Eurex Gateway

7.18.27.5

Released: Dec 29, 2017 File Size: 0
Package Contents:
No notes available.

Important Notes

Eurex Gateway 7.18.27 is released to resolve issues encountered in the field as well as to enhance support for MiFID II.

Why Should I Upgrade?

Eurex Gateway 7.18.27 supports MiFID II Compliance. For details on Customer Defaults and Algo Defaults as well as MiFID related updates, please refer to X_TRADER® Support for MiFID II.

This release also introduces support for Duplicate Order Check functionality, which may be enabled via TT User Setup. When enabled, This check triggers an order rejection for an order with the same instrument and price as another order submitted on the same account/account group that has exceeded the configurable threshold of duplicate orders allowed over a rolling window of 1 second. Additional details on this functionality may be found Here.

System Requirements

Eurex Gateway 7.18.27 supports MiFID II Compliance. For details on Customer Defaults and Algo Defaults as well as MiFID related updates, please refer to X_TRADER® Support for MiFID II.

This release also introduces support for Duplicate Order Check functionality, which may be enabled via TT User Setup. When enabled, This check triggers an order rejection for an order with the same instrument and price as another order submitted on the same account/account group that has exceeded the configurable threshold of duplicate orders allowed over a rolling window of 1 second. Additional details on this functionality may be found Here.

Installation Notes

Values required when submitting orders to Eurex for MiFID II compliance may now be set in Customer Defaults using X_TRADER® 7.17.80 and TT User Setup 7.17.84. For details on configuring the appropriate values in Customer Defaults, please refer to X_TRADER® Support for MiFID II.

Full details on required fields by exchange may be found here.

IMPORTANT NOTE: Because many customers will not yet have client applications upgraded to support configuration of the MiFID II fields, we have implemented a parameter which will send default values for these required tags. To turn this feature on, the following section and parameter should be added to the Eurexhostinfo.cfg:

[ORDER_SERVER]
UseDefaultMiFID=true


When the UseDefaultMIFID parameter is set to true, if values for the MIFID fields are set by the client, the submitted values will be used instead of the defaults. When defaults are used, the following values will be submitted on orders:
  • Client ID = 2
  • Liquidity Provision = FALSE
  • Trading Capacity = Set based on Account Type

    IMPORTANT NOTE: Customers who are required to populate the Compliance ID for Algo orders are required by Eurex, as of December 4th, to properly set both the Execution Decision ID and the Execution Decision Qualifiers correctly in accordance with German HFT regulations.

    When the UseDefaultMIFID parameter is used, these values will be set as follows:
    While the UseDefaultMIFID parameter is enabled:
  • Execution Decision ID will be populated with the data from the Compliance ID that customers have configured in previous versions.
  • Execution Decision Qualifier will be set to indicate that the order is or is not coming from an algo based on whether an order is sent via an automated tool. The logic used here is the same logic that has been in place for years on the Eurex gateway to support the German HFT Act, so no additional configuration should be necessary.
    When the UseDefaultMIFID parameter is disabled and TT Client applications are upgraded to minimum versions required for MiFID compatibility:
  • Execution Decision ID will be populated based on the Algo Defaults configured for the trader.
  • Execution Decision Qualifier will be set based on the Algo Defaults configured for the trader.

Enhancements

  1. Order Server
    1. Added support for duplicate order rejection. User Setup administrators can now prevent more than a specified number of duplicate orders from being executed within a single rolling second, on a specified Gateway flavor. (Ref 234080)

    2. Added support for precision timestamps on Eurex (Ref 234257)

    3. Enhanced the Order Server so that MiFID values submitted by the client on Change or Cancel/Replace orders will be more accurately reflected in the Execution Report when these values are not supported by the exchange for these order types (Ref 234314)

    4. Order Server will now send Fill Liquidity Indicator to FIX Adapter (Ref 234420)

    5. Added support for trading KRX FMK2 products (Ref 234441)

Fixes

  1. Common
    1. Resolved an issue which resulted in an incorrect Audit File timestamp when receiving an unsolicited change from the exchange (Ref 234475)

Known Issues