Trayport .NET 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.

Communication

graph LR
  subgraph Ember
  Algo-->TC[Ember TC]
  end
  subgraph TR[Trayport Connector]
  FG[FIX Gateway]-->C[GV Connector]
  end
  TC==FIX==>FG
  C==GV API==>Exchange

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 = "3.0.20"

$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

Attribute	Description
Label	A label for the term.
Default	The default value for this term.
Type	The 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

Parameter	Value
Time Zone	America/New_York
Start Day	Sunday
Start Time	17:30:00
End Day	Sunday
End Time	17:00:00
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"

Timebase settings

Parameter	Value
Host	Timebase host
Port	Timebase port
Username	Timebase username
Password	Timebase password
AttributeKey	Value that is prefix for “Symbol”, “Tradable” columns in timebase
SkipTradableField	If tradable column is not present or should be skipped value should be set to true.
ListOfSpecificBrokers	Accepted array of broker ids where we should generate synthetix MLEG trade report. Use only if broker report only legs as executions
SecurityType	If specified during connection will be used specified security connection. Supported only "SSO" value

SSO settings

Parameter	Value
URI	Base URL
Scope	Scope

Supported order attributes

Name	Custom tag	Description
Terms for Instrument Identifiers	7000	See Symbology section for details.
AccountName	7001	The name of the trading account associated with this order, if applicable.
DecisionMaker	7010	Code used to identify the person or algorithm within the company who is responsible for the investment decision.
ExecutionMaker	7011	Code used to identify the person or algorithm within the company who is responsible for the execution.
DerivativeIndicator	7012	Specify true if the transaction reduces risk in an objectively measurable way.
DEA	7013	Specify true if the order is being submitted to the trading venue using Direct Electronic Access (DEA)
DEAClientID	7014	If DEA is used, the code of the DEA user must be specified in this field.
LiquidityProvision	7015	Specify true if the order is submitted to a trading venue as part of a market making strategy.
TradingCapacity	7016	Specifies whether the order results from the counterparty carrying out matched principal trading
Status	7020	The type of order. Valid values are: Firm, Withheld, Reference
CompanyID	7021	The ID of the company. This is an integer and must be a valid company ID.
BrokerID	7022	The ID of the broker to which you are submitting this order. This is an integer and must be a valid broker ID.
AllOrNone	7023	The all or none status of the order. To submit the order on an all or none basis, set this attribute to true
JDMemo	7123	Value that will reflect back to sender in trades and orders. Only for TradeOrder.
SkipPrice	7124	True or False. Price will be skipped. Only for TradeOrder.

GUI

Joule.application

Ember Trade Connector config

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
          }
        ]
      }
    }
  }
}