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.
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:
Hostinfo.cfg File Parameter
FIX Order Sessions
Primary and backup order session connection IP addresses and port assignments.
Order Session Password
FIX Order Session ID (SenderCompID)
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
Trader Password in TT User Setup
Market Data Connection
Obtain the following market data connection credentials:
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.
Hostinfo.cfg File Parameter
Price session connection IP addresses and port assignments.
Price Session ID (SenderCompID)
Direct Trader Username
Direct Trader Password
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.
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.
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).
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.
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
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