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Understanding Order Management

Overview

The Eris/GovEx Gateway Order Server connects to the Eris SwapBook™ 3.0 electronic trading platform via the FIX Order API to place orders and receive trade confirmations and fills. It also connects via FIX to the Eris SwapBook API implementation of the FIX Straight Through Process (STP) API for receiving fills and trade confirmations in the event of an exchange outage or gateway disconnect. Two separate session connections are required on the Order Server:

  • FIX Order API connection
  • FIX STP API connection

Order Server Data Flow

Note

Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram.

The Logical Architecture diagram illustrates the following order flow:

  • The Order Server connects to Eris SwapBook order and STP connections using the parameters configured in the Hostinfo.cfg file.
  • The Order Server queries for all order and fill data from Eris.
  • X_TRADER® logs into the Eris/GovEx Gateway.
  • X_TRADER® submits an order to the Order Server.
  • The Order Server sends an ACCEPT/ADD message to the trader’s Audit Trail (in X_TRADER®).
  • The Order Server sends the order to the exchange host
  • Upon receipt, the exchange host sends an order confirmation back to the Order Server.
  • The Order Server sends the order confirmation (as an OK/ADD) to the trader’s Audit Trail in X_TRADER®.

Fill Server Data Flow

Note

Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram. Also, native orders are those orders normally accepted by the exchange's API.

The Logical Architecture diagram illustrates the following fill flow:

  • The exchange host matches the order.
  • The exchange host sends a fill to the Order Server.
  • The Order Server records the fill in the fills.tbl file.
  • Simultaneously, the Order Server:
    • Sends a fill response to X_TRADER®. X_TRADER® displays a fill in the Audit Trail. X_TRADER® updates the relevant files and screens (i.e., if it is a complete fill, the order is removed from the X_TRADER® Order Book).
    • Sends the fill to the Fill Server.
  • The Fill Server updates the .bof file and sends a fill to X_TRADER®.
  • X_TRADER® displays the fill in the Fill Window.

Dedicated Order Management

To increase order efficiency, the Eris/GovEx Gateway behaves as follows:

  • The Eris/GovEx Gateway processes only orders and fills that originate from that Eris/GovEx Gateway.
  • The TT Gateway ignores all “foreign” orders that originate elsewhere (i.e., another Eris/GovEx Gateway). The Eris/GovEx Gateway does not forward foreign orders to the client applications.
  • You can modify orders (i.e., increase/decrease quantity or price) that originate from the Eris/GovEx Gateway, including working orders that have been partially filled.

    The exchange does not natively support modifying working orders that have been partially filled. However, if a user attempts to modify the price or remaining quantity of a partially filled order, the gateway deletes the working order and submits a new one with the modified price or quantity.

  • The Eris/GovEx Gateway supports order book sharing only between traders using the same member ID and group ID and sharing the same Eris/GovEx Gateway.

On Behalf Trading (Tag 109)

For “on behalf” trading, the Eris exchange allocates Client IDs to traders upon request. Client IDs can be allocated under the same Clearing Account as that of the Fix Order ID or under a different Clearing Account. For “on behalf” trading, the Client ID (Tag 109) must be populated in the order message.

To use “on behalf'” trading, traders must populate the Give Up field in X_TRADER® or other client trading application. If the Give UP field is populated through a TT Client application, the Eris/GovEx Gateway maps the value to Tag 109. An order placed with a Client ID (Tag 109 populated) can only be changed or deleted by the same Client ID (i.e., by specifying the same Tag 109 value).

Order Book Sharing

Eris/GovEx Gateways share order book information between traders of the same membership and same group. This represents the default behavior and is similar to other TT Gateways. You can use TTORDs to divide traders by group. This disables order book sharing across the membership.

When a trader submits an order, that order appears in the order book of every trader who shares the same membership and group. In addition, all traders that share a membership and group can modify and delete each other’s orders.

Order Session Identification

TT Gateways 7.16 and higher contain an enhancement that displays the exchange credential used to route all orders and fills through the exchange. This includes all order modifications and exchange rejects but does not include orders actions on Hold orders and position reserve orders.

Currently, this value is available in the following locations:

  • Audit logs: appears in the ExchangeCredentials column
  • Order Server logfile
  • FIX Adapter 7.8: via Tag 18216 (ExchCred)
Note

The exchange credential will be available in future versions of other TT client applications.

For Eris, the exchange credential equals a combination of FIX Tag 49 (SenderCompID) as listed in the sendercompid parameter listed in the Member parameter listed in the [order_session_trade#] section used to route the order. The parameters are configured in Hostinfo.cfg.