Technical Informational Note: CME FIX/FAST Market Data Operators Release update and the OnixS directConnect: CME Market Data Handler implementations

Technical Informational Note:
CME FIX/FAST Market Data Operators Release update and the OnixS directConnect: CME Market Data Handler implementations

Tuesday: 15th May 2012 - The CME published a Critical System Update alert on the 7th May regarding changes to the FIX/FAST template operators on the CME Market Data feed. This is an technical advisory regarding this change.

Effective Sunday, 3rd June, 2012, the field operators (copy, default, delta and increment) will be removed from the CME FX futures channels 11 and 60 in the production environment.

These operators will be removed from all production FIX/FAST channels on the CME Market Data Platform by Sunday, 4th November, 2012. Detailed schedules for every channel will be published in the CME Globex and Market Data Notices.

New templates will be required for the impacted channels. The new templates for the 3rd June change are currently available in New Release, and also in Production as of Sunday, 13th May. CME Group recommends customer systems pull the templates from the CME Group ftp site every week, prior to Sunday startup.

These changes are available on all FIX/FAST channels in the New Release environment on Monday, May 14.

Other than the updates to the CME FIX/FAST Decoding templates as advised in this CME alert, there are no OnixS software update required to existing OnixS directConnect: CME Market Data Handler implementations for this change.

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Release Notes - Java CME FIX/FAST Market Data Handler - Version 1.6.11

Improvement

• [JAVACMEFAST-97] - Use single thread on Feed A and Feed B if handler feeds use same port

Release Notes - Java FIX Engine - Version 1.9.41

Bug

• [JAVA-469] - FAST/FIX Decoding Exception

Improvement

• [JAVA-470] - Add bug report page
• [JAVA-471] - Check Engine is inited in the Decoder and Encoder
• [JAVA-480] - Explain SessionListenerDelayWarningThreshold property

Task

• [JAVA-472] - Check byteVector encode/decode
• [JAVA-475] - Check templateRef encode/decode

Release Notes - C++ CME FAST Market Data Handler - Version 2.13.1.2

Release Notes - C++ CME FAST Market Data Handler - Version 2.13.1.2

Improvement

• [CPPCMEFAST-316] - Security Definitions should NOT be filtered anymore
• [CPPCMEFAST-319] - CME PriceLevel object should break down/distinguish between implied and direct quantity when obtained from a consolidated order book
• [CPPCMEFAST-325] - Encapsulation of public fields into inline members desired for PriceLevel structure.
• [CPPCMEFAST-344] - Heartbeats received via snapshot channel should be ignored
• [CPPCMEFAST-347] - By default Sample Application should replay canned data from Cert environment
• [CPPCMEFAST-349] - Copyright year should be changed from '2004-2011' to '2005-2012'
• [CPPCMEFAST-350] - In all publich *.h files, internal files as well as sample programs the copyright year should be set to 2005-2012.
• [CPPCMEFAST-351] - "Conectivity troubleshooting" section should be added to Programmer's Guide
• [CPPCMEFAST-354] - Ability to get order books from snapshots when no live data is available

Information Request

• [CPPCMEFAST-318] - Track Level 1 data only?
• [CPPCMEFAST-355] - Warning message

New Feature

• [CPPCMEFAST-71] - Handler::addSecurityDescriptionFilter(..) method is needed

Task

• [CPPCMEFAST-337] - Publish Programmer's Guide on-line

Release Notes - C++ ICE iMpact Multicast Price Feed Handler - Version 2.10.0.0

Release Notes - C++ ICE iMpact Multicast Price Feed Handler - Version 2.10.0.0

Bug

• [CPPICEIMPACT-132] - Not always receiving onMulticastMessageBlockEnd() with expected MarketType value
  
• [CPPICEIMPACT-123] - CPU usage is 100%
  
• [CPPICEIMPACT-129] - maximumNumberOfSnaphotRecoveryAttempts = 1 does not appear to work
  
• [CPPICEIMPACT-123] - CPU usage is 100%
  

Improvement

• [CPPICEIMPACT-134] - Send information on which marketIDs have been updated in onMulticastMessageBlockEnd
  
• [CPPICEIMPACT-130] - Send out messages while handler is waiting for snapshots
  
• [CPPICEIMPACT-131] - MessageInfo to also include the base sequence number of packet
  
• [CPPICEIMPACT-121] - Threading model in the handler
  

New Feature

• [CPPICEIMPACT-124] - Support iMpact Multicast Feed Message Specification version 1.1.11
  
• [CPPICEIMPACT-125] - Support iMpact Multicast Feed Message Specification version 1.1.12
  
• [CPPICEIMPACT-122] - Report session number and message sequence number
  

Task

• [CPPICEIMPACT-128] - Prepare build to check timeout in message queue
  

Download details:

Distribution and evaluation downloads available upon request. Email support@onixs.biz

 

Release Notes - C++ Eurex EBS Market Data Handler - Version 3.4.1.3

Release Notes - C++ Eurex EBS Market Data Handler - Version 3.4.1.3

Bug

• [CPPEUREXMDH-150] - Missing price level in Eurex EBS
  

Improvement

• [CPPEUREXMDH-156] - Improve subscribe/unsubscribe
  
• [CPPEUREXMDH-158] - Snapshot retries to be logged as a warning
  
• [CPPEUREXMDH-159] - Improve top of book management
  
• [CPPEUREXMDH-167] - Decreased latency
  
• [CPPEUREXMDH-171] - Setting::networkInterface_ member should be shown in Sample applications
  
• [CPPEUREXMDH-174] - ExecutingSystemTypes should be documented
  
• [CPPEUREXMDH-175] - GatewayLocationIdentifiers should be documented
  
• [CPPEUREXMDH-176] - LevelUpdate should be documented
  
• [CPPEUREXMDH-177] - MatchingTypeCodes should be documented
  
• [CPPEUREXMDH-178] - Snapshot should be documented
  
• [CPPEUREXMDH-179] - StratMatchCodes should be documented
  
• [CPPEUREXMDH-181] - Update Benchmark sample
  

New Feature

• [CPPEUREXMDH-154] - Benchmark Sample
  

Task

• [CPPEUREXMDH-145] - Latency optimization (decreased up to 40%)
  

Download details:

Distribution and evaluation downloads available upon request. Email support@onixs.biz

 

Release Notes - .NET Eurex EBS Market Data Handler - Version 3.4.0.4

Release Notes - .NET Eurex EBS Market Data Handler - Version 3.4.0.4

Improvement

• [DNEBS-61] - Latency optimization
  

Download details:

Distribution and evaluation downloads available upon request. Email support@onixs.biz

 

Release Notes - C++ LIFFE CCG Binary Trading Handler - Version 1.15.0.0

Release Notes - C++ LIFFE CCG Binary Trading Handler - Version 1.15.0.0

Improvement

• [CPPUTPCCG-88] - More information is required when unable to connect to the exchange
  

New Feature

• [CPPUTPCCG-89] - Provide all messages sent & received
  

Download details:

Distribution and evaluation downloads available upon request. Email support@onixs.biz

 

Release Notes - .NET CME FIX/FAST Market Data Handler - Version 2.11.6.1

Release Notes - .NET CME FIX/FAST Market Data Handler - Version 2.11.6.1

Bug

• [NETCMEFAST-214] - Wrong *.sln file is used in the CME.FAST.handler-net-3.5-x64_setup_2-11-6-0.msi package.
• [NETCMEFAST-215] - Could not find file 'C:\Program Files\OnixS\.NET.CME.FAST.Handler-net-3-5-x64\2-11-6-0\sample\OnixS.FixEngineNet.Trial.lic'

Improvement

• [NETCMEFAST-189] - Version of the 'templates.xml' should be logged at INFO level
• [NETCMEFAST-201] - By default Sample Application should replay canned data from Cert environment
• [NETCMEFAST-203] - ChannelId should be passed to constructor.
• [NETCMEFAST-212] - Fast template id used to decode message should written to trace
• [NETCMEFAST-213] - Add "Low Latency Best Practices" section to Programming Guide

Press Release: OnixS completes new BrokerTec Genium platform conformance testing

Press Release:

OnixS completes new BrokerTec Genium platform conformance testing

London: Monday 13th February 2012 – On the 13th February 2012 OnixS successfully completed conformance testing on the new upgraded BrokerTec Genium environment. This extensive upgrade of the BrokerTec U.S. and Europe platform is powered by NASDAQ OMX's Genium INET technology, and requires all users to upgrade for the BrokerTec Genium cutover dates of 26th March for the US and 30th April for the EU.

The OnixS directConnect: Brokertec Handler is a C++ library that provides access to the BrokerTec Exchange market data and trading functionality using the OMex interface for automated trading strategies. Ket features include:



➢ Pre-tested, certified and out of the box– thus saving time and money in integration and certification testing.

➢ Supported – service level guarantee that the implementation is production strength, and will support future interface and platform enhancements.

➢ Book management, synchronization and recovery – more than just a market data decoder. Provides full book management with Order book depth – off loads the book management tasks to a specialized implementation.

➢ Low latency, high through-put, multi-threaded architecture – designed for high-frequency and the fastest market data implementation

➢ Easy-to-use and flexible API – designed for rapid integration within trading strategy implementations.

➢ Flexible logging – ability to analyze and diagnose issues and activity quickly

➢ Reference Implementations - included fast-start source code Basic and Advanced reference implementations with market data and trading client samples – designed for familiarization and to get up and running rapidly.

➢ View Only Market Data sessions messages including the Workup Phase, full order book depth, trade broadcast and price information.

➢ Trade Only Multiple Trading sessions round-robin - the BrokerTec trading session is synchronous. This means that the order insertion throughput is limited by the speed of order acknowledgement by the BrokerTec platform. Thus this round-robin feature enables the OnixS Handler to support multiple API_T type trading sessions and the handler manages the most efficient throughout to route orders via available trading sessions.

For those interested in more information on OnixS products and evaluation reference implementations are available via info@onixs.biz

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About OnixS www.onixs.biz :

OnixS is a specialist software business providing high performance multi-platform, multi-venue market data and trading software solutions with a Pay As You Use (PAYU) subscription commercial model.

The OnixS products include the OnixS selfConnect range of FIX engine and FAST encoder/decoder components with venue specific calibrated FIX dialects and reference implementation source code samples designed to be easily integrated within existing .NET, C++ and Java application frameworks.

The OnixS directConnect products are calibrated and certified market data, trading, drop-copy and clearing solutions for a wide range of exchanges, brokers, liquidity pools and routing networks designed for rapid and efficient integration to automated trading strategies.

For more information contact:

OnixS

+44 20 7117 0111