Millennium Exchange - Oslo Børs cash equities and fixed income markets. OSLMIT 502 Guide to Application Certification

Transcription

1 Millennium Exchange - Oslo Børs cash equities and fixed income markets OSLMIT 502 Guide to Application Certification Issue November 2014

2 Important note This document has been produced by Oslo Børs to assist customers of the Oslo Børs and Burgundy markets throughout the migration to Millennium Exchange. Part of the documentation is based on documentation from Millennium IT and the London Stock Exchange Group. Where the document title includes a number (i.e. OSLMIT 201), the number corresponds to similar documentation from The London Stock Exchange and/or from Borsa Italiana. For more details, please see references in the appendix. If you have any general queries relating to this document, please technicalsupport@oslobors.no Further copies of this document can also be downloaded from the Oslo Børs website Disclaimer This document has been prepared on the basis of the best information available. Oslo Børs has taken reasonable efforts to ensure that the information in this publication is correct at the time of publication, but shall not be liable for decisions made in reliance on it. Oslo Børs will seek to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only. This document does not form part of the contractual documentation between the Oslo Børs and its customers. Oslo Børs OSLMIT 502 Guide to Application Certification 2

3 Change log This document can be updated at any time, and has been through the following iterations: Issue Date Description July 2012 Initial document release 1.1 August 2012 Updated section 4.1.1, and November 2012 New release of the document as the Millennium platform is launched and the migration project is finalized. Minor wording changes to remove references to project and document links updated April 2013 Updated to include Burgundy markets November 2014 Changed the name of the low latency market data channels and protocol. Please note that only the latest issue of this document will be available from the Oslo Børs website. Details of the changes made in each issue of the document are described in the appendix. Changes from the previous issue of the document are indicated by a left margin bar. Oslo Børs OSLMIT 502 Guide to Application Certification 3

4 Content Important note... 2 Disclaimer... 2 Change log... 3 Content Introduction Purpose Readership Document series Service Overview Self Certification Conformance Test Environment Self-Certification Process Certification Policy Test Cases Market Data Test Cases FIX/FAST FIX/FAST Replay Service FIX/FAST Recovery Service Market Data Test Cases MITCH MITCH Replay Service MITCH Recovery Service Trading Test Cases FIX and Native Trading Gateways Order Management Log On Order Management Cancel on Disconnect/Logout Order Management Unsolicited Messages Post Trade Gateway Validation Own Trades Book Download Drop copy Gateway Validation Own Order Book Download On Behalf of Actions Cancel an Order and Trade FIX Sequence Number Resets Error Handling Appendix 1 Issue Updates Issue 1.0 Released 31 July Oslo Børs OSLMIT 502 Guide to Application Certification 4

5 Issue 1.1 Released Aug Issue 2.0 Released 12 November Issue 2.1 Released 17 April Issue 2.2 Released 10 November Appendix 2 - References Oslo Børs OSLMIT 502 Guide to Application Certification 5

6 1. Introduction In November 2012 Oslo Børs migrated its equity and fixed income trading to the Millennium platform, a flexible, highly scalable trading platform with ultra-low latency from MillenniumIT, a company in the London Stock Exchange Group. Oslo Børs aims to strengthen its competitive position by migrating to this new technology, and is pleased to offer customers a trading system of the highest standard that offers all the functions one might expect from a state-of-the-art trading platform. The Burgundy markets will also be migrated to the Millennium platform and information relevant to the Burgundy migration has been included. 1.1 Purpose The purpose of this document is to provide customers with a detailed overview of the Certification Service to the Millennium Exchange platform. 1.2 Readership This document is particularly relevant to technical staff within member firms, information vendors and other market participants interested in certifying their trading and information applications with Oslo Børs. 1.3 Document series This document is a part of a series of documents providing a holistic view of full trading and information services available from Oslo Børs on the Millennium Exchange platform. The current series of documents are outlined below: General OSLMIT Oslo Børs and Burgundy Market Model Equities OSLMIT Oslo Børs and Burgundy Business Parameters - Equities OSLMIT Oslo Børs and Burgundy Market Model Fixed Income OSLMIT Oslo Børs and Burgundy Business Parameters Fixed Income Trading OSLMIT 201 Guide to New Trading System OSLMIT 202 FIX Trading Gateway (5.0 SP2) OSLMIT 203 Native Trading Gateway OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) Market Data OSLMIT 302 FIX/FAST Gateway OSLMIT 303 MITCH Gateway OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT 401 Reference Data OSLMIT Derived Information Guidelines Other OSLMIT 501 Guide to Testing Services OSLMIT 502 Guide to Application Certification OSLMIT 504 Guide to Dress Rehearsals (only relevant to migration projects) Oslo Børs OSLMIT 502 Guide to Application Certification 6

7 OSLMIT 505 Guide to Go-live (only relevant to migration projects) OSLMIT 601 Guide to Trading Services Disaster Recovery OSLMIT 602 Network Guide OSLMIT 604 Technical Parameters OSLMIT 605 Live Environment Connectivity OSLMIT 606 CDS Environment Connectivity OSLMIT 808 Reject Codes The latest version of this documentation series can be found on: Exchange/Technical-documentation Oslo Børs OSLMIT 502 Guide to Application Certification 7

8 2. Service Overview Self Certification Customers will be required to certify their software applications prior to accessing the production environment. A new self-certification policy has been introduced in order to facilitate the certification process. Mandatory testing will be required for all applications that wish to connect to the production environment and mandatory functions will need to be tested in order to confirm conformant behaviour. The purpose of the certification process is only to ensure that new software application accessing the Millennium Exchange platform does not pose a threat to the normal operation and stability of the Millennium Exchange platform. Functional verification of the software application is beyond the scope of the certification process. 2.1 Conformance Test Environment Oslo Børs and Burgundy provide a single Customer Development Service (CDS) environment, which is a functional replica of the production environment, but with reduced capacity. The CDS environment is used for both customer development and verification and customer certification. Customers will be able to do the majority of their certification tests independently and only contact Oslo Børs when exchange action is required to conduct the tests, as indicated in the detailed test scripts later in this document, and when the testing is completed. Note that Oslo Børs can only verify the test results on the same day as the tests were executed. 2.2 Self-Certification Process When the customer or ISV is ready to certify the software application the process to do so is as follows: The customer/isv prepares the test report for the certification test, see OSLMIT 503 Application Certification Report, and executes the test scripts, contacting Oslo Børs helpdesk ( ) when exchange intervention is required to execute the tests. The customer/isv submits the test report to enablement@oslobors.no for validation. Oslo Børs will respond by updating the test report with the validated results. The response will normally be available on the same day. As mentioned above, the entire test will have to be executed in a single day, for Oslo Børs to be able to validate the entire test. Customers are encouraged to submit the report before 3pm CET/CEST in order to allow Oslo Børs time to verify the results. In the event where some of the test cases need to be re-executed this can be done at a later date. Oslo Børs OSLMIT 502 Guide to Application Certification 8

9 3. Certification Policy Certification is required for all software applications before it can be used against the Oslo Børs and Burgundy instance of the Millennium Exchange system. Independent Software Vendors (ISVs) can certify their software applications once on behalf of all their clients. Software that has already been certified against the Millennium Exchange instance used by the LSE or BiT, and where the version used for Oslo Børs and Burgundy is based on the certified software version, as well as upgrades to already certified software, does not have to be re-certified against the Oslo instance. Oslo Børs OSLMIT 502 Guide to Application Certification 9

10 4. Test Cases 4.1 Market Data Test Cases FIX/FAST These tests cases need to be repeated and tested for each interface supported: FIX/FAST Snapshot: One of the Equities Gateways (OBE20, OBP20, OBW20) FIX/FAST Incremental (OBFIF) FIX/FAST Trade Only (OBFIT) FIX/FAST News FIX/FAST Index FIX/FAST Replay Service FIX/FAST Replay OSLMex-001 Y N Logon and send an Application Message Request to request the retransmission of a small range of messages already published on the multicast channel. The Application Message Request must be sent within 5 seconds of a successful logon. None. 1. Establish a connection and logon to the Replay Service Successful logon. (Please choose any one channel to connect to and provide details in the comments section of the certification report.) 2. Send an Application Message request Provide ApplReqID in the Certification report. 3. Logout and disconnect within 5 seconds of the transmission of the last missed message. Receive a successful Application Message request Ack. Receive requested messages. Receive an Application Message Report to indicate completion of retransmission. Logout message sent by client and connection terminated. If this is not done within 5 seconds, the server will terminate the client session and send a 35=5 with SessionStatus 1409=4. Oslo Børs will accept that customers do not send the logout, but rather keep the session up until terminated by the server. Oslo Børs OSLMIT 502 Guide to Application Certification 10

11 4.1.2 FIX/FAST Recovery Service FIX/FAST Recovery OSLMex-002 Y N Logon and send a Security Definition Request message to request the details of all active instruments and all active instruments by segment. A Security Definition Request must be sent within 5 seconds of a successful logon. If there is no activity for 5 seconds, the server will send a Logout message and disconnect the client connection. None. 1. Establish a connection and logon to the Recovery Service Successful logon. (Please choose any one channel to connect to and provide details in the comments section of the certification report.) 2. Send a Security Definition Request by segment or for all instruments. Provide SecurityReqID in the Certification report. Receive details of each instrument requested via the Security Definition message. Oslo Børs OSLMIT 502 Guide to Application Certification 11

12 4.2 Market Data Test Cases MITCH These test cases need to be repeated and tested for each gateway as supported: MITCH Full Depth gateway (A, C, E) MITCH Trade Only Gateway (B, D, F) MITCH Replay Service MITCH Replay OSLMex-005 Y N Logon and send Replay Request to request the retransmission of a small range of messages already published on the multicast channel. The Replay Request must be sent within 5 seconds of establishing a connection. The retransmission request will be sent from the server s cache of the last messages published on the multicast channel. The Count field in the Replay Request is a 16 bit unsigned integer, which is less than the total number of messages cached by the server. The client can get around this limitation by splitting requests into several chunks. None. 1. Establish a connection and logon to the Replay Service Successful logon. (Please choose any one channel to connect to and provide details in the comments section of the certification report.) 2. Send a Replay Request message Provide the Market Data Group, First Message and Count field details in the certification report. 3. Logout and disconnect within 5 seconds of the transmission of the last missed message. Receive a successful Replay Response to the request. Receive requested messages. Logout message sent by client and connection terminated. If this is not done within 5 seconds, the server will terminate the client session. Oslo Børs will accept that customers do not send the logout, but rather keep the session up until terminated by the server. Oslo Børs OSLMIT 502 Guide to Application Certification 12

13 4.2.2 MITCH Recovery Service MITCH Recovery OSLMex-006 Y N Logon and request a Snapshot for a single or multiple instruments. If there is no activity for 5 seconds the server will send a logout message and disconnect the client connection. None. 1. Establish a connection and send a Login Request to the Recovery Service Successful login response. (Please choose any one channel to connect to and provide details in the comments section of the certification report.) 2. Send a Snapshot Request for an instrument or segment. Choose any Snapshot Type relevant to the gateway being tested Trades only or full depth and provide details in certification report. Provide the Sequence Number and Instrument ID or "Segment ID" field - depending on the request type - details in the certification report. Receive: A Snapshot Response to indicate whether a Snapshot Request for an instrument is accepted. A Snapshot of the requested instrument via a series of Add Order messages, Statistic messages per SubBook, ExtendedStatistics per type of statistic, Symbol Directory and/or Trade messages (dependent on the snapshot type being requested). A Snapshot Complete message once all messages have been received for the specified instrument (one message per order book.) Oslo Børs OSLMIT 502 Guide to Application Certification 13

14 4.3 Trading Test Cases FIX and Native Trading Gateways Trader ID must be specified for all orders entered. Trader IDs are for the FIX Trading Gateway specified in the NoPartyIDs(453) repeating group, by specifying a PartyRole(452) of Trader ID(12) and giving the actual Trader ID in PartyID(448). On the native trading gateway the Trader ID is specified in the field Trader ID. Also note that the Trader IDs must indicate the trader flow type, as described in OSLMIT Oslo Børs Market Model Equities and OSLMIT Oslo Børs Market Model Fixed Income Order Management Log On FIX/Native Gateways OSLMex-010 Y N Establish a connection and Logon. None. 1. Establish a connection and logon. Successful logon. Oslo Børs OSLMIT 502 Guide to Application Certification 14

15 4.3.2 Order Management Cancel on Disconnect/Logout Customers using the Cancel on Disconnect/Logout feature for any of their Comp IDs should execute the following test, but can omit OSLMex-013b specified in section For a description of the Cancel on Disconnect / logout feature, see section 3.6 in the OLSMIT 203 Native Trading Gateway or section 3.3 in the OSLMIT 202 FIX Trading Gateway. FIX/Native Gateways OSLMex-013a Y N Validate Cancel on disconnect and Logout If a different User ID/Comp ID specifically enabled for Cancel on disconnect/logout is being used for this test case please repeat test case OSLMex-010 first to Logon. Already logged on from previous Test Case, OSLMex Enter 3 non-executable regular orders. The orders are successfully submitted and have a Live order status. Please provide Order ID(s) and Client Order ID in the certification report. 2. Terminate the client-server session by either TCP disconnect for Cancel on disconnect or Logout for cancel on logout. 3. Establish a client-server session connect and logon. 4. Verify the status of orders submitted in step 1 above. Client-server session is terminated. (TCP connection dropped or logout.) Successful logon. All submitted orders are cancelled. Receive execution report messages for cancelled orders. (Note: For the native trading interface the customer must recover the missed messages via the recovery channel) Oslo Børs OSLMIT 502 Guide to Application Certification 15

16 4.3.3 Order Management Unsolicited Messages This test is only required for customers that does not utilize the Cancel on disconnect / Log out feature. FIX/Native Gateways OSLMex-013b Y N Validate the reception of Unsolicited Messages Already logged on from previous Test Case, OSLMex Enter a non-executable GTT order which expires a minute after the submission. The order is successfully submitted and has a Live order status. Please provide Order ID(s) and Client Order ID in the certification report. 2. Terminate the client-server session by either TCP disconnect or logout. 3. After the expiry of the GTT order from step 1, establish a client-server session connect and logon. 4. Verify the status of the order submitted in step 1 above. Client-server session is terminated. (TCP connection dropped or logout.) Successful logon. The submitted order is expired. Receive execution report message for the order. (Note: For the native trading interface the customer must recover the missed messages via the recovery channel) Oslo Børs OSLMIT 502 Guide to Application Certification 16

17 4.4 Post Trade Gateway Validation Own Trades Book Download Post Trading Gateway OSLMex-023 Y N Establish a connection and Logon. If already connected from FIX/Native trading test session, please remain logged on. None. 1. Establish a connection and logon to the Post Trade Gateway. Successful logon. Post Trading Gateway OSLMex-024 Y N Validate Own Trades Book Download. Already logged on from previous Test Case. 1. Send a Trade Capture Report Request. Please provide TradeRequestID in the Certification Report. Receive a Trade Capture Report Request Ack. Receive Trade Capture Report(s) as requested. TradeRequestType(569) of All Trades(0) or TradeRequestType(569) of Trades Matching Specified Criteria(1) for a selected set of instruments, for a specified Party, Trade Type or Order. Oslo Børs OSLMIT 502 Guide to Application Certification 17

18 4.5 Drop copy Gateway Validation Own Order Book Download Drop Copy Gateway OSLMex-028 Y N Establish a connection and logon. If already connected from FIX/Native trading test session please remain logged on. None. 1. Establish a connection and logon to the Drop Copy Gateway. Successful logon. Drop Copy Gateway OSLMex-029 Y N Validate Own Order Book Download Already logged on from previous Test Case. Send a Mass Order Status Request. Please provide MassStatus ReqID and the Trader Group in the Certification Report Receive execution report for each active order for the specified Trader Group. This can be tested for a specified Segment, Instrument or all open orders for a Trader Group. Oslo Børs OSLMIT 502 Guide to Application Certification 18

19 4.6 On Behalf of Actions The tests below describe the tests where Oslo Børs participation is required to execute the test. Please call the Oslo Børs helpdesk ( ) to execute the tests Cancel an Order and Trade On behalf of OSLMex-030 Y Y FIX/Native Gateways Oslo Børs helpdesk to cancel an order on behalf of a customer. Customer to confirm receipt of unsolicited messages. Already logged on from previous trading test case. 1. Customer to enter an order. (Assuming that there is no match for the order in the order book.) The order is successfully submitted and resides on the order book. Receive execution report Please provide Order ID(s) and Client Order ID in the certification report. 2. Request Oslo Børs helpdesk to cancel the order. Helpdesk cancels order as requested. The order is successfully cancelled. Receive execution report with exec type (4). Oslo Børs OSLMIT 502 Guide to Application Certification 19

20 On behalf of FIX/Native Gateways OSLMex-031 Y Y Oslo Børs helpdesk to cancel a trade on behalf of a customer. Already logged on from previous trading test case. 1. Create a Trade by matching 2 orders. Receive execution reports for Fill or PFill of both orders. Please provide TradeID in the certification report. 2. Request Oslo Børs helpdesk to cancel the trade. Helpdesk cancels trade as requested. The trade is successfully cancelled. Receive two execution reports for each side, one with Exec type Trade Cancel and the second with Exec type Cancelled (if the full order quantity was matched to give a single trade) or Restated for any orders which were previously partially filled or executed against more than one order FIX Sequence Number Resets FIX Gateways OSLMex-040 Y Y Oslo Børs helpdesk to reset the (server side) inbound sequence number. This test applies to the FIX protocol based gateways which are: - FIX Trading Gateway - Drop Copy Gateway - Post Trade Gateway Already logged on from previous trading test case. 1. Oslo Børs to reset the (server side) inbound sequence number. The client can still send and receive messages. Oslo Børs OSLMIT 502 Guide to Application Certification 20

21 FIX Gateways OSLMex-041 Y Y Oslo Børs helpdesk to Reset the (server side) outbound sequence number This test applies to the FIX protocol based Gateways which are: - FIX Trading Gateway - Drop Copy Gateway - Post Trade Gateway Already logged on from previous trading test case. 1. Oslo Børs to reset the (server side) outbound sequence number. The client can still send and receive messages. Oslo Børs OSLMIT 502 Guide to Application Certification 21

22 4.6.3 Error Handling Error Handling OSLMex-038 Y Y Verifying a successful Logon after Suspension / Un-suspension and Lock/Unlock of UserID. This test case needs to be repeated for every interface/service the customer subscribes to, i.e. a customer needs to repeat the steps below for each gateway. This test needs to be completed (where applicable) for the services listed below: - FIX Gateway - Native Gateway - Native Recovery - Drop Copy Gateway - Post Trade Gateway - FIX/FAST Replay & Recovery Services - FIX/FAST Snapshot: One of the Equities Gateways - FIX/FAST Incremental - FIX/FAST Trade Only - FIX/FAST News - FIX/FAST Indices - MITCH Replay & Recovery Services - MITCH: Any one Full Depth MDG - MITCH Trade Only: Any one Trade Only MDG When executing this test case for FIX/FAST and/or MITCH Services, please choose any one channel to connect to and provide details in the comments section of the certification report. None. 1. Ensure you are logged off and Request helpdesk to suspend CompID/ User ID. 2. Establish a connection and Logon to the applicable Gateway(s). Make sure that logon attempt fails and verify the reject message. CompID/ User ID are suspended. Logon is rejected. 3. Terminate all client-server connections. All client-server connections are terminated. 4. Request helpdesk to un-suspend CompID/ User ID and llock the CompID/ User ID if not already locked from previous number of failed logon attempts. CompID/ User ID are locked. Oslo Børs OSLMIT 502 Guide to Application Certification 22

23 5. Establish a connection and logon to the applicable gateway(s). Make sure that logon attempt fails and verify the reject message. 6. Request helpdesk to un-lock CompID/ User ID. 7. Establish a connection and logon to the gateway. Logon is rejected. CompID/ User ID are un-locked. Successful logon with no session errors. Oslo Børs OSLMIT 502 Guide to Application Certification 23

24 Appendix 1 Issue Updates This appendix describes the details of the changes made in each issue of this document. Issue 1.0 Released 31 July 2012 Initial release of the document. Issue 1.1 Released Aug 2012 Changes are made to the following sections: Section FIX/FAST Replay service FIX/FAST Recovery service MITCH Replay service Description Clarified that it is not required for the customers to send the Logout message. It is not required that customers do a Security Definition request both for all and by segment. Clarified that it is not required for the customers to send the Logout message. Issue 2.0 Released 12 November 2012 New issue of the document post migration to the Millennium platform. No changes to content, except minor wording changes to remove references to migration project and updated document links. Issue 2.1 Released 17 April 2013 New issue of the document to include the Burgundy markets. Issue 2.2 Released 10 November 2014 Changed the name of the low latency market data channels and protocol. Oslo Børs OSLMIT 502 Guide to Application Certification 24

25 Appendix 2 - References For the corresponding Millennium Exchange documentation for Borsa Italiana and London Stock exchange, please see: Oslo Børs OSLMIT 502 Guide to Application Certification 25