Cash Market Readiness Newsflash | T7 Börse Frankfurt: Additional FIX/ETI MassCancellation messages for instrument knock-out and instrument knock-out revert events
Cash Market Readiness Newsflash | T7 Börse Frankfurt: Additional FIX/ETI MassCancellation messages for instrument knock-out and instrument knock-out revert events Cash Market Readiness Newsflash
Dear Börse Frankfurt and Börse Frankfurt Zertifikate Participant,
With this Newsflash, we would like to inform you about an additional feature that we will provide for knock-out and revert events on the trading venue Börse Frankfurt (XFRA).
In order to further ease the processing of knock-out and revert events, Deutsche Börse will provide additional FIX/ETI MassCancellation messages for these events. The messages will be introduced analogue to the messages that are provided in case of an instrument suspension. Participants who do not require these additional messages can ignore them.
1. Current set-up
In the case of instrument knock-outs and knock-out reverts, the FIX/ETI MassCancellation messages currently sent contain the information that all persistent and non-persistent orders have been deleted. A list of the persistent order IDs affected is not included. The information sent via the ETI and FIX messages is as follows:
ETI: Mass Cancellation Event with
- tag 28721 MassActionReason = 115 – Instrument Knock Out and 118 – Instrument Knock Out has been reverted
- tag 18 ExecInst = 3 (persistent and non-persistent orders)
FIX: Order Mass Action Report with
- tag 28721 MassActionReason = 115 – Instrument Knock Out and 118 – Instrument Knock Out has been reverted
- tag 30018 UExecInst = H Q (persistent and non-persistent orders)
2. Future set-up
From 13 August 2020 onwards, in the event of instrument knock-outs and knock-out reverts, the following ETI/FIX messages will be sent in addition to the existing messages detailed above. The additional feature will be available in production as of 24 August 2020.
ETI: Order Mass Cancellation Notification with
- tag 28721 MassActionReason = 107 – Instrument Suspended
- tag 18 ExecInst = 3 (persistent and non-persistent orders)
- tag 534 NoAffectedOrders containing group of order IDs
FIX: Order Mass Action Report with
- tag 28721 MassActionReason = 107 – Instrument Suspended
- tag 30018 UExecInst = H Q (persistent and non-persistent orders)
- <AffectedOrdersGrp> containing group of order IDs
To assist participants in identifying the list of the persistent order IDs affected, instrument knock-outs and knock-out reverts will additionally contain the "Instrument Suspended" notification together with a list of the respective order IDs which have been deleted.
3. Börse Frankfurt Simulation Focus Days
To provide participants with the opportunity to test the receipt of the additional messages in the T7 Börse Frankfurt simulation, the following instruments will be knocked out and reverted by Deutsche Börse on a daily basis from 13 August – 21 August 2020 between 10:00 – 11:00 (CEST) and 15:00 – 16:00 (CEST):
- DE000DGW0920
- DE000VE3L1A4
- DE000HZ594D9
- DE000CL21K55
- DE000PX5J5K8
- DE000CL21LM0
- DE000PR70JZ8
- DE000CL21DB6
- DE000CL21HQ5
- DE000HZ593S9
In case the list of instruments provided above does not meet a participant’s specific requirements, an instrument knock-out or knock-out revert event can be requested in any Börse Frankfurt Zertifikate T7 simulation instrument by contacting the Functional Helpdesk Börse Frankfurt (frankfurt.trading@deutsche-boerse.com) directly.
If you have any questions, please feel free to contact your Key Account Manager or send an e-mail to: client.services@deutsche-boerse.com.
Kind regards
Your Client Services Team
Recipients: | All Xetra® Members and Vendors, all Xetra Central Coordinators |
Contact: | client.services@deutsche-boerse.com |
Web: | Börse Frankfurt Migration |