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Exchange Background, Interface, and Restrictions

Exchange Background

Founded in January 1999 by a consortium of 14 of the world's largest financial services companies, BrokerTec is a leading global electronic fixed income trading platform.

ICAP acquired the BrokerTec Futures Exchange in May of 2003. ICAP is now the leading global electronic interdeal broker, as well as the leading voice broker. ICAP facilitates daily average transaction volume in excess of $1 trillion, 50% of which is electronic.

Note

You can find the preceding Exchange information on ICAP’s website at http://www.icap.com/markets/electronic-markets/brokertec/us-treasury.aspx.

Time and Time Zone

Set the machine that hosts the BrokerTec Gateway to run in (GMT-05:00) Eastern Time (US & Canada) Time zone and time. You must turn-on the Automatically adjust clock for daylight saving changes setting.

Required Connection Information

Prior to installing a BrokerTec Gateway or upgrading to Version 7.12, you must work with the Exchange to obtain the following connection information:

  • Work with the Exchange to obtain usernames and passwords for each Order API connection.
  • Work with the Exchange to enable user IDs to support the IQ18 and CQ59 queries.
  • Obtain and enable a unique user ID and password that supports subscriptions to the BO23 market data broadcast. BO23 enabled IDs begin with the TTPF_ prefix.
  • Obtain a connection IP address and port for the Price and Order API connections.

Line Requirements

BrokerTec Gateways Version 7.12 and above support the BO23 market data broadcast. This broadcast is only available via BrokerTec’s Full Cabinet installation option. In order to support this option, customers must install a T1 line with two Network Gateways at the customer site. Each line can support up to 50 connection IDs. After meeting this threshold, BrokerTec requires additional Network Gateways be installed, up to five maximum. If more than five Network Gateways are required, a separate line would need to be installed.

Exchange API Interface

This section lists the Exchange API fields and messages that the BrokerTec Gateways subscribe to.

Note

Verify with the Exchange that your BrokerTec Gateway is set up to receive all relevant API messages. The Gateway will not operate correctly if it does not receive required messages.

BrokerTec Gateways use the following API fields:

API Field Descriptions

Field

Description

ex_client_s

Holds the TT Order Key information

customer_info_s

Holds the Trader ID information

exchange_info_s

Holds Account information from the FFT1 field

API Messages

BrokerTec Gateways subscribe to the following TTP API messages:

TTP Messages

TTP Message

Required?

BD1: Deals in the Market

Yes

BD2: Extended Price Info

Yes

BI81: General Message

No; by default the Gateway subscribes to this message, but is able to operate without it.

BI41: Instrument Status Info

No; by default the Gateway subscribes to this message, but is able to operate without it.

BI99: Workup Information

Yes

BO14: Order Book Levels (Market Depth)

Yes; This is required for TTP IDs but is not required for TTPF IDs.

BO23: Full Order Depth

No; by default the Gateway subscribes to this message, but is able to operate without it.

BO36: Order Book Snapshot

No; BrokerTec Gateways Version 7.12 and higher do not subscribe to this message. Older versions of the Gateway subscribe to this message, but is able to operate without it.

IQ18: Query Total Volume and Prices Transaction

Yes; BrokerTec Gateways Version 7.12 and higher require a subscription to this message. Older versions of the Gateway do not support subscribing to this message.

CQ59: Query Last Paid

Yes; BrokerTec Gateways Version 7.12 and higher require a subscription to this message. Older versions of the Gateway do not support subscribing to this message.

BrokerTec Gateways subscribe to the following TTF API messages:

TTF Messages

TTF Message

Required?

BD1: Deals in the Market

Yes

BD6: Dedicated MarketPlace Trade Variable Info

Yes

BI67: Dedicated Order Change Info

No; by default the gateway subscribes to this message, but is able to operate without it.

BI99: Workup Information

Yes

BN1: Network Status Events

Yes; this message has three possible status values:

  • OMDU_DATALOST: One or several broadcast messages have been lost and orders will be inactive. The Order Server will be shut down to prevent stale orders in the Order Book.
  • OMDU_LINKLOST: The connection to the broadcast system has been lost and orders will be inactive. The Order Server will be shut down to prevent stale orders in the Order Book.
  • OMDU_SENDERLOST: The broadcast system has lost the connection to a sender. Orders will not be inactive; however, the Order Server will be shut down so that fills and workup messages are not missed.

Matching Algorithms

BrokerTec uses a ‘work-up’ order matching methodology. The Workup matching methodology rewards market participants for the risk of showing bids or offers with a period of exclusivity during which they can increase order size.

Workup is divided into three distinct phases – the private, public, and idle phases. In the private phase, workup provides a one-on-one trading window between the workup owners.

Available Products

The following products are currently offered for trade by BrokerTec:

  • U.S. Treasuries: Notes, Bonds, STRIPS, TIPS, Actives and off-the-run Bills
  • Canadian Government Bonds, Switches, Rolls and T-Bills