Eurex T7 ETI Trade Connector

Features

eti-eurexConnector Key

Instruments

OPTIONFUTURESYNTHETIC

Request Types

SUBMITCANCELREPLACE

Order Types

MARKETLIMITSTOPSTOP_LIMIT

Time In Force

DAYGTCIOCFOKGTD

Order ID Mapper

SEQUENCE

✓

Order Status Request

✓

Cancel On Disconnect

✗

Commission

✗

Post Only

✓

Fast Cancel

✓

Fast Replace

Notes

Useful Links

T7 ETI Eurex - Release 13.0

Session Type

See 5.2 Session Concept chapter in T7 ETI Manual.

Low Frequency Session (LF)
This session type supports the complete ETI functionality.
Modification for another session of the same business unit is only supported for standard orders.
A LF session may also be used to subscribe broadcast streams, for example: Listener broadcast, trade notifications.
High Frequency Session (HF)
This session type is aimed at high frequency trading.
The HF session type does not support the subscription of the broadcasts listener, trades, and news.
Mass cancellation and quote activation/inactivation for another session is supported.

External Order Modification

External order modification (via GUI) is supported via notifying RESTATED order event.

Order Scope

Config Value	Description
`PERSISTENT`	A persistent order is an order that is reinstated at the beginning of the Business Day (if valid for that Business Day) or after a Market Reset.
`NON_PERSISTENT`	Non-persistent orders are automatically cancelled at the end of the Business Day or after a Market reset. They are also cancelled in case of some system events (see Mass Cancellation Notification) and session connection problems or normal session logout.

Order Kind

Config Value	Tag 28703	Description
`LEAN`	0	For lean orders, the execution notifications can be recovered (via retransmission requests on the session data channel). All data on lean orders are visible only to the session that submitted the order. Lean orders are always non-persistent.
`STANDARD`	1	The complete order history can be recovered via retransmission requests. The order data is visible to all low-frequency sessions belonging to the same business unit. Standard orders can be persistent or non-persistent.

Trading Capacity

This field designates if the trader is acting in the capacity of agent, trading for its own account or acting as a market maker.

Config Value	Tag 1815	Description
`CUSTOMER`	1	Customer (Agency)
`PRINCIPAL`	5	Principal (Proprietary)
`MARKET_MAKER`	6	Market Maker

Execution Instructions

Instructions for order handling. ExecInst(18).
The default value passed in this tag depends on orderScope settings.

Tag 18	Description
`H`	Persistent Order
`Q`	Non-persistent Order
`H 6`	Persistent and Book or Cancel (Post Only) order
`Q 6`	Non-persistent and Book or Cancel (Post Only) order

Self Match Prevention Instruction

Indicate the instruction for SMP. The default value is REJECT_ON_BU_LEVEL.

Config Value	Tag 2964	Description
`REJECT_ON_BU_LEVEL`	100	Reject cross on business unit level
`REJECT_ON_MARKET_LEVEL`	101	Reject cross on market level

Cross Match Instruction

Indicate the instruction for SMP. Applicable only when MatchInstCrossID(28744) is set.
The default value is DEFAULT which means that the behavior is defined by the exchange.

Config Value	Tag 31625	Description
`DEFAULT`		The default behavior is defined by the exchange
`CANCEL_TAKING`	1	Cancel incoming order
`CANCEL_RESTING`	2	Cancel resting order
`REDUCE_CANCEL_BOTH`	3	Reduce/Cancel both incoming and resting order

Order Handling

Identifies the source of an order, in accordance with the FIA guidelines for a rate Identifier. The field is for participant use only.

Config Value	Tag 1031	Description
`DESK`	`W`	Desk
`ELECTRONIC`	`Y`	Electronic
`VENDOR_PROVIDED_PLATFORM`	`C`	Vendor-provided Platform billed by Executing Broker
`SPONSORED_ACCESS`	`G`	Sponsored Access via Exchange API or FIX provided by Executing Broker
`ALGO_ENGINE`	`H`	Premium Algorithmic Trading Provider billed by Executing Broker
`OTHER`	`D`	Other, including Other-provided Screen

Position Effect

The parameter is used for T7 position management purposes and indicates whether the order is submitted to open or close a position.

Position Effect	Tag 77	Description
`OPEN`	`C`	Open.
`CLOSE`	`O`	Close.

Price Validity Check Type

When entering or replacing an order or quote, the user may opt for a check ensuring that the entered price does not differ significantly from the market.
The field PriceValidityCheckType (28710) provides the following options:

Price Validity Check	Tag 28710	Description
`NONE`	`0`	None.
`OPTIONAL`	`1`	Optional.
`MANDATORY`	`2`	Mandatory.

See more in ETI Manual - 4.12.1 Price Reasonability Check.

Eurex has some rate limits for user login requests.
The users login behavior can be adjusted via User Login Settings.

Traders Mapping

A mapping can be configured to send a specific ETI User ID for a given Trader ID.

traderId - Trader ID passed within order request
userId - ETI User ID (should exist within configured users)

  traders = [
    {traderId = "nick", userId = 200009},
    {traderId = "eugene", userId = 200010}
  ]

Special MiFID Handling

The special handling for MiFID tags can be implemented via specifying firm info in firms settings.

When the firms section is defined in the configuration, the connector looks up firm info using the FirmCode(8714) tag.
The FirmCode(8714) value is expected to contain the specific firmCode.

If a matching firm is found, the connector makes the following changes:

PartyIDClientID(20003) tag is set to firm info's clientId
If AlgoID(376) tag exists and mifidMember flag is true - the following tags are updated:
- ExecutingTrader(25123) is populated with AlgoID(376) value
- ExecutingTrader-Qualifier(25124) is populated with value 22 (Algo)

  firms = [
    {
      firmCode = "EPAM"
      mifidMember = true
      clientId = 12345
    },
    {
      firmCode = "DELTIX"
      mifidMember = false
      clientId = 0
    }
  ]

Symbology

SMD Column Key	Required	Description
eurexSymbol	Yes	SecurityID (numeric)
eurexMarketSegmentId	Yes	MarketSegmentIID (numeric)
eurexProductComplex	Yes	ProductComplex (numeric)

Configuration

Connector settings

Parameter	Default Value	Description
attributeKey	eurex	Prefix for `securities` columns: `[attributeKey]Symbol`, `[attributeKey]MarketSegmentId`m `[attributeKey]ProductComplex`.
➡️ Connectivity Settings
host		Host.
port		Port.
standbyHost		Standby Host.
standbyPort		Standby Port.
➡️ Logging Settings
log.logMaxFiles	30	Max number of log files to keep on disk.
log.logMaxFileSize	100M	Max file size of single log file.
log.logBufferSize	8M	Max buffer size.
➡️ Order Cache Settings
cache.initialActiveCacheSize	256	Initial active order cache size.
cache.inactiveCacheSize	8192	Inactive order cache size.
➡️ Session Settings
session.sessionId		Session ID
session.sessionType		Session Type. Allowed values: `LF`, `HF`.
session.password		Session password.
session.encryptPassword	false	Whether password encryption required.
session.publicKeyFile		The path to public key PEM file. Required if password encryption enabled.
session.etiVersion	12.1	T7 ETI API version.
session.engineVersion	5.0	The version of the FIX infrastructure component.
session.engineName	QuantServer	The name of the infrastructure component being used for session level communication.
session.engineVendor	EPAM Deltix	The name of the vendor providing the FIX infrastructure component.
session.appVersion	1.12	The version of the application system being used to initiate T7 ETI application messages.
session.appName	Ember	The name of the application system being used to generate T7 ETI application messages. This will normally be a trading system, OMS, or EMS.
session.appVendor	EPAM Deltix	Provides the vendor of the application system as the 5-letter EUREX/ETRA Member ID.
➡️ ETI Users
users.userId		ETI User ID. Numeric value. Required.
users.password		ETI User Password. Required.
➡️ ETI Users Logins Settings
userLogin.initialDelay	0	The initial delay (after session logon) before initiating users logins.
userLogin.delay	0	The interval between two subsequent user login requests.
userLogin.retryCount	5	The number of user logins attempts.
userLogin.retryInterval	5s	The retry interval after user login failure.
➡️ Order Settings
account		Account to book trades and keep positions on. Required.
orderKind	`STANDARD`	Order Kind. Allowed values: `LEAN`, `STANDARD`.
orderScope	PERSISTENT	Order Scope. Allowed values: `PERSISTENT`, `NON_PERSISTENT`.
orderHandling	ELECTRONIC	Order Handling. See allowed values in Config Value column..
positionEffect	OPEN	Position Effect. See allowed values in Config Value column..
tradingCapacity	CUSTOMER	Trading Capacity. See allowed values in Config Value column..
valueCheckType	NO_CHECK	Indicator for checking the maximum order/quote value by the exchange. Allowed values: `CHECK`, `NO_CHECK`.
priceValidityCheckType	NONE	Indicator how price validity check should be performed by the exchange(see the ETI Manual, chapter Price Reasonability Check). Allowed values: `NONE`, `MANDATORY`.
selfMatchPreventionId		Self Match Prevention ID. Numeric value.
selfMatchPreventionInstruction		Self Match Prevention Instruction. Allowed values: `REJECT_ON_BU_LEVEL`, `REJECT_ON_MARKET_LEVEL`.
crossMatchInstruction	DEFAULT	Cross Match Instruction. Allowed values: `DEFAULT`, `CANCEL_RESTING`, `CANCEL_TAKING`, `REDUCE_CANCEL_BOTH`.
➡️ MiFID Settings
mifid.clientId		Client Identifier field (ESMA Field 3 (Section A)) is used to identify the client of an order for agent account of the member or participant of the trading venue.
mifid.investmentDecisionMaker		Investment decision within firm (ESMA Field 4 (Section A)) is the code used to identify the person or the algorithm within the member or participant of the Trading Venue who is responsible for the investment decision.
mifid.executingTrader		Executing Trader data field (ESMA Field 5 (Section A)) is used to identify the person or algorithm within the member or participant of the trading venue who is responsible for the execution of the transaction resulting from the order.
mifid.orderOrigination		Field to indicate order received from a direct access or sponsored access customer. Allowed values: `DIRECT_ACCESS_CUSTOMER`, `SPONSORED_ACCESS_CUSTOMER`.
mifid.investmentDecisionMakerQualifier		Qualifier for field `investmentDecisionMaker`. Members/participants will have the possibility to specify an Investment qualifier value to distinguish between natural persons and Algos. Allowed values: `ALGO`, `HUMAN`.
mifid.liquidityProvision	LIQUIDITY	Indication as to whether an order is submitted to a Trading Venue as part of a market making strategy. Allowed values: `LIQUIDITY`, `NO_LIQUIDITY`.
mifid.executingTraderQualifier	ALGO	Qualifier for field `executingTrader`. It is required to distinguish between natural persons and Algos. Allowed values: `ALGO`, `HUMAN`.
➡️ Trader Mapping Settings
traders.traderId		The trader name which is passed within trade request.
traders.userId		ETI User ID.

Supported order attributes

Key	Description
18	ExecInst(18). Instructions for order handling. See allowed values in table above.
1031	CustOrderHandlingInst(1031). Order Handling. See allowed values in Config Value column..
1815	TradingCapacity(1815). Trading Capacity. See allowed values in Tag 1815 column.
77	PositionEffect(77). See allowed values in Tag 77 column.
28710	PriceValidityCheckType(28710). See allowed values in Tag 28710 column.
2964	SelfMatchPreventionInstruction(2964). See allowed values in Tag 2964 column.
31625	CrossMatchInstruction(31625). See allowed values in Tag 31625 column.
28744	MatchInstCrossID(28744). Self Match Prevention ID. Numeric value.
28703	ApplSeqIndicator(28703). Indicates if the order is a Lean Order or a Standard Order. See allowed values in Tag 28703 column.
➡️ MiFID Tags
20003	PartyIDClientID(20003). Client Identifier field (ESMA Field 3 (Section A)) is used to identify the client of an order for agent account of the member or participant of the trading venue.
20122	PartyIdInvestmentDecisionMaker(20122). Investment decision within firm (ESMA Field 4 (Section A)) is the code used to identify the person or the algorithm within the member or participant of the Trading Venue who is responsible for the investment decision.
25123	ExecutingTrader(25123). Executing Trader data field (ESMA Field 5 (Section A)) is used to identify the person or algorithm within the member or participant of the trading venue who is responsible for the execution of the transaction resulting from the order.
1724	OrderOrigination(1724). Field to indicate order received from a direct access or sponsored access customer. Allowed value: `5` - Order received from a direct access customer.
21222	PartyIdInvestmentDecisionMakerQualifier(21222). Qualifier for field `investmentDecisionMaker`. Members/participants will have the possibility to specify an Investment qualifier value to distinguish between natural persons and Algos. Allowed values: `22` - Algo, `24` - Human.
23002	OrderAttributeLiquidityProvision(23002). Indication as to whether an order is submitted to a Trading Venue as part of a market making strategy. Allowed values: `1` - Liquidity provision, `0` - No liquidity provision.
25124	ExecutingTraderQualifier(25124). Qualifier for field `executingTrader`. It is required to distinguish between natural persons and Algos. Allowed values: `22` - Algo, `24` - Human.
25007	FreeText1(25007). First free-format text field for trader specific or customer-related comments. The value length should be exactly 12 symbols. Use space padding if needed.
25008	FreeText2(25008). Second free-format text field for trader specific or customer-related comments. The value length should be exactly 12 symbols. Use space padding if needed.
25009	FreeText3(25009). Third free-format text field for trader specific or customer-related comments. The value length should be exactly 12 symbols. Use space padding if needed.

Config sample

connectors {
  EUREX: ${template.connector.eti.eurex}{
    settings {
      host = "<HOST>"
      port = <PORT>

      session {
        sessionId = <SESSION_ID> # numeric
        sessionType = LF # LF or HF

        password = "<SESSION_PASSWORD>"
        encryptPassword = false
      }

      # MIFID settings
      mifid {
        clientId = <CLIENT_ID> # numeric
        executingTrader = <EXECUTING_TRADER> # numeric
        executingTraderQualifier = HUMAN # HUMAN/ALGO
      }

      # ETI users
      users = [
        {
          userId = <USER_1_ID> # numeric
          password = "<USER_1_PASSWORD>"
        },
        {
          userId = <USER_2_ID>
          password = "<USER_2_PASSWORD>"
        }
      ]

      # trader to user mapping
      traders = [
        {
          traderId = "<TRADER_ID>"
          userId = <USER_ID> # numeric
        }
      ]
    }
  }
}

UAT

T7 Cloud Simulation

Tools

Message Log To Json Converter

Converts Eurex binary logs (*.messages) to JSON format.
Usage: eurex-log-to-json --log-dir <message-logs-dir> [--output-dir <output-dir|$EMBER_WORK>]

Docker
Windows

docker compose exec ember /opt/deltix/ember/lib/custom/tools/eurex-log-to-json --log-dir /var/lib/emberwork/connectors/EUREX --output-dir /var/lib/emberwork

set EMBER_INSTALL=C:/ember
set EMBER_WORK=C:/ember-work

%EMBER_INSTALL%/lib/custom/tools/eurex-log-to-json.bat --log-dir %EMBER_WORK%/connectors/EUREX --output-dir %EMBER_WORK%

Security Definition Extractor

Extracts Security Metadata from Eurex reference data files.
Usage: eurex-secdef-extractor --input-dir <input-dir> [--output-dir <output-dir|$EMBER_WORK>] [--attribute-key <attribute-key|eurex>] [--symbol-pattern <symbol-pattern>] [--type-pattern <security-type-pattern|(FUT)|(MLEG)>] [--file-pattern <reference-data-filename-pattern|.*\.XML>]

Docker
Windows

docker compose exec ember /opt/deltix/ember/lib/custom/tools/eurex-secdef-extractor --input-dir /var/lib/emberwork/eurex

set EMBER_INSTALL=C:/ember
set EMBER_WORK=C:/ember-work

%EMBER_INSTALL%/lib/custom/tools/eurex-secdef-extractor.bat --input-dir %EMBER_WORK%/eurex --symbol-pattern .*FGBL.*

Features​

Notes​

Useful Links​

Session Type​

External Order Modification​

Order Scope​

Order Kind​

Trading Capacity​

Execution Instructions​

Self Match Prevention Instruction​

Cross Match Instruction​

Order Handling​

Position Effect​

Price Validity Check Type​

Users Login Procedure​

Traders Mapping​

Special MiFID Handling​

Symbology​

Configuration​

Connector settings​

Supported order attributes​

Config sample​

UAT​

Tools​

Message Log To Json Converter​

Security Definition Extractor​