OSLMIT 604 Technical Parameters · 1.4 08 Nov 2012 Added a chapter describing service hours. 2.0 12...

Millennium Exchange - Oslo Børs cash equities and fixed income markets

OSLMIT 604 Technical Parameters Issue 3.1 10 November 2014

Oslo Børs | OSLMIT 604 Technical Parameters 2

Important note This document has been produced by Oslo Børs to assist customers in the use of the Millennium platform on the Oslo Børs and Burgundy market places. Part of the documentation is based on documentation from Millennium IT and the London Stock Exchange Group. Where the document title includes a number (i.e. OSLMIT 201), the number corresponds to similar documentation from The London Stock Exchange and/or from Borsa Italiana. For more details, please see references in the appendix. If you have any general queries relating to this document, please email: [email protected] Further copies of this document can also be downloaded from the Oslo Børs website http://www.oslobors.no/ob_eng/Oslo-Boers/Trading/Trading-systems/Millennium-Exchange/Technical-documentation

Disclaimer This document has been prepared on the basis of the best information available. Oslo Børs has taken reasonable efforts to ensure that the information in this publication is correct at the time of publication, but shall not be liable for decisions made in reliance on it. Oslo Børs will seek to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only. This document does not form part of the contractual documentation between the Oslo Børs and its customers.

mailto:[email protected]


Change log This document can be updated at any time, and has been through the following iterations: Issue Date Description

1.0 08 May 2012 Initial document release, contains values for CDS only 1.1 29 June 2012 Revised parameters for the CDS environment

1.2 27 Sept 2012 Added parameters for the production environment 1.3 11 Oct 2012 Please refer to Appendix 1 for details

1.4 08 Nov 2012 Added a chapter describing service hours. 2.0 12 Nov 2012 New release of the document as the Millennium platform

is launched and the migration project is finalized. Minor wording changes to remove references to project and document links updated.

2.1 15 April 2013 Updated to include the Burgundy markets. 2.2 03 May 2013 Added a short description of partitions in Millennium,

chapter 8.

2.3 22 May 2013 Updated services hours after Burgundy go-live. 3.0 28 May 2014 Added description about new Login Protection scheme.

See Appendix 1 for details.

3.1 1 December 2014 Changed the name of the low latency market data channels and protocol.

Please note that only the latest issue of this document will be available from the Oslo Børs website. Details of the changes made in each issue of the document are described in the appendix.

Changes from the previous issue of the document are indicated by a left margin bar.


Content Important note ........................................................................................................................................ 2

Disclaimer ................................................................................................................................................ 2

Change log ............................................................................................................................................... 3

Content .................................................................................................................................................... 4

1. Introduction ..................................................................................................................................... 6

1.1 Readership ............................................................................................................................... 6

1.2 Document Series ..................................................................................................................... 6

2. FIX Trading Gateway ........................................................................................................................ 8

3. Drop Copy Gateway ......................................................................................................................... 8

4. Post Trade Gateway ........................................................................................................................ 9

5. Native Trading Gateway .................................................................................................................. 9

6. MITCH Gateway ............................................................................................................................. 10

6.1 Replay Channel ...................................................................................................................... 10

6.2 Recovery Channel .................................................................................................................. 11

7. FAST Gateway ............................................................................................................................... 12

7.1 Replay Channel ...................................................................................................................... 12

7.2 Recovery Channel .................................................................................................................. 13

7.3 News and Index Gateways Replay Channel .......................................................................... 14

8. Matching Engine – Partitions ........................................................................................................ 15

9. Service Hours ................................................................................................................................. 15

10. Login protection ........................................................................................................................ 15

11. Reading Files from Full Days Recovery Services (MITCH and FAST), and Canned Data Files .... 16

11.1 Example ................................................................................................................................. 16

11.2 File Name Mapping ............................................................................................................... 17

12. Conversion Between Identifier Representations ...................................................................... 18

12.1 Order ID ................................................................................................................................. 18

12.2 Trade ID ................................................................................................................................. 19

12.3 Base 62 Mapping Table ......................................................................................................... 20

Appendix 1 – Issue Updates .................................................................................................................. 21

Issue 1.0 – Released 08 May 2012 .................................................................................................... 21

Issue 1.1 – Released 29 June 2012 .................................................................................................... 21

Issue 1.2 – Released 27 September 2012 .......................................................................................... 21

Issue 1.3 – Released 11 October 2012 .............................................................................................. 21


Issue 1.4 – Released 08 November 2012 .......................................................................................... 21


Issue 2.1 – Released 15 April 2013 .................................................................................................... 22






1. Introduction In November 2012, Oslo Børs migrated its equity and fixed income trading from TradElect/Infolect to Millennium Exchange, a flexible, highly scalable trading platform with ultra-low latency from MillenniumIT, a company in the London Stock Exchange Group. The Burgundy Markets were included on the same version of the Millennium platform in June 2013, as part of the completion of the merger between Oslo Børs and the Nordic MTF Burgundy. Oslo Børs and its market places for equities and fixed income aims at maintaining its competitive position, and is pleased to offer customers an upgraded release of the state-of-the-art trading system as of June 2014. 1.1 Readership This document should be read in conjunction with the other business and technical documentation for the Millennium Exchange implementation and will describe the actual parameters used that are of relevance to the system and users connecting to the Millennium Exchange platform. 1.2 Document Series This document is a part of a series of documents providing a holistic view of full trading and information services available from Oslo Børs post the migration to the Millennium Exchange platform. The current series of documents are outlined below: General OSLMIT Oslo Børs and Burgundy Market Model Equities OSLMIT Oslo Børs and Burgundy Business Parameters - Equities OSLMIT Oslo Børs and Burgundy Market Model Fixed Income OSLMIT Oslo Børs and Burgundy Business Parameters – Fixed Income Trading OSLMIT 201 Guide to New Trading System OSLMIT 202 FIX Trading Gateway (5.0 SP2) OSLMIT 203 Native Trading Gateway OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) Market Data OSLMIT 302 FIX/FAST OSLMIT 303 MITCH Gateway OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT 401 Reference Data OSLMIT Derived Information Guidelines Other OSLMIT 501 Guide to Testing Services OSLMIT 502 Guide to Application Certification OSLMIT 504 Guide to Dress Rehearsals (only relevant to migration projects)


OSLMIT 505 Guide to Go-live (only relevant to migration projects) OSLMIT 601 Guide to Trading Services Disaster Recovery OSLMIT 602 Network Guide OSLMIT 604 Technical Parameters OSLMIT 605 Live Environment Connectivity OSLMIT 606 CDS Environment Connectivity OSLMIT 801 Reject Codes The latest version of this documentation series can be found on: http://www.oslobors.no/ob_eng/Oslo-Boers/Trading/Delta/Millennium-Exchange/Technical-documentation


2. FIX Trading Gateway Parameter CDS Prod Comment

CompID FGW FGW The CompID of the FIX Trading Gateway Maximum input message rate

25 100 Per second per CompID. Note that in the Production environment customers can choose between the following rates:

• 100 • 250 • 1000

Input message rate breach count

5 5 The number of times the Maximum Input message rate can be breached in an interval

Input message rate breach interval

30 sec 30 sec The interval between each reset of the Input message breach count

FIX Connection client buffer

5000 5000 The maximum number of messages that can be buffered for a FIX Connection

Resend cache size

2000 5000 The number of messages cached per CompID, and available through Resend Requests

Auto sequence number increment following a failover

5000 5000 If the gateway has to failover, the sequence number will be incremented with 5000 on the new gateway

3. Drop Copy Gateway Parameter CDS Prod Comment

CompID FGW FGW The CompID of the Drop Copy Gateway Max number of Order Mass Status Requests

20 20 The Maximum number of Order Mass status requests that can be sent to the Drop Copy Gateway per trading day



Resend cache size





4. Post Trade Gateway Parameter CDS Prod Comment

CompID PTGW PTGW The CompID of the Post Trade Gateway Max number of Retransmission of missed trades Requests

100 50 The Maximum number of Retransmission of missed trades requests that can be sent to the Post Trade Gateway per trading day



Resend cache size




5. Native Trading Gateway

Parameter CDS Prod Comment

Maximum input message rate

25 100 Per second per user. Note that in the Production environment customers can choose between the following rates:

• 100 • 250 • 1000

Input message rate breach count

5 5 The number of times the Maximum Input message rate can be breached in an interval

Input message rate breach interval

30 sec 30 sec The interval between each reset of the Input message breach count

Connection client buffer

500 500 The maximum number of messages that can be buffered for a connection

Recovery cache size

5000 5000 Maximum number of messages that can be requested via the recovery service

Heartbeat expiry count

5 5 After 5 missing heartbeats, you will be disconnected

Heartbeat interval

3 3 A heartbeat will be sent every 3 seconds


6. MITCH Gateway The following tables specify various limitations for the data loss management services. Recipients may request Oslo Børs to reset the counters, but this possibility is intended to help manage an emergency situation and should not be relied upon as a normal practice. 6.1 Replay Channel The following limitations are enforced for the Replay Channel: Limitation CDS Prod Comment

Replay cache size

Market Data Groups

A,B,J,K,P,Q: 131,073 most

recent messages

Market Data Groups C-F, L-O:1000

most recent messages

Market Data Groups A-F,

J-Q: 150,000

most recent messages

Number of messages kept in the cache that can be requested by the client. The channel does not support the retransmission of messages published on the Recovery Channel or from previous trading days.

Maximum number of logins per CompID

1250 per day per market data group

1250 Only one concurrent login per CompID at any time. Login requests will be rejected if violated.

Total number of client initiated requests


1750

Maximum number of buffered messages per client

1000 2000 TCP connection will be terminated if the number of messages exceeds this count.

Concurrent logins (all clients)

100 100 Login requests will be rejected if this limit is exceeded.

TCP timeout 5 seconds after

connection

5 TCP connection will be broken.

Maximum number of concurrent Replay Requests

5 5 Request is rejected


6.2 Recovery Channel The following limitations are enforced for the Recovery Channel: Limitation CDS Prod Comment

Trade cache size

Market Data Groups C-F,

L-O: 5 minutes

Market Data

Group A,B,J,K,P,Q: 360 minutes

Market Data Groups

A,C,E,J,L,N,P,Q 60 minutes

Market Data

Groups B,D,F,K,M,O 720 minutes

Full Depth and Single Msg Packet Gateways Trade Only Gateways



1000 Only one concurrent login per CompID at any time if violated. Login requests will be rejected.



1000





TCP Time out 5 seconds after

connection

5 seconds

TCP connection will be broken.

Maximum number of concurrent Snapshot Requests

10 per session 10 Request is rejected.


7. FAST Gateway The following tables specify various limitations for the data loss management services. Recipients may request Oslo Børs to reset the counters, but this possibility is intended to help manage an emergency situation and should not be relied upon as a normal practice. Note that the limitations for the News and Index gateways are described in Chapter 7.3. 7.1 Replay Channel

Limitation CDS Prod Comment

Replay cache size

OBFIF and BGFIF 10,000

Other

50,000 most recent messages

150,000 Number of messages kept in the cache that can be requested by the client. The channel does not support the retransmission of messages published on the Recovery channel or from previous trading days.






1750






connection





7.2 Recovery Channel


Trade cache size

10 minutes 10 minutes

10 720

Full Depth and Snapshot Gateways Trade Only Gateway



1000 Only one concurrent login per CompID at any time if violated. Login requests will be rejected.



1000





TCP Timeout 5 seconds after

connection


Maximum number of concurrent Snapshot Requests

10 per session

10 Request is rejected.


7.3 News and Index Gateways Replay Channel


Replay cache size

1000 most recent messages

10,000 Number of messages kept in the cache that can be requested by the client. The channel does not support the retransmission of messages published on the Recovery channel or from previous trading days.






1000






connection





8. Matching Engine – Partitions The central parts of Millennium Exchange can be partitioned in multiple instances, which will have a functional impact on the clients connected to FIX Trading gateways, Drop Copy, Post Trade or Native Trading gateways. The impact is described in each gateway document. On FIX, the partition will be identified in the ApplID(1180) field, and on Native it is the AppID field. Currently, Oslo Børs only has one partition, and it is used by both Oslo Børs and Burgundy. Partition name Value

Main partition 1

9. Service Hours In production, all gateways are available for connectivity from 05:00 to 18:05 Oslo time. For the Post Trade Gateway, the closing time is extended to 20:00.

In CDS, all gateways are available for connectivity from 05:00 to 21:00 Oslo time. All gateways will be available on every week day, as long as at least one market is open for trading. Market data channels for markets that are closed on a trading day will still publish heart beats.

10. Login protection With Release 8 of Millennium a new login protection is introduced in order to stop unwanted login behavior (both intentional and unintentional hammering). The login protection affects all gateways which requires login. The login protection counts all Login and Logout messages from the client, and if the time between them is less than 50ms it is counted as one rapid login/logout. No login protection scheme will be activated until the client has registered 100 rapid login/logout messages. If a client breaches the limit of 100 rapid messages the response from the gateway will be delayed by 50ms*subsequent message count. In order to reset the counter and delayed response messages the client should wait for 30 seconds without sending any new login/logout messages.


11. Reading Files from Full Days Recovery Services (MITCH and FAST), and Canned Data Files

The full days recovery files are available on the same FTP/SFTP site as the reference data. They are to be found in the folder:

/FullDaysRecovery

1. Ignore the first line (867.2012_04_25.12_22 in the example below), as this is a date stamp for the file.

2. Read the file line by line, since "\n" can occur in the data, make sure that "\n" is followed by "OUTPUT :" before treating it as a newline.

3. Once a line is extracted, process all the data after the text “OUTPUT : ”.

11.1 Example

867.2012_04_25.12_22 OUTPUT : ^H^@^@GÃ”^@^@^@ OUTPUT : ^H^@^@GÃ”^@^@^@ OUTPUT : ^H^@^@GÃ”^@^@^@ OUTPUT : ^H^@^@GÃ”^@^@^@ OUTPUT : ^H^@^@GÃ”^@^@^@ OUTPUT : ^H^@^@GÃ”^@^@^@


11.2 File Name Mapping The file names on the SFTP/FTP server differs from the names of the gateways. Here is the mapping that allows you to figure out which file you want:

File type File Name Format

MITCH Equity Trade Only Gateway

Oslo Børs: MarketDataOut:2:1:ITCHGateway:*:*_Interface.log* Burgundy: MarketDataOut:11:1:ITCHGateway:*:*_Interface.log*

MITCH Warrants Trade Only Gateway


MITCH ETF Trade Only Gateway


MITCH Full Depth Service Equity Gateway


MITCH Full Depth Service ETF Gateway


MITCH Full Depth Service Warrants Gateway


Fixed Income Incremental Service (MBO Full)

Oslo Børs: MarketDataOut:5:1:FASTGateway:*:*_Interface.log* Burgundy: MarketDataOut:10:1:FASTGateway:*:*_Interface.log*


12. Conversion Between Identifier Representations

12.1 Order ID MITCH Market Data Feed The Order IDs assigned by the market data feed are specified as Little-Endian encoded 64 bit unsigned integers. The logic used to convert the Order ID assigned by the matching system into the format used by the market data feed is as follows:

1. Remove the left most byte (i.e. O of Order ID) 2. Convert the rest of the digits to decimal using the base 62 dictionary 3. Convert the decimal values to binary

Example: Order ID of Matching System (ASCII base 62 characters)

O06WoCOv0Lwq

Step 1: Remove the left most Byte “O” 06WoCOv0Lwq Step 2: Convert the rest of the digits to decimal using the base 62 dictionary. Please refer to the base 62 conversion table provided in Section 11.3. Order ID (ASCII Character)

Decimal Value

Base 62^x

Value Multiplied Decimal Value

q 52 62^0 1 52

w 58 62^1 62 3596

L 21 62^2 3,844 80724

0 0 62^3 238,328 0

v 57 62^4 14,776,336 842251152

O 24 62^5 916,132,832 21987187968

C 12 62^6 56,800,235,584 681602827008

o 50 62^7 3,521,614,606,208 176080730310400

W 32 62^8 218,340,105,584,896 6986883378716672 6 6 62^9 13,537,086,546,263,552 81222519277581312

0 0 62^10 839,299,365,868,340,224 0

Total 88386187818958884

Step 3: Convert the decimal values to binary. Order ID on Market Data Feed

100111010000000101100010100000000000000000000000000100100


12.2 Trade ID MITCH Market Data Feed The Trade IDs assigned by the market data feed are specified as Little-Endian encoded 64 bit unsigned integers. The logic used to convert the Trade ID assigned by the post trade system into the format used by the market data feed is as follows:

1. Remove the left most byte (i.e. T of Trade ID) 2. Convert the rest of the digits to decimal using the base 62 dictionary 3. Convert the decimal values to binary

Example: Trade ID of Post Trade System (ASCII base 62 characters)

T1aNhwVdkv

Step 1: Remove the left most Byte “T” 1aNhwVdkv Step 2: Convert the rest of the digits to decimal using the base 62 dictionary. Please refer to the base 62 conversion table provided in Section 11.3. Trade ID (ASCII Character)

Decimal Value

Base 62^x

Value Multiplied Decimal Value

v 57 62^0 1 57

k 46 62^1 62 2,852

d 39 62^2 3,844 149,916

V 31 62^3 238,328 7,388,168

w 58 62^4 14,776,336 857,027,488

h 43 62^5 916,132,832 39,393,711,776

N 23 62^6 56,800,235,584 1,306,405,418,432

a 36 62^7 3,521,614,606,208 126,778,125,823,488

1 1 62^8 218,340,105,584,896 218,340,105,584,896

Total 346,464,895,107,073

Step 3: Convert the decimal values to binary. Trade ID on Market Data Feed

1001110110001101110100101000000000000000000000001


12.3 Base 62 Mapping Table

Value Character Value Character Value Character Value Character

0 0 20 K 40 e 60 y

1 1 21 L 41 f 61 z

2 2 22 M 42 g

3 3 23 N 43 h

4 4 24 O 44 i

5 5 25 P 45 j

6 6 26 Q 46 k

7 7 27 R 47 l

8 8 28 S 48 m

9 9 29 T 49 n

10 A 30 U 50 o

11 B 31 V 51 p

12 C 32 W 52 q

13 D 33 X 53 r

14 E 34 Y 54 s

15 F 35 Z 55 t

16 G 36 a 56 u

17 H 37 b 57 v

18 I 38 c 58 w

19 J 39 d 59 x


Appendix 1 – Issue Updates This appendix describes the details of the changes made in each issue of this document. Issue 1.0 – Released 08 May 2012 Initial release of the document. Issue 1.1 – Released 29 June 2012 Section Description

6.1 Replay channel 6.2 Recovery Channel

Updated the technical parameters for the MITCH replay and recovery channels

7.1 Replay Channel 7.2 Recovery Channel

Updated the technical parameters for the FIX/FAST replay and recovery channels

Issue 1.2 – Released 27 September 2012 Section Description

General Parameters for the production environment added 7.3 News and Indices gateway

Added section

8 Reading Files... Clarified the parsing of the files 9.2 Trade ID Fixed example

Issue 1.3 – Released 11 October 2012 Section Description

7.2 FAST Recovery Channel

Trade history in CDS will be 10 minutes

8.2 File Name Mapping

Added new table with information about how to map different file names to the different gateway names

9.1 Order ID 9.2 Trade ID

Removed unnecessary conversion table, not valid for customers

9.2 Trade ID Fixed typo in the conversion table. 46 * 62^1 = 2852

9.3 Base 62 Mapping Table

Fixed table header

Issue 1.4 – Released 08 November 2012 Section Description

8. Service Hours Added service hours for all gateways.


Issue 2.0 – Released 12 November 2012 New issue of the document post migration to the Millennium platform. No changes to content, except minor wording changes to remove references to migration project and updated document links.

Issue 2.1 – Released 15 April 2013 New issue of the document to include the Burgundy markets.

Section Description

1. Introduction Added Burgundy in the introduction text. 1.2 Document Series Updated the name of the Market Model documents.

6. MITCH Gateway Added Burgundy MITCH Market Data Channels. 7. FAST Gateway Added Burgundy FIX/FAST Market Data channels

8. Service Hours As long as at least one market is open for trading, all gateways will be available.

9. Reading Files from Full Days Recovery Services

Added information about where you may find the recovery files.

9.2 File Name Mapping

Added recovery files for Burgundy.

Issue 2.2 – Released 03 May 2013 Section Description

8. Matching Engine – Partitions

Added a short description of partitions in Millennium.


9. Service Hours The service hours are extended, since the new Burgundy segments have longer trading hours compared to Oslo.


1. Introduction Updated the introduction text for Release 8. 10. Login Protection Added description about new Login Protection scheme in

Release 8.


Issue 3.1 – Released 10 November 2014 Updated the name of the low latency market data channels and protocol.

OSLMIT 604 Technical Parameters · 1.4 08 Nov 2012 Added a chapter describing service hours. 2.0 12...

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