Commander FIX. Rules of Engagement. Corporates and Markets. 5 Jul 2013 Version 1.5

Transcription

1 Commander FIX Rules of Engagement Corporates and Markets 5 Jul 2013 Version 1.5

2 Corporates and Markets Commander FIX 5 Jul 2013 Page 2 Contents 1 Introduction... 4 Purpose... 4 The FIX Protocol... 4 FIX Onboarding... 4 Connectivity... 4 Support... 4 System Availability Products... 5 Market Data and Order Sessions... 5 Quote Session... 5 Tenors... 5 Currency... 5 Quote Driven vs. Order Driven Liquidity Message Flows... 6 Logon... 6 Logout... 6 Resend requests... 6 Trading session status... 7 Security information... 7 Market data... 8 Orders... 8 Quotes FIX Message Definitions TradingSessionStatusRequest (Message type g) TradingSessionStatus (Message type h) SecurityListRequest (Message type x) SecurityList (Message type y) SecurityDefinitionRequest (Message type c) SecurityDefinition (Message type d) MarketDataRequest (Message type V) MarketDataRequestReject (Message type Y)... 13

3 Corporates and Markets Commander FIX 5 Jul 2013 Page 3 MarketDataSnapshotFullRefresh (Message type W) NewOrderSingle (Message type D) ExecutionReport (Message type 8) QuoteRequest (Message type R) Quote (Message type S) QuoteRequestReject (Message type AG) QuoteResponse (Message type AJ) QuoteResponse (Pass) QuoteResponse (Hit/Lift) QuoteCancel (Message type Z) QuoteStatusReport (Message type AI) Standard FIX Message Definitions Logon (Message type A) Logout (Message type 5) ResendRequest (Message type 2) SequenceReset (Message type 4) Reject (Message type 3) TestRequest (Message type 1) Heartbeat (Message type 0) Conformance Tests Session Market data Orders Quotes NDF Fixing References Supported Non-Deliverable Forward Fixing References... 27

4 Corporates and Markets Commander FIX 5 Jul 2013 Page 4 1 Introduction Purpose This document provides a description of how Commerzbank s Commander efx trading platform uses the FIX Protocol and how a client/vendor can connect for the purpose of electronic foreign exchange trading. It is intended for use by business and technical managers implementing or adapting a FIX interface to Commander via FIX. The FIX Protocol The Financial Information exchange (FIX) protocol is an industry standard messaging definition for electronic communication of financial data. For more information, documents and tools please refer to the FIX protocol website at In order to connect to Commander via FIX, client and vendor applications will be required to support FIX 4.4. This document outlines the tags supported by Commander and the value definitions. Additional tags will be ignored and rejected. FIX Onboarding We have a dedicated FIX onboarding team who will manage the onboarding process through to go live. All new connections are required to be certified by a conformance test, where both positive and negative scenarios are tested to ensure they are handled appropriately by the client/vendor application. If changes are made to your software post-golive then you may need to recertify to ensure no issues are introduced. There are three types of FIX session: Market Data Orders Quotes Connectivity An SSL (v.3 or later) internet connection should be used for the purposes of testing on the Demo environment. We support cross connect in several colocation datacentres, otherwise BT Radianz lines should be used for connectivity in Production. An SSL internet connection can be provisioned as well. Connections are identified using SenderCompID (tag 49) and TargetCompID (tag 56). The values are agreed during the onboarding process but typically follow the format: Market data session: COBAMD <> CLIENTMD Orders session: COBAORD <> CLIENTORD Quote session: COBARFQ <> CLIENTRFQ Support Once your connection is live it will be supported by our dedicated support teams ensuring your trading experience is as efficient and responsive as you need. Contact us 24 hours a day, if you would like further assistance or have any queries: us esupport@commerzbank.com Or call us Location Phone number Service hours Singapore +65 (0) :30 06:30 GMT UK +44 (0) :30 17:00 GMT Germany +49 (0) :30 17:00 GMT US +1 (0) :00 22:30 GMT System Availability Please reset sequence numbers during the weekend system downtime. Market data sessions are used to subscribe to and receive market data. Orders are submitted down this FIX session and executions are received on them. Orders are related to the price streams from the market data session. Quotes are requested, received and cancelled on this FIX session in addition to any orders or executions relating to quotes. A quote stream is like a market data stream; except that it is closed once an execution is completed.

5 Corporates and Markets Commander FIX 5 Jul 2013 Page 5 2 Products The following products are supported via FIX: Spot Forward Swap We support over 500 currency pairs, including inverses, across over 50 currencies. Selected currencies are NDF only or Deliverable only. We support uneven swaps and pre-trade allocations. Please discuss your requirements with us during onboarding. Further products may be available via our Commander platform; more information may be found at Market Data and Order Sessions Clients can request market data on a specified currency pair and submit orders with a reference to a previously quoted price. To subscribe to spot rates, clients should submit a MarketDataRequest message with the interested currency pair and tenor set to spot (SP). Depending on the available liquidity, clients should begin receiving MarketDataSnapshotFullRefresh messages with spot prices and sizes for the interested currency pair. To trade on a quoted price, clients should submit a NewOrderSingle message with the QuoteID (tag 117) set to the respective MarketDataSnapshotFullRefresh QuoteEntryID. Order responses are sent in ExecutionReport messages. It is possible to subscribe to swap points on a market data session, but these should be treated as indicative only. Quote Session To submit a spot FX order, clients should submit a QuoteRequest message which contains all the details of the desired trade. The system will start to stream prices in return using QuoteMessages or will reject the request using a QuoteRejectRequest message. A price can be traded on using a QuoteResponse message with Hit or Lift specified, or the streaming can be terminated via a QuoteResponse Pass message. FX forwards and swaps should be traded using a quote session. Tenors The following tenors are supported: ON 2M 10M TN 3M 11M SP 4M 1Y SN 5M 15M 1W 6M 18M 2W 7M 21M 3W 8M 2Y 1M Currency 9M The Currency (tag 15) of a trade message refers to the OrderQty (tag 38) and may be either the base (CCY1) or terms (CCY2) currency of the currency pair in Symbol (tag 55). Please note that the Side (tag 54) always refers to the base currency. The Currency in market data messages refers to the required and available liquidity, and may be either the base or terms currency. Example usage for a NewOrderSingle: Tag 55 Tag 54 Tag 15 Buy EUR EUR/USD 1 EUR Sell USD EUR/USD 1 USD Sell EUR EUR/USD 2 EUR Buy USD EUR/USD 2 USD Quote Driven vs. Order Driven Liquidity Quote driven liquidity sets each rung of the rate ladder to have a quote for the full amount on that rung. It is the same price as asking for a quote for the specific amount. A single order can be placed against this at a given time as it is not sweepable. Order driven liquidity sets each rung of the rate ladder as if they are orders on an exchange. Multiple orders can be placed against this at the same time. Each will require a NewOrderSingle and will be executed individually. Quote driven liquidity is preferred and is supported on both market data sessions and quote sessions.

6 Corporates and Markets Commander FIX 5 Jul 2013 Page 6 3 Message Flows Logon The logon sequence is client initiated. On a market data session you must reset sequence numbers on every logon using 141=Y. Sequence numbers on an orders session must not reset sequence numbers intraweek. Resend requests It is important the all FIX sessions can handle Gap Fills as per the FIX protocol, to facilitate recovery where possible during a disconnection or missed message. Standard behaviour if you receive a ResendRequest is: Resend the requested messages in order with the original sequence numbers and PossDupFlag (tag 43) set to Y. Where appropriate, send a SequenceReset (message type 4) with GapFillFlag (tag 123) set to Y, to replace the retransmission of unnecessary messages, e.g. Heartbeats. Logout It is recommended to send a Logout when intentionally disconnecting to assist in troubleshooting. Please specify a description in the Text field (tag 58). If you receive a Logout from Commerzbank you are advised to attempt reconnection. Please note that flow can be in either direction.

7 Corporates and Markets Commander FIX 5 Jul 2013 Page 7 Trading session status The trading status of a session can be ascertained on market data and orders sessions using the TradingSessionStatusRequest message. Security information A list of the permitted currency pairs available for a FIX session can be requested using the SecurityListRequest. More information can be retrieved about a currency pair and tenor using the SecurityDefinitionRequest.

8 Corporates and Markets Commander FIX 5 Jul 2013 Page 8 Market data Pricing is sent in response to a valid subscription to a currency pair, providing pricing is currently available. Invalid subscriptions will be rejected. For forwards and swaps, valid dates or tenors must be used, observing any relevant holidays. Each subscription must have a unique identifier, which will be used when streaming prices in return and when unsubscribing. To request top of book use OrderQty (tag 38) and MarketDepth (tag 264) set to 1. Orders All NewOrderSingles must reference the unique identifier of the quote. All orders will be responded to with an ExecutionReport; a successful order will receive an acknowledgement and then be confirmed as executed; an unsuccessful order will be rejected. If ExecutionReports are not received within a few seconds then the client s system should alert their support team to contact us in a timely manner. Orders should not be assumed to be done or not done. If prices become staled, a market data message with QuoteCondition set to B will be sent. When pricing resumes market data will be sent with QuoteCondition set to A. There is no need to resubscribe. A new market data message invalidates all previous messages sent for the same subscription. Each message contains the complete liquidity level on the currency pair, unless specific liquidity levels are requested in the initial MarketDataRequest. In the event of a FIX session disconnection, all active subscriptions will be cancelled.

9 Corporates and Markets Commander FIX 5 Jul 2013 Page 9 Quotes Pricing is sent in response to a valid subscription to a currency pair, providing pricing is currently available. Invalid subscriptions will be rejected. A new quote message invalidates all previous messages sent for the same subscription. A QuoteCancel message can cancel a quote during streaming and it cancels the subscription, so a new QuoteRequest is needed to resubscribe to the stream. If a QuoteResponse message is invalid then a QuoteStatusReport will be returned. A valid QuoteResponse will be responded to with an ExecutionReport; a successful order will receive an acknowledgement and then be confirmed as executed; an unsuccessful order will be rejected. If no response is received within a few seconds then the client s system should alert their support team to contact us in a timely manner. Orders should not be assumed to be done or not done. A quote can be traded on by sending a QuoteResponse with QuoteResponseType (tag 694) set to Hit/Lift. The stream can be cancelled by sending a QuoteResponse with QuoteResponseType set to Pass.

10 Corporates and Markets Commander FIX 5 Jul 2013 Page 10 4 FIX Message Definitions TradingSessionStatusRequest (Message type g) TradSesReqID 335 Y Unique identifier TradingSessionID 336 Y Set to today in the format YYYMMDD SubscriptionsRequestType 263 Y 0 =Snapshot An example TradingSessionStatusRequest message: 8=FIX.4.4 9=82 35=g 49=FIXCLIENT 56=COBA 34=2 52= :20:35 335=AASDMJJ =0 10=147 TradingSessionStatus (Message type h) TradSesReqID 335 Y Original identifier supplied by client TradingSessionID 336 Y Set to today in the format YYYMMDD TradSesStatus 340 Y 2 =Open, 3 =Closed, 6 =Request Rejected TradSesStatusRejReason 567 N Description of rejection reason An example TradingSessionStatus response: 8=FIX.4.4 9=95 35=h 49=COBA 56=FIXCLIENT 34=2 52= :22:35 336= =AASDM JJ =2 10=026 SecurityListRequest (Message type x) SecurityReqID 320 Y Unique identifier SecurityListRequestType 559 Y 4 =All Securities MaturityDate 541 N Valid tenor. Default is all tenors An example SecurityListRequest message: 8=FIX.4.4 9=80 35=x 49=FIXCLIENT 56=COBA 34=2 52= :52:32 320=AASD9E =4 10=219 SecurityList (Message type y) SecurityReqID 320 Y Original identifier supplied by client SecurityResponseID 322 Y Unique identifier

11 Corporates and Markets Commander FIX 5 Jul 2013 Page 11 SecurityRequestResult 560 Y 0 =Valid request, 1 =Invalid or unsupported request Text 58 N Description of rejection reason NoRelatedSym (repeating group) 146 Y Number of currency pairs returned MaturityDate 541 Y Tenor An example SecurityList message that response with a single currency pair (GBP/USD SP): 8=FIX.4.4 9= =y 49=COBA 56=FIXCLIENT 34=2 52= :52:10 320=AASD9E = 1AAS05M =0 146=1 55=GBP/USD 1=SP 0=121 SecurityDefinitionRequest (Message type c) SecurityReqID 320 Y Unique identifier SecurityRequestType 321 Y 0 =Request security identity MaturityDate 541 N Valid tenor. Default is SP An example SecurityDefinitionRequest message for GBP/USD SP: 8=FIX.4.4 9=99 35=c 49=FIXCLIENT 56=COBA 34=4 52= :52:32 320=AASD9E =0 55=GBP/USD 541=SP 10=205 SecurityDefinition (Message type d) SecurityReqID 320 Y Original identifier supplied by client SecurityResponseID 322 Y Unique identifier SecurityResponseType 323 Y 1 =Accept security proposal, 5 =Reject security proposal MaturityDate 541 Y Tenor Text 58 N Description of rejection reason InstrumentPricePrecision 5514 N Number of decimal prices that this instrument will be priced An example SecurityDefinition message respond for GBP/USD SP: 8=FIX.4.4 9=122 35=d 49=COBA 56=FIXCLIENT 34=3 52= :52:10 320=AASD9E =1A AS05M =1 55=GBP/USD 541=SP 5514=2 10=139

12 Corporates and Markets Commander FIX 5 Jul 2013 Page 12 MarketDataRequest (Message type V) MDReqID 262 Y Unique identifier SubscriptionRequestType 263 Y 1 =SnapshotUpdate, 2 =Unsubscribe MarketDepth 264 N 0 =Full depth, >0 Limits the depth to the request levels QuoteDrivenLiquidity N Indicates if rate ladder is Quote or Order driven. Default is Y MDUpdateType 265 Y 0 =Full NoMDEntryType (repeating group) 267 Y Number of MDEntryType requested MDEntryType 269 Y 0 =Bid, 1 =Offer OrderQty 38 N Liquidity size requested, or the near leg of a swap If more than 1 liquidity band is required use NoMDBandQty Default is full liquidity OrderQty2 192 N Liquidity size requested for far leg of a swap Default is even leg quantities Currency 15 N Deal currency. Default is base NoRelatedSym (repeating group) 146 Y Number of symbols requested 1 =Spot and Forward 2 =Swap SettlDate 64 N Value date, valid tenor or YYYYMMDD. Default is SP NoMDBandQty N Number of MDBandQty For swaps, only a single band can be requested MDBandQty N Liquidity size An example MarketDataRequest message that subscribes to bids and offers for GBP/USD SP: 8=FIX.4.4 9=136 35=V 49=FIXCLIENT 56=COBA 34= = :05:52 262=AASDJKG =1 265=0 264=0 146=1 55=GBP/USD 64=SP 267=2 269=0 269=1 10=247 An example MarketDataRequest message that subscribes to bids and offers for GBP/USD 1W: 8=FIX.4.4 9=133 35=V 49=FIXCLIENT 56=COBA 34=3 52= :24:35 262=AASDN =1 265=0 264=0 146=1 55=GBP/USD 64=1W 267=2 269=0 269=1 10=015 An example MarketDataRequest message that subscribes to bids and offers for GBP/USD 1W, with liquidity 5, 10, and 15 (million) in a Quote style:- 8=FIX.4.4 9=133 35=V 49=FIXCLIENT 56=COBA 34=3 52= :24:35 262=AASDN =1 265=0 146=1 55=GBP/USD 64=1W 267=2 269=0 269= = = = = =Y 10=015

13 Corporates and Markets Commander FIX 5 Jul 2013 Page 13 MarketDataRequestReject (Message type Y) MDReqID 262 Y Original identifier supplied by client MDReqRejReason 281 N Reject reason code Text 58 N Description of rejection reason An example MarketDataReject message response for a subscription to GBP/GBP SP: 8=FIX.4.4 9=104 35=Y 49=COBA 56=FIXCLIENT 34=2 52= :16:47 262=AASDLKN =0 58=Unknown symbol/tenor 10=212 MarketDataSnapshotFullRefresh (Message type W) MDReqID 262 Y Original identifier supplied by client SettlDate 64 N Value date, valid tenor or YYYYMMDD. SettlDate2 193 N Value date of the far leg, valid tenor of YYYYMMDD BidForwardPoints 189 N Bid forward points OfferForwardPoints 191 N Offer forward points BidForwardPoint2 642 N Far leg bid forward points OfferForwardPoints2 643 N Far leg offer forward points MidPx 631 N Mid price MidPx N Mid price of far leg NoMDEntries (repeating group) 268 Y Number of liquidity bands MDEntryType 269 Y 0 =Bid, 1 =Offer MDEntryPx 270 Y Price Currency 15 Y Currency MDEntrySize 271 Y Size of this liquidity level MDEntryDate 272 Y Value date, valid tenor or YYYYMMDD QuoteCondition 276 Y A =Open (tradable), B =Closed (indicative) QuoteEntryID 299 Y Unique identifier SpotRate 5235 N Spot rate MDEntryPx N Price for far leg of a swap MDEntrySize N Size of far leg of an uneven swap

14 Corporates and Markets Commander FIX 5 Jul 2013 Page 14 An example MarketDataSnapshotFullRefresh message for GBP/USD SP that has 2 open liquidity levels for each side (bid and offer, including sizes): 8=FIX.4.4 9=389 35=W 49=COBA 56=FIXCLIENT 34= = :05:31 262=AASDJKG790 55= GBP/USD 64=SP 268=4 269=0 270= =GBP 271= = =A 299= B 269=0 270= =GBP 271= = =A 299= B 269=1 270= =GBP 271= = =A 299= S 269=1 270= =GBP 271= = =A 299= S 10=058 An example MarketDataSnapshotFullRefresh message for GBP/USD 1W that has 2 forward points for each side without sizes: 8=FIX.4.4 9=211 35=W 49=COBA 56=FIXCLIENT 34=4 52= :24:12 262=AASDN = GBP/USD 64=1W 268=2 269=0 270= =GBP 272= =B 299= B 269=1 270= =GBP 272= =B 299= S 10=049 NewOrderSingle (Message type D) ClOrdID 11 Y Unique identifier Account 1 Y Account, value provided by Commerzbank OnBehalfOfCompID 115 N Prime brokerage client identifier SettlType 63 N 0 =Regular SettlDate 64 N Value date, valid tenor or YYYYMMDD. Default is SP SettlDate2 193 N Value date of far leg of a swap, valid tenor or YYYYMMDD BidForwardPoints 189 N Bid forward points OfferForwardPoints 191 N Offer forward points BidForwardPoints2 642 N Far leg bid forward points. Required for a swap sell OfferForwardPoints2 643 N Far leg offer forward points. Required for a swap buy SpotRate 5235 N Spot rate. Required for forwards and swaps Side 54 Y 1 =Buy, 2 =Sell. For a swap refers to the near leg TransactTime 60 Y Timestamp in UTC OrderQty 38 Y Size. For a swap refers to the near leg OrderQty2 192 N Size for far leg of a swap. Only required on uneven swaps OrdType 40 Y D =PreviouslyQuoted Currency 15 Y Currency of OrderQty Price 44 Y All in price. For a swap refers to the near leg Price2 640 N All in price for far leg of the swap QuoteID 117 Y QuoteEntryID of price being used TimeInForce 59 Y 4 =Fill or kill FixingDate 6203 N Fixing date for an NDF, YYYYMMDD FixingRef N Fixing reference for an NDF, see NDF Fixing References

15 Corporates and Markets Commander FIX 5 Jul 2013 Page 15 An example NewSingleOrder message for buying 1M GBP/USD SP: 8=FIX.4.4 9=185 35=D 49=FIXCLIENT 56=COBA 34=3 52= :24:47 1=CLIENTACC 11=AAU5P =0 64=SP 55=GBP/USD 54=1 60= :24:47 38= =GBP 59=4 40=D 44= = S 10=053 ExecutionReport (Message type 8) OrderID 37 Y Unique identifier for order ClOrdID 11 Y Original identifier supplied by client ExecID 17 Y Unique identifier for this execution ExecType 150 Y 0 =New, 8 =Rejected, F =Trade (fill) OrdStatus 39 Y 0 =New, 2 =Filled, 8 =Rejected Account 1 N Account DeliverToCompID 128 N Prime brokerage client identifier SettlType 63 N 0 =Regular SettlDate 64 N Value date, YYYYMMDD. For a swap refers to the near leg SettlDate2 193 N Value date for far leg of the swap, YYYYMMDD Side 54 Y 1 =Buy, 2 =Sell OrderQty 38 Y Size OrderQty2 192 N Size for far leg of a swap OrdType 40 Y D =PreviouslyQuoted Price 44 Y Dealt price of the fill Price2 640 N Dealt price of the far leg of a swap Currency 15 Y Currency of OrderQty TimeInForce 59 Y 4 =Fill or kill LastQty 32 Y Quantity of this fill LastQty N Quantity of this fill for the far leg of a swap LastPx 31 Y Price of this fill LastPx N Price of this fill for the far leg of a swap LastSpotRate 194 N Spot rate of this fill LastFwdPoints 195 N Forward points for a forward or swap with a forward near leg LastFwdPoints2 641 N Forward points for far leg of a swap LeavesQty 151 Y Equal to OrderQty on New, or 0 on Filled or Rejected CumQty 14 Y 0 on New or Rejected, equal to OrderQty if Filled AvgPx 6 Y Equal to LastPx

16 Corporates and Markets Commander FIX 5 Jul 2013 Page 16 AvgPx N Equal to LastPx2 for the far leg of a swap TransactTime 60 Y Timestamp in UTC FixingDate 6203 N Fixing date for an NDF, YYYYMMDD FixingRef N Fixing reference for an NDF, see NDF Fixing References Text 58 N Description of execution or rejection reason Example ExecutionReport messages for a successful trade fill for buying 1M GBP/USD SP (ExecType=New followed by ExecType=Trade): 8=FIX.4.4 9=267 35=8 49=COBA 56=FIXLCLIENT 34=3 52= :24:18 37= =AAU5P = N 150=0 39=0 55=GBP/USD 54=1 151= =0 32=0 6=0 31=0 194=0 40=D 38= = =GBP 64= = :24:18 63=0 58= 1=CLIENTACC 59=4 10=006 8=FIX.4.4 9=289 35=8 49=COBA 56=FIXCLIENT 34=4 52= :24:18 37= =AAU5P = =F 39=2 55=GBP/USD 54=1 151=0 14= = = = = =D 38= = =GBP 64= = :24:18 63=0 58=deal executed 1=CLIENTACC 59=4 10=136 QuoteRequest (Message type R) QuoteReqID 131 Y Unique identifier Account 1 N Account, value provided by Commerzbank, not required if using NoAllocs NoRelatedSym (repeating group) 146 Y 1 Side 54 Y 1 =Buy, 2 =Sell. For a swap refers to the near leg OrderQty 38 Y Size SettlDate 64 N Value date, valid tenor. Default is SP OrdType 40 Y D =PreviouslyQuoted, G =PreviouslyQuoted Swap SettlDate2 193 N Value date of far leg of a swap, valid tenor OrderQty2 192 N Size of the far leg of an uneven swap Currency 15 Y Currency of the OrderQty FixingDate 6203 N Fixing date for an NDF, YYYYMMDD FixingRef N Fixing reference for an NDF, see NDF Fixing References NoAllocs (repeating group) 78 N Number of pre-trade allocations, required if Account is not used AllocAccount 79 N Account, value provided by Commerzbank IndividualAllocID 467 N Unique identifier for the allocation AllocQty 80 N Quantity of allocation

17 Corporates and Markets Commander FIX 5 Jul 2013 Page 17 AllocQty N Quantity of allocation of far leg of a swap AllocSide 6354 N Side of the allocation An example of a QuoteRequest message that uses an incorrect syntax for the currency pair: 8=FIX.4.4 9=137 35=R 49=FIXLDNMD1 56=COBAFXMD 34= = :01:10 1=FIXUK 131=ID =D 64=SP 146=1 55=EURUSD 54=1 38= =EUR 10 =219 A correctly formatted QuoteRequest SPOT message to Buy 2.5m EUR: 8=FIX.4.4 9=138 35=R 49=FIXLDNMD1 56=COBAFXMD 34= = :01:27 1=FIXUK 131=ID =D 64=SP 146=1 55=EUR/USD 54=1 38= =EUR 1 0=034 A correctly formatted QuoteRequest SPOT message to Buy 2.5m USD of EUR: 8=FIX.4.4 9=138 35=R 49=FIXLDNMD1 56=COBAFXMD 34= = :01:27 1=FIXUK 131=ID =D 64=SP 146=1 55=EUR/USD 54=1 38= =USD 1 0=034 A correctly formatted two-way QuoteRequest FORWARD message: 8=FIX.4.4 9=126 35=R 34=18 56=COBAFX 49=FIXLDN1Q 52= :26:56 1=FIXUK 131=ID =D 64=1W 146=1 55=EUR/USD 38= =EUR 10=140 A correctly formatted two-way QuoteRequest SWAP message: 8=FIX.4.4 9=133 35=R 34=85 56=COBAFX 49=FIXLDN1Q 52= :59:56 1=FIXUK 131=ID =G 64=1W 193=1M 146=1 55=EUR/USD 38= =EUR 1 0=234 A correctly formatted QuoteRequest message with Pre-trade Allocations: 8=FIX.4.4 9=138 35=R 49=FIXLDNMD1 56=COBAFXMD 34= = :01:27 78=2 79=FIXUK 467=alloc.1 80= =FIXJP 467=alloc.2 80= =ID =D 64=SP 146=1 55=EUR/USD 54=1 38= =EUR 10=034 A correctly formatted QuoteRequest SWAP message with Pre-trade Allocations of differing quantities for each side: 8=FIX.4.4 9=133 35=R 34=85 56=COBAFX 49=FIXLDN1Q 52= :59:56 78=2 79=FIXUK 467=alloc.1 80= =FIXJP 467=alloc.2 80= =FIXUK 467=alloc = =FIXJP 467=alloc = =ID =1 40=G 64=1W 193=1M 146=1 55=EUR/USD 38= =EUR 10=234 Quote (Message type S) QuoteReqID 131 Y Original identifier supplied by client QuoteID 117 Y Unique identifier SettlDate 64 Y Value date, YYYYMMDD

18 Corporates and Markets Commander FIX 5 Jul 2013 Page 18 SettlDate2 193 N Value date for far leg of the swap, YYYYMMDD OrdType 40 Y D =PreviouslyQuoted, G =PreviouslyQuoted Swap Side 54 N 1 =Buy, 2 =Sell, Default is two-way. For a swap refers to the near leg Currency 15 Y Currency of the BidSize or OfferSize Account 1 N Account, value provided by Commerzbank, not required if using NoAllocs OnBehalfOfCompID 115 N Prime brokerage client identifier BidPx 132 N All in bid price. Provided on sell or two-way quotes OfferPx 133 N All in offer price. Provided on buy or two-way quotes MidPx 631 N All in mid price BidSize 134 N Bid size of the near leg quote. Provided on sell or two-way quotes OfferSize 135 N Offer size of the near leg quote. Provided on buy or two-way quotes ValidUntilTime 62 Y Quote expiry time in UTC BidSpotRate 188 N Bid spot rate. Provided on sell or two-way quotes OfferSpotRate 190 N Offer spot rate. Provided on buy or two-way quotes BidForwardPoints 189 N Bid forward points. Provided on sell or two-way quotes OfferForwardPoints 191 N Offer forward points. Provided on buy or two-way quotes BidPx N All in bid price for the far leg of a swap OfferPx N All in offer price for the far leg of a swap BidSize N Bid size for the far leg of a swap OfferSize N Offer size for the far leg of a swap BidForwardPoints2 642 N Bid forward points for the far leg of a swap. Provided on sell or two-way quotes OfferForwardPoints2 643 N Offer forward points for the far leg of a swap. Provided on buy or twoway quotes FixingDate 6203 N Fixing date for an NDF, YYYYMMDD FixingRef N Fixing reference for an NDF, see NDF Fixing References MidPx N For swaps only, the all in mid price for the far leg A tradable Quote message: 8=FIX.4.4 9=210 35=S 49=COBAFXMD 56=FIXLDNMD1 34= = :01: =FIXUK 131=ID =EUR 54=1 55=EUR/USD 60= :01:30 62=00:03:17 64= = Q 133= = = =18 9

19 Corporates and Markets Commander FIX 5 Jul 2013 Page 19 QuoteRequestReject (Message type AG) QuoteReqID 131 Y Original identifier supplied by client QuoteRequestRejectReason 658 Y 0 =Unknown symbol, 99 =Other NoRelatedSym (repeating group) 146 Y 1 Text 58 Y Description of rejection reason A QuoteRequestReject message indicating an invalid quote request: 8=FIX.4.4 9=145 35=AG 49=COBAFX 56=FIXLDN1Q 34=77 52= :16: =ID =99 146=1 55=EUR/USD 58=Invalid value in tag 64 (SettlDate) [XX] 10=063 QuoteResponse (Message type AJ) A message sent by the client in response to a previously requested quote stating that: The client does not wish to trade on the received quote (Pass). The client wishes to deal on a specific quote (Hit / Lift) QuoteResponse (Pass) QuoteRespID 693 Y Unique identifier QuoteID 117 N QuoteID if received a quote, else not required QuoteResponseType 694 Y 6 =Pass QuoteReqID 131 N Original identifier supplied by client, required if no QuoteID A Pass QuoteResponse message: 8=FIX.4.4 9=119 35=AJ 34=3 56=COBAFX 49=FIXLDN1Q 52= :05:30 117= Q 693=ID =6 55=EUR/USD 1=FIXUK 54=2 10=018 QuoteResponse (Hit/Lift) QuoteRespID 693 Y Unique identifier QuoteID 117 Y QuoteID QuoteResponseType 694 Y 1 =Hit/Lift ClOrdID 11 Y Unique identifier

20 Corporates and Markets Commander FIX 5 Jul 2013 Page 20 Side 54 Y 1 =Buy, 2 =Sell. For a swap refers to the near leg OrderQty 38 Y Size. For a swap refers to the near leg OrderQty2 192 N Size for far leg of a swap OrdType 40 N D =PreviouslyQuoted Currency 15 Y Currency of the OrderQty Account 1 N Account, value provided by Commerzbank, not required if using NoAllocs OnBehalfOfCompID 115 N Prime brokerage client identifier BidPx 132 N All in bid price. Required on sell orders OfferPx 133 N All in offer price. Required on buy orders BidSpotRate 188 N Bid spot rate. Required on sell orders OfferSpotRate 190 N Offer spot rate. Required on sell orders BidForwardPoints 189 N Bid forward points. Required on sell orders for forwards or swaps with a forward near leg OfferForwardPoints 191 N Offer forward points. Required on buy orders for forwards or swaps with a forward near leg BidForwardPoints2 642 N Bid forward points for the far leg of a swap OfferForwardPoints2 643 N Offer forward points for the far leg of a swap SettlDate 64 Y Value date, YYYYMMDD. For a swap refers to the near leg SettlDate2 193 N Value date for far leg of the swap, YYYYMMDD A Hit / Lift QuoteResponse accepting quote based on one-way spot RFQ message: 8=FIX.4.4 9=164 35=AJ 34=8 56=COBAFX 49=FIXLDN1Q 52= :16:03 117= Q 693=ID =1 55=EUR/USD 54=1 11=ID =USD 1=FIXUK 38= = =251 A Hit / Lift QuoteResponse accepting quote based on two-way forward RFQ message: 8=FIX.4.4 9=175 35=AJ 34=19 56=COBAFX 49=FIXLDN1Q 52= :27:00 117= Q 693=ID =1 55=EUR/USD 1=FIXUK 54=1 11=ID =USD 38= = = =240 A Hit / Lift QuoteResponse accepting quote based on two-way forward swap RFQ message: 8=FIX.4.4 9=186 35=AJ 34=86 56=COBAFX 49=FIXLDN1Q 52= :00:00 117= Q 693=ID =1 55=EUR/USD 1=FIXUK 54=1 11=ID =USD 38= = = = =235

21 Corporates and Markets Commander FIX 5 Jul 2013 Page 21 QuoteCancel (Message type Z) QuoteReqID 131 Y Original identifier supplied by client QuoteID 117 Y Unique identifier of quote QuoteCancelType 298 Y 1 =Cancel for symbol Account 1 Y Account, value provided by Commerzbank NoQuoteEntries (repeating group) 295 Y 1 An example of a correctly formed QuoteCancel message: 8=FIX.4.4 9=120 35=Z 49=COBAFX 56=FIXLDN1Q 34=92 52= :39: =FIXUK 117= =ID =1 295=1 55=EUR/USD 10=050 QuoteStatusReport (Message type AI) QuoteReqID 131 Y Original identifier supplied by client QuoteID 117 Y Unique identifier of quote QuoteStatus 297 Y 0 =Accepted, 1 =Cancelled for symbol, 5 =Rejected, 9 =Quote not found Text 58 Y Description of rejection reason A QuoteStatusReport message in response to an invalid QuoteResponse message: 8=FIX.4.4 9=118 35=AI 49=COBAFX 56=FIXLDN1Q 34=73 52= :14: = Q 55=EUR/USD 297=5 58=Tag 1 (Account) missing 10=209 A QuoteStatusReport message sent in case of any failure during processing QuoteResponse PASS: 8=FIX.4.4 9=161 35=AI 49=COBAFX 56=FIXLDN1Q 34=75 52= :38: =ID = Q 55=EUR/USD 297=5 58=Error cancelling quote with ID: Q 10=094 A QuoteStatusReport message sent in case of any failure during processing QuoteResponse HIT/LIFT: 8=FIX.4.4 9=158 35=AI 49=COBAFX 56=FIXLDN1Q 34=30 52= :31: =ID = Q 55=EUR/USD 297=1 58=Error accepting quote with ID: Q 10=130

22 Corporates and Markets Commander FIX 5 Jul 2013 Page 22 5 Standard FIX Message Definitions All standard FIX messages can be found in the FIX Protocol documentation at Logon (Message type A) EncryptMethod 98 Y 0 =None/Other HeartBtInt 108 Y Heartbeat interval in seconds. 60 recommended ResetSeqNumFlag 141 N Y =Reset sequence numbers. Default is N An example of a FIX logon message: 8=FIX.4.4 9=74 35=A 49=FIXCLIENT 56=COBA 34=1 52= :22:15 108=30 98=0 10=106 Logout (Message type 5) Text 58 N Description of logout reason An example of a FIX logout message: 8=FIX.4.4 9=57 35=5 49=FIXCLIENT 56=COBA 34=51 52= :46:40 10=082 ResendRequest (Message type 2) BeginSeqNo 7 Y Sequence number of first message to resend EndSeqNo 16 Y Sequence number of last message to resend, or 0 (zero) for all subsequent messages SequenceReset (Message type 4) GapFillFlag 123 N Y =Gap Fill message, N =Sequence reset EndSeqNo 16 Y Sequence number of last message to resend, or 0 (zero) for all subsequent messages Reject (Message type 3) RefSeqNum 45 Y Message number of the rejected message RefTagId 371 N Tag field on the rejected message RefMsgType 372 N Message type of the rejected message

23 Corporates and Markets Commander FIX 5 Jul 2013 Page 23 SessionRejectReason 373 N Reject code Text 58 N Description of the rejection TestRequest (Message type 1) TestReqID 112 Y Unique identifier Heartbeat (Message type 0) TestReqID 112 N Id for the TestRequest it is responding to

24 Corporates and Markets Commander FIX 5 Jul 2013 Page 24 6 Conformance Tests Session Test Name Required Expected Behaviour Login Y Successful login using the Logon message and the provided Sender and Target Comp IDs. Reset Sequence numbers (tag 141) set to Y for market data session, and not set on orders session Heartbeat Y Heartbeat sent and received at agreed interval TestRequest Y Test Requests responded to with Heartbeat containing the relevant TestRequestID Logout Y Logout sent on intentional disconnection Logout responded to with a Logout Trading session status N Valid trading session status processed (Optional: only tested if client s software supports it) Connection resilience N Ensure that the FIX sessions are connected for a continuous 24 hour period Automatic reconnection Y Sessions retry reconnecting on a disconnection. Sequence number mismatch Y Client sequence numbers are too low, connection will not connect, alerting should be raised on the client software Client sequence numbers are too high, message recovery with appropriate resends and gap fills, and session resumes normal behaviour Commander sequence numbers are too low, connection should be disconnected, alerting should be raised on the client software Commander sequence numbers are too high, message recovery with appropriate resends and gap fills, and session resumes normal behaviour Market data Test Name Required Expected Behaviour Subscribe to Multiple Currency Pairs Subscribe to Multiple Currency Pairs at specific sizes Y N Successful subscription for a number of currency pairs and tenors. Clients should be receiving prices. Successful subscription for a number of currency pairs and tenors at specific sizes. Clients should be receiving one liquidity band of prices for each subscription. Handling of Stale Prices Y The system will send indicative (stale/closed) rates (QuoteCondition = B ). Clients should handle these. Unsubscribe N Successful removal of subscriptions and clients should not get further updates Unsolicited Reject N The system will send an unsolicited MarketDataRequestReject back to the client for subscriptions that can t be continued. Client s should handle this accordingly and only resubscribe when the trading session is active again. (Optional: only required if client s support this) Subscribe to Unknown Instrument N The system will send a reject message. Clients should handle this reject. (Optional: only required if client s support this)

25 Corporates and Markets Commander FIX 5 Jul 2013 Page 25 Test Name Required Expected Behaviour Automatic resubscription Y Clients should automatically resubscribe after being disconnected intra-day or receiving MarketDataReject messages. Orders Test Name Required Expected Behaviour Submit Spot Buy Order in Base Currency Submit Spot Sell Order in Base Currency Submit Forward Buy Order in Base Currency Submit Forward Sell Order in Base Currency Submit Swap Buy Order in Base Currency Submit Swap Sell Order in Base Currency Submit Buy Order above a Liquidity Level Submit Sell Order above a Liquidity Level Y Y N N N N N N Clients submit a spot buy order in a quote s base currency. They should get a valid execution back. Clients submit a spot sell order in a quote s base currency. They should get a valid execution back. Clients submit a forward buy order in a quote s base currency. They should get a valid execution back. Clients submit a forward sell order in a quote s base currency. They should get a valid execution back. Clients submit a swap buy order in a quote s base currency. They should get a valid execution back. Clients submit a swap sell order in a quote s base currency. They should get a valid execution back. Client submits a buy order above the available liquidity level. They should get a reject back. Client submits a sell order above the available liquidity level. They should get a reject back. Submit Multiple Orders for a Liquidity Level (successful) N Client submits multiple orders for a one liquidity level. For example, client submits a 0.7m and 0.3m orders for 1m of available liquidity. Submit Multiple Orders for a Liquidity Level (failed) N Client submits multiple orders that sum up to more than one liquidity level. For example, client submits a 0.7m and 0.4m orders for 1m of available liquidity.

26 Corporates and Markets Commander FIX 5 Jul 2013 Page 26 Quotes Test Name Required Expected Behaviour Request an invalid quote Request a valid one-way quote N Y The client should send an invalid Request For Quote and receive QuoteRequestReject message. The client should send a Request For Quote and receive stream of Quotes having only offer or bid side populated, depending on what side has been requested. Repeat this step after doing successful deal on a quote also for FORWARD and SWAP quotes. Deal on a quote Y The client should send an order (QuoteResponse type hit/lift ) using the quote s identifier and receive an execution with a fill. Request a valid two-way quote Y The client should send a two-way SPOT Request For Quote and receive stream of Quotes having both offer and bid sides populated. Repeat this step after doing successful deal on a quote also for FORWARD and SWAP quotes. Deal on a quote Y The client should send an order (QuoteResponse type hit/lift ) using the quote s identifier and receive an execution with a fill. Cancel a quote N Where possible, the client should cancel a quote (QuoteResponse type pass ). Handle stale quotes Y While streaming receive and process a QuoteCancel.

27 Corporates and Markets Commander FIX 5 Jul 2013 Page 27 7 NDF Fixing References Supported Non-Deliverable Forward Fixing References Details Supported References Default USD contracts USD NDF FIX TIME USD NDF FIX TIME Non-USD contracts ECB37 12:15 GMT ECB37 12:15 GMT Please refer to your account manager for the current list of supported references and associated defaults