UID=ice_admin;Pwd=temp_pass;">
      <KeyField ColumnName="xmlData" ColumnSize="256000">213</KeyField> 
    </History>
..........
Extension to standard FIX 4.4 dictionaryadditional_ice.xmlDefines custom tags for ICE Trade Capture API messages
ICE FIX Session detailsFIXEdge.properties

Is used to specify FIX Session details

  • Host  = **** as supplied by ICE ****
  • Port  = **** as supplied by ICE ****
  • Encryption required : no in Test, in Production - SSL encryption is required
  • FIX Version:  4.4
  • Role:  Initiator 
  • SenderCompID  = **** as supplied by ICE ****
  • SenderSubID  = 1
  • TargetCompID = **** as supplied by ICE ****
  • Username = **** as supplied by ICE ****
  • Password = **** as supplied by ICE ****
  • Heartbeat Interval = 30 (recommended; value of '0' will lead to connection drops)
  • Reconnect Interval = 16000 (recommended)
  • Schedule =  ICEFIXSchedule

  • Logon = ICETC_Logon.msg

ICETC_Logon.msg

Is used for two main purposes:

  1. Specify the accuracy of timestamps in incoming messages from ICE via tag 9007 (increased time precision is specified in the package by default);
  2. Specify the interface of security definitions interface to be received via tag 9006 (New Strategy Information is specified in the package by default);

Other custom tags can be also specified and used. Please check ICE specification for details.

Database SQL scripts

ICE_database.sql

MSSQL_ICETrdCapt.sql

MSSQL_ICESecDef.sql

Used to create database tables

  • database login, user, tables (ICE_database.sql)
  • stored procedures (MSSQL_ICETrdCapt.sql, MSSQL_ICESecDef.sql)