FIX4.4 Certification for participants
v1.0.5
Order Routing Certification Guidelines
Document
Test Plan for FIX 4.4 v1.0.5 Certification for Participants
Author
BM&FBOVESPA
Contacts
To request copies of this document, please contact:
Márcio Augusto Castro
Director
E-mail: mcastro@bmf.com.br
Tel.: +55 11 3119-2383
Jochen Mielke
Coordinator
E-mail: jmielke@bmf.com.br
Tel: +55 11 3119-2075
Mario Palhares
Manager (BM&FBOVESPA Control Center)
E-mail: mrpalhares@bmf.com.br
Tel: +55 11 3119-2333
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Document
Test Plan for FIX 4.4 v1.0.5 Certification for Participants
Author
BM&FBOVESPA
Index
1.
PREFACE ......................................................................................................................................... A
2.
CLIENT CONTACT INFORMATION ..................................... ERROR! BOOKMARK NOT DEFINED.
3.
ENVIRONMENT.................................................................................................................................. 4
3.1. Network Configuration ....................................................................................................................... 5
4.
ACCEPTANCE CRITERIA ................................................................................................................. 4
5.
TEST SCENARIOS............................................................................................................................. 5
5.1.1.
Checklist ................................................................................................................................. 7
5.1.2.
Order Routing
7
5.1.3.
Parties Settings
8
5.1.4.
Give ups
14
5.1.5.
Performance
15
5.1.6.
Retransmission of Messages
16
5.1.7.
Updating Tick Sizes
17
5.1.8.
Globex Order Routing
Error! Bookmark not defined.
5.1.9.
CBOT Products – Fractional Prices
Error! Bookmark not defined.
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Order Routing Certification Guidelines
a.
Document
Test Plan for FIX 4.4 v1.0.5 Certification for Participants
Author
BM&FBOVESPA
Preface
This document describes a series of tests that qualify third-parties to connect to BM&FBOVESPA
for the specific purpose of requesting and receiving application level messages using the FIX
(Financial Information eXchange) 4.4 specification. The document outlining the certification
process for market data feed is available on the BM&FBOVESPA Website at
http://www.bmf.com.br/portal/pages/gts/certificacao.asp.
FIX is a technical specification for electronic communication of trade-related messages. In more
specific terms, the FIX Protocol is a series of message transmission specifications used in the
automated trading of securities, derivatives and other financial instruments. It is assumed that the
reader has full working knowledge of the FIX specification volumes I and II, which are available
on the FIX Website at http://www.fixprotocol.org/.
b.
Client contact information
Please fill in with the company/contact information.
Company name:
Project Manager name:
Project Manager e-mail:
Project Manager phone:
Test Manager name:
Test Manager e-mail
Test Manager phone:
VENDORS
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Test Plan for FIX 4.4 v1.0.5 Certification for Participants
Author
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c. Environment
3.1 Network configuration
The BM&FBOVESPA certification environment consists of a FIX gateway (optional) connected to
BM&FBOVESPA’s Certification FIX Gateway, which establishes an interface for receiving traderelated messages.
This interface is implemented using the FIX 4.4 specification.
BM&F offers network connectivity via VPN either through the Internet or the RCCF (Financial
Community Communication Network).
For Internet via VPN connections, the participant must contact BM&FBOVESPA by e-mail
(trading@bmf.com.br) and request a connection form, which must be completed and returned to
BM&FBOVESPA. BM&FBOVESPA will then provide the participant with a VPN user name and
password. The initial test procedure is a connection attempt to the certification server, IP
192.168.6.29, gateway 60100.
Once connected, the participant must forward the test results to BM&FBOVESPA, which will
automatically return a “CompID” and a password to access the certification environment
(TargetCompID:
FIXGatewayHOM).
For VPN RCCF connections, the participant must make an important decision: to use either the
RCCF (production) itself in the test and certification process, or an additional VPN for certification
and tests only. This decision relates to the necessary care that must be taken in order not to
interfere with the RCCF link used in the production environment.
Participants with an already active RCCF connection must contact BM&FBOVESPA by e-mail
(trading@bmf.com.br) and request a connection form, which must be completed and returned to
BM&FBOVESPA. BM&FBOVESPA will then monitor the connection test. The initial test
procedure is a connection attempt to the certification server, IP 115.255.0.40, gateway 60100.
Once connected, the participant must forward the test results to BM&FBOVESPA, which will
automatically return a “CompID” and a password to access the certification environment
(TargetCompID:
FIXGatewayHOM).
Participants without an active RCCF connection may request one by submitting a connection
form to BM&FBOVESPA, allowing 35 to 45 days for its activation.
The diagram on the next page provides a simplified illustration of the BM&FBOVESPA
certification environment connectivity
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Test Plan for FIX 4.4 v1.0.5 Certification for Participants
Author
BM&FBOVESPA
DMZ
PAPARTICIPANT
BM&FBOVESPA
RCCF
FIX Protocol
TCP/IP
BM&FBOVESPA
Site
FIX Protocol
TCP/IP
Trading Engine
Gateway DMZ
Gateway
(OPCIONAL)
VPN
Internet
BM&FBOVESPA
Gateway
Trading Engine #
FIREWALL
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Order Routing Certification Guidelines
4.
Document
Test Plan for FIX 4.4 v1.0.5 Certification for Participants
Author
BM&FBOVESPA
Acceptance criteria
Completion of the FIX 4.4 market data certification is considered as a pre-requisite for the
certification described herein. The related information is available on the BM&FBOVESPA
Website at www.bmf.com.br/novogts, under the “development kits” section.
The certification environment will be available during a two-week period, and the tests must
be scheduled in advance. All the test scenarios must be completed with a 100% success
rate. Some of the specific scenarios may not be available. In this case, the “N/A” option must
be selected under the test status column.
Test results must be monitored by the participant and forwarded to BM&FBOVESPA,
together with the guidelines, which must be signed by the responsible person. Application
logs and screenshots are regarded by BM&FBOVESPA as test evidences.
5.
Test scenarios
Test scenarios must be executed in sequence according to the message transmission order
used in the creation of trade scenarios. The values and quantities described in the following
certification scenarios, which apply to soybean, are presented for illustration purposes only.
The participant may choose any other instrument for certification purposes. All the scenarios
in blue color represent BM&FBOVESPA’s interaction steps, where no participant intervention
is required.
Pre-condition
FIX messages must follow the structure defined in the Bell FIX Spec (or later) document,
which is available on the BM&FBOVESPA Website at www.bmf.com.br/novogts, under the
development kits section.
5.1.1 Checklist
IMPORTANT: Message formation is extremely important for the verification of test results. To
this end, each message corresponds to a certain group of trade-relevant fields which must be
verified on a priority basis.
Trading
The test scenarios to be followed by the participant are listed on the following pages.
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Test number
Test title
5.1.2
Order Routing
5.1.2.1
Send – Day Limit Order (Sell)
Receive – Execution Report –Verify Order State – New (39=0).
(Quantity = 10)
(Price = 31.19)
Pass
Fail
N/A
5.1.2.2
Send – Modify quantity of Day Limit Order (Sell).
Receive – Execution Report – Verify Order State – Replaced (39=5).
(Quantity = 20)
(Price = 31.19)
Pass
Fail
N/A
5.1.2.3
Send – Cancel Day limit order (Sell)
Receive – Execution Report – Verify order State – Canceled (39=4)
(Quantity = 20)
(Price = 31.19)
Pass
Fail
N/A
5.1.2.4
Wait for BM&FBOVESPA to send a day limit order (Sell).
(Quantity = 14)
(Price = 31.13)
Pass
Fail
N/A
5.1.2.5
Send – Day limit order (Buy).
With Minimum quantity (tag 110) and partial fill
1ª Execution Report – Verify order State – New (39=0)
2ª Execution Report – Verify order State – Partially filled(39=1)
(Quantity = 20)
(Minimum quantity = 10)
(Price = 31.19)
Pass
Fail
N/A
5.1.2.6
Send – Cancel order with Minimum quantity
Receive – Execution Report (150=4)
(Quantity = 6)
(Minimum quantity = 10)
(Price = 31.19)
Pass
Fail
N/A
5.1.2.7
Send – Cancel inexistent order
Receive – Order Cancel Reject (102=1).
(Quantity = 13)
(Price = 35.00)
Pass
Fail
N/A
Send – Day limit order (Buy) with no fill
Receive – Execution Report (40=2;59=0; 39=0)
(Quantity = 40) (Price = 31.20)
Pass
Fail
N/A
Send – Modify Quantity of Day limit order for worse
Receive - Execution Report (150=5)
(Quantity = 15)
(Price = 31.20)
Pass
Fail
N/A
5.1.2.8
5.1.2.9
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Test Plan for FIX 4.4 v1.0.5 Certification for Participants
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5.1.2.10
Wait for BM&FBOVESPA to send a day limit order (Sell).
(Quantity = 10)
(Price = 31.21)
Pass
Fail
N/A
5.1.2.11
Send - Modify Price of the limit order for better (Sell).
With partial fill
Receive – Execution Report (150=5)
(Quantity = 15)
(Price = 31.21)
Pass
Fail
N/A
5.1.2.12
Send – Cancel remaining quantity after fill
Receive – Execution Report (150=4)
(Quantity = 5)
(Price = 31.20)
Pass
Fail
N/A
5.1.2.13
Wait for BM&FBOVESPA to send a day limit order (Sell).
(Quantity = 10)
(Price = 31.13)
Pass
Fail
N/A
5.1.2.14
Send – Day limit order (Buy) with fill
Receive – Execution Report (40=2;59=0; 39=2)
(Quantity = 10)
(Price = 31.13)
Pass
Fail
N/A
5.1.2.15
Send – Cancel filled buy order
Receive – Order Cancel Reject (102=0; 54=1; 48=...; 22=8; 55=...) and
(207=...optional)
(Quantity = 10)
(Price = 31.13)
Pass
Fail
N/A
5.1.2.16
Send – Day limit order (Buy) with the same ID as the order on step 5.1.2.14 (tag
11).
Receive – Execution Report with tag 103=6 – Duplicate Order (by ClOrdID)
Pass
Fail
N/A
5.1.2.17
Send – Day Stop Limit order (Buy) with no fill
Receive – Execution Report (40=4; 39=0; 636=N)
Check tag # 99 StopPx is present
(Quantity = 33)
(Price = 31.15)
(Stop = 31.14)
5.1.2.18
Send – Day Stop Limit order (Sell)
Receive – Execution Report (40=4;59=0; 39=0)
(Quantity = 28)
(Price = 31.11)
(Stop = 31.12)
Pass
Fail
N/A
5.1.2.19
Wait for BM&FBOVESPA to send a day limit order (Sell).
(Quantity = 12)
(Price = 31.15)
Pass
Fail
N/A
5.1.2.20
Send – Day limit order (Buy) with fill
Receive – Execution Report (40=2;59=0; 39=2)
(Quantity = 12)
(Price = 31.15)
Pass
Fail
N/A
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Pass
Fail
N/A
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Order Routing Certification Guidelines
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Test Plan for FIX 4.4 v1.0.5 Certification for Participants
Author
BM&FBOVESPA
5.1.2.21
Wait for BM&FBOVESPA to send a day limit order (Sell).
(Quantity = 33)
(Price = 31.14)
Pass
Fail
N/A
5.1.2.22
Send – Cancel stop order after complete fill
– (Rejected).
Receive – Execution Report (35=8; 54=1; 48=...; 22=8; 55=...) and (207=...optional)
(Quantity = 33)
(Price = 31.14)
Pass
Fail
N/A
5.1.2.23
Wait for BM&FBOVESPA to send a day limit order (Buy).
(Quantity = 12)
(Price = 31.12)
Pass
Fail
N/A
5.1.2.24
Send – Day limit order (Sell) with fill
Receive – Execution Report (40=2;59=0; 39=0)
(Quantity = 12)
(Price = 31.12)
Pass
Fail
N/A
5.1.2.25
Wait for BM&FBOVESPA to send a day limit order (Buy).
(Quantity = 13)
(Price = 31.11)
Pass
Fail
N/A
5.1.2.26
Send – Modify stop order after partial fill
Receive – Execution Report (150=5)
(Quantity = 20)
(Price = 31.12)
Pass
Fail
N/A
5.1.2.27
Send – Cancel stop order after partial fill
Receive – Execution Report (150=4)
(Quantity = 20)
(Price = 31.12)
Pass
Fail
N/A
5.1.2.28
Send – Day limit order (Buy) with no fill
with Disclosed quantity
Receive – Execution Report (40=2; 59=0; 39=0)
Verify tag 151 LeavesQty is present
(Quantity = 250)
(Disclosed quantity = 25)
(Price = 31.20)
3.1.2.29
Send - Modify Disclosed quantity of Limit order
Receive – Execution Report (150=5)
(Quantity = 250)
(Disclose quantity = 10)
(Price = 31.20)
Pass
Fail
N/A
5.1.2.30
Send – Cancel order with Disclosed quantity
Receive – Execution Report (150=4)
(Quantity = 250)
(Disclose quantity = 10)
(Price = 31.20)
Pass
Fail
N/A
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Pass
Fail
N/A
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Order Routing Certification Guidelines
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Test Plan for FIX 4.4 v1.0.5 Certification for Participants
Author
BM&FBOVESPA
5.1.2.31
Wait for BM&F to send a day limit order (Buy).
(Quantity = 22)
(Price = 31.20)
Pass
Fail
N/A
5.1.2.32
Send – Limit order with validity IOC (Sell) with fill
Receive – Execution Report (40=2; 59=3; 39=2; 150=F)
(Quantity = 17)
(Price = 31.19)
Pass
Fail
N/A
5.1.2.33
Send – Limit order FOK (Sell) with fill
Receive – Execution Report (40= 2; 59=4; 39=2; 150=F)
(Quantity = 5)
(Price = 31.20)
Pass
Fail
N/A
5.1.2.34
Wait for BM&F to send a day limit order (Sell).
(Quantity = 50)
(Price = 31.22)
Pass
Fail
N/A
5.1.2.35
Send – Limit order Fill or Kill (FOK) (Buy)
Receive – Execution Report (40=2; 59=4; 39=2)
(Quantity = 20)
(Price = 31.22)
Pass
Fail
N/A
5.1.2.36
Send – Day Partial market order with leftover (Buy)
with partial fill
Receive – Execution Report (40=K; 59=0; 39=2)
(Quantity = 5)
Pass
Fail
N/A
5.1.2.37
Send - Partial market order with leftover FOK (Buy)
Receive – Execution Report (40=k; 54=1; 59=3; 39=0)
(Quantity = 5)
Pass
Fail
N/A
5.1.2.38
Send - Partial market order with leftover FOK (Buy)
Receive – Execution Report (40=K; 59=4; 39=0)
(Quantity = 10)
Pass
Fail
N/A
5.1.2.39
Send - Day Partial market order with leftover (Buy)
Receive – Execution Report (40=2; 39=2)
(Quantity = 10)
Pass
Fail
N/A
5.1.2.40
Wait for BM&FBOVESPA to send a day limit order (Buy).
(Quantity = 100)
(Price = 31.15)
Pass
Fail
N/A
5.1.2.41
Send – Day Market Order with leftover (Sell)
with partial fill
Receive – Execution Report (40=K; 59=1; 39=2)
(Quantity = 65)
(Price = Market)
Pass
Fail
N/A
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5.1.2.42
Send – Partial Market with leftover IOC (Sell)l
Receive Execution Report (40=K; 59=3; 39=0)
(Quantity = 15)
(Price = Market)
Pass
Fail
N/A
5.1.2.43
Send – Partial market with leftover (Sell)
Receive – Execution Report (40=K; 59=0; 39=0)
(Quantity = 30)
(Price = Market)
Pass
Fail
N/A
5.1.2.44
Send – Modify remaining Quantity of the Partial market order for better (Sell)
Receive – Execution Report (150=5)
(Quantity = 20)
(Price = 31.15)
Pass
Fail
N/A
5.1.2.45
Send – Modify price of the remaining quantity of the Partial Market order for worse
(Sell)
Receive – Execution Report (150=5)
(Quantity = 20)
(Price = 31.16)
Pass
Fail
N/A
5.1.2.46
Wait for BM&FBOVESPA to send a day limit order (Buy).
(Quantity = 10)
(Price = 31.16)
Pass
Fail
N/A
5.1.2.47
Send – Partial Market Order (Buy) .
(Quantity = 5)
Receive − Execution Report (39=8 – Rejected and 103=11 − Unsupported order
characteristic
Pass
Fail
N/A
5.1.2.48
Send – Day limit order with Unknown symbol (tag 55 and 48)
Example: 55=ABCD and 48=ABCDEFG
Receive: Execution Report with tag 103=1 – Unknown symbol
Pass
Fail
N/A
5.1.2.49
Send – Day limit order (buy) with the following settings: (38=10; 44=31.18, 448=ABCD
and 452=36)
Receive – Execution Report with tag 103 (OrdRejReason) = 99 (Other)
Pass
Fail
N/A
5.1.2.50
Wait for BM&FBOVESPA to change instrument trading phase and receive Execution
Report with tag 150 = C (Expired) with the same ClOrdID (tag 11) as the order sent
in the previous step.
Pass
Fail
N/A
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5.1.3
Document
Test Plan for FIX 4.4 v1.0.5 Certification for Participants
Author
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Parties Settings
Send – Day Limit order (Sell) Having:
Entering Firm = Invalid Firm ID
5.1.3.1
Sender Location = BMF
Pass
Fail
N/A
Receiving Execution Report (39=8;150=8)
Send – Day Limit order (Buy) Having:
Entering Firm = Valid Firm ID
5.1.3.2
Sender Location = Invalid Characters (Numbers i.e.)
Pass
Fail
N/A
Receiving Execution Report (39=8;150=8)
Send – Day Limit order (Sell) Having:
Entering Firm = Invalid Firm ID
5.1.3.3
Sender Location = Invalid Characters (Numbers i.e.)
Pass
Fail
N/A
Receiving Execution Report (39=0;150=0)
Send – Day Limit order (Buy) Having:
Entering Firm = Invalid Firm ID
5.1.3.4
Sender Location = Invalid Characters (Numbers i.e.)
Entering Trader = Invalid Characters
Pass
Fail
N/A
Receiving Execution Report (39=8;150=8)
Send – Day Limit order (Sell) Having:
Entering Firm = Valid ID
5.1.3.5
Sender Location = Valid DMA
Pass
Fail
N/A
Receiving Execution Report (39=0;150=0)
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5.1.4
Document
Test Plan for FIX 4.4 v1.0.5 Certification for Participants
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Give ups
Send – Day Limit order (Sell) Having:
TradeAllocIndicator (826=1)
5.1.4.1
Sender Location = BMF
No Alloc Account is sent
Pass
Fail
N/A
Receiving Execution Report (39=0;150=0)
Send – Day Limit order (Sell) Having:
PartyRole 40 (Give up Identification)
5.1.4.2
Sender Location = BMF
No Alloc Account is sent
Pass
Fail
N/A
Receiving Execution Report (39=0;150=0)
Send – Day Limit order (Sell) Having:
TradeAllocIndicator (826=1)
5.1.4.3
Sender Location = Valid DMA
No Alloc Account is sent
Pass
Fail
N/A
Receiving Execution Report (39=8;150=8)
Send – Day Limit order (Sell) Having:
PartyRole 40 (Give up Identification)
5.1.4.4
Sender Location = Valid DMA
No Alloc Account is sent
Pass
Fail
N/A
Receiving Execution Report (39=0;150=0)
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5.1.5
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Test Plan for FIX 4.4 v1.0.5 Certification for Participants
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Performance
5.1.5.1
Send 1 order per second
Expected result: Display information correctly
Pass
Fail
N/A
5.1.5.2
Send 10 orders per second
Expected result: Display information correctly
Pass
Fail
N/A
5.1.5.3
Send 50 orders per second
Expected result: Display information correctly
Pass
Fail
N/A
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5.1.6
Document
Test Plan for FIX 4.4 v1.0.5 Certification for Participants
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Updating Tick Sizes
5.1.6.1
BM&FBOVESPA updates the tick size for the instrument to 0.05
Pass
Fail
N/A
5.1.6.2
Send – Day Limit Order (Sell)
Receive – Execution Report –Rejected (39=8).
(Quantity = 10)
(Price = 31.19)
Pass
Fail
N/A
5.1.6.3
Send – Day Limit Order (Sell)
Receive – Execution Report –Verify Order State – New (39=0).
(Quantity = 10)
(Price = 31.20)
Pass
Fail
N/A
5.1.6.4
BM&FBOVESPA updates back the tick size for the instrument to 0.01
Pass
Fail
N/A
5.1.6.5
Send – Day Limit Order (Sell)
Receive – Execution Report –Verify Order State – New (39=0).
(Quantity = 10)
(Price = 31.19)
Pass
Fail
N/A
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5.1.7
Document
Test Plan for FIX 4.4 v1.0.5 Certification for Participants
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Retransmission of Messages
5.1.7.1
Send – Day Limit Order (Sell)
Receive – Execution Report – New (39=0).
(Quantity = 10)
(Price = 31.19)
Pass
Fail
N/A
5.1.7.2
Send – Day Limit Order (Sell)
Receive – Execution Report – New (39=0).
(Quantity = 10)
(Price = 31.19)
Pass
Fail
N/A
5.1.7.3
Send – Day Limit Order (Sell)
Receive – Execution Report – New (39=0).
(Quantity = 10)
(Price = 31.19)
Pass
Fail
N/A
5.1.7.4
Disconnect from the exchange
Pass
Fail
N/A
5.1.7.5
Wait for BM&FBOVESPA to fill the orders
Pass
Fail
N/A
5.1.7.6
Log on the exchange with tag 141=N (Do not reset seq. numbers.)
Orders that were not sent, shouldn´t be sent to the exchange.
Pass
Fail
N/A
5.1.7.7
Execution Reports are retransmitted
Pass
Fail
N/A
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Please sign below to acknowledge that all the above information is true.
x___________________________________
Person responsible for the certification process (participant)
x___________________________________
IT Manager (participant)
x__________________________________
Person responsible for the certification process (BM&FBOVESPA)
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