PBOT Data Distribution System

Transcription

1 FINANCIAL AUTOMATION PBOT Data Distribution System Vendor Interface Specification Document No.: OTS SPEC

2 Revision History Version Date Comments Approval Draft 5/25/05 Draft Note: This document represents a draft of the specifications and is subject to change pending final approval. PBOT XL Proprietary Page 2 of 25

3 Contact Information Philadelphia Board of Trade 900 Market Street Philadelphia, PA 903 Contact Telephone Initial Set-up* Communications and Production problems, etc.** Technical Account Management Group Data Center Help Desk *Please direct any questions concerning testing or other such matters and/or management related issues to the Technical Account Management Group. **Please direct issues regarding communications problems, retransmissions requests, data content issues, or any other operational issues to the Operations number listed above. In contacting Operations, please announce that you are a PBOT Market Data Distribution Network Receipt. PBOT XL Proprietary Page 3 of 25

4 TABLE OF CONTENTS Introduction...5. Scope Distribution System Design Overview Real-time production Data Pre-Launch Test Data Transmission characteristics Transmission Block SOH, STX and ETX Message Block Format Data format Character set Retransmissions Field Groups Definitions and content Message Header Product Classification Price ID Indicators... 5 Message Definitions Extended Index Message Index Short Message Extended Index Summary Message Index Summary Message Control Messages Summary of control Messages Type A Start of Test Cycle Type B End of Test Cycle Type D Start of Day Type F Start of Summary Type G End of Summary Type K Reset Sequence Number Type I - End of Day Type T Line Integrity Verification APPENDIX A: Schedule of daily PDDS Messages APPENDIX B: Communication Specifications Index Market Data Communication specifications APPENDIX C: Multicast Distribution Networks Index Reporting Multicast Distribution (PBOT)...25 PBOT XL Proprietary Page 4 of 25

5 Introduction The purpose of this document is to provide a resource for recipients of PBOT market data feeds. This specification is based on the ITC Specification Version 2... Scope This specification defines the interface and message format requirements for data recipients (vendors and others who receive the data feed) connecting to PBOT s IP multicast distribution network. Please see appendix b for information on the multicast network. 2 Distribution System Design Overview PDDS will disseminate market data and control messages in the form of IP datagram over an IP multicast network. 2. Real-time production Data Every real-time message from the PBOT trading system will be transmitted between the normal trading hours as specified by PBOT. The control message Start of Day (C/D) will be transmitted before PDDS disseminates real-time production messages to signal the start of official data. 2.2 Pre-Launch Test Data To facilitate vendor testing for new releases of either PDDS or the vendor s systems, test data will be disseminated over PDDS production IP multicast network. Test data feed will always be sent after the control message Start of Test (C/A) is sent by PDDS. 3 Transmission characteristics 3. Transmission Block Encapsulated within each IP packet is a transmission block. One type of transmission block is used for all types of messages: PBOT XL Proprietary Page 5 of 25

6 Message Message Message n Transmission block A block can have a maximum of,000 characters inclusive of text. 3.2 SOH, STX and ETX Each message header will start with the control character Start of Header (SOH) (x0). The body of each message following the message header will start with the Start of Text (STX) (x02) and end with the control character End of Text (ETX) (x03). 3.3 Message Block Format A message block can consist of multiple messages. A message is a unit of data that can be processed by the receiving station independently of other data with each message consisting of a message Header and, with the exception of certain control messages, message text. A message may not span a block boundary. SOH Message Header STX Message Body ETX SOH Message Header STX Message Body ETX 3.4 Data format ASCII filler characters are inserted, as required, in accordance with the following rules:. Zeros (hex 30) are inserted in Numeric fields. All Numeric fields are right justified, as required. 2. Spaces (hex 20) are inserted in Alphabetic fields. All Alphabetic fields are left justified, as required. 3. Spaces (hex 20) are inserted in alphanumeric fields. All Alphanumeric fields are right or left justified, as required. 3.5 Character set PBOT XL Proprietary Page 6 of 25

7 All transmissions will be in standard 8-bit ASCII code. 3.6 Retransmissions A vendor may request a retransmission of a single message or a group of messages by calling the PDDS control center s phone number. The requesting vendor needs to specify the following information with the request:. Vendor identification (Vendor ID or name) 2. Product or multicast group whose messages need to be retransmitted 3. Start and end sequence number for the intended messages. PDDS will handle retransmission request(s) according the following: Retransmission requests are only accepted after the Start of Day (C/D) message is sent. The Vendor Identification field in the message header of each message retransmitted will contain a two (2)-character identification of the vendor that requested the retransmission. If more than one vendor requests retransmission of the same message (same sequence number), then the retransmission will be addressed to all vendors by specifying the vendor id as AV ( All Vendors ) The Message Sequence Number in the message header for the retransmitted messages will contain the sequence number of the original message If the Message Sequence Number counter for a line has been reset, no messages transmitted prior to reset are available for retransmission. Retransmissions will be processed so as not to interfere with the transmission of current messages. Retransmissions will be sent on a separate message block and will never be combined with the original messages. Control message are not retransmitted. However, certain control messages can be resent on demand. E.g. SOD, EOD, SOT, EOT. PBOT XL Proprietary Page 7 of 25

8 4 Field Groups Definitions and content Most messages are comprised of Field Groups defined in this section. Each field group contains one or more fields defined below. E.g.: Field group Price ID is used for all prices. Price ID field group consists of individual fields to identify whether the price is decimal or fraction, specified as /0 th or /00 th The following sections explains the Field groups used by the messages in this specification: Disclaimer: Philadelphia Board of Trade reserves the right to add new message Categories and Types that are not specified in this document as and when needed. Vendors must implement their systems to handle these situations such that this doesn t impact their regular message handling. 4. Message Header The Message header will consist of the following fields. Each message will contain this fixed length header followed by a variable length text containing details of the message specified by the category code. Field Name Len Value Source/Description SOH Control Character Ctrl-A Exchange ID 2 P Exchange identifier for PBOT. Vendor ID 2 Vendor to which retransmissions are sent. AV in normal transmissions. Product Classification Code A, I, A - Administrative (for control messages) I Index Category Code C, Y, P, J, L Denotes details of the message content C = Control Message Y = Index Message P = Extended Index Message J = Index Summary Message L = Extended Index Summary Message PBOT XL Proprietary Page 8 of 25

9 Type Code Usage type Regular transmission Other- Indicates the sub type of the Control message if category code = C Message Day Code 0-9, A-U Trading day (Day of the month) -9 = st to 9 th 0 = 0 th A-U = th 3 st Message Sequence Number (MSN) to Sequence number of the message Reset to 0 every morning. Some messages do not a contain sequence number. (See the message formats and their explanations for index and control messages) Message Time Stamp 7 HHMMSST Time stamp of the message in terms of Eastern Standard Time. HH = Hours MM = Minutes SS = Seconds T = Tenth of a second Session ID A, B, C A Index Regular (See appendix A) B Reserved C Reserved STX Control Character Ctrl-B Product Classification This field group will contain the information related to the instrument used in the message. The product classification code field group s layout is extensible for different types of products (PCC Code). This facilitates different types of product symbol information to be classified into this field group. For Index products (PCC Code I ): Field Name Len Value Source/Description Product Classification Type I I Index Value PBOT XL Proprietary Page 9 of 25

10 Instrument ID 8 Symbol of the instrument/description (E.g. SOX) CUSIP # 2 Not used (filled with space character) Yield 5 Not used (filled with space character) 36 For Index products with Extended Symbol (PCC Code X ): Field Name Len Value Source/Description Product Classification Type X X Index Value Instrument Code 0 Symbol of the instrument (E.g. SOX) 4.3 Price ID This field group is used to represent the price information (actual prices, percentage changes etc.) Field Name Len Value Source/Description Price Fractional Indicator Code 2,, 2, 3 /th - /0 th 2 /00 th 3 /000 th Price 7 NNNNNNN Price Zero filled, right justified Price Sign +, - + Positive number - Negative number BAT Code Index Level Price Indicator, B, P, R = Normal B = Blank out on price displays P = Percentage R = Indicative PBOT XL Proprietary Page 0 of 25

11 2 4.4 Indicators Indicators can be used for various purposes depending on the type of message. The following are some of the indicator field groups used in our messages. Field Name Len Value Source/Description Market direction indicator +, -,, S + = Up - = Down S = Stable = Market direction not indicated by the exchange Field Name Len Value Source/Description Range Indicator C, O C = Close O = Open PBOT XL Proprietary Page of 25

12 5 Message Definitions 5. Extended Index Message Category Code: P This message will be sent for an index at a specific time interval. The interval will be decided by PBOT. The contents of the message is defined below: Field Group Len Description Source/Description Header 25 Header Message header Product Classification X - Symbol, instrument type etc. Product details depending on PCC value in header Price ID 2 Percentage Stocks Open %of stocks in the index that are open for trading Price ID 2 Last Price Current Index price Market Direction Indicator Last Price Market Direction Indicator Current Index price s tick ETX ETX 62 PBOT XL Proprietary Page 2 of 25

13 5.2 Index Short Message Category Code: Y (ITC specs calls this Cash prices ) This message is similar to the index price message disseminated today and contains only the last price of the index specified. This will be sent at the same intervals as the Index spot price message. Field Group Len Description Source/Description Header 25 Header Message header Product Classification 36 I - Symbol, instrument type etc. Product details depending on PCC value in header Price ID 2 Last Price Index s last price ETX ETX 74 PBOT XL Proprietary Page 3 of 25

14 5.3 Extended Index Summary Message Category Code: L This message is sent for the specified instrument after the Start of Summary (C/E) control message is sent. If there is no activity during the trading day for a product, summary message will not be sent for that product. End of Summary (C/F) control message will be sent after the last summary message. Field Group Len Description Source/Description Header 25 Header Message header Product Classification X - Symbol, instrument type etc. Product details depends on PCC value in header Price ID 2 Opening Price Index s opening price Market Direction Indicator Opening market direction indicator Price ID 2 Percentage Stocks Open (Second opening price) Opening tick % Of stocks in the index that are open for trading Price ID 2 High Price Highest Index price of the day Price ID 2 Low Price Lowest Index price of the day Price ID 2 Closing Price Last Index price before trading ended Range Indicator Closing Price Range Indicator C Close Market Direction Indicator Closing Price tick Last index price s tick Price ID 2 Net change Net change for the day (difference between today s last price and yesterday s closing) Price ID 2 Net Change percentage (Second Closing Price) % Change for the day (net_change / yesterday's closing price) * 00 (If yesterdays closing price is 0.0, then it will be - today s closing price * 00) Market Direction Indicator Net Change tick Net change s tick Day Indicator Day indicator (See Message Day code in header field group) ETX ETX 26 PBOT XL Proprietary Page 4 of 25

15 5.4 Index Summary Message Category code: J This message is sent for the specified instrument after the Start of Summary (C/E) control message is sent. If there is no activity during the trading day for a product, summary message will not be sent for that product. End of Summary (C/F) control message will be sent after the last summary message. Field Group Len Description Source/Description Header 25 Header Message header Product Classification 36 I - Symbol, instrument type etc. Product details depends on PCC value in header Price ID 2 First Opening Price Index s opening price Price ID 2 Second Opening Price Not used for indexes (Filled with blanks/zeros) Range Indicator Opening Price Range Indicator O Open Market Direction Indicator Opening market direction Opening tick indicator Price ID 2 High Price Highest Index price of the day Price ID 2 Low Price Lowest Index price of the day Price ID 2 Settlement Price Not used for indexes (Filled with blanks/zeros) Price ID 2 First Closing Price Last Index price before trading ended Price ID 2 Second Closing Price Not used for indexes (Filled with blanks/zeros) Range Indicator Closing Price Range Indicator C Close Market Direction Indicator Closing Price tick Last index price s tick Price ID 2 Net change Net change (difference between today s last price and yesterday s closing) Market Direction Indicator Net Change tick Net change s tick Cumulative Volume 7 Total Volume traded 0 for indexes Volume Indicator Volume Indicator Not used for indexes (Filled with blank) Day Indicator Day indicator (See Message Day code in header field group) ETX ETX PBOT XL Proprietary Page 5 of 25

16 72 Note: The shaded fields in this message are not used and will be populated with blanks/zeros. 6 Control Messages Control messages are provided to notify vendors systems of significant status changes of PDDS and to test system integrity. Control messages will consist of: - A standard header including a category code and a type code explicitly identifying the control message - 46 P/A characters Control messages will not be blocked or combined with any other type of messages. Each control messages is sent in a separate block. The following table describes the structure of a control message: Field Group Len Source/Description Header 25 Message header Control Message Text 46 Varies based on the type code (See control message types for details) 6. Summary of control Messages The following are the control messages sent by PDDS: Message identification Control message Category type C A Start of Test C B End of Test C D Start of Day C F Start of Summary C G End of Summary C K Reset Sequence Number C I End of Day C T Line Integrity Verification PBOT XL Proprietary Page 6 of 25

17 Each control message is described in detail in the coming sections. Please note that recipients should be attentive to the session ID in the header of the control messages to ensure that they are properly interpreted by the recipients as pertaining to the appropriate session. 6.2 Type A Start of Test Cycle The Start of Test Cycle message is transmitted to signal the start of the transmission of a Test Cycle. The Start of Test Cycle message will consist of the standard Message Header immediately followed by the textual message: START OF TEST MMDDYY HHMMSS The Message Sequence Number (MSN) of any Start of Test Cycle message will contain the MSN of the last test message transmitted. 6.3 Type B End of Test Cycle The End of Test Cycle message is transmitted to signal the end of the transmission of a Test Cycle message. The End of Test Cycle message will consist of the standard Message Header immediately followed by the textual message: END OF TEST MMDDYY HHMMSS The MSN field will contain number of the last test message transmitted in the test cycle message transmission. 6.4 Type D Start of Day The Start of Day message from PBOT signals the start of normal data distribution over a line. The Start of Day message will consist of the standard Message Header immediately followed by the textual message: PBOT XL Proprietary Page 7 of 25

18 START OF DAY MMDDYY HHMMSS The MSN field will contain the MSN of the last original message. Normally it will contain sequence number zero because no index messages are transmitted before start of day. 6.5 Type F Start of Summary The Start of Summary message is transmitted by PBOT to signal the beginning of transmission of one or more End of Day Index Summary messages by PBOT. The Start of Summary message will consist of the standard Message Header immediately followed by the textual message: START OF SUMMARY MMDDYY HHMMSS Example: START OF SUMMARY The MSN field will contain number of the last message transmitted that was not a retransmitted message. 6.6 Type G End of Summary The End of Summary message is transmitted by PBOT to signal the end of transmission of one or more End of Day Index Summary messages by PBOT. The End of Summary message will consist of the standard Message Header immediately followed by the textual message: END OF SUMMARY MMDDYY HHMMSS Example: END OF SUMMARY The MSN field will contain number of the last message transmitted that was not a retransmitted message. PBOT XL Proprietary Page 8 of 25

19 6.7 Type K Reset Sequence Number The Reset Sequence Number message is transmitted to advise vendors when the sequence numbers on the line require resetting. The Reset Sequence Number message will consist of the standard Message Header immediately followed by the textual message: SET MESSAGE SEQUENCE NUMBER The MSN field will contain the number to which the sequence number is to be reset. 6.8 Type I - End of Day The End of Day message from PBOT signals the end of transmission of original data over the lines. The End of Day message will consist of the standard Message Header immediately followed by the textual message: END OF DAY MMDDYY HHMMSS The MSN field will contain number of the last message transmitted that was not a retransmitted message. 6.9 Type T Line Integrity Verification The Line integrity verification message will be transmitted each minute to verify the sustained integrity of the communication link. This message will not interrupt normal transmission in progress. It will be transmitted even if no other types of messages are queued. The Line Integrity Verification message will consist of the standard Message Header immediately followed by the textual message: LINE INTEGRITY MMDDYY HHMMSS PBOT XL Proprietary Page 9 of 25

20 Example: LINE INTEGRITY The MSN field is not incremented for Line Integrity messages. The Message sequence number field will contain the MSN of the last original message. PBOT XL Proprietary Page 20 of 25

21 7 APPENDIX A: Schedule of daily PDDS Messages Note: Time ranges shown are approximate times. Actual times may be dependent on daily traffic volume and are subject to change based on PBOT s discretion. All Time is Eastern Time. Session A Index Regular Session TIME TRANSMISSION 3:00 am Start all output lines 7:30 am Start of Day on all lines 9:30 am Index trading (pricing) begins 4:5 pm Index trading (pricing) ends 4:25 pm Start of Summary 4:25 5:00 pm Index End of Day Summary messages 5:0 pm End of Summary 5:5 pm End of Day message. 5:30 pm Stop all output lines PDDS system will be brought down after all the lines are stopped. Start of Test (C/A) and End of Test (C/B) control messages will be sent at the beginning and end of testing when PDDS or vendor(s) schedules a test outside the normal trading hours. Line Integrity Verification (C/T) messages will be sent out after the lines are started. PBOT XL Proprietary Page 2 of 25

22 Messages received outside the Start of Day - End of Day window should also be processed by recipients. PBOT XL Proprietary Page 22 of 25

23 8 APPENDIX B: Communication Specifications 8. Index Market Data Communication specifications The Philadelphia Stock Exchange Communications Engineering department has designed a fully redundant and comprehensive infrastructure for the distribution of the PBOT (Philadelphia Board of Trade) Index futures. The information is distributed using the IP Multicast protocol. Specifically, we use IGMP version 2 and PIM Sparse-Mode as a routing protocol. The Philadelphia Stock Exchange will source the following six multicast groups: Assignment Even Group Address Even Destination Port Odd Group Address Odd Destination Port Data Sector Index Retransmission and Playback Test Group The Data Sector Index is the actual production data for which the client would subscribe. The Retransmission and Playback Group will for used for real-time retransmission of the Index data. Finally, the test groups are for verifying proper connectivity during production hours, without affecting the production data feed. The client will have the option of only subscribing to the Primary feed or both primary and secondary, if they choose to implement a redundant infrastructure. If the redundancy is cost prohibitive, the single threaded solution is an option, but not recommended. The Engineering group has configured Static Joins to the distribution edge so that no one client could prune the data distribution. In addition, our infrastructure is configured to deny any incoming traffic including ICMP Ping. Therefore, Ping will not be a valid test to confirm that connectivity has been established. Instead, when working with Savvis as the service provider, you will need to verify that you see the IGMP Groups listed above. In order to subscribe, the client will need to contact the following Savvis personnel: Alicia VanDeVeer gems@savvis.net Phone: Danielle Durkin gems@savvis.net Phone: PHLX adheres to RFC 2933 (RFC ) and RFC 2362 (RFC ) for this distribution network. PBOT XL Proprietary Page 23 of 25

24 PBOT XL Proprietary Page 24 of 25

25 P W R SYS ACT RPS P W R SYS ACT RPS SA 00 C i s c o SERIES Cisco 2600 SERIES Management Management Link 0 Link 0 DCE/DTE DCE/DTE Console Console Modem (DTE) Modem (DTE) Reset Reset PCMCIA PCMCIA m i c r o s y s t e m s Utilization Switch CPU Utilization Switch CPU TX RX Online TXRX Online TX Online 8 RX TX RX SF Power Supply 8690SF Power Supply F a n 2 3 Online Master F a n 2 T e monline p Master T e monline p SUN ENTERPRISE ManagementLink 00 ManagementLink 00 DCE/DTE DCE/DTE Console Console Modem (DTE) Modem (DTE) Reset Reset PCMCIA PCMCIA Utilization Switch CPU Utilization SwitchCPU TXRX TX RX Online Online TXRX Online TXRX Online 8690SF PowerSupply 2 3 Master 2 TempOnline Fan 8690SF 2 3 PowerSupply Master Fan 2 TempOnline SYS SYS ACT SYS PS -48V PS -48 PS2SYSPS ACT SYS PS -48V PS -48 PS2SYSPS Cisco 3700 SERIES Cisco 3700 SERIES Management Management Link 0 Link 0 DCE/DTE DCE/DTE Console Console Modem (DTE) Modem (DTE) Reset Reset PCMCIA PCMCIA Switch CPU Utilization Switch CPU Utilization TX RX Online TXRX Online TXRX TX RX Online Online SF PowerSupply 2 3 Fan 2 T e monline p 8690SF 2 3 PowerSupply Fan Master Master 2 T e monline p Management Management Link 0 Link 0 DCE/DTE DCE/DTE Console Console Modem (DTE) Modem (DTE) Reset Reset PCMCIA PCMCIA Switch Utilization CPU Switch CPU Utilization TXRX TX RX Online Online 8 TXRX TX RX Online Online SF PowerSupply TempOnline Master Fan 8690SF 2 3 PowerSupply Fan Master 2 TempOnline PBOT Index Vendor Interface Specification version:.0 9 APPENDIX C: Multicast Distribution Networks 9. Index Reporting Multicast Distribution (PBOT) Index Reporting Multicast Distribution (PBOT) PBOT_Pri_Feed Savvis_Pri PBOT_Sec _Feed Group Address Assignment Primary Data Sector Index Primary Retransmission and Playback (RAPS) Primary Test Group Group Address Assignment Secondary Data Sector Index Secondary Retransmission and Playback (RAPS) Secondary Test Group Philadelphia Stock Exchange Engineer: Dana 4/6/2005 PBOT Linthicum PBOT XL Proprietary Page 25 of 25