You can configure Eurex Gateway 7.17.40 or higher to assist your users in becoming compliant with Eurex’s regulations regarding the labeling of algorithmic trades. For more information about the exchange requirements, refer to the Eurex guide to algo flagging and regulatory requirements.
Configuring the Gateway for Algo Labeling
To support algo labeling on the gateway, configure the following parameters in the applicable hostinfo.cfg file:
- Set the SendRegulatoryID parameter to 1 to send the ComplianceID (tag 25029) to the exchange.
- If needed, set the AlgoRange parameter to uniquely identify each session sending a ComplianceID.
Refer to the following table:
|SendRegulatoryID||Sets whether or not to send an “algo” identifier as
the ComplianceID (tag 25029) for automatically submitted orders
on this session. If sent, all algo IDs are prepended with “545447”
to identify that they were generated via the TT system. Valid values
Note: FFT3 from the client cannot be larger than 8 bytes.
By default, SendRegulatoryID=0.
NOTE: After the upgrade to T7 6.0 API, the Compliance ID field is removed and replaced by the MiFID II Execution Decision ID and Execution Decision Qualifier fields. Customers who are required to populate the Compliance ID for Algo orders are now required by Eurex, as of December 4, 2017, to properly set both the Execution Decision ID and the Execution Decision Qualifiers correctly in accordance with German HFT regulations. Eurex Gateway 7.18.25 or higher includes a UseDefaultMIFID parameter that supports this requirement.
When configuring the UseDefaultMIFID parameter on Eurex Gateway 7.18.25 or higher, the Execution Decision and Qualifier values will be set as follows:
Sets whether or not to tag an algorithm identifier (algo ID) with an additional ID that's specific to a session or group of sessions. The same value can be configured for multiple sessions. Valid values are 0-255.The additional ID is an 8-bit number that is prepended to the 24-bit algo ID that's generated by the algo client, resulting in a new 32-bit number that's sent to the exchange as the ComplianceID (tag 25029). This allows you to tag a different 32-bit identifier on identical algos that are sent on different sessions or through different gateways.
When AlgoRange is configured, the gateway calculates the algo ID as follows: algo ID = AlgoRange * 224 + FFT3
For example, if FFT3 is received from a client trading application as “2014” and AlgoRange=5, then the algo ID is calculated as:
5 * 224 + 2014 = 83888094.
The new algo ID for the session is prepended with “545447” and sent to the exchange as the ComplianceID. It is also logged in the CombinedAlgoId field in the gateway audit file. The FFT3 value “2014” is also logged separately in the audit file.
If value of the algo range parameter is set to x, the “range” of the generated ComplianceIDs will be as follows:Min = x * 2 ^ 24Max = (x+1) * 2 ^ 24 - 1Possible values for x are between 0 and 255.For example, Broker A allocates "100" as the first byte value of the ComplianceID for algorithms generated by the TT trading system. An end user (U) uses Autospreader to create a custom strategy (S). Autospreader sets the strategy's AlgoID equal to 200 and passes this AlgoID to the Eurex Gateway for all orders generated by the strategy (S). The Eurex Gateway modifies the number to account for the customized range as follows:ComplianceID = 545447*10^10 + 100* 2^24 + 200 = 1,677,721,800Range of IDs is:Min = 100 * 2^24 = 1,677,721,600Max = 101 * 2^24 - 1 = 1,694,498,815
By default, this parameter is not configured and the gateway behaves as if AlgoRange=0.
For more details refer to the Eurex Algo Labling guide.
|Example Different business units and TT members in two different sessions with Algo Labeling configured|
Configuring an Operator ID for Non-Eurex Members
Eurex’s regulatory requirement states that only direct exchange members are subject to the algo labeling rule. Clients of the exchange participants who are not exchange members (TTORDs in the TT system) do not need to label their algorithmically generated orders.
To meet this requirement, risk administrators must configure the Operator IDs for non-Eurex members in TT User Setup as: <Operator ID>|NM (e.g., TRAXV|NM)
All Eurex Gateways in your trading environment must be upgraded to 7.17.41 before adding “|NM” to non-Eurex member Operator IDs in TT User Setup. Refer to the Eurex Gateway 7.17.41 Release Notes for more details about upgrading to this version.
When it receives “NM” in the Operator ID field or if the Operator ID is blank on an order (even if SendRegulatoryID=1 ), the Eurex Gateway does not send the Regulatory ID to the exchange.
If “NM” is not sent to the gateway and SendRegulatoryID=1, the gateway sends the Regulatory ID to the exchange.
Configuring an Operator ID with an Algo Prefix Override
To ensure an exchange member’s clients to do not use the same algo IDs in the same ETI session, you can configure the clients’ Operator IDs in TT User Setup with a user-specific value that overrides the session-level value configured in hostinfo.cfg. The algo prefix override can also be configured to define a customer algo ID range on a TT username basis.
In TT User Setup, risk administrators must configure the user’s Operator ID as: <Operator ID>|<algo prefix override> (e.g., TRAXV|5).
For example, if AlgoRange=10 in hostinfo.cfg, but “TRAXV|5” is the Operator ID in TT User Setup, then the gateway calculates the Algo ID as: 5 * 2^24 + <FFT3>.
In the above example, a client (TTORD trader) is using the same session as the Eurex member’s other clients and prefers to differentiate their algo orders. The gateway calculates a new 8-byte algo ID using the algo prefix override from the TTORD trader’s Operator ID, prepends “545447”, and sends the algo ID to the exchange as the ComplianceID.
Algo IDs in Audit Files
The FFT3 field (algo identifier from the client trading application) and the combined session/algo identifier (created by the gateway) are both logged in the gateway audit files when they are passed to the exchange. To check these values in the audit file, do the following:
- Go to <root drive>:ttauditfiles
- Run the audit_convert.exe utility on the corresponding *.cba audit file (e.g., Eurex-Q_2014-02-24.cba).
- In Excel, open the converted audit file and check the values in the CombinedAlgoId and FFT3 fields.
Algo Labeling Documents
Additional information regarding impact to your trading environment is provided in the Eurex Algo Labeling Guide.