Citi Derivatives Trade Connector

Features

citidrv.tradeConnector Key

Instruments

FUTURESYNTHETIC

Request Types

SUBMITCANCELREPLACE

Order Types

LIMITMARKETSTOPSTOP_LIMIT

Time In Force

DAYGTDGTC

Order ID Mapper

SEQUENCE

✓

Order Status Request

✗

Cancel On Disconnect

✗

Commission

✗

Post Only

✓

Fast Cancel

✓

Fast Replace

Notes

Account(1)

The Account(1) tag is populated only from the Default Account adapter setting. The account provided with the order is ignored.

SecurityExchange(207)

The SecurityExchange(100) tag is populated only from the Exchange Extra Attribute. The exchange provided with the order is ignored.

MiFID II Compliance

MiFID II information must be specified in the following fields:

Tag	Field Name	Comments
20003	PartyClientID	It indicates the client of the client for sub-delegation of DEA or order transmission
20013	PartyIDClientID	This is a flattened field that can be used to represent the client of Citi. The client in this field can provide their LEI.
2667	AlgorithmicTradeIndicator	This field can be used to denote the order originated from an algo. 0=No 1=Yes

Citi does not use LEI data from clients. LEI data is sourced from Citi's internal reference data for reporting purposes.

Symbology

Required Extra Attributes:

Extra Attribute	FIX	Tag Description
Symbol	Symbol (55)	Exchange Ticker
Exchange	SecurityExchange (207)	IFLL

Required Instrument Fields:

Field	FIX	Tag Description
Future.ContractMonth	MaturityMonthYear (200)	Contract Month
Future.ContractYear	MaturityMonthYear (200)	Contract Year

Schedule

Time Zone: America/New_York

Session	Start Time	Start Day	End Time	End Day
Session 1	15:02	Sunday	17:30	Monday
Session 2	17:42	Monday	17:30	Tuesday
Session 3	17:42	Tuesday	17:30	Wednesday
Session 4	17:42	Wednesday	17:30	Thursday
Session 5	17:42	Thursday	17:30	Friday

Configuration

Connector settings

Parameter	Default Value	Description
onBehalfOfSubId		Assigned value used to identify specific message originator (i.e. trader) if the message was delivered by a third party.
account		Account(1) tag is populated only via Default Account adapter setting. Account provided with order is ignored.

Supported order attributes

Key	Description
20003	PartyClientID. It indicates the client of the client for sub-delegation of DEA or order transmission
20013	PartyIDClientID. This is a flattened field that can be used to represent the client of Citi. The client in this field can provide their LEI
2667	AlgorithmicTradeIndicator. This field can be used to denote the order originated from an algo. 0=No 1=Yes

Config sample

connectors {
  CITIDRV: ${template.connector.fix.citidrv} {
    settings: {
      host = "<HOST>"
      port = <PORT>

      senderCompId = "<SENDER_COMP_ID>"
      targetCompId = "<TARGET_COMP_ID>"
    }
  }
}