Eurex Gateway

Eurex Gateway Overview

FIX Adapter Impact

The Eurex Gateway T7 functionality impacts FIX Adapters connected to the gateway as follows:

  • Exchange time stamps on orders and fills: The UTC Time Bias settings in the FACT (the FIX Adapter Configuration Tool) for Eurex would need to be changed to 00:00:00 to account for UTC after upgrading to Eurex Gateway 7.16.9 or higher.
  • Strike Price decimal support: FIX clients have to provide and expect the new price value in tag 48 (SecurityID) and tag 202 (StrikePrice) prior to upgrading to 7.16.9 or higher.
  • FIX Adapters need to be restarted after upgrading the Eurex Gateway to 7.16.9.
  • Tag 60 (TransactTime) values on Execution Report (8) messages for Eurex orders and fills are displayed in UTC time.
  • Operator ID: No direct impact to FIX Adapter; the Eurex Gateway downloads this value from TT User Setup 7.4.7 and uses it to log in traders to the exchange. The Operator ID is set to the Eurex User ID in TT User Setup for each Eurex exchange trader and for each TTORD ID that is mapped to the exchange trader.

For more details on the FIX Adapter impact, refer to DTS Advisory API024-12.

Supported New Trading Architecture (T7) Functionality

The gateway supports the following functionality available via the Eurex New Trading Architecture:

  • Enhanced strategy creation
  • Lean orders specifically designed for high-frequency trading

Supported Exchange Functionality

The following lists exchange functionality that TT supports:

  • All of Eurex’s listed derivative products
  • Strategy Creation Wizard
  • Non-Persistent Orders and Quotes: In the event of a “Market Reset” or “Market Reallocation Event”, the exchange deletes non-persistent orders and quotes. Eurex Gateways use the default Eurex settings for this flag.

    TT opted to support this functionality to increase order performance. Internal testing has shown that using non-persistent orders results in a material decrease in order processing time, which is reflected in lower average TT round-trip times.

    • MOC, OCO, and Stop Orders are always marked persistent.
    • Orders on pro-rata matched futures are always marked persistent.
    • GTC and GTDate orders are flagged as non-persistent, by default. However, you can configure the gateway to mark these as persistent.
  • Contract HALT: Eurex can deactivate a Futures series with immediate effect and reactivate the series for trading on the next day. Contracts inactivated by Eurex display in the “FREEZE” status in the X_TRADER® Market Grid.
  • Stop Button Facility: This feature is not implemented through the TT System; however, the Eurex Gateway will process the associated events.
  • Pre-Trade Risk Protection: This feature is not implemented through the TT System; however, the Eurex Gateway will process the associated events.
  • Intraday Auctions: In addition to closing auctions, intraday auctions (if scheduled by the exchange) are supported by the Eurex Gateway.
  • Market Reset and Reallocation Event handling.
  • Block and Vola order types.
  • Cross requests
  • User Defined Strategies (Enhanced Transaction Interface)
  • Exchange for Physicals (Basis Trades) and Exchange for SWAPs

Unsupported Exchange Functionality

The following lists additional exchange functionality that TT does not currently support:

  • Book-or-Cancel order type (T7)
  • Flexible Options and Futures
  • Multilateral Trade Registration facility
  • Eurex Clearing Functionality
  • FIX order routing
  • MDI price processing