MarketConnect

1
MarketConnect

• Fast-Track Development for the
• ASX Integrated Trading System
• OMX Click XT

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MarketConnect
With productivity-enhancing features, provides
the fastest and most reliable way to build and
significantly accelerate the roll-out of your
projects

• Your Applications
• Develop Trading or Market Information
  applications for the ASX ITS - OMX Click XT using
  your preferred programming language.
• - Push Message Client
• - Pull Message Client
• Tagged Field Client
• Dot Net Classes
• Java Classes
• - C Data Structures

MarketConnect Message Translation and
Decomposition
OMX Click API
RJE SYSTEMS
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MarketConnect
Advantages in using
Proven technology Market Connect has been used
by leading financial organisation since 1998 to
develop trading and market information
applications to the ASX equities and derivative
markets and the SFE SECUR and HKEX DCASS
settlement systems.
Transport / platform independence services.
(WIN32 / Solaris) You do not need to write
communication code / thread management. Market
Connect transparently handles conversions between
WIN32 and Solaris (e.g. Endian swaps).
Message Queuing Services - Market Connect
maintains a queue to each client. Your
application does not need to be multithreaded.
The Market Connect server undertakes the task of
keeping up with the rate at which the markets
transmit data. MarketConnect will handle all
queuing of broadcasts during queries and the
forwarding of broadcasts after queries. For
market data queries only broadcasts for that type
of market data will be queued, all other
broadcasts will be forward to the client as they
happen.
Logging Services - Market Connect writes an audit
trail of all data to / from each market / client.
Data Enhancement Services Message Translation,
Message Aggregation, Message Decomposition, Field
Format Standardisation, Message Enhancement and
Broadcast Filtering. These services simplify the
development of your application, by reducing the
number of different messages you need to handle
and by breaking compound messages down into
simpler single object messages, which reduces the
impact of the Market Personality on your
development effort
Market Connect is available in a number of forms
- libraries, DLLs with different calling
Conventions. Tagged Fields, Java Classes, Dot Net
Classes and C Data Structures. In general, we
should be able to make the Market Connect
accessible in a form that is compatible with your
favourite programming language.
Example / Test Programs Full Source code is
supplied covering standard business functions
(e.g. Market Information, Order Maintenance).
These programs are useful guides to programmers
starting their initial OMX Click / Market Connect
development .
Ongoing Maintenance Market Connect is kept up
to date with changes made to the OMX Click
market interfaces (e.g. the addition of new /
messages) is done by RJE. A simple recompile is
all that will be required to make new outbound
fields accessible to your application.
Script testing facility Market Connect is
supplied with a script testing facility to enable
developers to test their application code offline.
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MarketConnect
Market Connect allows applications to be
developed that make calls corresponding to the
business functions of the trading system, without
requiring detailed knowledge of the one, or more
of the underlying OMX Click Gateway protocol
messages which may be involved.
Business Functions
System
Baseline Queries/Broadcasts
Market Information Quotes, Orders, Trades
(Deals), Others
Trading Orders, Derivatives Crossing, Trades,
TM Combos
Market Instrument Status
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MarketConnect
ITS Messages (OMX
Click XT) MSG_C_QUERY_MISSING_DEAL
CQ27 Missing Deals Query MSG_C_DEAL CA27 Miss
ing Deal Answer MSG_QUERY_INITIAL_TRD_RPTS CQ114
Initial Trade Reports Query MSG_INITIAL_TRD_RPTS
CA114 Initial Trade Reports Answer MSG_C_QUERY_BR
OKER DQ6 Broker Signatures Query MSG_C_BROKER
DA6 Broker Signatures Answer MSG_LOGON DQ7
Market Query MSG_C_MARKET DA7 Logon Market
Answer MSG_C_QUERY_INSTRUMENT DQ8 Instrument
Group Query MSG_C_INSTRUMENT DA8 Instrument
Group Answer MSG_C_QUERY_INSTRUMENT DQ17 Instrume
nt Type Query MSG_C_INSTRUMENT DA17 Instrument
Type Answer MSG_C_QUERY_NON_TRADING_DAYS DQ18
Non Trading Days Query MSG_C_NON_TRADING_DAYS DA
18 Non Trading Days Answer MSG_C_QUERY_EXCHANGE D
Q24 Exchange Query MSG_C_EXCHANGE DA24 Exchang
e Answer MSG_C_QUERY_CENTRAL_GROUP DQ28 Central
Group Query MSG_C_CENTRAL_GROUP DA28 Central
Group Answer MSG_C_QUERY_TRADING_STATE DQ29
Trading State Query MSG_C_TRADING_STATE DA29 T
rading State Answer MSG_C_QUERY_USER_TYPE_INFO DQ
30 User Type Info Query MSG_C_USER_TYPE_INFO DA
30 User Type Info Answer MSG_C_QUERY_
TRADE_REPORT_TYPES DQ45 Trade Report Types Query
MSG_C_TRADE_REPORT_TYPES DA45 Trade Report Types
Answer
Queries
ITS
OMX CLICK GATEWAY
YOUR APPLICATION
Query
Answer
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MarketConnect
Queries
ITS Messages (OMX
Click XT) MSG_C_QUERY_DEAL_SOURCE DQ
46 Deal Source Query MSG_C_DEAL_SOURCE DA46 Deal
Source Answer MSG_C_QUERY_CORP_ACTION_DA53 DQ53
Corporate Action Query MSG_C_CORP_ACTION_DA53 DA
53 Corporate Action Answer MSG_C_QUERY_CLEARING_PA
RTICIPANT DQ55 Clearing Participant
Query MSG_C_CLEARING_PARTICIPANT DA55 Clearing
Participant Answer MSG_C_QUERY_SPECIAL_LIABILITY
DQ56 Special Liability Query MSG_C_SPECIAL_LIABIL
ITY DA56 Special Liability Answer MSG_C_QUERY_MEM
BER_OBLIGATION DQ57 Member Obligation
Query MSG_C_MEMBER_OBLIGATION DA57 Member
Obligation Answer MSG_C_QUERY_UNDERLYING DQ120
Delta Underlying Query MSG_C_UNDERLYING DA120 D
elta Underlying Answer MSG_C_QUERY_INSTR_CLASS DQ
122 Delta Instrument Class Query MSG_C_INSTR_CLAS
S DA122 Delta Instrument Class
Answer MSG_C_QUERY_SERIES DQ124 Delta
Instrument Series Query MSG_C_SERIES DA124 Delta
Instrument Series Answer MSG_C_QUERY_COMBOS  DQ
126 Combination Series Query MSG_C_COMBOS DA126
Combination Series Answer MSG_C_QUERY_HISTORICAL_S
ERIES DQ127 Historical Series Query MSG_C_HISTORI
CAL_SERIES DA127 Historical Series
Answer MSG_C_QUERY_HISTORICAL_COMBO_SERIES DQ128 H
istorical Combo Series Query MSG_C_HISTORICAL_COMB
O_SERIES DA128 Historical Combo Series Answer
ITS
OMX CLICK GATEWAY
YOUR APPLICATION
Query
Answer
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MarketConnect
Queries
ITS Messages (OMX Click
XT) MSG_C_QUERY_PREL_SETTLEMENT II17
Preliminary Settlement Prices Query
MSG_C_PREL_SETTLEMENT IA17 Preliminary
Settlement Prices Answer MSG_QUERY_TOT_EQUIL_PRICE
S IQ12 Total Equilibrium Prices
Query MSG_TOT_EQUIL_PRICES IB12 Total
Equilibrium Prices Answer MSG_C_PRICE_VOL IQ18
Total Volumes And Prices Query MSG_C_OB_VOLUMES
IA18 Total Volume and Prices Answer MSG_C_PRICE_V
OL IQ19 Total Volumes and Prices
Query MSG_C_OB_VOL IA19 Total Volume and Prices
Answer MSG_C_QUERY_TRADE_STATISTICS IQ42 Trade
Statistics Query MSG_C_TRADE_STATISTICS IA42
Trade Statistics Answer ( Multi-Part Query
Orders Transaction ) MSG_C_QUERY_ORDERS -
Parameters Y/N Default N MQ7 Orders Active
Query Y/N Default Y MQ8 Orders Own Order
Query Y/N Default N MQ9 Orders In Active
Query Y/N Default N MQ15 Proxy Query Y/N
Default N MQ17 Bulletin Board Active
Query Y/N Default N MQ18 Bulletin Board Own
Orders Query Y/N Default N MQ19 Bulletin
Board In Active Query Y/N Default
N MQ27 Interest Only Active Query Y/N Default
N MQ28 Interest Only Own Orders Query Y/N
Default N MQ29 Interest Only In Active Orders
Query MSG_ORDER_INFO Query Order Information
Answer
ITS
OMX CLICK GATEWAY
YOUR APPLICATION
Query
Answer
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MarketConnect
Queries
ITS Messages (OMX Click
XT) MSG_C_QUERY_UNMATCHED_TRD_RPTS MQ78 Trade
Reports Query MSG_C_TRADE_TXN MA78 Trade
Reports Answer MSG_C_QUERY_BLOCK_SIZE MQ99 Block
Order Size Query MSG_C_BLOCK_SIZE MA99 Block
Order Size Answer MSG_C_QUERY_BO5_BROADCASTS ( No
Party Field) MQ151 Order Broadcast
Query MSG_C_QUERY_BO5_BROADCASTS (Fill Party
Field ) MQ154 Order Broadcast on Behalf
Query MSG_C_ORDER_TXN BO5 Order Transactions
Answer MSG_C_QUOTE_TXN BO5 Quote Transactions
Answer MSG_C_TRADE_TXN BO5 Trade Transactions
Answer MSG_C_DELETE_TXN BO5 Delete Order
Transactions Answer MSG_C_ORDER_UPDATE BO5 Order
Status Transactions Answer MSG_C_ORDER_STATUS B
O5 Order Broadcast Answer MSG_C_MULTI_RESPONSE B
O5 Multi Response Answer MSG_C_QUERY_PARTITONS UQ
1 Partition Query MSG_C_PARTITON UA1 Partition
Answer MSG_C_QUERY_BI7_SIGNALS_SENT UQ9 Signal
Sent Query MSG_C_CLEARING_INFO_READY UA9 Clearing
Info Ready Answer MSG_C_QUERY_BUSINESS_DATE UQ1
2 Business Date Query MSG_C_BUSINESS_DATE UA
12 Business Date Answer MSG_C_QUERY_MKT_ANNOUNCEME
NT UQ14 / BI81 Broadcast Sent Query MSG_C_MESSAGE_
CORE_INFO UA14 Market Announcement
Answer MSG_C_MESSAGE_INFORMATION UA14 Market
Announcement Answer MSG_C_MESSAGE_DESTINATION UA1
4 Market Announcement Answer MSG_C_MESSAGE_URL U
A14 Market Announcement Answer
ITS
OMX CLICK GATEWAY
YOUR APPLICATION
Query
Answer
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MarketConnect
Queries
ITS Messages (OMX Click
XT) MSG_C_QUERY_INSTR_STATUS UQ15 Instruments
Status Query MSG_C_INSTR_STATUS_INFO UA15 Instrum
ent Status Answer MSG_C_BI73_SIGNALS_SENT UQ20 /
BI73 Undo Signals Ready Sent Query MSG_C_BI73_SIGN
AL_SENT UA20/BI73 Undo Signal Sent Ready Answer
( Multi-Part Query Message to Establish all
required Market Picture Session
Information) MSG_C_GET _BASELINE Parameters
Y/N Defaults to N DQ24
Query Exchange - DA24 Answer
Y/N Defaults to Y UQ1 Query Partitions -
UA1 Answer Y/N Defaults to
Y DQ18 Query Non Trading Days - DA18 Answer
Y/N Defaults to Y DQ6
Query Brokers - DA6 Answer
Y/N Defaults to Y DQ7 Query Markets - DA7
Answer Y/N Defaults to
Y DQ8 Query Instrument Groups - DA8 Answer
Y/N Defaults to Y DQ17
Query Instrument Types - DA17 Answer
Y/N Defaults to Y DQ29 Query Session
States - DA29 Answer Y/N
Defaults to Y UQ12 Query Ready to Trade - UA12
Answer Y/N Defaults to
Y DQ120 Query Underlying - DA120 Answer
Y/N Defaults to Y DQ122 Query
Instrument Class - DA120 Answer
Y/N Defaults to Y DQ124 Query Series - DA124
Answer Y/N Defaults to
Y DQ126 Query Combination DA126 Answer
Y/N Defaults to Y UQ15 Query
States UA15 Answer Y/N
Defaults to Y DQ53 Query Corporate Actions
DA53 Answer Y/N Defaults to
Y UI1 Query Ready to Trade
Step Number Default 1
Recovery Intra Day Recovery Steps ( Multi Part
Message Answer DA24, UA1, DA18, DA6, DA7, DA8,
DA17, DA29, UA12, DA120,DA122,DA124,DA126,UA15,
DA53)
ITS
OMX CLICK GATEWAY
YOUR APPLICATION
Query
Answer
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MarketConnect
Transactions
ITS Messages
(OMX Click XT) MSG_C_CANCEL_TRADE CC19
Cancel Trade MSG_C_DELAYED_TRADE_RPT CC86 Delaye
d Trade Report Entry MSG_C_CANCEL_TRADE_REPORT CC
87 Trade Rectification Open/Close MSG_C_CREATE_TM_
COMBO DC3 Add Tailor Made Combo Not Required
by Customers - Allows entry of index
values II2049 Index Underlying Update MSG_C_CROSS_
REQUEST MC2 Crossing Quote Request
MSG_C_END_CROSSING MC3 End Crossing MSG_C_ENT
ER_ORDER MO2 Non Std Combination Order
Entry MSG_C_DELETE_ORDER MO4 Delete Order
MSG_C_PRICE_TRANS MO6 Price Quotation
MSG_C_ENTER_ORDER_CROSS_SINGLE MO7 Cross Order
Single Side MSG_C_ENTER_ORDER_CROSS_FIRST MO8 Cro
ss Order Enter First MSG_C_ENTER_ORDER_CROSS_SECON
D MO9 Cross Order Enter Second MSG_C_ENTER_ORDER
MO11 External BB Order MSG_C_ENTER_ORDER
MO12 External BB Combo Order MSG_C_DELETE_ORDE
R MO14 External BB Delete Order
ITS
OMX CLICK GATEWAY
YOUR APPLICATION
Transaction
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MarketConnect
Transactions
ITS Messages (OMX Click
XT) MSG_C_ACCEPT_ORDER MO18 External BB
Accept Order MSG_C_ACCEPT_ORDER MO19 External
BB Combo Accept Order MSG_C_COMBO_ORDER_PRICE
MO20 Non Standard Combinations
Price MSG_C_ENTER_ORDER MO21 External Interest
Order MSG_C_ENTER_ORDER MO22 Non Standard
Combination Interest MSG_C_DELETE_ORDER MO24 Int
erest Order Deletion MSG_C_ENTER_ORDER MO31
Order Entry MSG_C_START_BLOCK_TRANS MO32
Block Order Entry MSG_C_END_BLOCK_TRANS MSG_C_AL
TER_ORDER MO33 Alteration MSG_C_TWO_SIDED_QUOT
E MO36 Two Sided Price Quotation Block
MSG_C_TWO_SIDED_QUOTE MO37 Two Sided Price
Quotation MSG_C_DELETE_ORDER MO40 Inactive
Deletion MSG_C_TRADE_DELETE MO74 Trade Report
Deletion, Unmatched MSG_C_REPORT_TRADE MO75 Trad
e Report MSG_C_REPORT_TRADE MO76 Trade Report
Two Sided MSG_C_PRIO_CROSSING MO87 Priority
Crossing MSG_C_ENTER_ORDER MO98 Inactive Order
Entry MSG_C_ACTIVATE_ORDER MO99 Activate
Inactive Order MSG_C_GET_BASELINE UI1 Ready to
Trade MSG_C_SEND_MESSAGE_INFO UI5 External
Dedicated Message
ITS
OMX CLICK GATEWAY
YOUR APPLICATION
Transaction
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MarketConnect
Broadcasts
ITS
ITS Messages (OMX Click
XT) MSG_C_PRICE_INFO BD2 Edited Price
Information MSG_C_CLEARING_INFO_READY BI7 Info
Ready (Settlement Price) MSG_C_INSTR_STATUS_INFO
BI41 Instrument Status Info MSG_C_SETTLEMENT_PRI
CE_UPDATE BI63 Settlement Price
Update MSG_C_UNDO_SIGNAL_READY_INFO BI73 Undo
Signal Ready Info MSG_C_DEDICATED_MESSAGE_INFO BI7
4 Dedicated Message Information MSG_C_MESSAGE_STAT
US BI76 Message Status MSG_C_MESSAGE_CORE_INFO B
I81 Market Announcement MSG_C_MESSAGE_INFORMATION
BI81 Market Announcement MSG_C_MESSAGE_DESTINATI
ON BI81 Market Announcement MSG_C_MESSAGE_URL B
I81 Market Announcement MSG_C_ORDER_CHANGE BO2
Order Book Changes MSG_C_QUERY_BO5_BROADCASTS B
O5 Firm Order Book MSG_C_PRICE_INFO BO10
Price Information
YOUR APPLICATION
OMX CLICK GATEWAY
Broadcast
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MarketConnect
Broadcasts
ITS
ITS Messages (OMX Click
XT) MSG_C_ORDER_CHANGE BO11 Bulletin Board
Order Book MSG_C_ORDER_CHANGE BO12 Bulletin
Board Order Book MSG_C_OB_VOLUMES BO14/BO15 Orde
r book with levels MSG_C_ORDER_CHANGE BO21
Interest Order Book Changes MSG_C_BLOCK_TRANS_RES
PONSE BO99 Block Transaction Response
MSG_C_CENTRAL_GROUP BU28 Central Group
Update MSG_C_CORP_ACTION_UPDATE BU53
Corporate Action Update MSG_C_SPECIAL_LIABILITY
_UPDATE BU56 Special Liability Update
MSG_C_UNDERLYING BU120 Delta Underlying
Update MSG_C_INSTR_CLASS BU122 Delta
Instrument Class Update MSG_C_SERIES BU124
Delta Instrument Series Update MSG_C_SERIES BU1
26 Combo Series Update MSG_C_DEAL CB16 Deal
replaces BD9/BD10/BD11 MSG_C_MARKET_ESTABLISHED
MI3 Market Established MSG_C_QUOTE_REQUEST_VOL
_INFO MI4 Quote Request with Volume Info
YOUR APPLICATION
OMX CLICK GATEWAY
Broadcast
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MarketConnect
Tagged Field Message Examples Logon to OMX Click
Gateway FUNCLOGONSYSCUSR288RJETEST1PWDPAS
SWORD01NPDPASSWORD02 Message
Tags FUNCLOGON - Logon Message SYSC -
Market to Logon to, C OM Click USR288RJETEST
1 - OM Click User ID PWDPASSWORD01 - OM
Click User ID Password NPDPASSWORD02 - Change
Existing Password to this New Password Message
Flow 2004-12-16180811 send
msggtgt00000050RJEFUNCLOGONSYSCUSR288RJETEST
1PWDPASSWORD01NPDPASSWORD02 2004-12-161808
12 recv msgltlt00000129RJEFUNCPUSHRQID1STAT1
CODE1700MSGMSG_C_COUNTRY_MARKETCTY15MKT1M
NAINDEX DERIVATIVES MARKETMIDINDEXMTY7INM1
BIC 2004-12-16180812 recv msgltlt00000127RJE
FUNCPUSHRQID1STAT1CODE1700MSGMSG_C_COUNTR
Y_MARKETCTY15MKT2MNASTOCK DERIVATIVES
MARKETMIDAUSMTY1INM2BIC 2004-12-161808
12 recv msgltlt00000136RJEFUNCPUSHRQID1STAT1
CODE1700MSGMSG_C_COUNTRY_MARKETCTY15MKT13
MNAELECTRICITY DERIVATIVES MARKETMIDELECTMTY4
INM2BIC 2004-12-16180812 recv
msgltlt00000137RJEFUNCPUSHRQID1STAT1CODE17
00MSGMSG_C_COUNTRY_MARKETCTY15MKT25MNA
AGRICULTURAL DERIVATIVES MARKETMIDAGRICMTY5IN
M2BIC 2004-12-16180812 recv
msgltlt00000058RJEFUNCPUSHRQID1STAT1CODE17
40MSGMSG_C_END_OF_GROUP
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MarketConnect
JAVA Examples Logon to OMX Click
Gateway private void startup () throws
IOException MCresult result //
Create a session object session new
Session() // Turn on message tracing
session.setTrace(true) // Log on to
MCServer (C OM Click, OM Click User ID, OM
Click User ID Password, If Required New Password)
result session.logon('C', "288RJETEST1",
"PASSWORD01) if (result.getReturncode(
) MCsuccess.MC_SUCCESS )
System.out.println("Logged On" " RequestID "
result.getRequestID())
.. // Process
each message type as needed msgCode
result.getMsgCode() switch ( msgCode )
case MCmessage.MSG_C_COUNTRY_MARKE
T
print_MsgCountryMarket((MsgCountryMarket)
result) break
case MCmessage.MSG_C_END_OF_GROUP
got_end true
break
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MarketConnect
Dot Net Examples Logon to OMX Click
Gateway private void startup ()
MCresult result // Create
a session object session new Session()
// Turn on message tracing
session.setTrace(true) // Log on to
MCServer (C OM Click, OM Click User ID, OM
Click User ID Password, If Required New Password)
result session.logon('C', "288RJETEST1",
"PASSWORD01) if (result.getReturncode(
) MCsuccess.MC_SUCCESS )
System.Console.Out.WriteLine("Logged On" "
RequestID " result.RequestID)
Message Flow 2004-12-16180811 send
msggtgt00000050RJEFUNCLOGONSYSCUSR288RJETEST
1PWDPASSWORD01 2004-12-16180812 recv
msgltlt00000129RJEFUNCPUSHRQID1STAT1CODE17
00MSGMSG_C_COUNTRY_MARKETCTY15MKT1MNAINDEX
DERIVATIVES MARKETMIDINDEXMTY7INM1BIC 20
04-12-16180812 recv msgltlt00000127RJEFUNCPUS
HRQID1STAT1CODE1700MSGMSG_C_COUNTRY_MARKET
CTY15MKT2MNASTOCK DERIVATIVES
MARKETMIDAUSMTY1INM2BIC 2004-12-161808
12 recv msgltlt00000136RJEFUNCPUSHRQID1STAT1
CODE1700MSGMSG_C_COUNTRY_MARKETCTY15MKT13
MNAELECTRICITY DERIVATIVES MARKETMIDELECTMTY4
INM2BIC 2004-12-16180812 recv
msgltlt00000137RJEFUNCPUSHRQID1STAT1CODE17
00MSGMSG_C_COUNTRY_MARKETCTY15MKT25MNA
AGRICULTURAL DERIVATIVES MARKETMIDAGRICMTY5IN
M2BIC 2004-12-16180812 recv
msgltlt00000058RJEFUNCPUSHRQID1STAT1CODE17
40MSGMSG_C_END_OF_GROUP
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MarketConnect
Client Interface Options
Client Using MC API
OMX CLICK GATEWAY
MC API Interface
MarketConnect
Client Using Tag Fields
Request
Tag Field Messages
Message
Translation
Decomposition
Client Using JAVA
Gateway Response
JAVA Class Interface
Broadcasts
Unsolicited Data
Client Using Dot Net
Pull Client Buffer
Dot Net Class Interface
Message Log
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MarketConnect
Pull Client Data Flow
OMX CLICK GATEWAY
YOUR APPLICATION
MarketConnect
Send Request
API Call Status Plus Identifer for request
Request
Message
Translation
Get Request
Decomposition
Gateway Response
Response with Identifer
Broadcasts
Unsolicited Data
Buffer
Message Log
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MarketConnect
Push Client Data Flow
OMX CLICK GATEWAY
YOUR APPLICATION
MarketConnect
Request
Send Request
Message
Gateway Response
Translation
Receive Response
Decomposition
Broadcasts
Unsolicited Data
Message Log
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MarketConnect
RJE Systems
Suite 53/47 Neridah Street, Chatswood NSW 2067
Australia Phone [phone] Fax [phone]
2166 Email info_at_rje.com.au Web Site
www.rje.com.au
RJE SYSTEMS