TQ601 · TECHNICAL SPECIFICATION
Turquoise Equities
Guide to Certification
ISSUE 2.2 · 29 July 2013
Contents
1
2
3
4
5
Introduction ........................................................................................................ 6
1.1
Purpose ...................................................................................................... 6
1.2
Readership.................................................................................................. 6
1.3
Document Series......................................................................................... 6
1.4
Document History........................................................................................ 7
1.5
Contacts ...................................................................................................... 8
Certification Programme ..................................................................................... 9
2.1
Access to the Live Service .......................................................................... 9
2.2
Software Identification ................................................................................. 9
2.3
Certification Policy....................................................................................... 9
2.4
Certification passport ................................................................................ 10
2.5
Test Scenario Exception Policy ................................................................. 10
2.6
Re-certification Policy ................................................................................ 10
2.7
Non-Conformant Behaviour on the Live Service ........................................ 10
2.8
Test charges ............................................................................................. 10
Certification Process ........................................................................................ 11
3.1
Full Certification Test ................................................................................ 12
3.2
Self Certification Checklist ......................................................................... 14
Additional Mandatory Test Guidance................................................................ 15
4.1
Mandatory Own Trade Book Downloads ................................................... 15
4.2
Mandatory Replay and Recovery for All Market Data Interfaces ................ 15
4.3
Mandatory Testing for Sponsored Access Customers ............................... 15
Certification Test Scenarios.............................................................................. 16
5.1
Test Procedure ......................................................................................... 16
5.2
FIX and Native Trading ............................................................................. 17
5.2.1
5.3
Password Change .............................................................................. 17
Level-2 ITCH ............................................................................................. 18
5.3.1
ITCH Replay Request ........................................................................ 18
5.3.2
ITCH Snapshot for Instrument ............................................................ 19
5.3.3
ITCH Snapshot for Segment .............................................................. 20
5.4
Group Ticker Plant .................................................................................... 21
5.4.1
GTP – Replay Request ...................................................................... 21
5.4.2
GTP – Recovery Request .................................................................. 22
5.5
Continuous Trading / Order Management ................................................. 23
2
5.5.1
Establish Logon for Test Cycle ........................................................... 23
5.5.2
Auction – Limit Orders ........................................................................ 24
5.5.3
Auction – Market Orders .................................................................... 25
5.5.4
Auction – Market to Limit Order .......................................................... 26
5.5.5
Aggressive Market Orders and forcing Incoming Order Source .......... 27
5.5.6
Market Order ...................................................................................... 28
5.5.7
Limit PassiveOnly Order..................................................................... 29
5.5.8
Aggressive Limit Order ....................................................................... 30
5.5.9
Limit Passive Order ............................................................................ 31
5.5.10
Dark Pegged Order ............................................................................ 32
5.5.11
Stop Orders........................................................................................ 33
5.5.12
Stop Limit Order ................................................................................. 34
5.5.13
Mid-point Pegged Order ..................................................................... 35
5.5.14
Hidden Order ..................................................................................... 36
5.5.15
Iceberg Orders ................................................................................... 37
5.5.16
Randomized Iceberg Orders .............................................................. 38
5.5.17
Market order with Time in Force CPX................................................. 39
5.5.18
Limit order with Time in Force CPX .................................................... 39
5.5.19
Named Order ..................................................................................... 40
5.5.20
Order Modification .............................................................................. 41
5.5.21
Order Cancel...................................................................................... 42
5.5.22
Internal Cross Orders ......................................................................... 43
5.5.23
Internal BTF Orders ........................................................................... 44
5.5.24
Committed Cross Orders Deletion ...................................................... 45
5.5.25
Committed BTF Orders Deletion ........................................................ 46
5.5.26
Closing Price Publication Session ...................................................... 47
5.5.27
Enter Order in Closing Price Cross session........................................ 48
5.5.28
Price Modification in Closing Price Cross session .............................. 49
5.5.29
Orders Deletion in Closing Price Cross session ................................. 50
5.5.30
Cancel on Disconnect ........................................................................ 51
5.6
Specialist User Tests/Quote Management ................................................ 52
5.6.1
Establish a connection and Logon...................................................... 52
5.6.2
Named Orders ................................................................................... 53
5.6.3
New Executable Quote ...................................................................... 54
5.6.4
Modify Executable Quote ................................................................... 55
5.6.5
Cancel Executable Quote................................................................... 56
5.6.6
Executable Quotes GFA submission .................................................. 57
5.6.7
Single Side Quote .............................................................................. 58
5.6.8
Modify Executable Single Side Quotes............................................... 59
3
5.6.9
Cancel Executable Single Side Quotes .............................................. 60
5.6.10
Executable Single Side Quotes submission Time in Force GFA......... 61
5.6.11
Executable Single Side Quotes submission Time in Force OPG ........ 62
5.6.12
New Firm Quote (FIX Only) ................................................................ 63
5.6.13
Modify Firm Quote (FIX Only)............................................................. 64
5.6.14
Cancel Firm Quote (FIX Only) ............................................................ 65
5.7
Supervisor User Tests ............................................................................... 66
5.7.1
Establish a connection and Logon...................................................... 66
5.7.2
Mass Cancellation .............................................................................. 67
5.7.3
Orders Modification ............................................................................ 68
5.7.4
Orders Deletion .................................................................................. 69
5.8
Native Recovery ........................................................................................ 70
5.8.1
5.9
Requesting Missed Messages............................................................ 70
Post Trade Gateway Validation ................................................................. 72
5.9.1
Establish Logon for Test Cycle ........................................................... 72
5.9.2
Own Trade Book Download ............................................................... 73
5.9.3
Trade Reporting ................................................................................. 74
5.9.4
Cancel Trade Report .......................................................................... 75
5.9.5
Pre-Release Trade Report ................................................................. 76
5.10
Drop Copy Gateway Validation ................................................................. 77
5.10.1
Establish Logon for Test Cycle ........................................................... 77
5.10.2
Own Order Book Download ................................................................ 78
5.11
On Behalf of Actions Native & FIX Trading Gateways ............................... 79
5.11.1
Cancel Client’s Order ......................................................................... 79
5.11.2
Cancel Client’s Quote ........................................................................ 80
5.11.3
Cancel Client’s Trade ......................................................................... 81
5.11.4
Committed Cross Orders.................................................................... 83
5.11.5
Committed BTF Orders ...................................................................... 84
5.12
All Gateways ............................................................................................. 85
5.12.1
5.13
Error Handling .................................................................................... 85
FIX Session Level Testing ......................................................................... 86
5.13.1
Heartbeat Exchange .......................................................................... 86
5.13.2
Sequence Reset ................................................................................ 87
5.13.3
Sequence Reset at Logon .................................................................. 88
5.13.4
Resend Request ................................................................................ 89
4
Disclaimer
The London Stock Exchange Group has taken reasonable efforts to ensure that the
information contained in this publication is correct at the time of going to press, but
shall not be liable for decisions made in reliance on it. The London Stock Exchange
Group will endeavour to provide notice to customers of changes being made to this
document, but this notice cannot always be guaranteed. Therefore, please note that
this publication may be updated at any time. The information contained is therefore
for guidance only.
5
1 Introduction
1.1 Purpose
The purpose of this document is to provide customers with a detailed overview of the
Certification service.
The London Stock Exchange Group restricts access to its Live Services to software
applications that have not completed the software certification process. The Live
Services are all Trading and Information Services on an eligible LSEG Venue. The
eligible venues are currently London Stock Exchange, Borsa Italiana and Turquoise.
1.2 Readership
This document is particularly relevant to software developers, system testers and
anyone else involved in developing a software application for use on any of the Live
Services.
This document should be read in conjunction with London Stock Exchange Group
Millennium Technical Specifications and the product specific ‘Guide to Testing
Services’ documents. Together, these documents provide all of the relevant
information that customers require to develop and certify to the services.
1.3 Document Series
This document is part of a series of Customer Testing documents that are available
to customers. The other documents are:
MIT501 Guide to Testing Services (London Stock Exchange and Turquoise)
TQ602 Certification Test Report
6
1.4 Document History
This document has been through the following iterations:
Issue
Date
Description
1.0
20 July 2010
First issue of this document published.
1.1
9 August 2010
1.2
17 August 2010
1.3
01 September 2010
Fourth issue of this document published.
1.4
21 September 2010
Inclusion of tam@tradeturquoise.com email address.
1.5
14 November 2011
Added trade cancel cycle.
1.6
13 April 2012
Separated MTF-037 (Order Cancel) and MTF-038
(Trade Cancel)
1.7
3 October 2012
Added CDS Test Environment Trading Hours
1.8
1 February 2013
Updated contact details and LCON policy
1.9
12 February 2013
Updated test cases and improved layout.
2.0
14 June 2013
Updated Annual Certification Policy
2.1
16 July 2013
Updated test case IDs
2.2
29 July 2013
Updated Certification Passport
Second issue published with test MTF-000 (Initial
Password Change) included
MTF-000; removed requirement to change password
for ITCH gateway
In subsequent issues, where amendments have been made to the previous version,
these changes will be identified using a series of side bars as illustrated opposite.
7
1.5 Contacts
All customers who are developing software for use in the Live Service are allocated a
Technical Account Manager (TAM). The TAM/Service Desk is available to provide
support during the software development; testing and certification process. If you do
not know who your TAM is and need assistance please contact the following team:
London Stock Exchange and Turquoise
Technical Account Management
Telephone: +44 (0)20 7797 3939
Email: londontam@londonstockexchange.com
All information requested by a tester during the certification process should be
emailed to the following address:
MarketAccess@londonstockexchange.com
Borsa Italiana
Client Technology Services (ITA) and Service Desk
Free Toll Number: 008 00 26772 000
Email: service-desk@borsaitaliana.it
clients-services@borsaitaliana.it
8
2 Certification Programme
The Certification Programme is based on regulatory compliance supporting
interoperability against the three eligible London Stock Exchange Group (LSEG)
venues.
The following Certification Programme applies to anyone connecting a software
application to an LSEG Live Service. A Live service is any production Trading or
Information Services environment across LSEG.
Under EU and national regulatory requirements (including the ESMA Guidelines on
Systems and Controls in a Highly Automated Trading Environment) the eligible LSEG
venues are required to have procedures and arrangements to ensure fair and orderly
trading. This includes requirements for physical and electronic security to protect
systems from misuse or unauthorised access and to ensure the integrity of the data
that is part of or passes through the systems. The eligible venues are required to
undertake standardised certification testing to ensure that members and participants
systems used to access the venues have a minimum level of functionality that is
compatible with fair and orderly trading on those venues.
Customer non-compliance with this certification programme may constitute a breach
of the eligible venue terms and conditions or rules.
2.1 Access to the Live Service
Access to the LSEG Live Services is permitted only when a customer’s software
application has been certified as being fit for purpose.
2.2 Software Identification
All customer software must be identifiable by a software name and version number.
Software applications that do not have both a name and version number will not be
certified. Certification is limited to a single version of the named software.
2.3 Certification Policy
Customers are required to certify twice per year per venue. Software certification
remains valid for twelve months from the date of the second certification test.
Full details can be found in Section 3
9
2.4 Certification passport
Customers that have successfully completed the full certification process on an
eligible LSEG venue are allowed to connect their software to any other eligible LSEG
venues, under the following conditions:
 The software name and version number are the same on each venue.

The functionality that will be used was tested as part of the Full Certification
test.

The customer completes and returns a certification test report for each
additional venue.
Please note that Native software is not currently eligible for certification passporting.
2.5 Test Scenario Exception Policy
Customers only need to complete the test cases relating to the functionality that they
will use on the Live Services. If a customer’s application does not support the
functionality described in a particular test scenario and they do not intend to complete
the scenario during the test, this must be agreed before the start of the certification
test.
2.6 Re-certification Policy
Customers are required to re-certify their applications under the following conditions:
 The customer modifies the software in any way that directly impacts LSEG
interfaces. This includes but is not limited to updates to Gateways, Order
Management, Execution Management and Quote Management Software.

The Exchange upgrades its production environment to a later version of
software

The software certification period has expired

The customer is requested to re-certify their application by the relevant venue
2.7 Non-Conformant Behaviour on the Live Service
Any non-conformant behaviour by a customer’s software application on the Live
Services may lead to the software application being disconnected and not reconnected until it has been re-certified and the non-conformant behaviour corrected.
2.8 Test charges
The published venue specific Certification charges apply to all certification testing
regardless of the test being assisted or not.
10
3 Certification Process
The Certification Process is an integral part of the Certification Programme
Mandatory testing will be required for all applications that wish to connect to the
production environment and mandatory functions will need to be tested in order to
confirm conformant behaviour.
Customers should consider their software application’s ‘production ready’ before
attempting the test. Customers should also read and familiarise themselves with this
document and the Market and Product Specific Testing documents. These
documents contain important guidance that must be read before completing the
certification process. When ready to take the test, customers should complete the
following steps:


Customers should contact
o their TAM for London Markets
o the Service Desk for Milan Markets
to provide the software name and version, a brief description of the
application and the gateways that it will connect to
The TAM / Service Desk will then confirm whether a Full Certification Test or
a Self Certification Checklist is required and forward the relevant Certification
Test Report to the customer
11
3.1 Full Certification Test
Before Taking the Test
The Market Access team for London markets and the Service Desk team for Milan
markets will be available to assist participants in completing part of their certification
test by performing both mandatory and optional functions.
Customers must identify the venue and the test scenarios supported by their
application, by ticking the relevant boxes on the Certification Test Report
The report form must then be sent to:
-
marketaccess@londonstockexchange.com for London markets
service-desk@borsaitaliana.it for Milan markets.
This is a formal record of the software application that is being certified
Customers should save a copy of the test report as they will be required to use it
during the test to record their test results.
During the Test
Customers should complete the full set of uncoordinated test cycles described in
Section 5 and inform the relevant venue of the LSEG when this has been completed.
If required Borsa Italiana can provide some limited support during this phase.
Customers should record the test results on TQ602 Certification Test Report using
the test procedure shown at the start of section 5. Customers are required to
complete all test scenarios previously marked on the Certification Test Report. If a
customer does not complete a pre-agreed test scenario, the test will fail.
When all of the uncoordinated test scenarios have been completed, the customer
must then complete a set of coordinated test scenarios, assisted by a tester.
The customer can repeat this part as many times as necessary, however additional
test sessions may have to be booked if the testing exceeds two hours.
When all test scenarios have been completed, the customer should email the
completed Certification Test Report to the tester. The email should be addressed
- marketaccess@londonstockexchange.com for London markets,
- service-desk@borsaitaliana.it for Milan markets.
12
After the Test
After the test the tester will check the details on the completed Certification Test
Report and review the log files for the completed test scenarios. A report is
generated detailing how the customer’s application has performed during the test. If
no re-testing is required, he report will be sent to the customer to sign off the
application as fit for purpose and ready for access to the Live Services
The following items are checked:



The functional behaviour and message sequencing in each scenario
If the session was maintained for the entire period or if it dropped
If any errors were produced over the time period
If multiple interfaces were included in the test, the results are concatenated into a
single report.
The report will be run specifying a time ranged limited to a single day.
If the customer is required to repeat any of the testing they should do so within 24
hours of the original test.
13
3.2 Self Certification Checklist
Before Taking the Test
Customers must identify the test scenarios supported by their application, by ticking
the relevant boxes on the Certification Test Report.
Customers should save a copy of the test report as they will be required to use it
during the test to record their test results.
During the Test
Customers are required to complete all test scenarios previously marked on the
Certification Test Report. If a customer does not complete a pre-agreed test
scenario, the test will fail.
Customers should record the test results on TQ602 Certification Test Report using
the test procedure shown at the start of section 5.
After the Test
After the test the customer will need to sign the report to confirm the test was
performed and the application is fit for purpose and ready for production access. The
report will need to be sent to
- marketaccess@londonstockexchange.com for London markets,
- service-desk@borsaitaliana.it for Milan markets.
By returning the signed copy of the Certification Test Report Certification
Checklist, the customer is confirming that their application is fully conformant
to all aspects of the Millennium Technical Specifications and technically
behaves as described in the guidance given in both this document and the
guide to testing.
14
4 Additional Mandatory Test
Guidance
4.1 Mandatory Own Trade Book Downloads
All Trading customers are required to develop to and certify that their application can
use the Own Trade Book Download service on the Post Trade Gateway. This is
mandatory for all trading applications. This functionality enables firms to be able to
recover in the event of a site failure at the London Stock Exchange or Customer Site
without the need to request trade details from the Exchange.
4.2 Mandatory Replay and Recovery for All Market Data
Interfaces
The use of both the Replay and Recovery channels is mandatory for all customers on
all Market Data Gateways. Customers are required to confirm that their software
applications can use both of these services. A Market Data Failover and Recovery
Service is available on the Customer Development Service.
The level of the request (segment, channel or instrument) or the type of request
(snapshot for order books, statistics or other) is not mandated but should mirror how
the application will work in the production environment.
Note: Request limits are applied to both the Replay and Recovery services, limiting
the number of recovery actions a customer can perform in a day.
4.3 Mandatory Testing for Sponsored Access Customers
Sponsored Access Customers will have additional mandatory testing requirements
for Sponsored Access Users (Native Gateway) and Firms (Drop Copy Gateway).
Details of this can be found in document MIT701
15
5 Certification Test Scenarios
5.1 Test Procedure
Before proceeding with the certification test, customers must identify which scenarios
are applicable and mark these on the Test Report.
Customers must perform all of the steps in each of the test scenarios and record the
results in the relevant sections of the Test Report.
When documenting the test results, customers should include all information as
requested in each of the steps, such as Order IDs, QuoteMsg IDs and Security IDs.
If the result does not match the expected result, the customer should still record it in
the relevant section of the certification test report and in the comments section
including the following:




Order IDs/ QuoteMsg IDs (if any)
Security ID
Time of the order/quote/operation submission/execution
Any information which may be helpful in troubleshooting the error
Unless a log off or disconnect request is specified in the test case the customer
should complete all test cases without logging off or disconnecting. If there are any
unexpected log offs or disconnects, these should be documented in the comments
section of the certification test report.
Note
All test scenarios marked as mandatory must be completed unless an exception has
been granted by the TAM
Gateway connections and User IDs should be checked at least 2 working days
before planned execution date
16
5.2 FIX and Native Trading
5.2.1
Password Change
Type:
FIX/Native Gateways
ID #: MIT-001
Description:
Log on to the FIX / Native gateway(s) and change the logon password from the
system default.
Comments:
This test must be performed using each of the protocols intended to be used by the
customer (Native and/or FIX).
Prerequisites
None.
#
Test Steps
Expected Results
1.
Establish a connection and Logon to
Successful Logon, with current default
the relevant gateway(s).
password and a valid new password
specified.
In your logon message, specify a new
password of at least eight characters
in length including one integer.
2.
(please provide details of CompID(s)
and gateway(s) tested in the
comments section of the Certification
report.)
Logout and Disconnect.
3.
Logon using the new password.
Logout message sent by client and
connection terminated.
Successful Logon, using the new
password specified in step 1.
17
5.3 Level-2 ITCH
5.3.1
ITCH Replay Request
Type:
ITCH Replay
ID #: MIT-002
Description:
Logon and send Replay Request to request the retransmission of a small range of
messages already published on the multicast channel.
Comments:
The Replay Request must be sent within 5 seconds of establishing a connection.
The retransmission request will be sent from the server’s cache of the last 65,000
messages published on the multicast channel
Prerequisites
None.
#
Test Steps
Expected Results
1.
Establish a connection and Logon to
Successful Logon.
the Replay Service
2.
3.
(please choose any one channel to
connect to and provide details in the
comments section of the Certification
report.)
Send a Replay Request message
Provide the “market data group”, “First
Message” and “count” field details in
the Certification report.
Logout and Disconnect with in 5
seconds of the transmission of the
last missed message.
Receive a successful Replay
Response to the request.
Receive requested messages.
Logout message sent by client and
connection terminated.
If this is not done within 5 seconds,
the server will terminate the client
session.
18
5.3.2
ITCH Snapshot for Instrument
Type:
ITCH Recovery
ID #: MIT-003
Description:
Logon and request a Snapshot of the current order book for a particular instrument.
Comments:
If there is no activity for 5 seconds the server will send a Logout message and disconnect
the client connection.
Prerequisites
None.
#
Test Steps
1.
Establish a connection and send a Login
Request to the Recovery Service
2.
(please choose any one channel to
connect to and provide details in the
comments section of the Certification
report.)
Send a Snapshot Request for the current
order book for an instrument.
Provide the “sequence number” and
“instrument ID” field details in the
Certification Report.
Expected Results
Successful Login Response.
Receive:
A Snapshot Response to indicate
whether a Snapshot Request for an
Instrument is accepted.
A Snapshot of the current book for both
the order and quote books (if any) for the
requested instrument via a series of Add
Order and Add Attributed Order
messages (one book at a time).
A Snapshot Complete message once the
details for all active orders for the
instrument’s order book are disseminated
(one message for the order book and one
for the quote book (if applicable).)
19
5.3.3
ITCH Snapshot for Segment
Type:
ITCH Recovery
ID #: MIT-004
Description: Request a snapshot of the current order book for all instruments in a
specified segment.
Comments:
If there is no activity for 5 seconds or the client does not terminate the connection within 5
seconds of the transmission of the last application message, the server will send a Logout
message.
Prerequisites:
Already logged on from previous Test Case
#
Test Steps
Send a Snapshot Request for the current
1.
order book for a segment.
Provide the “segment” and “instrument
ID” field details in the Certification report.
Expected Results
Receive:
A Snapshot Response to indicate
whether a Snapshot Request for a
segment is accepted.
A Snapshot of the current book for both
the order and quote books (if any) for all
instruments in the requested segment via
series of Add Order and Add Attributed
Order messages. (one instrument at a
time)
A Snapshot Complete message:
Once the details of all active orders for a
particular instrument’s order book are
disseminated.
2.
Logout and Disconnect with in 5 seconds
of the transmission of the last missed
message.
20
A Snapshot Complete message once the
details of all active orders for all
instruments in the requested segment are
disseminated.
Logout message sent by client and
connection terminated.
If this is not done within 5 seconds, the
server will terminate the client session.
5.4 Group Ticker Plant
5.4.1
GTP – Replay Request
Type:
GTP Replay
ID #: MIT-005
Description:
Logon and send a Replay Request
Comments:
Prerequisites
None.
#
Test Steps
1.
Establish a connection and Logon to the
Replay Service
2.
(please choose any one channel to
connect to and provide details in the
comments section of the Certification
report.)
Send an Replay request
Expected Results
Successful Logon.
Receive a successful Replay Response.
Provide First Message, Count & Request
ID in the Certification report.
Receive requested messages.
Receive Replay & Recovery complete
message to indicate completion of
retransmission.
User will be disconnected after 5 seconds
of inactivity
21
5.4.2
GTP – Recovery Request
Type:
GTP Recovery
ID #: MIT-006
Description:
Logon and send a Recovery Request
Comments:
Prerequisites:
None.
#
Test Steps
Establish a connection and Logon to the

Recovery Service

(please choose any one channel to
connect to and provide details in the
comments section of the Certification
report.)
Send an Recovery request
Expected Results
Successful Logon.
Receive a successful Recovery
Response.
Provide Request level,instrument
group/Segment(Group ID)/Multicast
Channel,Recovery Type & request ID in
the Certification report.
Receive requested messages.
Receive Replay & Recovery complete
message to indicate completion of
request.
User will be disconnected after 5 seconds
of inactivity
22
5.5 Continuous Trading / Order Management
5.5.1
Establish Logon for Test Cycle
Type:
FIX/Native Gateways
ID #: MIT-007
Description:
Establish a connection and Logon.
Comments:
Prerequisites:
None.
#
1.
Test Steps
Establish a connection and Logon.
Expected Results
Successful Logon.
This session must remain logged on for
the duration of the certification test unless
LSEG has instructed the customer to
logout.
23
5.5.2
Auction – Limit Orders
Type:
FIX/Native Gateways
ID #: MIT-008
Description:
Validate Limit orders during Opening/Closing Auction.
Comments:
Prerequisites:
This test needs to be executed during Opening or Closing Auction session.
Already logged on from previous Test Case
Alternatively, contact LSEG and request a stock to be manually moved into an Opening or
Closing Auction session.
#
1.
Test Steps
Enter an aggressive Limit order.
Expected Results
The order goes on to the order book and
is executed at uncrossing.
(Assuming there is a match for this order
in the order book. If there is no match for
the order in the order book, please create
a matching order.)
Please provide Order ID(s) and Client
Order ID in the Certification Report.
24
Receive Execution Report for a fill or
partial fill
5.5.3
Auction – Market Orders
Type:
FIX/Native Gateways
ID #: MIT-009
Description:
Validate Market (un-priced) orders during Opening/Closing Auction.
Comments:
Prerequisites:
This test needs to be executed during Opening or Closing Auction session.
Already logged on from previous Test Case
Alternatively, contact LSEG and request a stock to be manually moved into an Opening or
Closing Auction session.
#
1.
Test Steps
Enter a Market Order.
Expected Results
The order goes on to the order book and
is executed at uncrossing.
(Assuming there is a match for this order
in the order book. If there is no match for
the order in the order book, please create
a matching order.)
Please provide Order ID(s) and Client
Order ID in the Certification Report.
25
Receive Execution Report for a fill or
partial fill
5.5.4
Auction – Market to Limit Order
Type:
FIX/Native Gateways
ID #: MIT-010
Description:
Validate Market to Limit Orders.
Comments:
Prerequisites:
This test needs to be executed during Opening Auction. (Only in case of problem it could be
executed in Closing or Volatility Auction session).
Already logged on from previous Test Case.
#
1.
Test Steps
Enter a Market to Limit order.
(Assuming there are matching orders for
this order on the order book. If there are
no matching orders on the order book,
please create these.)
Expected Results
The order goes on to the order book and
is executed at the best price at
uncrossing. Any remainder will be
converted to a limit order at the last
traded price.
Receive Execution Report
Please provide Order ID(s) and Client
Order ID in the Certification Report.
26
5.5.5
Aggressive Market Orders and forcing Incoming Order Source
Type:
FIX/Native Gateways
ID #: MIT-011
Description:
Validate Aggressive Market Orders during Continuous Trading.
Note this is one un priced order.
Comments:
Prerequisites:
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
#
1.
Test Steps
Enter an Aggressive Market order (IOC
or FOK) and force the Incoming Order
Source.
(Assuming there are matching orders for
this order on the order book. If there are
no matching orders on the order book,
please create these.)
Please provide Order ID(s) and Client
Order ID in the Certification Report.
27
Expected Results
The order is executed.
Receive Execution Report
5.5.6
Market Order
Type:
FIX/Native Gateways
ID #: MIT-012
Description:
Validate Aggressive Market orders during Continuous Trading.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
2.
Enter an Aggressive Market order
The order is executed.
(OrderType=1).
(Assuming there are matching orders for
this order on the order book. If there are
no matching orders on the order book,
please create these.)
Receive Execution Report
Please provide Order ID(s) and Client
Order ID in the Certification Report.
3.
Enter another Aggressive Market Order
that matches against multiple resting
orders
Please provide Order ID(s) and Client
Order ID in the Certification Report.
28
The order trades resulting in multiple
execution fills.
5.5.7
Limit PassiveOnly Order
Type:
FIX/Native Gateways
ID #: MIT-013
Description:
Validate Limit “PassiveOnlyOrder” during Continuous Trading.
Comments:
This is an Order level parameter that allows clients to require that their order must rest prior
to execution, with flexibility for visible orders to rest at a specified price level on the
orderbook.
NOTE: Setting PassiveOnlyOrder to values other than 0 or “null” may still result in the order
aggressively matching against hidden orders resting on the order book.
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
1.
Test Steps
Enter a Day Limit order with the
“PassiveOnlyOrder” field populated with
any of the defined values other than “0”
or “Null”.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
2.
Expected Results
The order is accepted and goes on to the
order book only if the field value
conditions are met otherwise the order is
rejected.
Receive Execution Report with
OrderStatus = 0 (New)
Obtain the current sell price of a stock.
Sell Price of test stock obtained
If there are no sell orders resting on the
order book please enter a resting sell
order
3.
Enter another order with the
“PassiveOnlyOrder” field set to 1, and set
the bid price above the sell price obtained
in step 2
Please provide Order ID(s) and Client
Order ID in the Certification Report.
29
Receive Execution Report with
OrderStatus = 6 (Expired) with error
code “Order would execute with visible
order on Aggression”
5.5.8
Aggressive Limit Order
Type:
FIX/Native Gateways
ID #: MIT-014
Description:
Validate Aggressive Limit orders during Continuous Trading.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
1.
Enter an Aggressive Limit order.
The order is immediately executed
without resting.
(Assuming there are matching orders for
this order in the order book. If there are
Receive Execution Report
no matching orders in the order book,
please create them.)
Please provide Order ID(s) and Client
Order ID in the Certification Report.
30
5.5.9
Limit Passive Order
Type:
FIX/Native Gateways
ID #: MIT-015
Description:
Validate Passive Limit orders during Continuous Trading.
Comments:
Note: This test verifies entering a passive order without using the “PassiveOnlyOrder” field.
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
1.
Test Steps
Enter an ordinary Passive Limit order.
Expected Results
The order goes on to the order book and
rests
The PassiveOnlyOrder” field must be set
to “0” or “Null”
(Assuming there are matching orders for
this order in the order book. If there are
no matching orders in the order book,
please create them.)
Please provide Order ID(s) and Client
Order ID in the Certification Report.
31
Receive Execution Report
5.5.10 Dark Pegged Order
Type:
FIX/Native Gateways
ID #: MIT-016
Description:
(i)
Validate Dark Mid Price Pegged orders during Periodic Uncrossing (Dark
Midpoint orderbook specified via RoutingInst/TargetBook).
(ii)
Validate Dark Mid Price Pegged orders during Continuous Trading (Dark
Midpoint orderbook specified via RoutingInst/TargetBook).
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case MTF-008.
#
Test Steps
Expected Results
1.
Enter a Pegged order.
The order is successfully submitted and
gets a valid order status. It is either
Please provide Order ID(s) and Client
parked or executed as a dark midpoint
Order ID in the certification exception
order pegged to the PBBO marketplace.
report.
Receive execution report
32
5.5.11 Stop Orders
Type:
FIX/Native Gateways
ID #: MIT-017
Description:
Validate Stop Orders.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
#
Test Steps
Expected Results
1.
Enter a Stop Order.
The order is executed.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
Receive Execution Report
(Assuming there are matching orders for
this order in the order book. If there are
no matching orders in the order book,
please create them.)
33
5.5.12 Stop Limit Order
Type:
FIX/Native Gateways
ID #: MIT-018
Description:
Validate Stop Limit orders during Continuous Trading.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
2.
Enter a Stop Limit order.
The order is successfully submitted and
gets a valid order status. Order resides
Please provide Order ID(s) and Client
on the order book or is executed.
Order ID in the Certification Report.
Receive Execution Report
34
5.5.13 Mid-point Pegged Order
Type:
FIX/Native Gateways
ID #: MIT-019
Description:
Validate Mid Price Pegged orders during Continuous Trading.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
2.
Enter a Pegged order.
The order is successfully submitted and
gets a valid order status. It is either
Please provide Order ID(s) and Client
parked or executed.
Order ID in the Certification Report.
Receive Execution Report
35
5.5.14 Hidden Order
Type:
FIX/Native Gateways
ID #: MIT-020
Description:
Validate Hidden orders during Continuous Trading.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
1.
Enter a Hidden order.
The order is successfully submitted and
gets a valid order status. This is either
Please provide Order ID(s) and Client
executed or resides on the order book
Order ID in the Certification Report.
(undisclosed).
Receive Execution Report
36
5.5.15 Iceberg Orders
Type:
FIX/Native Gateways
ID #: MIT-021
Description:
Validate Iceberg Orders.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
#
Test Steps
Expected Results
1.
Enter an Iceberg order.
The order is successfully submitted and
gets a valid order status. The order
reside on the book (only for peak size)
Please provide Order ID(s), Public
OrderId and Client Order ID in the
Receive Execution Report.
Certification report.
2.
3.
Enter an order to trade the peak size
(visible quantity).
The peak size are traded and refreshed
in size back to the display quantity.
Please provide the new Public OrderID
received in the Execution Report
Receive Execution Reports.
Enter an order to trade the Visible and
Hidden size
Receive two Execution Reports.
Please provide the new Public OrderID
received in the Execution Reports
37
5.5.16 Randomized Iceberg Orders
Type:
FIX/Native Gateways
ID #: MIT-022
Description:
Validate Randomized Iceberg orders during Continuous Trading.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
1.
Enter a Randomized Iceberg order.
The order is successfully submitted and
gets a valid order status. This order may
(Assuming there are matching orders for
execute or reside on the order book, fully
this order in the order book. If there are
or partially.
no matching orders in the order book,
please create them.)
Receive Execution Report with partial fill
or fully filled.
Please provide Order ID(s) and Client
Order ID in the Certification report.
38
5.5.17 Market order with Time in Force CPX
Type:
FIX/Native Gateways
ID #: MIT-023
Description:
Validate Market order with Time in Force CPX sent during Continuous Trading session
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
#
1.
Test Steps
Enter an Market order with TIF CPX
Expected Results
Receive Acknowledge in the Execution
Report
Please provide Order ID(s) and Client
Order ID in the Certification report.
2.
CPX session starts and CPX order are
triggered without execution.
Execution Report with
ExecType=Triggered(L)
If the order will be executed, will receive
Execution Report with properly order status
5.5.18 Limit order with Time in Force CPX
Type:
FIX/Native Gateways
ID #: MIT-024
Description:
Validate Limit order with Time in Force CPX, sent during Continuous Trading Session
39
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
#
Test Steps
Expected Results
Enter 3 limit orders with TIF CPX
1.
Receive Acknowledge in the Execution
Report
Please provide Order ID(s) and Client
Order ID in the Certification report.
2.
CPX session starts and CPX order are
triggered without execution.
Orders with prices worse than the Closing
Auction Price should be Expired and
receive the Execution Report with the
reason ‘Invalid limit price (not equal to
the closing price)’.
Orders better than the Closing Auction
Price should be re-priced to the Closing
Auction
Price and should be injected.
Receive the Execution Report with
‘Repriced (better priced order at start of
CPX session)’
Also, If the order will be executed, will
receive Execution Report with properly
order status.
5.5.19 Named Order
Type:
FIX/Native Gateways
ID #: MIT-025
Description:
Validate Named orders during Continuous Trading.
40
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
1.
Enter a Named order.
The order is successfully submitted and
executed.
(Assuming there are matching orders for
this order in the order book. If there are
Receive Execution Report with partial fills
no matching orders in the order book,
or fills
please create them.)
Please provide Order ID(s) and Client
Order ID in the Certification Report.
5.5.20 Order Modification
Type:
FIX/Native Gateways
ID #: MIT-026
Description:
Validate order Modification during Continuous Trading.
41
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
1.
Enter a passive order that rests on the
The order is successfully submitted and
order book.
resides on the order book.
2.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
Receive Execution Report with ExecType
= 0 (New)
Amend order.
The order is successfully modified.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
Receive Execution Report with ExecType
= 5 (Replaced)
5.5.21 Order Cancel
Type:
FIX/Native Gateways
ID #: MIT-027
Description:
Validate order deletion during Continuous Trading.
42
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
1.
Enter a passive order that rests on the
The order is successfully submitted and
order book.
resides on the order book.
2.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
Receive Execution Report with ExecType
= 0 (New)
Cancel the order.
The order is successfully cancelled.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
Receive Execution Report with ExecType
= 4 (Cancelled)
5.5.22 Internal Cross Orders
Type:
FIX/Native Gateways
ID #: MIT-028
Description:
43
Validate Internal Cross Orders.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
#
Test Steps
Expected Results
1.
Enter an Internal Cross order.
The order is successfully submitted and
executed.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
5.5.23 Internal BTF Orders
Type:
FIX/Native Gateways
ID #: MIT-029
Description:
Validate Internal BTF Orders.
44
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
#
Test Steps
Expected Results
1.
Enter an Internal BTF Cross order.
The order is successfully submitted and
executed.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
5.5.24 Committed Cross Orders Deletion
Type:
FIX/Native Gateways
ID #: MIT-030
Description:
45
Validate Committed Cross Orders Deletion during Continuous Trading.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
#
Test Steps
Expected Results
1.
Enter a Committed Cross order.
The order is successfully submitted and
resides on the order book.
(Assuming that there is no match for the
order in the order book.)
Receive Execution Report
Please provide Order ID(s) and Client
Order ID in the Certification Report.
2.
Cancel the cross order.
The order is successfully cancelled.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
Receive Execution Report
5.5.25 Committed BTF Orders Deletion
Type:
FIX/Native Gateways
ID #: MIT-031
Description:
Validate Committed BTF Orders Deletion during Continuous Trading.
46
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
#
Test Steps
Expected Results
1.
Enter a Committed BTF order.
The order is successfully submitted and
resides on the order book.
(Assuming that there is no match for the
order in the order book.)
Receive Execution Report
2.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
Cancel the BTF order.
The order is successfully cancelled.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
Receive Execution Report
5.5.26 Closing Price Publication Session
Type:
FIX/Native Gateways
ID #: MIT-032
Description:
Validate order sent during Closing Price Publication session
47
Comments: These orders should be parked in the Parked Queue
Prerequisites
This test needs to be executed during Closing Price Publication Session and Closing Price
Cross session
Already logged on from previous Test Case
#
Test Steps
Expected Results
Enter an order during Closing Price
1.
Publication Session at Closing Price
Receive Acknowledge in the Execution
with Time in Force CPX or DAY
Report
Please provide Order ID(s) and Client
Order ID in the Certification report.
Fix: Execution Report with OrdStatus
(39) = 9 (Suspended) and ExecType
(150) = 9 (Suspended)
Native: Execution Report with Order
Status = 9 (Suspended) , Exec Type = 9
(Suspended) and Container = 5 (parked)
2.
At Closing Price Cross Session orders
will be elected on the book.
Receive Execution report for each
order that is successfully executed at
Closing price
5.5.27 Enter Order in Closing Price Cross session
Type:
FIX/Native Gateways
ID #: MIT-033
Description:
Validate Orders sent during Closing Price Cross session
Comments:
48
Prerequisites
This test needs to be executed during Closing Price Cross session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
1.
Enter an order during Closing Price
Cross session.
Receive Acknowledge in the Execution
Order type:
Report
- limit order (Price equal to closing price)
- Market order
The order is successfully submitted and
- MTL
executed
TIF
CPX, DAY IOC and FOK
Please provide Order ID(s) and Client
Order ID in the Certification report.
5.5.28 Price Modification in Closing Price Cross session
Type:
FIX/Native Gateways
ID #: MIT-034
Description:
Validate price modification of limit order sent during Continuous Trading Session that
remain not matched at the Closing and move to CPX Session.
Comments:
49
Prerequisites
This test needs to be executed at first time during Continuous Trading and Closing Price
Cross session.
Already logged on from previous Test Case.
#
Test Steps
Expected Results
Enter a Limit order during
1.
Continuous Trading Session that
Receive Acknowledge in the Execution
remain not matched at the Closing
Report
and move to CPX Session
The order is successfully submitted but NOT
Order type:Limit
executed
TIF:DAY
Please provide Order ID(s) and Client
Order ID in the Certification report.
2.
During CPX Session
Amend Limit order already submitted
but not yet executed, price
modification at closing price
The order is successfully modified.
Receive Execution Report with price
updated at Closing Price
Please provide Order ID(s) and Client
Order ID in the Certification Report.
5.5.29 Orders Deletion in Closing Price Cross session
Type:
FIX/Native Gateways
ID #: MIT-035
Description:
Validate Orders Deletion during Closing Price Cross session
Comments:
50
Prerequisites
This test needs to be executed during Closing Price Cross session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
1.
Enter an order during Closing Price
Cross session
Receive Acknowledge in the Execution
Report
2.
Please provide Order ID(s) and Client
Order ID in the Certification report.
Cancel the order.
The order is successfully cancelled.
Receive Execution Report
5.5.30 Cancel on Disconnect
Type:
FIX/Native Gateways
ID #: MIT-036
Description:
Validate Cancel-on-Disconnect and Logout
Comments:
If a different User ID/Comp ID has been specifically enabled for “Cancel on
disconnect/Logout” for this test case please repeat test case MIT-007 first to Logon.
51
Customers are highly encouraged to utilise the Cancel on Disconnect functionality
Prerequisites
Already logged on from previous Test Case
#
1.
2.
3.
4.
5.
Test Steps
Enter 3 passive regular orders that rest
on the orderbook.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
Terminate the client-server session by
either TCP disconnect for Cancel on
disconnect or Logout for cancel on
logout.
Establish a connection and Logon.
Verify the status of orders submitted in
step 1 above.
Expected Results
The orders are successfully submitted
and have a Live order status.
Client-server session is terminated. (TCP
connection dropped or Logout.)
Successful Logon.
FIX

Execution reports received for all
cancelled orders automatically.
Native:

Session active with heartbeating
Execution reports received for all
cancelled orders from the recovery
channel.
For native trading, the customer must
recover the missed messages via the
recovery channel manually.
5.6 Specialist User Tests/Quote Management
5.6.1
Establish a connection and Logon
Type:
FIX/Native Gateways
ID #: MIT-037
Description:
52
Establish a connection and Logon.
Comments:
Prerequisites
Specialist or Supervisor profile (Supervisor is FIX Only)
#
Test Steps
Expected Results
1.
Establish a connection and Logon.
Successful Logon.
Please provide CompID/Target User.
5.6.2
Named Orders
Type:
FIX/Native Gateways
ID #: MIT-038
Description:
Validate Named Orders during Continuous Trading.
Comments:
Prerequisites
53
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
2.
Enter a Named order.
The order is successfully submitted and
executed.
(Assuming there are matching orders for
this order in the order book. If there are
Receive Execution Report
no matching orders in the order book,
please create them.)
Please provide Order ID(s) and Client
Order ID in the Certification Report.
5.6.3
New Executable Quote
Type:
FIX/Native Gateways
ID #: MIT-039
Description:
Validate Executable quote submission.
Comments:
Prerequisites
54
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
3.
Enter an Executable quote that rests on
The quote is successfully submitted.
the order book
FIX:
Please provide QuoteMsgID/ Client Order 
Receive Quote Status Report
ID in the Certification Report.
Native:

Receive Execution report for each
side of quote.
5.6.4
Modify Executable Quote
Type:
FIX/Native Gateways
ID #: MIT-040
Description:
Modify Executable quote.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
55
Already logged on from previous Test Case.
#
Test Steps
1.
Enter an Executable quote that rests on
the order book
Please provide QuoteMsgID/Client Order
ID in the Certification Report.
Expected Results
The quote is successfully submitted.
FIX:

Receive Quote Status Report
Native:

Receive Execution report for each
side of quote.
2.
Modify the quote.
The quote is successfully amended.
(Replaced with new quote)
(Please note for both FIX and Native a
quote is amended by entering another
quote. This replaces the existing quote
on the quote book as you can only have
one quote on the book for any given
instrument.)
Please provide new QuoteMsgID/Client
Order ID in the certification report.
FIX:

If the quote rests on the order book,
a Quote Status Report is recieved

If the quote is fully or partially filled,
Execution Report(s) are recieved
(please provide ClOrdIDs)
Native:
 Receive Execution report for each
side of quote.
5.6.5
Cancel Executable Quote
Type:
FIX/Native Gateways
ID #: MIT-041
Description:
Cancel Executable quote.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
56
Already logged on from previous Test Case.
#
Test Steps
1.
Enter an Executable quote that rests on
the order book
Expected Results
The quote is successfully submitted.
FIX:

Receive Quote Status Report
Please provide QuoteMsgID/Client Order
ID in the Certification Report.
2.
5.6.6
Native:

Receive Execution report for each
side of quote.
Cancel the quote just entered.
The quote is successfully cancelled.
FIX:

Send Quote Cancel message
FIX:

Receive Quote Status Report
Native:

Send Order Cancel Request
messages
Native:

Receive Execution Report for each
quote side cancelled.
Executable Quotes GFA submission
Type:
FIX/Native Gateways
ID #: MIT-042
Description:
Validate Executable Quotes submission.
Comments:
Prerequisites
This test needs to be executed during Opening Auction.
Applicable only on MOT
#
Test Steps
Expected Results
1.
Enter an Executable (Opening Auction)
The quote is parked until the next auction
57
quote width Time in Force set to GFA.
call period starts at which point it is
injected into the order book.
Enter a quantity value in order to have a
remaining quantity at the end of
uncrossing.
Please provide QuoteMsgID/ Client
Order ID in the Certification Report.
Any remaining volume is deleted after
uncrossing and it will not be executed
during Continuous Trading.
If non auction in a trading day then is
deleted after end of trading.
FIX:Receive Quote Status Report
If the quote is partially filled:
Receive Execution Report (please
provide ClOrdID) for the quantity traded .
The remaining quantity is deleted.
Native: Receive Execution report for
each side. The remaining quantity is
deleted.
5.6.7
Single Side Quote
Type:
FIX/Native Gateways
ID #: MIT-043
Description:
Validate Executable Quote submission Continuous Trading session
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
58
#
1.
Test Steps
Enter an Executable Single Side Quote
NAMED.
Expected Results
The quote is successfully submitted.
Receive Quote Status Report
Please provide QuoteMsgID/ Client
Order ID in the Certification Report.
5.6.8
Receive Execution Report
Modify Executable Single Side Quotes
Type:
FIX/Native Gateways
ID #: MIT-044
Mandatory: Y
Description:
Validate Modify Executable Single Side Quotes.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
59
Co-ordinated Test: N
#
1.
Test Steps
Enter an Executable single side quote.
Expected Results
The single side quote is successfully
submitted.
(Assuming this quote is not fully or
partially filled)
FIX:
Receive Quote Status Report
Please provide QuoteMsgID/Client Order
ID in the Certification Report.
2.
Modify the single side quote price or
quantity
(Please note for both FIX and Native a
SS quote is amended by entering
another SSquote. This replaces the
existing SS quote on the quote book as
you can only have one SS quote on the
book for any given instrument.)
FIX: Receive Quote Status Report
If the SS quote is fully or partially filled:
Receive Execution Report (please
provide ClOrdID)
Native:
Receive Execution report
Please provide new SS
QuoteMsgID/Client Order ID in the
certification report.
5.6.9
Native:
Receive Execution report
The SS quote is successfully amended.
(Replaced with new single side quote)
Cancel Executable Single Side Quotes
Type:
FIX/Native Gateways
ID #: MIT-045
Description:
Validate Cancel Executable Single Side Quotes.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
60
#
1.
Test Steps
Cancel the Single Side quote entered in
the previous test case.
Expected Results
The SS quote is successfully cancelled.
FIX: Receive Quote Status Report
FIX: Send Quote Cancel message
Native: Receive Execution Report.
Native: Send Order Cancel Request
message
5.6.10 Executable Single Side Quotes submission Time in Force GFA
Type:
FIX/Native Gateways
ID #: MIT-046
Mandatory: Y
Co-ordinated Test: N
Description:
Validate Executable Single Side Quotes submission during Opening Auction.
Comments:
Prerequisites
This test needs to be executed during Opening Auction
#
Test Steps
Expected Results
61
1.
Enter an Executable (Opening Auction)
quote with Time in Force set to GFA.
Enter a quantity value in order to have a
remaining quantity at the end of
uncrossing.
Please provide QuoteMsgID/ Client
Order ID in the Certification Report.
The quote is parked until the next auction
call period starts at which point it is
injected into the order book.
Any remaining volume is deleted after
uncrossing and it will not be executed
during Continuous Trading.
If non auction in a trading day then is
deleted after end of trading.
FIX: Receive Quote Status Report
If the quote is partially filled:
Receive Execution Report (please
provide ClOrdID) for the quantity traded .
The remaining quantity is deleted.
Native:Receive Execution report
The remaining quantity is deleted.
5.6.11 Executable Single Side Quotes submission Time in Force OPG
Type:
FIX/Native Gateways
ID #: MIT-047
Description:
Validate Executable Single Side Quotes submission during Opening Auction Call
Comments:
Prerequisites
This test needs to be executed during Opening Auction Call
#
Test Steps
Expected Results
62
1.
Enter an Executable (Opening Auction)
SS quote with Time in Force set to OPG
Enter a quantity value in order to have a
remaining quantity at the end of
uncrossing.
Please provide QuoteMsgID/ Client
Order ID in the Certification Report.
The quote is parked until the next auction
call period starts at which point it is
injected into the order book.
Any remaining volume is deleted after
uncrossing and it will not be executed
during Continuous Trading.
If non auction in a trading day then is
deleted after end of trading.
FIX:
Receive Quote Status Report
If the quote is partially filled:
Receive Execution Report (please
provide ClOrdID) for the quantity traded .
The remaining quantity is deleted.
Native:
Receive Execution report
The remaining quantity is deleted.
5.6.12 New Firm Quote (FIX Only)
Type:
FIX Gateway
ID #: MIT-048
Description:
Validate Firm quote submission.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
63
#
1.
Test Steps
Enter a Firm quote.
Expected Results
The quote is successfully submitted.
Please provide QuoteMsgID in the
certification report.
Receive Quote Status Report
5.6.13 Modify Firm Quote (FIX Only)
Type:
FIX Gateway
ID #: MIT-049
Description:
Modify Firm quote.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
64
Already logged on from previous Test Case
#
Test Steps
1.
Modify Firm Quote entered in MIT-048
Expected Results
Receive Quote Status Report
Please note: As you can only have one
quote for any given instrument, a firm
quote is modified by sending a new quote
which replaces the existing quote.)
Please provide new QuoteMsgID in the
Certification Report.
5.6.14 Cancel Firm Quote (FIX Only)
Type:
FIX Gateway
ID #: MIT-050
Description:
Cancel Firm quote.
Comments:
Prerequisites:
This test needs to be executed during Continuous Trading session.
65
Already logged on from previous Test Case
#
Test Steps
1.
Cancel the quote entered in MIT-048
Expected Results
The quote is successfully cancelled.
Receive Quote Status Report
5.7 Supervisor User Tests
5.7.1
Type:
FIX
Establish a connection and Logon
ID #: MIT-051
Description:
Establish a connection and Logon.
66
Comments:
Prerequisites
Supervisor profile
#
1.
Test Steps
Expected Results
Successful Logon.
Establish a connection and Logon.
Please provide CompID.
5.7.2
Type:
FIX
Mass Cancellation
ID #: MIT-052
Description:
Validate Mass Cancellation orders for member firm
Comments:
Mass Cancellation does not cancel orders in Trading Stop Session status.
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
#
Test Steps
Expected Results
1.
Enter Mass Cancel request for member
The Mass Cancel is successfully
67
firm.
executed.
Orders in Trading Stop Session are not
cancelled.
Receive Order Mass Cancel Report
(Assuming there is at least one order in
the order book. If there are no orders in
the order book, please request to another
user to create it.)
5.7.3
Orders in Trading Stop Session are not
cancelled.
Orders Modification
Type:
FIX
ID #: MIT-053
Description:
Validate Orders Modification of an order entered by another user.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
1.
Amend an order entered another user.
The order is successfully modified.
68
(Assuming there is at least one order in
the order book. If there are no orders in
the order book, please request to another
user to create it.)
Receive Execution Report
No Execution Report are sent to user that
are entered the order.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
5.7.4
Type:
FIX
Orders Deletion
ID #: MIT-054
Description:
Validate Orders Deletion during Continuous Trading.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case
#
Test Steps
Expected Results
1.
Cancel a entered another user
The order is successfully cancelled.
(Assuming there is at least one order in
the order book. If there are no orders in
69
Receive Execution Report
the order book, please request to another
user to create it.)
No Execution Report are sent to user that
are entered the order.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
5.8 Native Recovery
5.8.1
Requesting Missed Messages
Type:
Native Recovery Gateway
ID #: MIT-055
Description:
This test case validates that native recovery works by sending a Missed Message Request
for all AppIDs (LoadIDs)
Comments:
The same CompID and password must be used for both Native Trading and Native
Recovery services.
70
Prerequisites:
Already logged on to the Native Trading Gateway from previous trading test case.
Cancel-on-Disconnect needs to be enabled on the CompID used for testing. (Or send a
request to LSEG to cancel your open orders on your behalf while the CompID is
disconnected from the Exchange.)
#
1.
Test Steps
Enter 3 passive orders that rest on the
orderbook, one on each LoadID.
Expected Results
3 orders are now resting on the
orderbook, one on each LoadID (also
known as AppID and PartitionID).
(the LoadID for each instrument can be
obtained from the Instrument.csv
reference data file.)
2.
If cancel-on-disconnect is enabled:

drop the connection
Otherwise:

Logout the CompID.

Contact LSEG and request them to
cancel the open orders on your
behalf
While the CompID is disconnected, the
open orders are cancelled
3.
Wait 30 seconds, and then establish a
connection to the Native Gateway realtime channel
Successful logon to the Native Gateway
real-time channel.
4.
5.
(This needs to happen before connecting
to the recovery channel)
Establish a connection and Logon to the
Native Recovery Channel
Send a Missed Message Request for
LoadID 1 (also known as AppID 1)
specifying the LastMsgSeqNum that is
known for that LoadID.
Successful logon to the Native Gateway
recovery channel
 Missed Message Request Is Sent

Missed Message Request Ack
received with ResponseType=0
(Successful)

Execution Report(s) received for
each cancelled order

Missed Message Report received
with ResponseType=0 (Download
Complete)
6.
Repeat Step 5 for all other LoadIDs
Step 5 is repeated for LoadID 2 and
LoadID 3.
7.
Logout from the Native Recovery service
within 3 heartbeat intervals
Logout successful and Recovery session
terminated
(The server with disconnect customer
connection if there is no activity for 3
heartbeat intervals)
Connection to the Realtime Channel
should remain active and heartbeating.
71
5.9 Post Trade Gateway Validation
5.9.1
Establish Logon for Test Cycle
Type:
Post Trading Gateway
ID #: MIT-056
Description:
Establish a connection and Logon.
Comments:
Prerequisites
None.
#
Test Steps
1.
Establish a connection and Logon to the
Post Trade Gateway.
72
Expected Results
Successful Logon.
5.9.2
Own Trade Book Download
Type:
Post Trading Gateway
ID #: MIT-057
Description:
Validate Own Trades Book Download.
Comments:
Prerequisites
Already logged on from previous Test Case.
#
Test Steps
1.
Send a Trade Capture Report Request.
Please provide TradeRequestID in the
Certification Report.
Expected Results
Receive a Trade Capture Report Request
Ack
Receive Trade Capture Report(s) as
requested
73
5.9.3
Trade Reporting
Type:
Post Trading Gateway
ID #: MIT-058
Description:
Enter an offbook Trade Capture Report.
Comments:
Prerequisites:
Already logged on from previous Test Case
#
Test Steps
1.
Enter a Trade (Trade Capture Report).
Please provide TradeReportID in the
Certification Report.
Expected Results
The Trade Report is successfully
submitted.
Receive a Trade Capture Report (TCR)
Ack and TCR when processed.
74
5.9.4
Cancel Trade Report
Type:
Post Trading Gateway
ID #: MIT-059
Description:
Cancel an Offbook Trade.
Comments:
Prerequisites:
Already logged on from previous Test Case
#
Test Steps
1.
Cancel the Trade entered in previous test
Send Trade Capture Report
Please provide TradeID in the
Certification Report.
75
Expected Results
The Trade Report is cancelled.
Receive a Trade Capture Report Ack
5.9.5
Pre-Release Trade Report
Type:
Post Trading Gateway
ID #: MIT-060
Description:
Pre-release a Trade Report
Comments:
Prerequisites
Already logged on from previous Test Case
#
Test Steps
1.
Enter a Trade Capture Report with
delayed publication requested, and which
meets the size requirements for being
delayed.
2.
Please provide TradeReportID in the
Certification Report.
Pre-release the trade report entered in
step 1.
Trade Capture Report
Expected Results
The Trade Report is successfully
submitted.
Receive a Trade Capture Report Ack
The Trade Report is Pre-released
successfully.
76
Please provide TradeID in the
Certification Report
Receive a Trade Capture Report Ack and
TCR.
5.10 Drop Copy Gateway Validation
5.10.1 Establish Logon for Test Cycle
Type:
Drop Copy Gateway
ID #: MIT-061
Description:
Establish a connection and Logon.
Comments:
Prerequisites
None.
#
Test Steps
1.
Establish a connection and Logon to the
Drop Copy Gateway.
77
Expected Results
Successful Logon.
5.10.2 Own Order Book Download
Type:
Drop Copy Gateway
ID #: MIT-062
Description:
Validate Own Order Book Download
Comments:
Prerequisites:
Already logged on from previous Test Case.
#
Test Steps
1.
Send a Mass Order Status Request.
Expected Results
Receive Execution Report for each active
order for the specified Trader Group.
Please provide MassStatus ReqID and
the Trader Group in the Certification
Report
78
5.11 On Behalf of Actions Native & FIX Trading Gateways
5.11.1 Cancel Client’s Order
Type:
On behalf of – Fix/Native
Gateways
ID #: MIT-063
Description:
Exchange cancels an order on behalf of a customer.
Comments:
Prerequisites:
Contact LSEG for executing this test in co-ordination with customer.
Already logged on from previous Trading test case.
#
Test Steps
Expected Results
Customer to Enter a passive order that
1.
The order is successfully submitted and
rests on the order book
resides on the order book.
2.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
Request LSEG to cancel the order,
stating the OrderID
Receive Execution Report
LSEG cancel the orders as requested.
Receive Execution reports with exec type
(4).
The order is successfully cancelled.
79
3.
Customer to confirm receipt of unsolicited
messages
5.11.2 Cancel Client’s Quote
Type:
On behalf of – Fix/Native
Gateways
ID #: MIT-064
Description:
Exchange cancels an order on behalf of a customer.
Comments:
Prerequisites:
Contact LSEG for executing this test in co-ordination with customer.
Already logged on from previous Trading test case.
#
Test Steps
Expected Results
Customer enters an executable quote
4.
If quoting is supported, quote is
that rests on the orderbook.
submitted and resting on the order book.
5.
Please provide QuoteMsgID/ Client Order
ID in the Certification Report.
If quoting not supported move onto step
3.
Request LSEG to cancel the quote
stating QuoteMsgIDs
The order is successfully cancelled.
LSEG cancel the quotes as requested.
Receive Execution reports with exec type
(4).
80
6.
Customer to confirm receipt of unsolicited
messages
5.11.3 Cancel Client’s Trade
Type:
On behalf of – Fix/Native
Gateways
ID #: MIT-65
Description:
Exchange cancels a trade.
Comments:
Prerequisites:
Contact LSEG for executing this test in co-ordination with customer.
Already logged on from previous Trading test case.
#
Test Steps
Expected Results
1.
Customer to Enter an aggressive order
The order is successfully submitted and
that trades as fully filled. (OrderStatus =
resides on the order book.
2)
Receive Execution Report for fully filled
Please provide TradeMatchID, Order ID
and Client Order ID in the Certification
Report.
2.
Request LSEG to cancel the trade,
The trade is cancelled.
providing the TradeMatchID that will be
used for this test.
Customer receives Execution Report for
trade cancellation.
LSEG cancel the trade
Customer receives 2nd Execution Report
81
for the Order which is also cancelled.
3.
Customer to Enter an aggressive order
that trades as partially filled. (OrderStatus
= 1)
The order is successfully submitted and
resides on the order book.
Receive Execution Report for partial fill
4.
Please provide TradeMatchID, Order ID
and Client Order ID in the Certification
Report.
Request LSEG to cancel the trade,
providing the TradeMatchID that will be
used for this test.
The trade is cancelled.
Customer receives Execution Report for
trade cancellation.
LSEG cancel the trade
Customer receives 2nd Execution Report
for the Order with the new quantity
restated as follows: OrigQty –
PartialTradedQty
82
5.11.4 Committed Cross Orders
Type:
FIX/Native Gateways
ID #: MIT-066
Description:
Validate Committed Cross Orders during Continuous Trading.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
Call the testing team to book time for executing this test in co-ordination with a SDA.
#
Test Steps
Expected Results
1.
Enter a Committed Cross order on Sell
The order is successfully submitted.
side and setup the Cross ID to
<membercode>yyyymmddhhmmss (format
required only for conformance test purpose)
2.
Please provide Order ID(s) and Client
Order ID in the Certification Report.
SDA enter a Committed Cross order on
Buy side having the Cross ID format as
previously specified, confirmed by
customer
Please provide Order ID(s) and Client
Order ID in the Certification Report.
83
The order is matched with other side
order and executed.
Receive Execution Report
5.11.5 Committed BTF Orders
Type:
FIX/Native Gateways
ID #: MIT-067
Description:
Validate Committed BTF Orders during Continuous Trading.
Comments:
Prerequisites
This test needs to be executed during Continuous Trading session.
Already logged on from previous Test Case.
Call the service desk to book time for executing this test in co-ordination with a SDA.
#
Test Steps
Expected Results
1.
Enter a Committed BTF Cross order on
The order is successfully submitted.
Sell side and setup the Cross ID to
<membercode>yyyymmddhhmmss (format
required only for conformance test purpose)
Please provide Order ID(s) and Client
Order ID in the Certification Report.
2.
SDA enter a Committed BTF Cross order
on Buy side having the Cross ID format
as previously specified, confirmed by
customer
Please provide Order ID(s) and Client
Order ID in the Certification Report.
84
The order is matched with other side
order and executed.
Receive Execution Report
5.12 All Gateways
5.12.1 Error Handling
Type:
Error Handling
ID #: MIT-068
Description:
Verifying Logon after Suspension / Un-suspension of UserID.
Comments:
This test case needs to be repeated for every interface/service the customer subscribes to,
i.e. a customer needs to repeat the steps below for each Gateway. This test needs to be
completed (where applicable) for the services listed below:
 FIX Gateway
 Native Gateway
 Native Recovery
 Drop Copy Gateway
 Post Trade Gateway
 FIX/FAST Replay Service (any one channel)
 FIX/FAST Recovery Service (any one channel)
 ITCH Replay Service (any one channel)
 ITCH Recovery Service (any one channel)
 Group Ticker Plant Replay Service (any one channel)
 Group Ticker Plant Recovery Service (any one channel)
When executing this test case for Market Data Services, please choose any one channel to
connect to and provide details in the comments section of the Certification Report.
Prerequisites:
CompID / UserID is logged off
#
1
Test Steps
Request LSEG to suspend the CompID.
Expected Results
CompID is suspended.
2
Establish a connection and Logon to the
applicable Gateway(s).
Logon is rejected.
Customer to verify the reject message.
Customer application should
automatically stop trying to logon and
display the reason the logon was
unsuccessful.
4
Verify application behaviour conforms to
the connectivity policy as outlined in the
Technical Specification
Customer application attempts to connect
a maximum of 3 times to the primary
gateway with a minimum timeout value of
3 seconds between attempts before
attempting to connect to the secondary
gateway – and this should be retried a
maximum of a further 3 times.
5
Request LSEG to un-suspend CompID
CompID un-suspended
6
Establish a connection and Logon
Gateway
Successful Logon
85
5.13 FIX Session Level Testing
5.13.1 Heartbeat Exchange
Type:
FIX Session Testing
ID #: MIT-069
Description:
The client and the server are exchanging Heartbeat messages during the period of client’s
inactivity.
Comments:
Prerequisites:
Customer application can suspend sending all messages except heartbeats. (Heartbeats
are only sent during periods of inactivity).
#
1.
2.
3.
4
Test Steps
Document the time of test execution start
in the Certification report.
Establish a connection and Logon to the
Gateway.
Stay inactive, i.e. make sure that there
are no client initiated messages sent to
the server.
Make sure there are no unexpected
disconnects within reasonable (a few
minutes) timeframe.
Document the time of test execution end
in the Certification Report and document
whether or not disconnects happen
during test execution.
86
Expected Results
Successful Logon.



There are no client initiated
messages sent to the Gateway.
Gateway is sending Heartbeat
messages to the client.
Client is sending Heartbeat
messages to the Gateway.
5.13.2 Sequence Reset
Type:
FIX Session Testing
ID #: MIT-070
Description:
FIX message Sequence Reset.
Comments:
Prerequisites:
None
#
Test Steps
1.
Document the time of test execution start
in the Certification report.
2.
Establish a connection and Logon to the
Gateway.
3.
Make sure that the client and Server are
exchanging Heartbeat messages.
4.
Expected Results
Successful Logon.
Gateway is sending Heartbeat messages
to the client.
Send a Sequence Reset message
MsgType=4.
Client is responding to Heartbeat
messages sent by the server.
Make sure that the value of the
NewSeqNo tag is greater than the
sequence number of the latest incoming
Heartbeat message.
Gateway resets messages sequence
number to the value specified in
NewSeqNo tag sent by the client.
Document the time of test execution end
in the Certification Report.
87
5.13.3 Sequence Reset at Logon
Type:
FIX Session Testing
ID #: MIT-071
Description:
FIX messages Reset initiated by the client at Logon.
Comments:
This test is mandatory
Prerequisites:
None
#
Test Steps
1.
Document the time of test execution start
in the Certification Report.
2.
Establish a connection and Logon to the
Gateway.
3.
Make sure that the client and Server are
exchanging Heartbeat messages and
inbound and outbound MsgSeqNum is >
10.
4.
5.
Disconnect from the server.
Client to set the next expected inbound
and outbound MsgSeqNumbers to 1.
Send a Logon message with
ResetSeqNumFlag tag set to “Y”.
6.
Document the time of test execution end
in the Certification Report.
88
Expected Results
Successful Logon.


Server is sending Heartbeat
messages to the client.
Client is sending Heartbeat
messages to the server.
FIX session is terminated.
 Server is responding with a Logon
message with the
ResetSeqNumFlag tag set to “Y”.
 Messages sequence is reset to
“1”.
 Server and Client sending
heartbeat messages
5.13.4 Resend Request
Type:
FIX Session Testing
ID #: MIT-072
Description:
Client Resend Request.
Comments:
Prerequisites:
Customer application needs to support manually setting the next expected inbound
MsgSeqNum (tag34).
#
1.
2.
3.
4.
5.
6.
7.
Test Steps
Document the time of test execution start
in the Certification Report.
Establish a connection and Logon to the
Gateway.
Submit an order that results in a fully
filled trade
Note down the Message Sequence
number received for this execution report.
Submit a Logout request
Customer to manually set their next
expected inbound MsgSeqNum to the
value obtained in step 3
Reconnect and log on.
Customer application should detect a
sequence number gap and send a
Resend Request (MsgType=2) with tags
BeginSeqNo and EndSeqNo set to the
value obtained in step 3
Expected Results
Successful Logon.
The trade execution report received.
Logout acknowledged by gateway
Customer application’s next expected
inbound MsgSeqNum reconfigured.
Logon successful.
Gateway will resend the Execution
Report back to the client, with
PossDup(43)=Y.
Gateway will send a SeqReset with the
next expected sequence number in tag
36.
Session should remain active with
heartbeats being exchanged.
8.
Document the time of test execution end
in the Certification Report.
89