Skip to main content

Trayport COM Trade Connector

Features​

custom-trayportConnector Key
Instruments
FUTURE
Request Types
SUBMITCANCELREPLACE
Order Types
MARKETLIMIT
Time In Force
GTCIOCFOK
Order ID Mapper
CUSTOM
✗
Order Status Request
✓
Cancel On Disconnect
✗
Commission
✗
Post Only
✗
Fast Cancel
✗
Fast Replace

Notes​

Description​

Trayport Connector is Windows console application running under .NET Framework 4.7.
It accepts incoming orders by FIX (Deltix FIX Dialect) and sends them further to Trayport via GV API.
On Ember side you should use Ember (ES5) Trade Connector to communicate with Trayport Connector app.

Shutdown​

For graceful shutdown press Ctrl+Q

Time In Force​

Unfortunately Trayport does not reject orders with wrong TIF.
For example, if instrument does not support IOC/FOK Time In Force order is silently open as GTC.

Rate Limits​

A rate limiter prevents more than 25 trades per second for each provider. If more than 25 private order updates are received, the "Private quotes rate limit exceeded" error will be displayed. After one second, more order updates can be submitted.

TradeOrder Action​

To use trade order action instead of order you need to fill quoteID in new order request. Supported two formats:

  • engineId#brokerId#orderId
  • orderId (in this case engId and brokerId will be set to 0)

Also supported MiFID attributes like for Order action

Trayport Connector Deployment​

Prerequisites​

  • Add NEXUS_USER and NEXUS_PASS to env variables
  • Start PowerShell as Administrator 
    # update ExecutionPolicy if needed
    Set-ExecutionPolicy -ExecutionPolicy RemoteSigned

Download and Deploy Trayport connector​

Define connector home, download and extract connector via script below:

PowerShell Script
$TrayportConnectorHome = "C:\TrayportConnector"
$TrayportConnectorVersion = "3.0.22"

$NexusPath = "https://nexus.deltixhub.com/repository/epm-rtc-public/QuantServer/Trade"

$DistributionArchive = "TrayportConnector-$TrayportConnectorVersion.zip"
$DistributionUrl = "$NexusPath/TrayportConnector/$TrayportConnectorVersion/$DistributionArchive"

# Nexus credentials - assuming that NEXUS_USER and NEXUS_PASS env variables are defined
$NexusPath = ConvertTo-SecureString $env:NEXUS_PASS -AsPlainText -Force
$Credential = New-Object System.Management.Automation.PSCredential($env:NEXUS_USER, $NexusPath)

# create directory if not exist
New-Item -ItemType Directory -Force -Path $TrayportConnectorHome

# download connector distribution archive
Invoke-WebRequest -Uri $DistributionUrl `
  -OutFile $home\Downloads\$DistributionArchive -Credential $Credential

# unzip downloaded connector distribution
Expand-Archive -Path $home\Downloads\$DistributionArchive -DestinationPath $TrayportConnectorHome

# create copy of appsettings.json
Copy-Item "$TrayportConnectorHome\config\appsettings.json" `
  -Destination "$TrayportConnectorHome\config\appsettings.Production.json"

# setting-up client-side logging for GVAPI
$RegPath = 'HKCU:\Software\Trayport\GV8API1.0'
New-Item $RegPath -Force
New-ItemProperty -Path $RegPath -Name LogEnable -Value 1 -PropertyType DWORD -Force
New-ItemProperty -Path $RegPath -Name LogPath `
  -Value $TrayportConnectorHome\gvlog -PropertyType String -Force

Configure Trayport Connector​

Define valid settings in /config/appsettings.Production.json

Configure Ember Trade Connector​

Add the Ember TC configuration to ember.conf

Symbology​

Trayport connector expects symbol as instrument attributes concatenated with #:
<InstID>#<SeqSpan>#<FirstSequenceID>#<FirstSequenceItemID>#<SecondSequenceItemID>

Symbology for TradeOrder Action​

For some brokers information for instrument is ignored.

Term Labels​

Trayport connector support sending terms for Instrument Identifiers via 7000 custom attribute or via SMD column with column name <attributeKey>7000.

Terms should be in following format: Label#Default#Type,Label#Default#Type

<TERM> Attributes

AttributeDescription
LabelA label for the term.
DefaultThe default value for this term.
TypeThe data type of the term. This attribute can have the following values: string, integer, double, dateTime, boolean

NOTE: To avoid unexpected behavior please use one of the proposed method when set tag 7000

Schedule​

FIX schedule is weekly and should be the same both in Ember TC config and in /config/QuickFix.cfg

ParameterValue
Time ZoneAmerica/New_York
Start DaySunday
Start Time17:30:00
End DaySunday
End Time17:00:00
Daily Session?No

Configuration​

Connector settings​

The default connector settings are defined in appsettings.json file under /config folder.
Yor can override defaults in separate config file: appsettings.Production.json.

Settings option to generate info about instruments: SecurityDefinitionFolder: "path"

TermsMapping​

TermsMapping allows defining, per BrokerID, default values for Account, RouteID and Terms (see Term Labels) that are applied to outgoing orders automatically, without the trading client having to send them explicitly via custom attributes 7000/7001/7002.

A per-order value received via custom attribute always takes precedence over a TermsMapping default. An empty string value for Account or RouteID in the mapping blanks out that field for the given broker rather than being ignored.

TermsMapping[] Attributes

AttributeDescription
BrokerIDBroker ID this entry applies to. Required.
AccountDefault account name for this broker. Optional.
RouteIDDefault route ID for this broker. Optional.
TermsDefault term labels for this broker: array of TermLabel/TermDefault/TermType. Optional.

Example:

"TermsMapping": [
  {
    "BrokerID": "37",
    "Account": "SUB_ACCOUNT_A",
    "RouteID": "671",
    "Terms": [
      { "TermLabel": "Execution", "TermDefault": "", "TermType": "string" },
      { "TermLabel": "Customer", "TermDefault": "", "TermType": "string" }
    ]
  },
  {
    "BrokerID": "36",
    "RouteID": "371"
  }
]

Timebase settings​

ParameterValue
HostTimebase host
PortTimebase port
UsernameTimebase username
PasswordTimebase password
AttributeKeyValue that is prefix for “Symbol”, “Tradable” columns in timebase
SkipTradableFieldIf tradable column is not present or should be skipped value should be set to true.
ConnectionRetriesNumber of attempts to connect to TimeBase at startup. After the last failed attempt the application stops. Default is 5. Failed attempts are retried every 3 seconds.
ListOfSpecificBrokersAccepted array of broker ids where we should generate synthetix MLEG trade report. Use only if broker report only legs as executions
SecurityTypeIf specified during connection will be used specified security connection. Supported only "SSO" value

SSO settings​

ParameterValue
URIBase URL
ScopeScope

KeyVault settings​

Usernames, passwords and any other setting can be read from Azure Key Vault instead of being stored in config files. Set the value to a Key Vault reference:

"Connector": {
  "Username": "vault:/trayport-jd-username",
  "Password": "vault:/trayport-jd-password"
},
"Timebase": {
  "Username": "vault:/timebase-client-id",
  "Password": "vault:/datalayer-ce-client-secret"
}

Reference format: vault:/<secret-name> (latest version) or vault:/<secret-name>/<version> (a specific version). References work in any configuration source: JSON files, environment variables (Connector__Password=vault:/trayport-jd-password) and command line (--Connector:Password=vault:/trayport-jd-password).

References are resolved once at startup. The connector fails to start if a referenced secret cannot be read. After rotating a secret in Key Vault, restart the connector. Values read from Key Vault are used as-is (legacy EV... password decryption is not applied to them).

Key Vault access is configured in the KeyVault section:

ParameterValue
VaultUriKey Vault URI, e.g. https://my-vault.vault.azure.net/. Required when references are used
AuthModeDefault, ManagedIdentity, ClientSecret or Certificate. Default: Default
TenantIdMicrosoft Entra tenant ID. Required for ClientSecret and Certificate
ClientIdApplication (client) ID. Required for ClientSecret and Certificate; for ManagedIdentity - user-assigned identity client ID (omit for system-assigned)
ClientSecretApplication client secret for ClientSecret mode. Can be EV-encrypted. Prefer passing it via the KeyVault__ClientSecret environment variable
CertificateThumbprintThumbprint of the application certificate for Certificate mode, looked up in LocalMachine\My, then CurrentUser\My

Auth modes:

  • ManagedIdentity - recommended on Azure VMs, no bootstrap secret is required.
  • Certificate - recommended for on-premises hosts. The certificate private key must be readable by the connector's account.
  • ClientSecret - app registration with a client secret.
  • Default - DefaultAzureCredential chain (environment, managed identity, Azure CLI, Visual Studio, etc.). Useful for development.

The identity needs only read access to secrets: the Key Vault Secrets User role (RBAC) or the Get secret permission (access policies). KeyVault settings themselves cannot be Key Vault references.

Example:

"KeyVault": {
  "VaultUri": "https://my-vault.vault.azure.net/",
  "AuthMode": "Certificate",
  "TenantId": "00000000-0000-0000-0000-000000000000",
  "ClientId": "00000000-0000-0000-0000-000000000000",
  "CertificateThumbprint": "0123456789ABCDEF0123456789ABCDEF01234567"
}

Supported order attributes​

NameCustom tagDescription
Terms for Instrument Identifiers7000See Symbology section for details.
AccountName7001The name of the trading account associated with this order, if applicable.
RouteID7002ID of the route to market used to place the order, if applicable
DecisionMaker7010Code used to identify the person or algorithm within the company who is responsible for the investment decision.
ExecutionMaker7011Code used to identify the person or algorithm within the company who is responsible for the execution.
DerivativeIndicator7012Specify true if the transaction reduces risk in an objectively measurable way.
DEA7013Specify true if the order is being submitted to the trading venue using Direct Electronic Access (DEA)
DEAClientID7014If DEA is used, the code of the DEA user must be specified in this field.
LiquidityProvision7015Specify true if the order is submitted to a trading venue as part of a market making strategy.
TradingCapacity7016Specifies whether the order results from the counterparty carrying out matched principal trading
Status7020The type of order. Valid values are: Firm, Withheld, Reference
CompanyID7021The ID of the company. This is an integer and must be a valid company ID.
BrokerID7022The ID of the broker to which you are submitting this order. This is an integer and must be a valid broker ID.
AllOrNone7023The all or none status of the order. To submit the order on an all or none basis, set this attribute to true
JDMemo7123Value that will reflect back to sender in trades and orders. Only for TradeOrder.
SkipPrice7124True or False. Price will be skipped. Only for TradeOrder.

GUI​

Joule.application

Trayport Connector Config​

note

Connector.Password and Timebase.Password secrets can be encrypted with help of Ember Mangle Tool.

Example of Trayport Connector configuration (appsettings.json)
{
  "Connector": {
    "Host": "jouledirecttest",
    "Port": 443,
    "Username": "<USERNAME>",
    "Password": "<PASSWORD>",
    "BrokerID": "37",
    "RouteID": null,
    "Status": "Firm",
    "AllOrNone": "false",
    "CompanyID": "<COMPANY_ID>",
    "Account": null,
    "SkipPrice": false,
    "GenerateTradeReport": false,
    "ListOfSpecificBrokers": null,
    "TermsMapping": [
      {
        "BrokerID": "37",
        "Account": "SUB_ACCOUNT_A",
        "RouteID": "671",
        "Terms": [
          { "TermLabel": "Execution", "TermDefault": "", "TermType": "string" },
          { "TermLabel": "Customer", "TermDefault": "", "TermType": "string" }
        ]
      },
      {
        "BrokerID": "36",
        "RouteID": "371"
      }
    ],
    "MarketToGTD": false
  },
  "Timebase": {
    "Host": "localhost",
    "Port": 8014,
    "Username": null,
    "Password": null,
    "AttributeKey": null,
    "SkipTradableField": false
  },
  "MIFID": {
    "DecisionMaker": "300",
    "ExecutionMaker": "328",
    "DEA": "true",
    "LiquidityProvision": "false",
    "DerivativeIndicator": "false"
  },
  "CalculatedPrices": {
    "Enabled": false,
    "MaximumDepth": 4,
    "EnableNonConsecutiveSpreads": true
  }
}

Ember Trade Connector Config​

Example of Ember Trade Connector configuration (ember.conf)
connectors {
  TRAYPORT: ${template.connector.fix.es5} {
    settings: {
      attributeKey = trayport

      host = localhost
      port = 9021

      senderCompId = DELTIX
      targetCompId = TRAYPORT

      resetSeqNums = true

      schedule = {
        zoneId = "America/New_York"

        intervals = [
          {
            startTime = "17:30:00",
            startDay = SUNDAY,
            endTime = "17:00:00",
            endDay = SUNDAY
          }
        ]
      }
    }
  }
}