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All the certification and tests are limited to ICE and LME exchanges only. New exchanges and their supported Order Types will need to be certified with Fidessa.

Supported Message Types

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MultilegOrderCancelReplaceRequest (AC) 

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OrderCancelRequest (F)

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ExecutionAck (BN)

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Indicating DontKnow on a trade.

ExecutionAck message with ExecAckStatus = Rejected

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Reject on an OrderCancelReplaceRequest or OrderCancelRequest

Supported Order Types and TIF

The following Order Types are certified with Fidessa 

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Supported Order Types and Time in Force values on ICE and LME 

https://library.tradingtechnologies.com/user-setup/ice-supported-order-types.html

https://library.tradingtechnologies.com/user-setup/lme-supported-order-types.html

Testing in UAT:

Below are some notes to get started on testing in UAT up and running. The following products are available in UAT to test. 

Exchange symbols (Tag55).

ICE Europe

1. Brent Crude = BRN
2. GasOil = G
3. Robusta Coffee = RC
4. White Sugar = W
5. London Cocoa = C

ICE US

1. FCOJ = OJ
2. Cotton No.2 = CT

LME

1. AA = AAD
2. Silver = AGD
3. Aluminium = AHD
4. Gold = AUD
5. Copper = CAD
6. Lead = PBD
7. Nickel = NID
8. Zinc = ZSD

Additional Notes:

ICE

Website: https://www.theice.com/

Look up the products at the website to get the details of ExchangeSymbol(Logical Name) , MIC code, Contract Size, Current trading price, Maturity Date.

Example link of Brent Crude : https://www.theice.com/products/219/Brent-Crude-Futures/data?marketId=5049351

LME

Website: https://www.lme.com/

Look up the products on the website for details such as exchange symbol, mic code = XLME, , contract size, current trading price are available.

Link for Aluminium : https://www.lme.com/Metals/Non-ferrous/Aluminium#tabIndex=0

Sample SBE Messages:

New Order :

{ header={ name=NewOrderMultileg, templateId=(301) "NewOrderMultileg", schemaId=5, version=18320, msgSeqNum=5, sendingTime="20200326-07:56:34.533000000", encodedLength=28, blockLength=332, messageStart=1179469389, messageLength=609 } , body={ NewOrderMultileg.TradingFlags(43): { PossDupFlag=false, }, NewOrderMultileg.OrigSendingTime(122)="20200326-07:56:34.532000000", NewOrderMultileg.TransactTime(60)="20200326-07:56:34.532000000", NewOrderMultileg.OrderRequestID(2422)="", NewOrderMultileg.QuoteID(117)="", NewOrderMultileg.ClOrdID(11)="TEST_AB_1_524819", NewOrderMultileg.OrdType(40)=Limit, NewOrderMultileg.TimeInForce(59)=DAY, NewOrderMultileg.Symbol(55)="G", NewOrderMultileg.SecurityType(167)=FUT, NewOrderMultileg.SecurityGroup(1151)="", NewOrderMultileg.Price(44).mantissa=5335, NewOrderMultileg.Price(44).exponent=-1, NewOrderMultileg.RegulatoryBodies(20021): { SEF=false, EMIR=true, MiFID=true, SFTR=true, }, NewOrderMultileg.HasExtendedOrderFields(20005)=0, NewOrderMultileg.NoPartyIDs(453)=3, NewOrderMultileg.NoPartyIDs[0].PartyRole(452)=ExecutionVenue, NewOrderMultileg.NoPartyIDs[0].PartyID(448)="IFEU", NewOrderMultileg.NoPartyIDs[1].PartyRole(452)=OrderOriginationTrader, NewOrderMultileg.NoPartyIDs[1].PartyID(448)="TESTTRADER", NewOrderMultileg.NoPartyIDs[2].PartyRole(452)=OrderOriginationFirm, NewOrderMultileg.NoPartyIDs[2].PartyID(448)="WOCF", NewOrderMultileg.NoLegs(555)=1, NewOrderMultileg.NoLegs[0].LegSecurityType(609)=FUT, NewOrderMultileg.NoLegs[0].LegSide(624)=Buy, NewOrderMultileg.NoLegs[0].LegCurrency(556)="USD", NewOrderMultileg.NoLegs[0].LegPrice(566).mantissa=5335, NewOrderMultileg.NoLegs[0].LegPrice(566).exponent=-1, NewOrderMultileg.NoLegs[0].LegOrderQty(685).mantissa=2, NewOrderMultileg.NoLegs[0].LegOrderQty(685).exponent=0, NewOrderMultileg.NoLegs[0].LegSettlType(587)=YYYYMM, NewOrderMultileg.NoLegs[0].LegSettlDate(588)="20200801" (raw:18475), NewOrderMultileg.NoLegs[0].HasLegNDFFields(20010)=0, NewOrderMultileg.NoLegs[0].NoLegAllocs(670)=1, NewOrderMultileg.NoLegs[0].NoLegAllocs[0].LegAllocAccount(671)="1515", NewOrderMultileg.NoLegs[0].NoLegAllocs[0].LegIndividualAllocID(672)="0", NewOrderMultileg.NoLegs[0].NoLegAllocs[0].LegAllocQty(673).mantissa=2, NewOrderMultileg.NoLegs[0].NoLegAllocs[0].LegAllocQty(673).exponent=0, NewOrderMultileg.NoLegs[0].NoLegAllocs[0].NoAllocRegulatoryFields(20080)=0, NewOrderMultileg.NoLegs[0].NoLegAllocs[0].NoAllocPassthruFields(20070)=0, NewOrderMultileg.NoLegs[0].NoLegRegulatoryFields(20060)=0, NewOrderMultileg.NoLegs[0].NoLegPassthruFields(20050)=0, NewOrderMultileg.NoBodyRegulatoryFields(20040)=2, NewOrderMultileg.NoBodyRegulatoryFields[0].BodyRegulatoryKey(20041)=MiFIDExecutingDecisionMakerAsAlgorithm, NewOrderMultileg.NoBodyRegulatoryFields[0].BodyRegulatoryValue(20042)="test", NewOrderMultileg.NoBodyRegulatoryFields[1].BodyRegulatoryKey(20041)=MiFIDTradingCapacity, NewOrderMultileg.NoBodyRegulatoryFields[1].BodyRegulatoryValue(20042)="DEAL", NewOrderMultileg.NoBodyPassthruFields(20030)=1, NewOrderMultileg.NoBodyPassthruFields[0].BodyPassthruKey(20031)="PositionEffect", NewOrderMultileg.NoBodyPassthruFields[0].BodyPassthruValue(20032)="C", NewOrderMultileg.NoHops(627)=0, NewOrderMultileg. } }

Amend:

{ header={ name=MultilegOrderCancelRep
laceRequest, templateId=(302) "MultilegOrderCancelReplaceRequest", schemaId=5, version=18320, msgSeqNum=6, sendingTime="20200324-10:57:31.147000000", encodedLength=28, blockLength=268, messageStart=
1179469389, messageLength=454 } , body={ MultilegOrderCancelReplaceRequest.TradingFlags(43): { PossDupFlag=false, }, MultilegOrderCancelReplaceRequest.OrigSendingTime(122)="20200324-10:57:31.14600
0000", MultilegOrderCancelReplaceRequest.TransactTime(60)="20200324-10:57:31.146000000", MultilegOrderCancelReplaceRequest.ClOrdID(11)="TEST_G_32_129731", MultilegOrderCancelReplaceRequest.OrigClOrd
ID(41)="TEST_AB_32_71303", MultilegOrderCancelReplaceRequest.OrderID(37)="00000017479XONC1", MultilegOrderCancelReplaceRequest.OrdType(40)=StopLimit, MultilegOrderCancelReplaceRequest.TimeInForce(59
)=DAY, MultilegOrderCancelReplaceRequest.Symbol(55)="G", MultilegOrderCancelReplaceRequest.SecurityType(167)=FUT, MultilegOrderCancelReplaceRequest.Price(44).mantissa=5475, MultilegOrderCancelReplac
eRequest.Price(44).exponent=-1, MultilegOrderCancelReplaceRequest.RegulatoryBodies(20021): { SEF=false, EMIR=false, MiFID=false, SFTR=false, }, MultilegOrderCancelReplaceRequest.HasExtendedOrde
rFields(20005)=1, MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].EffectiveTime(168)="19700101-00:00:00.000000000", MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].ExpireTime
(126)="19700101-00:00:00.000000000", MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].ExposureDuration(1629)=NULL_UINT32, MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].StopP
x(99).mantissa=5475, MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].StopPx(99).exponent=-1, MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].MinQty(110).mantissa=NULL_INT64,
MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].MinQty(110).exponent=0, MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].MaxShow(210).mantissa=NULL_INT64, MultilegOrderCancelR
eplaceRequest.HasExtendedOrderFields[0].MaxShow(210).exponent=0, MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].DiscretionOffsetValue(389).mantissa=NULL_INT64, MultilegOrderCancelReplac
eRequest.HasExtendedOrderFields[0].DiscretionOffsetValue(389).exponent=0, MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].PegPriceType(1094)=, MultilegOrderCancelReplaceRequest.HasExtend
edOrderFields[0].PegOffsetValue(211).mantissa=NULL_INT64, MultilegOrderCancelReplaceRequest.HasExtendedOrderFields[0].PegOffsetValue(211).exponent=0, MultilegOrderCancelReplaceRequest.HasExtendedOrd
erFields[0].NoStrategyParameters(957)=0, MultilegOrderCancelReplaceRequest.NoPartyIDs(453)=3, MultilegOrderCancelReplaceRequest.NoPartyIDs[0].PartyRole(452)=ExecutionVenue, MultilegOrderCancelReplac
eRequest.NoPartyIDs[0].PartyID(448)="IFEU", MultilegOrderCancelReplaceRequest.NoPartyIDs[1].PartyRole(452)=OrderOriginationTrader, MultilegOrderCancelReplaceRequest.NoPartyIDs[1].PartyID(448)="TESTT
RADER", MultilegOrderCancelReplaceRequest.NoPartyIDs[2].PartyRole(452)=OrderOriginationFirm, MultilegOrderCancelReplaceRequest.NoPartyIDs[2].PartyID(448)="WOCF", MultilegOrderCancelReplaceRequest.No
Legs(555)=1, MultilegOrderCancelReplaceRequest.NoLegs[0].LegSecurityType(609)=, MultilegOrderCancelReplaceRequest.NoLegs[0].LegSide(624)=Buy, MultilegOrderCancelReplaceRequest.NoLegs[0].LegCurrency(
556)="", MultilegOrderCancelReplaceRequest.NoLegs[0].LegPrice(566).mantissa=5475, MultilegOrderCancelReplaceRequest.NoLegs[0].LegPrice(566).exponent=-1, MultilegOrderCancelReplaceRequest.NoLegs[0].L
egOrderQty(685).mantissa=2, MultilegOrderCancelReplaceRequest.NoLegs[0].LegOrderQty(685).exponent=0, MultilegOrderCancelReplaceRequest.NoLegs[0].LegSettlType(587)=YYYYMM, MultilegOrderCancelReplaceR
equest.NoLegs[0].LegSettlDate(588)="20200801" (raw:18475), MultilegOrderCancelReplaceRequest.NoLegs[0].HasLegNDFFields(20010)=0, MultilegOrderCancelReplaceRequest.NoLegs[0].NoLegRegulatoryFields(200
60)=0, MultilegOrderCancelReplaceRequest.NoLegs[0].NoLegPassthruFields(20050)=0, MultilegOrderCancelReplaceRequest.NoBodyRegulatoryFields(20040)=0, MultilegOrderCancelReplaceRequest.NoBodyPassthruFi
elds(20030)=1, MultilegOrderCancelReplaceRequest.NoBodyPassthruFields[0].BodyPassthruKey(20031)="PositionEffect", MultilegOrderCancelReplaceRequest.NoBodyPassthruFields[0].BodyPassthruValue(20032)="
C", MultilegOrderCancelReplaceRequest. } }

Cancel:

{ header={ name=OrderCancelRequest, te
mplateId=(303) "OrderCancelRequest", schemaId=5, version=18320, msgSeqNum=8, sendingTime="20200324-08:12:19.457000000", encodedLength=28, blockLength=248, messageStart=1179469389, messageLength=307
} , body={ OrderCancelRequest.TradingFlags(43): { PossDupFlag=false, }, OrderCancelRequest.OrigSendingTime(122)="20200324-08:12:19.457000000", OrderCancelRequest.TransactTime(60)="20200324-08:12:1
9.457000000", OrderCancelRequest.ClOrdID(11)="TEST_F_8_450296", OrderCancelRequest.OrigClOrdID(41)="TEST_AB_8_403812", OrderCancelRequest.OrderID(37)="00000017414XONC1", OrderCancelRequest.Symbol(55
)="G", OrderCancelRequest.NoPartyIDs(453)=3, OrderCancelRequest.NoPartyIDs[0].PartyRole(452)=ExecutionVenue, OrderCancelRequest.NoPartyIDs[0].PartyID(448)="IFEU", OrderCancelRequest.NoPartyIDs[1].Pa
rtyRole(452)=OrderOriginationTrader, OrderCancelRequest.NoPartyIDs[1].PartyID(448)="TESTTRADER", OrderCancelRequest.NoPartyIDs[2].PartyRole(452)=OrderOriginationFirm, OrderCancelRequest.NoPartyIDs[2
].PartyID(448)="WOCF", OrderCancelRequest. } }

ExecutionAck (DontKnow Trade):

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Workflow

CLOB Orders.

Supported Instruments

Please refer to Supported Instruments to view across all venues.

PartyIDs

Please refer to PartyIDs to view across all venues.

Regulatory Fields

Please refer to Regulatory Fields to view across all venues.

Passthru Fields

Please refer to Passthru Fields to view across all venues.

Details

Symbology

LME

The LME product contract code that represents metal or contract. The first 2 characters represent the Venue Product Code, The 3rd character represents the currency.

Example : 

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LME publishes Tradable Instrument File as per the  documentation https://www.lme.com/-/media/Files/About/Regulation/Mifid-ii/Tradeable-Instrument-File-(TIF)-Specification-v1,-d-,11.pdf. 

ICE

ICE Product Codes are available at https://www.theice.com/products - There is a CSV file that can be downloaded from this page by clicking the “Product codes” link in the top right corner.

ICE uses the “contract code” to construct the symbols. This contract codes can either be the “Physical Code” or the “Logical code”. Customers will need to check with the exchange to confirm the contract code used in static data for the product.

Examples:

• Contract Code for Brent Crude Futures (https://www.theice.com/products/219/Brent-Crude-Futures ) uses the Logical Code BRN as contract code.

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• Whereas Low-Sulphur-Gasoil-Futures (https://www.theice.com/products/34361119/Low-Sulphur-Gasoil-Futures) uses Physical Code G for contract code

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Further details of ICE Instrument name convention can be found here:

https://www.theice.com/publicdocs/technology/Instrument_Naming_Convention.pdf