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Support of OTC Trades (FIXML)

Overview

The Eurex Gateway uses a FIXML-based OTC Router component to support OTC (over the counter) trades. The FIXML OTC Router provides a connection from the gateway to the FIXML Clearing API interface server in the Eurex network in order to enter Block and Vola orders for clearing and reporting purposes.

Logical Architecture Diagram - FIXML

The Eurex Gateway’s OTC functionality consists of the OTC Router, FIXML connections, SSL connection to the FIXML Clearing API, and the connection between the OTC Router and Order Server.

FIXML messages are transported to/from the OTC Router via AMQP (Advanced Message Queuing Protocol) over a secure connection. The OTC Router connection to the FIXML Clearing API interface is encrypted using the Secure Sockets Layer (SSL) protocol, so gateway and FIXML server authentication with certificates is required (refer to the following diagram).

Connection to the AMQP Broker is established through a standard TCP/IP socket; the AMQP broker is listening on a specific port for incoming connections. The FIXML connection requires that the FIXML OTC Router authenticates the server certificate of the Eurex AMQP broker before the SSL session can be established.

Starting the FIXML OTC Router

The FIXML OTC router will go active on start-up of the gateway and connect to the FIXML Clearing API interface. When the Order Server is started, it will connect to the FIXML OTC Router. Upon successful connection to the Order Server, the FIXML OTC Router displays as green in Guardian and connects to the AMQP broker.

The FIXML OTC Router is started as a service similar to other TT Gateway services (e.g., Order Server). The FIXML OTC Router run times are controlled by enabling the service in thchron.ini. Refer to Configuring ttchron.ini: FIXML OTC Router.

At start-up, the FIXML OTC Router downloads fills for all Members (i.e., FIXML sessions) configured on the Eurex Gateway. OTC order download during start-up and recovery scenarios is not performed.

Note

In order to use the FIXML OTC Router, there must be at least one active session configured on the gateway.

Routing OTC Orders

Any OTC (Block and Vola) orders entered via the Eurex Gateway are routed through the FIXML OTC Router via the secured (SSL) TCP/IP connection to the FIXML Clearing Interface. Only bilateral Block trades are supported by the gateway. Regular orders entered through the Eurex Gateway with an FIXML OTC Router enabled are sent through the Order Server via the TCP/IP session connections to the exchange.

Order book sharing is supported and the same order book sharing rules apply. Traders belonging to the same group will be able to see and act on each other's orders, etc.

For a logical architecture diagram of the gateway and a description of Order and Fill flow through the FIXML OTC Router, refer to Order Server Data Flow (ETI and FIXML).

Troubleshooting the FIXML OTC Router

To view the FIXML OTC Router status, do the following:

  1. Login as an Administrator in Guardian
  2. Right click the Order Server for your Exchange-flavor Eurex Gateway (e.g., Eurex-C) and select View Status

    If the FIXML OTC Router is Active, it will display as green in Guardian. The FIXML OTC Router status displays in Guardian for about 30 seconds.

Reasons why the FIXML OTC Router would not appear or display as green in Guardian:

  • The FIXML OTC Router is connected to the FIXML Clearing API but not to the Order Server. If the FIXML OTC Router is configured, the Order Server displays as half green/half yellow and continuously tries to reconnect to the FIXML OTC Router. The FIXML OTC Router will not appear in Guardian until the Order Server connects to it.
  • The Order Server is connected to the FIXML OTC Router, but the FIXML OTC Router is not connected to the FIXML Clearing API. In this case, the FIXML OTC Router displays as half green/half yellow in Guardian.
  • The FIXML OTC Router is not configured on the Eurex Gateway.
  • The FIXML OTC Router has not been started.
  • The FIXML OTC Router is having problems starting up due to Eurex networking issues: FIXML Clearing API connection failure, FIXML broker server failure, unavailable exchange services, exchange back end issues, etc.
Note

If the FIXML OTC Router loses its connection to the FIXML server during the trading day, only OTC orders are rejected by the Eurex Gateway. In this case, the Order Server remains active and traders can continue to place regular orders and receive fills.

Submitting OTC Orders

X_TRADER® 7.11.x or lower supports submitting OTC orders (Block and Vola) via the FIXML OTC Router. However, there are differences in TT Gateway behavior based on whether the orders are entered through the Eurex exchange GUI @X-Ceed screens or X_TRADER®.

Traders can view OTC and regular fills in the same Fill Window in X_TRADER and have consolidated P&L and position management for both OTC and non-OTC trades. Block and Vola orders are always sent as persistent orders to the exchange.

Note

When submitting an OTC Block or Vola trade from the Eurex Gateway, customers need to confirm that their counterparty is prepared to receive trades entered through the FIXML interface as a “Multilateral OTC Block Trade with two legs.” Earlier versions of the Eurex Gateway with VALUES-based OTC functionality only supported bi-lateral Block trades.

Submitting Block Orders in X_TRADER

When submitting Block orders in X_TRADER:

  • The Member and Group of the counterparty (destination) for the Block trade is supported in the Counterparty Information field in the Order pane.

    Submitting an OTC Block trade via X_TRADER requires specifying the Member and Group of the counterparty instead of just the Member credential as on previous versions of the gateway.

    Note

    If the Group is omitted from the Counterparty Information field, the exchange will reject the order and the gateway will forward the following exchange message to the Audit trail:

    82002- Mandatory party role 59 is missing

  • Three reference numbers comprise the Order Number displayed in the Order Book:
    • Block Trade Reference number - also called the Eurex Link ID. This number is the same for all legs of the multilateral trade and is used to retrieve the multilateral trades via the Eurex GUI.
    • Block Trade ID for the Buy side – a unique transaction ID for the buy leg of the Block trade that is used to retrieve and approve the buy side of the trade via the Eurex GUI.
    • Block Trade ID for the Sell side – a unique transaction ID for the sell leg of the Block trade that is used to retrieve and approve the sell side of the trade via the Eurex GUI.
  • The counterparty needs to inquire the Block sell-side order to accept it. Because they are using the FIXML Clearing Interface, both sides of the Block trade are required to approve To do this, traders can use the Inquire button or Inquire Action in the X_TRADER Orders and Fills Window. Once inquired, the approving side of the trade clicks Accept in the Order Book. Refer to the X_TRADER 7.11.X Online Help for more details on inquiring and accepting Block orders.
  • The trade must be approved before any fills can be generated by the Eurex Gateway. However, similar to previous Eurex Gateway versions using a VALUES-based OTC Router, the Eurex Gateway automatically approves the buy side of a Block trade if the buy side is entered via the gateway.
  • After the Block trade is approved, the fill is received only for the corresponding order that is available on the Eurex Gateway. For example, if only the sell or buy side Order Book is visible on the Eurex Gateway, then only the sell or buy side fill is received. However, if both sides of the trade are on the same gateway, then the fill is double-sided.
    Note

    If the Block order was entered via X_TRADER and modified externally, it must also be approved externally so that the trade can go through and show up correctly in the TT system.

  • The submitting side of the Block trade can modify the order as long as it is not yet approved by the counterparty, who receives notification that the order has been modified.

Submitting Vola OTC Trades in X_TRADER

When submitting these trades in X_TRADER:

  • The counterparty field requires the Member credential only (the Group is not required).
  • The counterparty needs to inquire the Vola order to accept it. Only the counterparty/approving side of the trade needs to approve it; the initiating buy side does not. Traders can use the Inquire button or Inquire Action in the X_TRADER Orders and Fills Window. Once inquired, the approving side of the trade clicks Accept in the Order Book. Refer to the X_TRADER 7.11.X Online Help for more details on inquiring and accepting Vola orders.
  • After the Vola trade is approved, the fill is received only for the corresponding side that is available on the Eurex Gateway. For example, if only the sell or buy side Order Book is visible on the Eurex Gateway, then only the sell or buy side fill is received. However, if both sides of the trade are on the same gateway, then the fill is double-sided.
  • The submitting side of the Vola trade can modify the order as long as it is not yet approved by the counterparty, who receives notification that the order has been modified.

Submitting Give Up Orders

If the buy side is rejected due to an invalid Give Up member, the trader must resubmit the Give Up order and the sell side needs to reapprove it.

Upgrade Considerations

When upgrading to Eurex Gateway from a version with a VALUES-based OTC Router, the Gate software can remain on the gateway machine and does not need to be removed.

Block Trades

If one counterparty (Buy or Sell side) upgrades to Eurex Gateway, the other counterparty, in order to take the opposite side of the Block trade, should use one of the following solutions:

  • Eurex Gateway with the FIXML OTC Router enabled for order entry.
  • Eurex @Xceed Trading GUI.
  • A custom application connected through the FIXML interface with support for OTC Block Trade functionality.

Vola Trades

There is no dependency on the Eurex Gateway version for counterparties to use for entering Vola trades.

If one counterparty upgrades to Eurex Gateway with FIXML support, the other counterparty, in order to take the opposite side of the Vola trade, could use one of the following solutions:

  • Eurex Gateway with the FIXML OTC Router enabled for order entry.
  • Eurex @X-Ceed GUI.
  • A custom application connected through the FIXML interface with support for Vola trade functionality.

Dedicated Order Management for OTC Orders

Eurex Gateways with OTC Routers provide the following Order Management behaviors:

  • The Eurex Gateway only processes orders and fills that originate from the same Exchange-Flavor (i.e., Eurex-A) including its failover partner.
  • The Eurex Gateway ignores all unsolicited orders that originate elsewhere (i.e., another Eurex Gateway or a non-TT Front End application).
Note

By default, the exchange manages and rejects unsolicited orders and fills. This enhancement solely aids in managing orders and fills between TT Eurex Gateways with OTC Routers within your trading network.