Imported from previous forum
Basically i have a few questions in Euronext. Now
-
Like for FIX messages we call FIX Protocol. Is it that for Euronext we call as MMTP ?
-
Euronext is a derivative of FIX so it should have something more. What is that extra thing it has ?
-
Currently i have a FIX engine (4.1) which sends NewOrderSingle messages, OrderCancel, etc. How much change is necessary for Euronext. Does is need change in Administrative messages as well. That is the way that administrative messages transfer take place.
-
Can you give me a simple Euronext message example.
-
In FIX we send it to Execution Venue and the Venue sends it back a report. What is in Euronext? Earlier it is said that it sends to CAP and CAP to Euronext Trading, etc. What is all these. Is CAP a wrapper that we send a FIX message to CAP and CAP converts it to Euronext and sends it ot Trading of Euronext.
-
Then where does HUB comes in to play.
-
What is a Market message? Is it different from FIX message.
-
We have in FIX 8=FIX.4.1 in Header which says about FIX then what is for Euronext.
-
What are the changes in Euronext in the Administrative side like
Logon.
HeartBeat.
TestRequest.
ResendRequest.
ResetSequence.
Reject.
Logout
in FIX.
Since i need to know a bit immediately i’m asking so many questions. Sorry for that !
Thanks in advance.
Regards
H.
[ original email was from Danny Shobrook - danny@aptcompsys.com ]
> Basically i have a few questions in Euronext. Now
>
> 1. Like for FIX messages we call FIX Protocol. Is it that for Euronext we call as MMTP ?
>
MMTP is the current proprietary API to the French Stock Exchange, rather like CONNECT for LIFFE or Values for DTB.
> 2. Euronext is a derivative of FIX so it should have something more. What is that extra thing it has ?
>
The session layer is bog-standard FIX.4.2, so the extras are:
More messages and more fields.
> 3. Currently i have a FIX engine (4.1) which sends NewOrderSingle messages, OrderCancel, etc. How much change is necessary for Euronext. Does is need change in Administrative messages as well. That is the way that administrative messages transfer take place.
>
As Euronext is 4.2 then you need to take account of some of the changes from 4.1 to 4.2, some of which are more serious than others. Virtually all business messages have changed and there are some proprietary extensions. So for a standard FIX.4.1 engine you have a pretty fair amount of work to do. My understanding is that MMTP is dead as of beginning of 2002, so to continue trading on Euronext you need to be upgrading your FIX engine now.
> 4. Can you give me a simple Euronext message example.
>
> 5. In FIX we send it to Execution Venue and the Venue sends it back a report. What is in Euronext? Earlier it is said that it sends to CAP and CAP to Euronext Trading, etc. What is all these. Is CAP a wrapper that we send a FIX message to CAP and CAP converts it to Euronext and sends it ot Trading of Euronext.
>
CAP is a machine on your site, your trading system connnects to this machine, this machine then connects to the Euronext HUB. Today, if you connect to Euronext, you write to the MMTP api. This is a C api which handles session control, you then send application-level messages in the MMTP format - which is NOT the same as the FIX format - and the MMTP api takes care of the session level.
What has changed is that ATOS has written a FIX engine that runs on the CAP, you connect to it via a FIX session, IT then on that machine, on your site, converts the FIX message into a MMTP message and function call. So from your perspective, you are talking FIX and from the Euronext HUB perspective it is talking MMTP. So you don’t need to learn another proprietary exhange api and ATOS do not need to rewrite the Euronext Trading application.
This is an interim solution, the idea I understand is to do away with CAP altogether and be straight FIX all the way to the HUB.
> 6. Then where does HUB comes in to play.
>
HUB is their trading application, you do not need to know about it unless you are a hardware/infrastructure person.
> 7. What is a Market message? Is it different from FIX message.
>
Market data is orders posted by other brokers on the exchange order book along with reports of executed trades. Euronext is top-tier exchange, there will be millions of these messages a day. Factor in the trading you want to do as well - so you need to add around 5,000,000 to the number of transactions your engine currently handles today.
All Euronext messages are FIX formated messages, some maybe custom message types and most have some custom fields.
> 8. We have in FIX 8=FIX.4.1 in Header which says about FIX then what is for Euronext.
>
It is FIX.4.2
> 9. What are the changes in Euronext in the Administrative side like
> Logon.
> HeartBeat.
> TestRequest.
> ResendRequest.
> ResetSequence.
> Reject.
> Logout
>
> in FIX.
>
These are the same as in FIX.4.2. There are some changes from your FIX.4.1 engine.
All these details + a simple FIX simulator are at:
http://www.stockexchange.be/ftpdir/euronext/eni02.htm.
Cheers
Danny
Hello Danny,
Thanks for your nice reply.
Now i need to know some more and be clear in few things before i start working in anything. I’m a developer and not very much fimiliar with all these message terms etc, eventhough i’m familiar to a certain extent.
Just take an example of NewOrderSingle and OrderCancel.
In my current engine of FIX 4.1 (FIX 4.2 in furture) i’ll be sending a NewOrderSingle message (With various tags in it) and get a reply (An Execution Report(an acknowledgement, a Pendig cancel, etc) back with its tag in it).
Now let us say that i’ll be doing the enhancement for FIX 4.2.
My message say for eg.
8=FIX.4.1(or 4.2)|9=234|35=D|49=XXX|—tags—for NewOrderSingle—|56=YYY|52=Time|10=222|
Now
-
Where does this message go first?
-
What will be the changes in this message for Euronext?
-
When i send this as you had said how do i know that it is a euronext?
-
The report which i get back from Execution Venue. Where does it come and how do i know it is Euronext and do i need to do any conversion.
-
In the NewOrderSingle do i need to do any conversion for Euronext.
-
Are you saying that first this message is sent to to the CAP in FIX format and from there it is sent in MMTP format to send it to the HUB? In this case do i need to write an MMTP API in C or C++ for connection to the HUB? Do i need to write convertion from FIX to Euronext if so what are necessary changes or is there a tool for it.
(What is this ATOS ?) -
Should i not worry about HUB and just connect to it, Send and Receive message from it.
-
You said session layer is bog-standard. What is this bog-standard?
-
You had specifically said that MMTP is dead as of beginning of 2002. In this case what is the replacement. How do we go about connecting with Euronext trading?
-
You had said it is FIX 4.2. So is it that we do not need to do anything for Euronext in this. We send messages with 8=FIX.4.2. Then where does Euronext comes. Can i say that it uses FIX but it is only a message type.
-
So you are saying that i can use my same engine with all those administrative messages in it (HeartBeat, TestRequest, etc) and that i need to make changes in Application Messages like NewOrderSingle etc with few tags etc.
-
Yes i did get lots of info from the site which you have specified but it all looks very raw for me. I need to sort it out and collect major differences so that i don’t have any problem when i develop.
Sorry one again for a long mail 
Thanks in advance
Regards
H
> > Basically i have a few questions in Euronext. Now
> >
> > 1. Like for FIX messages we call FIX Protocol. Is it that for Euronext we call as MMTP ?
> >
>
> MMTP is the current proprietary API to the French Stock Exchange, rather like CONNECT for LIFFE or Values for DTB.
>
> > 2. Euronext is a derivative of FIX so it should have something more. What is that extra thing it has ?
> >
>
> The session layer is bog-standard FIX.4.2, so the extras are:
>
> More messages and more fields.
>
> > 3. Currently i have a FIX engine (4.1) which sends NewOrderSingle messages, OrderCancel, etc. How much change is necessary for Euronext. Does is need change in Administrative messages as well. That is the way that administrative messages transfer take place.
> >
>
> As Euronext is 4.2 then you need to take account of some of the changes from 4.1 to 4.2, some of which are more serious than others. Virtually all business messages have changed and there are some proprietary extensions. So for a standard FIX.4.1 engine you have a pretty fair amount of work to do. My understanding is that MMTP is dead as of beginning of 2002, so to continue trading on Euronext you need to be upgrading your FIX engine now.
>
> > 4. Can you give me a simple Euronext message example.
> >
> > 5. In FIX we send it to Execution Venue and the Venue sends it back a report. What is in Euronext? Earlier it is said that it sends to CAP and CAP to Euronext Trading, etc. What is all these. Is CAP a wrapper that we send a FIX message to CAP and CAP converts it to Euronext and sends it ot Trading of Euronext.
> >
>
> CAP is a machine on your site, your trading system connnects to this machine, this machine then connects to the Euronext HUB. Today, if you connect to Euronext, you write to the MMTP api. This is a C api which handles session control, you then send application-level messages in the MMTP format - which is NOT the same as the FIX format - and the MMTP api takes care of the session level.
>
> What has changed is that ATOS has written a FIX engine that runs on the CAP, you connect to it via a FIX session, IT then on that machine, on your site, converts the FIX message into a MMTP message and function call. So from your perspective, you are talking FIX and from the Euronext HUB perspective it is talking MMTP. So you don’t need to learn another proprietary exhange api and ATOS do not need to rewrite the Euronext Trading application.
>
> This is an interim solution, the idea I understand is to do away with CAP altogether and be straight FIX all the way to the HUB.
>
> > 6. Then where does HUB comes in to play.
> >
>
> HUB is their trading application, you do not need to know about it unless you are a hardware/infrastructure person.
>
> > 7. What is a Market message? Is it different from FIX message.
> >
>
> Market data is orders posted by other brokers on the exchange order book along with reports of executed trades. Euronext is top-tier exchange, there will be millions of these messages a day. Factor in the trading you want to do as well - so you need to add around 5,000,000 to the number of transactions your engine currently handles today.
>
> All Euronext messages are FIX formated messages, some maybe custom message types and most have some custom fields.
>
> > 8. We have in FIX 8=FIX.4.1 in Header which says about FIX then what is for Euronext.
> >
>
> It is FIX.4.2
>
> > 9. What are the changes in Euronext in the Administrative side like
> > Logon.
> > HeartBeat.
> > TestRequest.
> > ResendRequest.
> > ResetSequence.
> > Reject.
> > Logout
> >
> > in FIX.
> >
>
> These are the same as in FIX.4.2. There are some changes from your FIX.4.1 engine.
>
> All these details + a simple FIX simulator are at:
>
> http://www.stockexchange.be/ftpdir/euronext/eni02.htm.
>
> Cheers
>
> Danny
>
[ original email was from Danny Shobrook - danny@aptcompsys.com ]
> Hello Danny,
>
> Thanks for your nice reply.
>
> Now i need to know some more and be clear in few things before i start working in anything. I’m a developer and not very much fimiliar with all these message terms etc, eventhough i’m familiar to a certain extent.
>
> Just take an example of NewOrderSingle and OrderCancel.
>
> In my current engine of FIX 4.1 (FIX 4.2 in furture) i’ll be sending a NewOrderSingle message (With various tags in it) and get a reply (An Execution Report(an acknowledgement, a Pendig cancel, etc) back with its tag in it).
>
> Now let us say that i’ll be doing the enhancement for FIX 4.2.
>
> My message say for eg.
>
> 8=FIX.4.1(or 4.2)|9=234|35=D|49=XXX|—tags—for NewOrderSingle—|56=YYY|52=Time|10=222|
>
> Now
>
> 1. Where does this message go first?
You have a FIX session with Euronext, you send it over this session.
> 2. What will be the changes in this message for Euronext?
Look at the spec they have written.
> 3. When i send this as you had said how do i know that it is a euronext?
You have a session with Euronext, you know that it is Euronext the same way you current engine knows which broker it is sending orders to.
> 4. The report which i get back from Execution Venue. Where does it come and how do i know it is Euronext and do i need to do any conversion.
>
It is over the same session.
> 5. In the NewOrderSingle do i need to do any conversion for Euronext.
>
There are sample messages on the Euronext site + simulator.
> 6. Are you saying that first this message is sent to to the CAP in FIX format and from there it is sent in MMTP format to send it to the HUB? In this case do i need to write an MMTP API in C or C++ for connection to the HUB? Do i need to write convertion from FIX to Euronext if so what are necessary changes or is there a tool for it.
> (What is this ATOS ?)
>
ATOS is the software company arm of Euronext. To hook up to Euronext via FIX you do not need to know about MMTP. Euronext have written a FIX gateway which you can download from the site I gave you in the previous posting.
> 7. Should i not worry about HUB and just connect to it, Send and Receive message from it.
>
True, as a software developer you are making a TCP connection with a FIX.4.2 session over it. Day one you are connecting to a CAP machine, later it will be a HUB machine. There is no software difference.
> 8. You said session layer is bog-standard. What is this bog-standard?
>
Sorry, english slang - bog-standard means "very standard", the only difference from a FIX.4.2 session is that they pack a Euronext password into RawData field in logon.
> 9. You had specifically said that MMTP is dead as of beginning of 2002. In this case what is the replacement. How do we go about connecting with Euronext trading?
>
FIX is the replacement. Currently you can write to MMTP, but you’ll only be throwing that development away so write to FIX.
> 10. You had said it is FIX 4.2. So is it that we do not need to do anything for Euronext in this. We send messages with 8=FIX.4.2. Then where does Euronext comes. Can i say that it uses FIX but it is only a message type.
>
Sorry don’t understand this question.
> 11. So you are saying that i can use my same engine with all those administrative messages in it (HeartBeat, TestRequest, etc) and that i need to make changes in Application Messages like NewOrderSingle etc with few tags etc.
>
Rejects and resend requests have changed in 4.2 from 4.1.
> 12. Yes i did get lots of info from the site which you have specified but it all looks very raw for me. I need to sort it out and collect major differences so that i don’t have any problem when i develop.
>
It has a simulator which is quite usefull, I’d suggest playing with it.
Cheers
Danny