Exegy FrontTrade Trade Connector

Features

fix-fronttradeConnector Key

Instruments

FXEQUITYOPTIONFUTURE

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

Display Quantity

Display Quantity can be configured with optional parameters displayMethod and displayWhen, but FrontTrade only supports the combination displayMethod = Initial and displayWhen = Exhaust.

Good Till Date orders

The CME exchange does not support ExpireTime for GTD orders. Such orders expire at the end of the ExpireDate trading day.

Standard Customer Details Fields

ExecutionAccount

From the Vela Market Exchange specification:

The account code used to identify execution authority for execution at the exchange.

Include an instance of the Party Repeating Group instance, where PartyID = ExecutionAccount, PartyIDSource = 'C' and PartyRole = 22 (Exchange)

If you wish to leave this unspecified while sending extension fields, use the string “NONE”

PartyIDSource is set internally by the connector.

ClearingAccount

From the Vela Market Exchange specification:

The account code used to identify clearing authority at the exchange or clearer.

Specified in Account field (Tag 1)

Symbology

Schedule

CME Exchange

Parameter	Value
Time Zone	America/Chicago
Start Day	Sunday
Start Time	17:00:00
End Day	Friday
End Time	16:00:00
Daily Session?	No

Sunday start time is 16:00.

Configuration

Connector settings

Parameter	Default Value	Description
applVerId	FIX50SP1	Specifies the application level message version. Valid values are: FIX50, FIX50SP1, FIX50SP2.
account		Default value for Account(1) tag.
securityIdSource	EXCHANGE_SYMBOL	Identifies the source of the Security ID. Valid values are: RIC_CODE, EXCHANGE_SYMBOL, BLOOMBERG_SYMBOL.
username		Username
password		Password
parties		List of the parties involved in a trading request. Optionally can contain subParties list.
party.partyId		Party identifier/code.
party.partyRole		Identifies the type or role of the PartyID. Valid values are: OrderOriginationTrader = 11, ExecutingTrader = 12, GiveupFirm = 14, ExecutingSystem = 16, Exchange = 22, OrderEntryOperator = 44, ExecutionPath = 55, DeskId = 76.
party.subParties		List of sub-parties included into parties group.
subParty.partySubId		Sub identifier for Party. For precise details on usage of this field and PartySubIDType, consult the specific Vela Market Access Exchange Manual.
subParty.partySubIdType		Type of PartySubID. Valid values are: CustomerAccountType = 4000, PostingCode = 4001, ExchangeFee = 4002, UserOrderNumber = 4003, Text = 4004, SelfMatchPreventionId = 4005, SenderLocation = 4006, ExchangeExecInst = 4007, ComplianceId = 4008, LocationId = 4009, OrderOriginationFirm = 4010, Beneficiary = 4011, ApplSeqIndicator = 4012, PriceValidityCheck = 4013, ComplianceText = 4014, Text2 = 4015, Text3 = 4016, PositionAccount = 4017, DEA = 4018, ExecutionDecision = 4019, InvestmentDecision = 4020, ClientId = 4021, LiquidityProvider = 4022, TradingCapacity = 4023, ShortCode = 4024, CommodityDerivativeIndicator = 4025, DecisionMaker = 4026, ExecutionDecisionQualifier = 4027, InvestmentDecisionQualifier = 4028, ClientIdQualifier = 4029, AllocationCode = 4030, Origin = 4031, CTI = 4032, CustOrderHandlingInst = 4033, DeskId = 4034, GiveUpCode = 4035, ClientSenderLocation = 4036, ExchangeSenderLocation = 4037, ValueValidityCheck = 4038, SelfMatchPreventionInstruction = 4039, InterMarketSweepOrder = 4040, OrderTypeQualifier = 4041, FrequentTraderId = 4042.

Supported order attributes

Key	Description
1	Account(1)
18	ExecInst(18). Instructions for order handling. These instructions apply to loss of connection between FrontTrade and the exchange, NOT between FrontTrade and the FIX.5.0 client application.

Config sample

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

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

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

            account = "<ACCOUNT>"

            parties = [
                {
                    partyRole = 22,
                    partyId = "party id",
                    subParties = [
                        {
                            partySubIdType = 4099,
                            partySubId = "sender location"
                        }
                    ]
                }
            ]
        }
    }
}