CEF ultra+ Xetra Real-time Analytics Manual

Transcription

1 CEF ultra CEF ultra+ Xetra Real-time Analytics Version: 1.0 Related to: CEF Last update: 22-August-2013

2 Copyright CEF ultra+ Xetra Real-time Analytics Page 2 of 14 Revision History This section refers to the major changes of this version in comparison to the previous version. Version Revision Highlight Document Reference 1.0 Initial document

3 Copyright CEF ultra+ Xetra Real-time Analytics Page 3 of 14 Table of contents 1 INTRODUCTION MULTICAST ADDRESSES PRODUCTION MULTICAST ADDRESSES AND PORTS SIMULATION MULTICAST ADDRESSES AND PORTS SERVICE AVAILABILITY DATA AND SERVICE MESSAGES MARKET DATA STATISTICS REFERENCE DATA (TID = 200) MARKET DATA STATISTICS UPDATE (TID = 201) PACKET HEADER (TID = 119) EXTENDED TECHNICAL HEARTBEAT (TID = 170) MARKET DATA REPORT MESSAGE (TID = 152) APPENDIX A VALID VALUES FOR MDSTATID CHANGE LOG... 14

4 Copyright CEF ultra+ Xetra Real-time Analytics Page 4 of 14 1 Introduction Real-time Analytics offers additional information especially for algorithmic trading. Predominantly, the new offering is based on Xetra 1 unpublished order, quote and trade data. Real-time Analytics Xetra is offered to clients via CEF 2 Core and CEF ultra. The instruments for which the analytics are calculated are the index constituents for the following indices: DAX 3 MDAX SDAX TecDAX In addition to the 160 index constituents for each of the 4 indices one specific analytic is calculated. The total number of instruments is therefore 164. Real-time Analytics are calculated during Continuous Trading and are based on orders, quotes and trades on Xetra Frankfurt (XETR). Xetra Best and Xetra Midpoint orders and trades as well as Hidden Orders are out of the scope of these statistics. This document lists the multicast addresses and describes the message layouts of the interface. The relevant FAST 1.1 and 1.2 templates for this interface will be provided via MD+S Interactive. Please note: The present document explains the CEF ultra+ Xetra RTA Service only. The other concepts regarding FIX messages, FAST encoding and the live-live concept are described in the regular CEF ultra+ Xetra documents. For the 160 equities the isix known from CEF ultra is used as instrument identifier (SecurityID). For the 4 indices the ISIN of the index is used as identifier (because no isix exists for indices). The Service described in this manual has a version number. The version number is also listed at the beginning of the FAST XML templates. This manual relates to the interface version number Xetra is a registered trademark of 2 CEF is a registered trademark of. 3 DAX, MDAX, SDAX, TecDAX are registered trademarks of.

5 Copyright CEF ultra+ Xetra Real-time Analytics Page 5 of 14 2 Multicast addresses The Real-time Analytics for Xetra will be disseminated via the following multicast addresses and port combinations in the Deutsche Börse network. 2.1 Production multicast addresses and ports Service Multicast Groups Service A Multicast Groups Service B Ports for RTA Data Ports for Configuration data DAX and constituents MDAX, TecDAX, SDAX and constituents Simulation multicast addresses and ports Service Multicast Groups Service A Multicast Groups Service B Ports for RTA Data Ports for Configuration data DAX and constituents MDAX, TecDAX, SDAX and constituents Service availability The service will be technically available at least between 7:00 CET and 20:00 CET. The Reference Data / Configuration Data (Template id 200) will be sent out cyclically (e.g. every 5 minutes) starting around 07:00 CET. The calculated Real-time Analytics values will be available during Continuous Trading of the 160 relevant equities on Xetra between 09:00 CET and 17:30 CET.

6 Copyright CEF ultra+ Xetra Real-time Analytics Page 6 of 14 3 Data and service messages 3.1 Market Data Statistics Reference Data (TID = 200) FIX Tag FIX Field Name Req d FAST Data Type Description 35 MsgType Y string Message type Always U25 = MarketDataStatisticsReport 49 SenderCompID Y uint32 Unique ID of a sender MDStatRptID Y uint32 Market Data Statistics Report identifier Always SecurityExchange Y string Market used to help identify a security (XETR) 48 SecurityID Y string Instrument ID (isix for equities, ISIN for indices) 22 SecurityIDSource Y string Source Identification <MDStatsRptGrp> sequence starts Always M = Marketplace-assigned Identifier NoMDStats Y length Defines the number of entries to follow > MDStatID Y uint32 Unique statistics identifier > MDStatStatus Y enum Status for the statistics 1- Active 2- Inactive > MDStatSymbol Y string Acronym for statistic > MDStatDesc N string Description for the statistics > MDStatFrequencyPeriod Y uint32 Dissemination frequency of statistics Special meaning for 0 real-time (e.g. as soon as a new trade appears) > MDStatFrequencyUnit Y enum Time unit for MDStatFrequencyPeriod 0 seconds (default) 3 milliseconds > MDStatIntervalPeriod Y uint32 Length of time for which the statistic is calculated > MDStatIntervalUnit N enum Time unit for MDStatIntervalPeriod 0 Seconds (default)

7 Copyright CEF ultra+ Xetra Real-time Analytics Page 7 of 14 FIX Tag FIX Field Name Req d FAST Data Type Description 3 Milliseconds 10 Minutes 12 - Days > MDStatType Y enum Type of statistic 1 Count 2 Average 3 Volume 4 Distribution 5 Ratio 6 Liquidity 7 VWAP 8 Volatility 9 Duration 10 Tick > MDStatScope Y enum Scope of the statistics 1 Best Bid 2 Best Ask 3 Depth Ask 4 Depth Bid 5 Orders 6 Quotes 7 Orders and Quotes 8 - Trade > MDStatSubScope Y enum Scope details of the statistic 1 Orderbook (only visible orders/quotes) 2 Hidden (only hidden rders/quotes) 3 Indicative (only non-tradable quotes) > MDStatScopeType N enum Scope type of the statistics 1 Entry Rate 2 Modification Rate 3 Cancel Rate 54 > Side N enum Data of a specific side only 1 Buy 2 - Sell

8 Copyright CEF ultra+ Xetra Real-time Analytics Page 8 of 14 FIX Tag FIX Field Name Req d FAST Data Type Description 40 > OrdType N enum Data for a specific order type only 1 Market 2 Limit 3 Stop 59 > TimeInForce N enum Specifies how long an order remains in effect 3 Immediate Or Cancel 4 Fill Or Kill > MDStatRatioType N enum Ratios between various entities. Conditionally required for MDStatType Ratio <MDStatsRptGrp> sequence ends 1 Buyer / Seller Relation 2 Upticks Downticks 60 > TransactTime Y timestamp Transaction Time 3 Market Maker to Non-Market Maker

9 Copyright CEF ultra+ Xetra Real-time Analytics Page 9 of Market Data Statistics Update (TID = 201) FIX Tag FIX Field Name Req d FAST Data Type Description 35 MsgType Y string Message type Always U25 = MarketDataStatisticsReport 49 SenderCompID Y uint32 Unique ID of a sender MDStatRptID Y uint32 Market Data Statistics Report identifier Always SecurityExchange Y string Market used to help identify a security (XETR) 48 SecurityID Y string Instrument ID (isix for equities, ISIN for indices) 22 SecurityIDSource Y string Source Identification Always M = Marketplace-assigned Identifier <MDStatsRptGrp> sequence starts NoMDStats Y length Defines the number of entries to follow > MDStatID Y uint32 Unique statistics identifier > MDStatTime Y timestamp Time of calculation of the statistic > MDStatValue Y decimal Calculated statistics value <MDStatsRptGrp> sequence ends 60 > TransactTime Y timestamp Transaction Time

10 Copyright CEF ultra+ Xetra Real-time Analytics Page 10 of Packet header (TID = 119) Each datagram contains a packet header which is used for identification of datagrams and is sent on a channel basis. Each header contains the following fields: Field Name FAST Data Type Description SenderCompID uint32 Unique id for a sender Each multicast channel uses the same logic. Constant value: Standard Value Failover Value PacketSeqNum ByteVector Datagram/packet sequence number Contiguous. Can be used for gap detection. Sequenced for each multicast channel itself. The PacketSeqNum s in the packet header are contiguous per SenderCompID, multicast address and port combination. SendingTime ByteVector Time at which this packet left the sender (in nanoseconds since epoch). The following table shows the structure of the block header before FAST-decoding: 1 Byte 1 Byte 1 Byte 1 Byte 4 Bytes 1 Byte 8 Bytes PMAP TID Sender Comp ID Length PacketSeqNum Length SendingTime

11 Copyright CEF ultra+ Xetra Real-time Analytics Page 11 of Extended technical heartbeat (TID = 170) The heartbeat message is sent periodically as a line active indicator when there are no messages generated on the feed for a preconfigured period of time. Each heartbeat contains the following fields: Field Name FAST Data Type Description SenderCompID uint32 Unique id for a sender Each multicast channel uses the same logic. Constant value: Standard Value Failover Value LastPacketSeqNum uint32 Contains the last PacketSeqNum of the corresponding multicast channel. 3.5 Market Data Report Message (TID = 152) FIX Tag FIX Field Name Req d Fast Data Type Description 35 MsgType Y string U20 - MarketDataReport 5468 MDCount N uint32 Number of messages 369 LastMsgSeqNumProcessed N uint MDReportEvent Y enum 11 = Start Of Statistic Reference Data 12 = End Of Statistic Reference Data 60 TransactTime Y timestamp Transaction Time

12 Copyright CEF ultra+ Xetra Real-time Analytics Page 12 of 14 4 Appendix A Valid Values for MDStatID MDStatID MDStatSymbol Description 100 VWAP_AGENT VWAP of Agent Trades 101 VWAP_BUY VWAP of Buy Triggered Trades 102 VWAP_SELL VWAP of Sell Triggered Trades 200 ARR_NO Number of Arrived Orders 210 ARR_QTY Quantity of Arrived Orders 220 ARR_NO_BUY Number of Arrived Buy Orders 224 ARR_NO_SELL Number of Arrived Sell Orders 230 ARR_QTY_BUY Quantity of Arrived Buy Orders 234 ARR_QTY_SELL Quantity of Arrived Sell Orders 250 ARR_QTY_M Quantity of Arrived Market Orders 251 ARR_QTY_M_BUY Quantity of Arrived Buy Market Orders 252 ARR_QTY_M_SELL Quantity of Arrived Sell Market Orders 260 ARR_NO_IOC Number of Arrived Immediate-or-Cancel Orders 261 ARR_NO_FOK Number of Arrived Fill-or-Kill Orders 300 CR_NO Number of Cancelled Orders 301 CR_NO_BUY Number of Cancelled Buy Orders 302 CR_NO_SELL Number of Cancelled Sell Orders 320 CR_NO_L Number of Cancelled Limit Orders 321 CR_NO_Q Number of Cancelled Quotes 322 CR_NO_M Number of Cancelled Market Orders 323 CR_NO_S Number of Cancelled Stop Orders 330 CR_NO_L_BUY Number of Cancelled Buy Limit Orders 334 CR_NO_Q_BUY Number of Cancelled Buy Quotes 338 CR_NO_M_BUY Number of Cancelled Buy Market Orders 339 CR_NO_S_BUY Number of Cancelled Buy Stop Orders 340 CR_NO_L_SELL Number of Cancelled Sell Limit Orders 344 CR_NO_Q_SELL Number of Cancelled Sell Quotes 348 CR_NO_M_SELL Number of Cancelled Sell Market Orders 349 CR_NO_S_SELL Number of Cancelled Sell Stop Orders 400 NO_BUY_TRADES Number of Buy Triggered Trades 404 NO_SELL_TRADES Number of Sell Triggered Trades 410 QTY_BUY_TRADES Quantity of Buy Triggered Trades 411 QTY_SELL_TRADES Quantity of Sell Triggered Trades 420 BUY_SELL_IND Buyer / Seller Ratio 440 AVG_QTY Average Quantity of Orders 441 VOLA_QTY Volatility of Arrived Order Quantity 442 AVG_BUY_QTY Average Quantity of Buy Orders 443 VOLA_BUY_QTY Volatility of Arrived Buy Order Quantity

13 Copyright CEF ultra+ Xetra Real-time Analytics Page 13 of 14 MDStatID MDStatSymbol Description 444 AVG_SELL_QTY Average Quantity of Sell Orders 445 VOLA_SELL_QTY Volatility of Arrived Sell Order Quantity 460 TICK_INDEX Up/Down Indicator (DAX, MDAX, SDAX, TECDAX ) 470 DUR_TRADE Average Duration of Orders within Calculation Period 471 DUR_ODB Average Duration of Order(s) of Last Trade

14 Copyright CEF ultra+ Xetra Real-time Analytics Page 14 of 14 5 Change log No Chapter, page Date Change 1.0 General Aug 23, 2013 Creation of document