Trayport gRPC 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

Order Update (Replace)

Trayport does not support In-Flight-Mitigation for UPDATE order action. I.e. in update request they expect "desired outstanding quantity" rather than "total intended quantity (including the amount already executed for this chain of orders)".

The Ember Trading API always expects the total intended quantity for Replace requests. When sending an update to Trayport, the connector adjusts the outbound quantity accordingly.

warning

In case of an in-flight trade, this adjustment cannot prevent overfills.

Time In Force

Trayport does not reject orders with an unsupported TIF. For example, if the instrument does not support IOC/FOK, the order is silently converted to GTC.

TradeOrder Action

To use a trade order action instead of a regular order, populate QuoteId in the new order request. Supported two formats:

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

MiFID attributes are also supported, as with Order actions.

note

For some instruments, Trayport may apply a "better price" algorithm and trade a different order.

Order Update - "The order does not exist" rejection

Sometimes order replace can fail with "The order does not exist" error.

Trayport explanation:

It is possible that the API's internal orderbook had not completed the synchronization of the previous order ID change.
Waiting a greater amount of time between sending the next update should have allowed the transmission of the request.

If you experience this error following a rapid update a suitable response would be to wait a short period,
say 50ms (as a pure example) and then attempt to resubmit the request.

Symbology

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

Term Labels

Terms can be passed via attribute 7000 with the following format: <Label>#<Default>#<Type>,<Label>#<Default>#<Type>

Attribute	Description
Label	A label for the term.
Default	The default value for this term.
Type	The data type of the term. Allowed values: `string`, `integer`, `double`, `dateTime`, `boolean`

Supported order attributes

Settings	Column	Custom Tag	Description
	`<attributeKey>Tag7000`	7000	Terms for Instrument Identifiers. See Term Labels section above.
`account`	`<attributeKey>Tag7001`	7001	Account Name. The name of the trading account associated with this order, if applicable.
`mifid.decisionMaker`	`<attributeKey>Tag7010`	7010	Decision Maker. Code used to identify the person or algorithm within the company who is responsible for the investment decision.
`mifid.executionMaker`	`<attributeKey>Tag7011`	7011	Execution Maker. Code used to identify the person or algorithm within the company who is responsible for the execution.
`mifid.derivativeIndicator`	`<attributeKey>Tag7012`	7012	Derivative Indicator. Specify true if the transaction reduces risk in an objectively measurable way.
`mifid.DEA`	`<attributeKey>Tag7013`	7013	DEA. Specify `true` if the order is being submitted to the trading venue using Direct Electronic Access (DEA)
	`<attributeKey>Tag7014`	7014	DEA Client ID. If DEA is used, the code of the DEA user must be specified in this field.
`mifid.liquidityProvision`	`<attributeKey>Tag7015`	7015	Liquidity Provision. Specify `true` if the order is submitted to a trading venue as part of a market making strategy.
`mifid.tradingCapacity`	`<attributeKey>Tag7016`	7016	Trading Capacity. Specifies whether the order results from the counterparty carrying out matched principal trading
`status`	`<attributeKey>Tag7020`	7020	Status. The type of order.
`companyId`	`<attributeKey>Tag7021`	7021	Company ID. Numeric. The ID of the company. Must be a valid company ID.
`brokerId`	`<attributeKey>Tag7022`	7022	Broker ID. Numeric. The ID of the broker to which you are submitting this order. Must be a valid broker ID.
`allOrNone`	`<attributeKey>Tag7023`	7023	The all or none status of the order. Set to `true` to submit the order on an all or none basis.
	`<attributeKey>Tag7123`	7123	JDMemo. Value that will reflect back to sender in trades and orders. Only for TradeOrder.
`skipPrice`	`<attributeKey>Tag7124`	7124	Specify `true` to skip price. Only for TradeOrder.

Trayport Order Sync

Order synchronization is not supported. All active orders are discarded on reconnect. Sessions are created with cancel-on-disconnect enabled by default.

GUI

Joule.application

Trayport gRPC Server

https://www.trayport.com/downloads/JouleDirect/API/gRPCServer.zip

Configuration

Connector settings

Parameter	Default Value	Description
➡️ gRPC Settings
grpc.host	localhost	gRPC Server Host.
grpc.port	5100	gRPC Server Port.
grpc.keepAliveInterval	10s	The interval between PING frames.
grpc.keepAliveTimeout	15s	The timeout for a PING frame to be acknowledged. If sender does not receive an acknowledgment within this time, it will close the connection.
grpc.keepAliveWithoutCalls	false	Is it permissible to send keepalive pings from the client without any outstanding streams.
➡️ Trayport Session Settings
host	jouledirect	Joule Direct Host alias.
port	443	Joule Direct Port.
username		Joule Direct Username
password		Joule Direct Password
brokerId		The ID of the broker to which you are submitting this order. This is an integer and must be a valid broker ID.
companyId		The ID of the company. This is an integer and must be a valid company ID.
account		The name of the trading account associated with this order, if applicable.
routeId		The ID of the route. This is an integer and must be a valid route ID.
status	FIRM	The type of order. Valid values: `WITHHELD`, `FIRM`, `REFERENCE`, `INDICATIVE`, `TYPE_RFQ`, `INTERNAL`.
allOrNone	false	The all or none status of the order. To submit the order on an all or none basis, set this settings to `true`
skipPrice	false	Set to `true` to skip price. Only for `TradeOrder` action.
sendMarketAsDay	false	Set to `true` to send market order as Good For Day limit order with price 0.
reconnectInterval	10s	Reconnection interval. The first time after connection lost connector tries to reconnect immediately.
heartbeatInterval	15s	The interval between client heartbeats.
heartbeatTimeout	0	The heartbeat timeout. Zero means `heartbeatInterval * 2.5`.
CAfile		The root certificates to verify the server's identity instead of the system's default. Generally they should be PEM-encoded.
➡️ Broker Mapping Settings
brokerMapping[].brokerId		Broker ID. Required.
brokerMapping[].account		Account. Optional.
brokerMapping[].terms[].label		Term label. Required.
brokerMapping[].terms[].desc		Term description. Optional.
brokerMapping[].terms[].defValue		Term default value. Optional.
brokerMapping[].terms[].dataType	STRING	Term data type. Optional. Allowed values: STRING, INTEGER, DOUBLE, DATE_TIME, BOOLEAN, DATE_LIST, DOUBLE_LIST
➡️ Sync Settings
syncSettings.discardIfRemove	true	Turn on to skip synchronization and discard orders if `connection.disconnectAction = REMOVE`.
➡️ MiFID Settings
mifid.decisionMaker		Code used to identify the person or algorithm within the company who is responsible for the investment decision, under the MiFID II regulation. A full description of this field can be found in the MiFID Regulatory Technical Standards (RTS) 22 Annex I (Table 2, Field 57).
mifid.executionMaker		Code used to identify the person or algorithm within the company who is responsible for the execution under the MiFID II regulation. A full description of this field can be found in the MiFID Regulatory Technical Standards (RTS) 22 Annex I (Table 2, Field 59)
mifid.DEA	true	This field returns true if the order was submitted to the trading venue using Direct Electronic Access (DEA) as defined in the MiFID II regulation. Otherwise it returns false. A full description of this field can be found in the MiFID Regulatory Technical Standards (RTS) 24 Annex I (Table 2, Field 2).
mifid.liquidityProvision	false	This field returns true if the order is submitted to a trading venue as part of a market making strategy, as defined in the MiFID II regulation. Otherwise it returns false. A full description of this field can be found in the MiFID Regulatory Technical Standards (RTS) 24 Annex I (Table 2, Field 8).
mifid.derivativeIndicator	false	This field returns true if the transaction reduces risk in an objectively measurable way in accordance with the MiFID II regulation. Otherwise it returns false. A full description of this field can be found in the MiFID Regulatory Technical Standards (RTS) 22 Annex I (Table 2, Field 64).
mifid.tradingCapacity		Shows whether the order results from the counterparty carrying out matched principal trading under the MiFID II regulation. A full description of this field can be found in the MiFID Regulatory Technical Standards (RTS) 22 Annex I (Table 2, Field 29). Valid values: `DEAL`, `MTCH`, `AOTC`.
➡️ Connection Options
connection.disconnectAction	REMOVE	Specifies what the server should do if the API loses its connection to the server. valid values: `REMOVE`, `WITHHOLD`, `NOTHING`.
connection.disconnectUpstreamWithoutDelay	true	Specifies if you want to bypass the standard 30 second grace period when a disconnection between the JD API and the Aggregation Server is detected. Set to `true` to trigger the disconnect actions immediately.
connection.enableTradeUpdateOnMetadata	true	Specifies if you want to receive a trade update containing only metadata changes. This option defaults should be on if MLEG instruments are used. Trade updates are still received if non-metadata changes are updated on the trade, irrespective of the setting.
connection.enableAltMetadataLegCopy	false	Specifies if you want to use the alternative mechanism for copying metadata on broken spread leg trades.
connection.enableMetadataForIdentify	false	Metadata includes features such as local attributes and Automated Trading.
connection.calculatedPrices.enabled	false	Toggle calculated prices - `true` or `false`.
connection.calculatedPrices.maximumDepth	4	Maximum Depth.
connection.calculatedPrices.enableNonConsecutiveSpreads	true	Toggle non-consecutive spreads - `true` or `false`.

Config sample

connectors {
  TRAYPORT: ${template.connector.trayport} {
    settings {
      grpc {
        host = "<GRPC_SERVER_HOST>"
        port = <GRPC_SERVER_PORT>
      }

      host = "jouledirect"
      port = 443

      username = "<USERNAME>"
      password = "<PASSWORD>"

      brokerId = <BROKER_ID>
      routeId = <ROUTE_ID>
      companyId = <COMPANY_ID>
      account = "<ACCOUNT>"

      # broker to account/terms mapping
      # this mapping will override default values
      brokerMapping = [
        {
          brokerId = 100

          account = "<BROKER_ACCOUNT>"
          terms = [{label = "Execution"}, {label = "Customer"}]
        },
        {
          brokerId = 200

          terms = [{label = "Open/Close"}]
        }
      ]
    }
  }
}

Features​

Notes​

Order Update (Replace)​

Time In Force​

TradeOrder Action​

Order Update - "The order does not exist" rejection​

Symbology​

Term Labels​

Supported order attributes​

Trayport Order Sync​

GUI​

Trayport gRPC Server​

Configuration​

Connector settings​

Config sample​

Features

Notes

Order Update (Replace)

Time In Force

TradeOrder Action

Order Update - "The order does not exist" rejection

Symbology

Term Labels

Supported order attributes

Trayport Order Sync

GUI

Trayport gRPC Server

Configuration

Connector settings

Config sample