PLUS Markets Group plc

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X-stream Client API A walk through the SDK

PLUS Markets Group plc
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Outline

• SDK Navigation
• Overview
• Connection
• Messages
• Retrieving Data
• Performing Actions
• Quoting
• Trade Reporting

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SDK Navigation

• Home Page
• C Examples
• C Examples
• Installation Guide
• Memory Management
• Developers
• API Initialisation
• Connection
• Session Creation
• Login
• Table Download
• Transactions
• API Shutdown

• Business Queries
• Query Request
• QueryReqChoice
• Query Replies
• QueryRepChoice
• Business Transactions
• Transaction Request
• TransReqChoice
• Transaction Replies
• TransRepChoice
• Message Versioning
• Version numbers
• Aliases

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Overview
PLUS X-stream
Connection
ReplyOk/ReplyBad
Client Application
T
Q
Q
T
get_ref()
AmpMiFIDTradeReport
AmpSecBoardRep
AmpSecBoardRep
?
Session Object
?
Connect
AmpSecBoardRep
AmpSecBoardRep
AmpSecBoardReq

AmpSecBoardRep
AmpSecBoardRep
WORK
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Connection

• Initialise the API
• Instanciate Session object from the
  SessionFactory
• Configuration file supplied as parameter Server
  addresses, ports, system identifier, Timeouts,
  Quality of service settings
• Use a scoped pointer to automatically clean up
• Execute the logon method of the Session object
• Pass the userid and password as parameters
• Do Work
• Retrieve Data Business Queries
• Perform Actions Business Transactions
• Execute the logoff method of the Session object
• Finalise the API

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X-stream TSMR Discovery Timeouts
Servers
Preferred IP Address From Preferred Network From
Local Network Least Loaded ( of Max)
Choose
Socket
Connect Time
Client
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X-stream TSMR Timeouts
First Data Received
Receive
Receive Timeout
Packet Timeout
Character Timeout
Character Timeout
Character Timeout
Character Timeout
Character Timeout
Packet Complete
Start of Packet
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Messages

• Message Types
• Queries (Data presented using a Table metaphor)
  
• Transactions (Actions presented using request,
  reply)
• Synchronous
• Fill out message structure
• Send to server / process replies
• Blocking execution
• Asynchronous
• Implement Message Handler
• Register Message Handler
• Non-blocking execution
• Can implement a combined handler that does
  multiple messages

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Messages used Synchronously

• Queries
• QueryRequest object for instanciating specific
  Queries
• query method of the Session object to send to the
  server
• Iterator object to store the result of the query
  method
• QueryReply object to store the next replies
  (vector of rows)
• Transactions
• TransRequest object for instanciating specific
  Transactions
• transaction method of the Session object to send
  to the server
• TransReply object to store the result of the
  transaction method
• Check type of the TransReply for determining
  success/failure

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Messages used Asynchronously

• Logon Asynchronously
• Implement a Login subclass of Session_Handler
• Overload the function call operator (operator())
  with a function
• Checks the success of the login via
  Session_.status()-gtphase
• Implement a Logoff subclass of Session_Handler
• Overload the function call operator (operator())
  with a function
• Shuts down the Session
• Create a variable of type Session_Handler_Manager
• Use async_logon method of Session object using
  an instance of the previously defined
  Session_Handler subclass
• For error handling
• All overloading of function call operators
  (operator()) should include a polymorph that has
  an Exception as the parameter

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Messages used Asynchronously - Queries

• Implement subclass of Iteratorhandler_type
  object
• Overload the function call operator (operator())
  with a function
• Processes rows passed into this function in
  QueryRepSeq object
• Calls sendc_next on the iterator with this as
  parameter to the call
• Register a new instance of this class with the
  Session_Handler used for the asynchronous login
• Instanciate and initialise the QueryRequest to be
  downloaded
• Instanciate an Iterator from the result of a call
  to Session.query() with the QueryRequest as the
  parameter
• Call the sendc_next method of Iterator with the
  new Session_Handler instance created previously
• Overloaded function operator is called when new
  data arrives

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Messages used Asynchronously - Transactions

• Implement subclass of Session_Handler object
• Overload the function call operator (operator())
  with a function
• Processes result passed into this function in
  TransReply object
• Register a new instance of this class with the
  Session_Handler used for the asynchronous login
• Instanciate and initialise the TransRequest to be
  executed
• Instanciate a new instance of the Session_Handler
  subclass
• Call the async_transaction method of Session with
  the TransRequest and Session_Handler instances
• Overloaded function operator is called when the
  result to the transaction arrives.

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Retrieving Data Tables and Permissions

• Query messages can be thought of as Views on the
  underlying X-stream Tables
• Query Request message names are of the form
  AmpltViewgtReq
• Query Reply message names are of the form
  AmpltViewgtRep
• Each QueryReply message can be thought of as row
• Underlying Tables
• Do not map exactly to the Views presented in the
  API messages
• Views may be overlapping
• Permission Model
• Restricts which rows a given client can see
• Controls the content of specific fields within a
  given row

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Retrieving Data Data Model
SecClass
Debt, Index, Future, Option, IRD,
Strategy
Equity,
Firm
Exchange, Member, Issuer
Instr
Ordinary, Preference, etc
User
Security
FR12320094501
Quote/ Order
NegDeal
Trade
DE00001564765
UK00000112112
UK00001234511
ONGBP/UK00000112112
SecBoard
OFFGBP/UK00000112112
AmpBoardReq
OFFEUR/FR12320094501
AmpSecBoardReq
OFFEUR/DE00001564765
Order Book
AmpOrderMarketMaker
AmpOrderBookReq
AmpFirmReq
Board
ONGBP
AmpUserReq
OFFGBP
AmpNegDealReq
AmpMiFIDTraderReport
ONEUR
OFFEUR
AmpTradeReq
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Retrieving Data Message Structures

• An Iterator represents the flow of new and
  updated rows
• An QueryRepSeq is a set of specific QueryRep
  messages
• Each QueryRep message has 3 sections
• Key field(s) that identify the record uniquely
  within the Table
• AmpFirmRep.firmId
• Statics fields(s) received only once, they dont
  change intra-day
• AmpFirmRep.statics.firmName, AmpFirmRep.statics.fi
  rmType
• Dynamics fields(s) that change. Each Reply may
  have some or none of these fields defined.
• AmpFirmRep.dynamics.firmStatus
• Fields may in turn be a structure within the
  ASN.1 syntax
• Fields marked as OPTIONAL may or may not be
  present

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Performing Actions

• Transactions are atomic requests
• Focused on Business actions
• Create an order, Report a Trade, Enter a Market
  Maker Order
• May result in many updates across the system
• TransReply holds the result
• Mostly of type AmpReplyOK or AmpReplyBad
• Some have special reply types eg AmpMMReply for
  quotes
• Permission model
• Limits whether a given user can execute a given
  Transaction
• Limits the effect of a given Transaction on the
  basis of the executing user

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Quoting

• Use AmpOrderMarketMaker
• ordersList for a list of SecBoard
• Security (ISIN) and Board (implies currency)
• Buy Orders / Sell Orders For each side, a set
  of
• Price, Quantity (other fields exist but are less
  relevant here)
• Expiry Time
• newOrder should this set replace or add any
  already in the system
• receivedTimeLimit The order(s) will not be
  processed after this time
• Reply is of type AmpMMReply
• Overall Reply Code
• List of Reply Codes for specific messages in the
  original set.
• AmpOrderWithdraw can pull Quotes

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Trade Reporting

• Use AmpMiFIDTradeReport
• Specific fields documented in the API
  documentation
• Produces records in the NegDeal table
  (AmpNegDealRep)
• One for each side of the deal. Not important at
  this stage.
• Produces records in the Trade table
• Private details, own Trades only (AmpTradeRep)
• Public details, all trades public information
  (AmpMarketTradeRep)

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Plus Markets Group Standon House 21 Mansell
Street London E1 8AA t. 020 7553 2000 f. 020
7553 2004 www.plusmarketsgroup.com