Eurex trading interface
Eurex Trading Interface connects QUIK broker system to futures and options trading at Eurex (European Exchange).
- Information about instruments out of Eurex RDI (Reference Data Interface),
- Level I and II quotes and anonymous transaction data out of Eurex EMDI (Enhanced Market Data Interface),
- Forwarding/cancellation of orders and transmission of information on trades.
Connection to the Eurex trading system is established both for Market Data and transaction flows:
- Data connection utilizes network protocol UDP multicast and uses FIX/FAST messages to relay data from Eurex RDI and EurexEMDI to QUIK.
- The transaction connection is used to send/cancel orders and transmit transaction data. The transaction employs TCP and FIX network protocols.
Types of supported orders
- MARKET — immediately, at best price,
- LIMIT — when this becomes market price,
- Closing auction only — orders may be put throughout the day but they go live only at the closing auction,
- Good-till-date (GTD) — orders working till the specified date,
- Good-till-canceled (GTC) — orders working until they are cancelled,
- Immediate or Cancel (IOC) — orders with a condition of execution ‘cancel the rest’,
- Book or Cancel — ‘passive’ order which becomes a quote if not executed immediately (fully or partly),
- Persistent — order that ‘survives’ exchange glitches; it is saved on a hard disk of the trading system and is restored after a glitch,
- Non-Persistent — order that ‘does not survive’ exchange glitches; the order becomes cancelled in the event of a glitch.
Hardware and software requirements
Processor Intel Xeon E5504 or better.
2 GB RAM.
20 GB available hard disk space.
OS Windows 2008/2012 Server x64.
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