Preface
B2BITS' FIX ICE Trade Capture Solution is a server application pre-configured to work with the 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
1.1 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); - Defined Strategy (MsgType = ''UDS");
- Trade Capture Report Request Ack (MsgType = ''AQ");
- Trade Capture Report (MsgType = ''AE");
- News (MsgType = "B").
- Security Definition (MsgType = ''d")
2.1 ICE Trade Capture Solution - SecDefFirst Mode Workflow Diagram
SecDefFirst Mode Workflow diagram step-by-step description
Main flow
- ICE Trade Capture Solution starts and establishes FIX Session to ICE Trade Capture using details from FIXEdge.properties file.
- Once the session is established ICE Trade Capture Solution is doing the following in a loop for each security definition subscription stated in ICEProperties.properties:
- generates Security Definition Request (MsgType = 'c'), filling the values of tags 48 (SecurityID), 461 (CFI Code), and 321 (SecurityRequestType)
- waits until the previous request is completed or predefined timeout (60 seconds by default) is expired
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=3|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 the last processed Security Definition is preserved in the persistent 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. - 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. - ICE Trade Capture Solution is doing the following in a loop for each defined strategy subscription stated in ICEProperties.properties:
- generates Security Definition Request (MsgType = 'c'), filling the values of tags 48 (SecurityID), 461 (CFI Code), and 321 (SecurityRequestType)
- waits until the previous request is completed (the News (MsqType = B) has been received) or predefined timeout (60 seconds by default) is expired
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=101|48=1|461=FXXXXX|10=043|
Note: Define Strategies 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 the last processed Define Strategy is preserved in the persistent file (ICE_persistStorage.out) per each subscription with the time accuracy received in the incoming message.
Note: Mentioned timeout (p.4.2) can be changed by specifying ICESession.SecurityDefinitionSubscriptions.RequestTimeout parameter (in milliseconds) in ICEProperties.properties configuration file. - ICE Trade Capture determines that request parameters are valid and replies with Defined Strategy (MsgType = 'UDS') messages.
- ICE Trade Capture Solution generates Trade Capture Report Request (MsgType = 'AD') for all available trades, based on the data preserved in the persistent 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|
- 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
| - ICE Trade Capture sends Snapshot of trades - one or more Trade Capture Report (MsgType='AE') messages.
- 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
| - ICE Trade Capture starts sending live updates (new trades or changes to existing ones - Trade Capture Report (MsgType='AE') messages, and new defined strategies - Defined Strategy (MsgType = ''UDS") messages).
PublishMktCreationRealtime(9010) tag value in Logon Request (MsgType = "A") must be equal "1" to receive UDS created real time during the trading session.
Exceptional cases
3a. ICE Trade Capture determines that the request contains an invalid ICE Market ID or an ID that the 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 the request contains an invalid CFI Code.
3b1. ICE Trade Capture sends Security Definition (MsgType = 'd') for the specified ICE Market ID for CFI code = FXXXXX (Futures)
3b2. The main flow continues from step 4.
5a. ICE Trade Capture determines that the request contains an invalid ICE Market ID or an ID that the user is not allowed to access.
5a1. ICE Trade Capture sends Security definition (MsgType = 'UDS') with tag 323 (SecurityResponseType) = '5'
5a2. Main flow continues from step 6.
8a. ICE Trade Capture does not have data available to be sent as a Snapshot.
8a1. The main flow continues from step 9.
2.2 ICE Trade Capture Solution - TradesFirst Mode Workflow Diagram
If the ICESession.SecurityDefinitionSubscriptions.RequestMode property is set to TradesFirst, the ICE Trade Capture Solution will execute the TradesFirst Mode Workflow, as shown below. This flow is advantageous to those whose priority is increased performance rather than security. Trades are processed first, and if so configured, security definition subscription processing (optional) is executed simultaneously, with minimized delays to trade message processing.
Optional:
To configure security definition subscription processing, use the ICESession.TradeCaptureSubscriptions.RequestMode parameter in the ICEProperties.properties file.
TradesFirst Workflow diagram step-by-step description
ICE Trade Capture Solution starts and establishes FIX Session to ICE Trade Capture using details from FIXEdge.properties file.
- The Main Flow commences (see below).
- If security definition subscription processing is configured, the Main Flow and the Security Definition Subscription Flow (below) take place simultaneously.
Main Flow
Trade Capture Report thread:
ICE Trade Capture Solution generates Trade Capture Report Request (MsgType = 'AD') for all available trades, based on the data preserved in the persistent 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|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|ICE Trade Capture sends Snapshot of trades - one or more Trade Capture Report (MsgType='AE') messages.
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|ICE Trade Capture starts sending live updates (new trades or changes to existing ones - Trade Capture Report (MsgType='AE') messages
Security Definition Subscription Flow
Security Definition thread:
- Once the session is established ICE Trade Capture Solution is doing the following in a loop for each security definition subscription stated in ICEProperties.properties:
1. generates Security Definition Request (MsgType = 'c'), filling the values of tags 48 (SecurityID), 461 (CFI Code), and 321 (SecurityRequestType)
2. waits until the 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=3|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 the last processed Security Definition is preserved in the persistent 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. 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.ICE Trade Capture Solution is doing the following in a loop for each defined strategy subscription stated in ICEProperties.properties:
1. generates Security Definition Request (MsgType = 'c'), filling the values of tags 48 (SecurityID), 461 (CFI Code), and 321 (SecurityRequestType)
2. waits until the previous request is completed (the News (MsqType = B) has been received) 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=101|48=1|461=FXXXXX|10=043|
Note: Define Strategies 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 the last processed Define Strategy is preserved in the persistent file (ICE_persistStorage.out) per each subscription with the time accuracy received in the incoming message.
Note: Mentioned timeout (p.4.2) can be changed by specifying ICESession.SecurityDefinitionSubscriptions.RequestTimeout parameter (in milliseconds) in ICEProperties.properties configuration file.ICE Trade Capture determines that request parameters are valid and replies with Defined Strategy (MsgType = 'UDS') messages.
- ICE Trade Capture starts sending new defined strategies - Defined Strategy (MsgType = ''UDS") messages).
Exceptional Cases
Main Flow:
3a. ICE Trade Capture does not have data available to be sent as a Snapshot.
3.a. Main Flow continues from step 4.
Security Definition Subscription Flow:
2a. ICE Trade Capture determines that the request contains an invalid ICE Market ID or an ID that the user is not allowed to access.
2a.1. ICE Trade Capture sends Security Definition (MsgType = 'd') with tag 323 (SecurityResponseType) = '5' or '6'
2a.2. Security Definition Subscription Flow continues from step 3.
2b. ICE Trade Capture determines that the request contains an invalid CFI Code.
2b.1. ICE Trade Capture sends Security Definition (MsgType = 'd') for the specified ICE Market ID for CFI code = FXXXXX (Futures)
2b.2. Security Definition Subscription Flow continues from step 3.
4a. ICE Trade Capture determines that the request contains an invalid ICE Market ID or an ID that the user is not allowed to access.
4a.1. ICE Trade Capture sends Security definition (MsgType = 'UDS') with tag 323 (SecurityResponseType) = '5'
4a.2. The flow ends.
3.1 Processing Incoming ICE Trade Capture Data
- All incoming traffic (Security Definitions, Defined Strategy, and Trade Capture Report Messages) is stored in the database by means of stored procedures.
See ICE Trade Capture to Database for details. - Alternatively, data can be published to any other middleware supported by FIXEdge.
ICE Trade Capture Solution Configuration
Please see the table below that represents the components included in the FIXEdge package intended for ICE Trade Capture Solution:
Add-on Component | Configuration File | Description |
---|---|---|
ICE Trade Capture Handler (ICEHandler) | ICEProperties.properties | The separate configuration file used to specify the following ICE Handler parameters: ICE session name, persistence file location, parameters of security definition request(s). |
BL_Config.xml | Is used to specify the following:
| |
Extension to standard FIX 4.4 dictionary | additional_ice.xml | Defines custom tags for ICE Trade Capture API messages |
ICE FIX Session details | FIXEdge.properties | Is used to specify FIX Session details
|
ICETC_Logon.msg | Is used for two main purposes:
Other custom tags can be also specified and used. Please check the ICE specification for details. | |
Database SQL scripts | ICE_database.sql MSSQL_ICETrdCapt.sql MSSQL_ICESecDef.sql MSSQL_ICEStrategies.sql | Used to create database objects
|