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

#ICE HANDLER CONFIGURATION PARAMETERS

# ICE Session name
ICESession = SenderCompID[SOH]ICE
# ICE Session SenderCompID
ICESession.SenderCompID = SenderCompID
#ICE Session TargetCompID
ICESession.TargetCompID = ICE
#Persistence file name and location. This file holds Transasct Time of last received trade capture report.
ICESession.StorageFileName = ../FIXEdge1/log/ICE_persistStorage.out

#Security definition requests

# SecurityDefinitionSubscriptions defines list of requests to be submitted. 
# ICE Handler will generate one Security Definition Request (MsgType='c') message for each configured subscription
# For each request SecurityID and CFI Code should be specified. 
# SecurityID represents ICE Market Types, list of valid codes is available https://www.theice.com/publicdocs/technology/Supported_Market_Types_on_ICE_API.pdf
# CFI Code defines security types. Valid values: 'FXXXXX' (Futures), 'OXXXXXX' (Options)

ICESession.SecurityDefinitionSubscriptions = IPEBrentFutures, IPEGasOilOptions

# 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' (default)
ICESession.SecurityDefinitionSubscriptions.RequestMode = EachLogon

# ICE Market Type ID (IPE Brent Futures)  for 'IPEBrentFutures' request
ICESession.SecurityDefinitionSubscriptions.IPEBrentFutures.SecurityID = 5
# CFI Code (Futures) for 'IPEBrentFutures' request
ICESession.SecurityDefinitionSubscriptions.IPEBrentFutures.CFICode = FXXXXX

# ICE Market Type ID (IPE Gas Oil Futures) for 'IPEGasOilOptions' request
ICESession.SecurityDefinitionSubscriptions.IPEGasOilOptions.SecurityID = 4  
# CFI Code (Option) for 'IPEGasOilOptions' request    
ICESession.SecurityDefinitionSubscriptions.IPEGasOilOptions.CFICode = OXXXXX

# Subscription for ICE trades - filters (optional part).

# If section is absent ICE Handler will subscribe for all trades which ICE Trade Capture session is entitled to
# TradeCaptureSubscriptions defines list of subscriptions. 
# ICE Handler will generate one Trade Capture Report Request (MsgType='AD') message for each configured subscription
# For each subscription can specify one of the following properties: ClientID, CFICode, SecurityID, Symbol.
# ClientID - Company ID submitted trades# CFICode - defines security types. Valid values: 'FXXXXX' (Futures), 'OXXXXXX' (Options)
# Symbols - List of symbols which trade(s) was(were) made for. More than one value can be stated. 
#           Valid values are defined by UnderlyingSymbol (311) received in Security Definition (MsgType = 'd') message
# SecurityID - represents ICE Market Types or SecurityID of certain instrument (i.e. value of UnderlyingSecurityID (309) received in Security Definition (MsgType = 'd') message)
ICESession.TradeCaptureSubscriptions = TrdCpt01, TrdCpt02
# Definition of 'TrdCpt01' subscription
ICESession.TradeCaptureSubscriptions.TrdCpt01.ClientID = SenderCompID        # Company ID submitted trades
ICESession.TradeCaptureSubscriptions.TrdCpt01.CFICode = FXXXXX               # CFI Code (Futures) 
ICESession.TradeCaptureSubscriptions.TrdCpt01.SecurityID = 2                 #ICE Market Type ID (Oil) 
ICESession.TradeCaptureSubscriptions.TrdCpt01.Symbols = Symbol1, Symbol2     # List of symbols which trade(s) was(were) made for
# Definition of 'TrdCpt02' subscription
ICESession.TradeCaptureSubscriptions.TrdCpt02.CFICode = OXXXXX               # CFI Code (Options)

Is used to specify the following:

• declare ICE Handler;

   Expand source

  ..........
  <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;

   Expand source

  ..........
  <Rule Description="Launch ICE Handler">
  	 <Source> 
            <FixSession SenderCompID=".*" TargetCompID=".*" />
  	 </Source>
  	 <Condition>
  	      <MatchMessage Value=".*SenderCompID.*" /> 
            <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)

   Expand source

  ..........
  <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="ICEHandler" />
  		<Script Language="JavaScript" FileName="../FIXEdge1/conf/ICETrdCapt.js" />
  	</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="ICEHandler" />
  		<Script Language="JavaScript" FileName="../FIXEdge1/conf/ICESecDef.js" />
  	</Action>
  </Rule>	
  ..........

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

   Expand source

  ..........
  <History Name="Sent_Messages_ICE"
               StorageType="ODBC"
               MaxNumberOfRecords="15000"
               TableName="Sent_Messages_ICE"
               ColumnSize="256"
               ConnectionString="DSN=ICE_Trades;UID=ice_admin;Pwd=temp_pass;">
        <KeyField ColumnName="ExecID" ColumnSize="256">17</KeyField>
        <KeyField ColumnName="Symbol" ColumnSize="128">55</KeyField>
        <KeyField ColumnName="Side" ColumnSize="128">54</KeyField>
        <KeyField ColumnName="SendingTime" ColumnSize="128">52</KeyField>
        <KeyField ColumnName="OrdStatus" ColumnSize="128">39</KeyField>
        <KeyField ColumnName="ExecType" ColumnSize="128">150</KeyField>
        <Field ColumnName="TradeReportID" ColumnSize="128">571</Field>
        <Field ColumnName="UniqueTradeID" ColumnSize="100">5996</Field>
  </History>
  ..........

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 ****
• Heartbeat Interval = 60 (recommended; value of '0' will lead to connection drops)
• Reconnect Interval = 15000 (recommended)
• Username = **** as supplied by ICE ****
• Password = **** as supplied by ICE ****
  

• Logon = optional custom logon message used for high-precision timestamps, see example below:

  Custom ICE Trade Capture Logon

  8=FIX.4.4_9=102_35=A_49=Sender_56=ICE_34=1_50=1_52=20170526-12:55:43.679_98=0_108=10_141=Y_9007=1_10=141_