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Exchange Information

Exchange Background

The eSpeed electronic trading platform provides real-time institutional trading of benchmark U.S. Treasury Securities, one of the largest and most liquid fixed-income cash markets in the world. The eSpeed trading business further diversifies NASDAQ OMX’s revenue stream by expanding substantially into the U.S. Fixed Income Markets.

Note

You can find the preceding information on the eSpeed website at: http://www.nasdaqomx.com/transactions/trading/treasuries

Time and Time Zone

Set the machine that hosts the eSpeed Gateway to run in (GMT-05:00) Eastern Standard Time zone and time (New York time) with Daylight Savings Time enabled.

Required Connection Information

Before you can install a eSpeed Gateway, you must work with the exchange to configure the following connection information:

Order and Fill Connection

Obtain the following order connection credentials:

Order Credentials

Credential Type

Exchange Credential

Hostinfo.cfg File Parameter

FIX Order Sessions

Primary and backup order session connection IP addresses and port assignments.

ExchangePrimaryIP

ExchangeBackupIP

ExchangePort

Order Session Password

SessionPassword

FIX Order Session ID (SenderCompID)

GatewayCompany

Note

You must also contact the exchange to configure throttle settings for each order session.

For more information, refer to Exchange Restrictions

Direct Trader Identification

Trader ID (SenderSubID)

Trader ID in TT User Setup

Password

Trader Password in TT User Setup

Market Data Connection

Obtain the following market data connection credentials:

Note

TT receives market data from both the exchange’s FIX TCP connection for the product download and the Real-Time Data Feed for price updates. Users must obtain credentials for both connections.

Market Data Credentials

Credential Type

Exchange Credential

Hostinfo.cfg File Parameter

Price Session

Price session connection IP addresses and port assignments.

ExchangeIP

ExchangePort

Price Session ID (SenderCompID)

GatewayCompany

Session Password

Password

Direct Trader Username

Username

Direct Trader Password

UsernamePassword

Exchange API Interface

eSpeed Gateways connect to the exchange through the following APIs:

  • Price: Real-time prices are multicast via an MDP Feed and FIX TCP connection for product download.
    Note

    To obtain connection to the MDP feed, user must either establish co-location with the exchange or connect via a co-located third-party vendor.

  • Orders and Fills: FIX 4.4 protocol.

Clearing Information

Users may work directly with eSpeed (via Cantor) for risk management and collateral posting. Other users may leverage an outside firm such as NewEdge or Insurance Corporation of British Columbia (ICBC).

Matching Algorithms

eSpeed provides First-in, First-out (FIFO) matching for all products.

Supported Products

eSpeed currently offers 2, 3, 5, 7, 10 and 30 year On-the-Run (OTR) US Treasury Notes and Bonds.

In addition, the exchange is planning to add WI (When-Issued), OLD (Off-The-Runs), FRNs (Floating Rate Notes) and WI-OTR Rolls in 2014.

Asset Classes

eSpeed offers products in the Bond asset class.

Trading Hours

The exchange provides 23-hour trading days from 6:30 PM EST - 5:35 PM EST the following day.

Supported Exchange Functionality

eSpeed Gateways support most exchange functionality including:

  • Real-Time Market Data Feed
  • Order Add
  • Order Cancel
  • Order Replace
  • Changes to Quantity, Price, FFT2, Iceberg disclose quantity and total quantity
    Note

    Increases to quantity results in the extra quantity being placed at the end of the queue. The order will still have one single orderID even if there is size at multiple positions in the queue.

  • Fill Processing
  • Fill Recovery

Unsupported Exchange Functionality

eSpeed Gateways do not support the Limit Peg order type.