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USER'S MANUAL VERSION 3.1 EXTERNAL

1. OrdType 40 LIMIT 2 LIMIT 2 LIMIT 2 Price 44 10 10 10 10 Side 54 BUY 1 BUY 1 BUY 1 BUY 1 Symbol 55 PETR4 PETR4 PETR4 PETR4 ExecType 150 NEW 0 NEW 0 FILL 2 LeavesQty 151 0 100 0 Text 58 Sequence 1 2 3 4 Message Received NewOrderSingle D client 2 Message Sent ExecutionReport 8 ExecutionReport 8 ExecutionReport 8 multigateway Account 1 500 500 500 500 AvgPx 6 21 4 ClOrdiD 11 FixSample00009 FixSample00009 FixSample00009 FixSample00009 CumQty 14 0 0 100 ExecID 17 Fix000000000000011 Fix000000000000012 1106000005PETR401T ExecTransType 20 0 0 0 LastPx 31 21 4 OrderID 37 Fix000000000000008 1106000005PETR4 1106000005PETR4 OrderQty 38 100 100 100 100 OrdStatus 39 PENDING NEW A NEW 0 FILLED 2 OrdType 40 LIMIT 2 LIMIT 2 LIMIT 2 74 Price 44 Side 54 Symbol 55 ExecType 150 LeavesQty 151 BM amp FBOVESPA The New Exchange 10 10 10 10 SELL 2 SELL 2 SELL 2 SELL 2 PETR4 PETR4 PETR4 PETR4 NEW 0 NEW 0 FILL 2 0 100 0 3 4 2 Trade Partially Filled The sequence shown below demonstrates an exchange of messages between two clients and MultiGateway illustrating a partially filled trade l Sequence Message Received client 1 Message Sent multigateway Account 1 AvgPx 6 ClOrdID 11 CumQty 14 ExecID 17 ExecTransType 20 LastPx 31 OrderID 37 OrderQty 38 OrdStatus 39 OrdType 40 Price
2. API and FIX 9 3 3 Restrictions 9 3 4 References 9 Il PROCEDURES 1 API PROTOCOL 10 1 1 Connection 10 1 2 Session Layer 10 1 2 1 Message Sequencing 11 1 2 2 Resend Message Buffer 11 1 2 3 Resend Mechanism 11 1 2 4 Active Connection Check 11 1 2 5 Session Layer Messages 12 1 2 5 1 Authentication Request Message 12 1 2 5 2 Authentication Success Message 13 1 2 5 3 Authentication Error Message 13 1 2 5 4 Message Resend Request Message 14 1 2 5 5 New Message Sequence Notification Message 14 3 BM amp FBOVESPA The New Exchange 1 2 5 6 Heartbeat Message 14 1 2 5 7 Heartbeat Response Message 15 1 3 Application Layer 15 1 3 1 Index 15 1 3 2 Control Number 15 1 3 3 Resend Sequence Control 15 1 3 4 Application Layer Messages 16 1 3 4 1 New Order Registration Request Message 16 1 3 4 2 New Order Cancellation Request Message 16 1 3 4 3 Order Rerequest Message 17 1 3 4 4 Limit Query Message 17 1 3 4 5 Last Index Query Message 17 1 3 4 6 Order Book Query Message 17 1 3 4 7 Ack Message 18 1 3 4 8 Order Registration Confirmation Response Message 18 1 3 4 9 Order Cancellation Confirmation Response Message 19 1 3 4 10 Error Event Response Message 19 1 3 4 11 Order Execution Response Message 20 1 3 4 12 Index Query Response Message 20 1 3 4 13 Limit Query Response Message 21 1 3 4 14 Order Book Query Response Message 21 1 3 4 15 Order Modification Request Message 22 1 3 4 16 Order Modification Confirmation Response Message 22 1 4 DLL
3. OrigClOrdID 41 FixSample00099 FixSample00099 Price 44 10 10 Side 54 BUY 1 BUY 1 Symbol 55 PETR4 PETR4 Text 58 Order not found 73 BM amp FBOVESPA The New Exchange 3 4 Trade 3 4 1 Trade filled The sequence shown below demonstrates an exchange of messages between two clients and MultiGateway illustrating a trade 1 Clients 1 and 2 send out NewOrderSingle messages client 1 a buy message and client 2 a sell message 2 MultiGateway returns to both an ExecutionReport message with a PENDING NEW status 3 After the request is processed MultiGateway returns to both clients an ExecutionReport message with a NEW order status advising that their orders have been registered 4 After the orders are matched the central system advises MultiGateway of the trade and MultiGateway returns to both clients an ExecutionReport message advising them of the trade Sequence 1 2 3 4 Message Received NewOrderSingle D client 1 Message Sent ExecutionReport 8 ExecutionReport 8 ExecutionReport 8 multigateway Account 1 300 300 300 300 AvgPx 6 21 4 clOrdiD 11 FixSample00008 FixSamp e00008 FixSample00008 FixSample00008 CumQty 14 0 0 100 ExecID 17 Fix000000000000009 Fix000000000000010 1106000004PETR401T ExecTransType 0 0 0 20 LastPx 31 21 4 OrderID 37 Fix000000000000007 1106000004PETR4 1106000004PETR4 OrderQty 38 100 100 100 100 OrdStatus 39 PENDING NEW A NEW 0 FILLED 2
4. 1 4 3 2 HBConnection2 Purpose Interface based on the HBConnection interface aimed at creating new methods and ensuring compatibility 28 MULTIGATEWAY Methods SendOrder2 hbNewOrder As HBNewOrder Purpose To send orders to the trading system Parameters hbNewOrder object with order details ModifyOrder hbModifyOrder As HBModifyOrder Purpose To send order modifications to the trading system Parameters hbModifyOrder object with order details 29 BM amp FBOVESPA The New Exchange BM amp FBOVESPA M The New Exchange 1 4 3 3 HBOrderlnfo Purpose Represents the features of an order It is used in requests and events to define inform the features of an order Properties strStock As String Purpose Stock asset code symbol strCtriNumber As String Purpose To identify an order or cancellation created by the client application it should identify one request only strUserID As String Purpose Customer code associated with an order check digit Note The user code field should not exceed 8 digits including the check digit without a hyphen eotType As HBOrderType enum Purpose Order type Possible Values 0 Buy 1 Sell strQuantity As String Purpose Quantity of shares eocCondition As HBOrderCondition Purpose Order condition price type Possible Values 0 Limit price 1 Market price 2 Best price 3 Opening price 4 Any price 5 Best sell
5. 62 BM amp F BOVESPA The New Exchange 2 2 4 5 OrderCancelReplace The OrderCancelReplace message should be sent by the client to modify an order A standard FIX OrderCancelReplace message is in the following format Tag Field name Required Remarks 11 ClOrdID Yes Single number sent by broker 76 ExecBroker No Identifies the executing Broker 1 Account Yes Account agreed upon between broker and institution See Chapter I item 3 3 21 Handinst Yes Order handling instruction Valid values 1 Automated execution order private no Broker intervention 111 MaxFloor No Maximum number of an order s counterparts that can be displayed at a given time 55 Symbol Yes Stock symbol 54 Side Yes Order side Valid values 1 Buy 2 Sell 60 TransactTime Yes Indicates the order s execution creation time this field should be filled using the UTC format 40 OrdType Yes Order type Valid values 2 Limit A On Close K Market with leftover as limit See Chapter I item 3 3 15 Currency No Identifies the currency used for the price BRL in Brazil s case 59 TimelnForce No Specifies time period that an order remains in force valid If this number is missing it will be interpreted as DAY Valid values 0 Day 1 Good Till Cancel GTC 2 At the Opening OPG 3 Immediate or Cancel OC 4 Fill or Kill FOK 5 Good Till Crossing GTX 6 Good Till Date GTD 432 ExpireDate No Date when order expires M
6. ending in 0 and pOrder follows the TypeOrder structure specified under item 1 5 3 5 SendOrder MEGA BOLSA s response to the execution of this function will generate a ModifyResponse event 45 BM amp FBOVESPA The New Exchange 1 5 4 Events Events are generated in the form of callback via function pointer in response to closed transactions with the purpose of conveying the results to the Home Broker application Depending on the transaction type one or more events can be generated In order for the event mechanism to be triggered the Home Broker should implement a handling function in accordance with the following prototype void TrataEvento GNREventsTypes Eventid void pvParam And upon initialization it should relay its address as a parameter to the Start function Example Start TrataEvento The handling function should identify the event type that was received interpret its parameters conveyed via a void type variable and subsequently provide the appropriate handling Example void TrataEvento GNREventsTypes Eventld void pvParam switch Eventid case RSP_ORDER TrataOrderResponse TypeOrderResponse pvParam break case RSP_ TRADE TrataTradeResponse TypeTradeResponse pvParam break Next a description of possible events and the parameters received by each event is presented 1 5 4 1 OrderResponse It is generated to confirm a SendOrder transaction accepting as par
7. 44 Side 54 Symbol 55 ExecType 150 LeavesQty 151 Sequence Message Received client 2 Message Sent multigateway Clients 1 and 2 send NewOrderSingle messages client 1 a buy order for a quantity of 20 and client 2 a sell order for a quantity of 15 MultiGateway returns to both an ExecutionReport message with a PENDING NEW status After the request is processed MultiGateway returns to both clients an ExecutionReport message with a NEW order status advising that their orders have been registered After the orders have been matched the central system advises MultiGateway of the trade and MultiGateway then returns to client 1 an ExecutionReport message advising him her of the partial trade with pending actions and an ExecutionReport trade message to client 2 1 2 3 4 NewOrderSingle D ExecutionReport 8 ExecutionReport 8 ExecutionReport 8 300 300 300 300 20 FixSample00011 FixSample00011 FixSample00011 FixSample00011 0 0 15 Fix000000000000013 Fix000000000000014 1106000006PETR402T 0 0 0 20 Fix000000000000009 1106000006PETR4 1106000006PETR4 20 20 20 20 PENDING NEW A NEW 0 PARTIALLY FILLED 1 LIMIT 2 LIMIT 2 LIMIT 2 20 20 20 20 BUY 1 BUY 1 BUY 1 BUY 1 PETR4 PETR4 PETR4 PETR4 NEW 0 NEW 0 PARTIAL FILL 1 0 20 5 1 2 3 4 NewOrderSingle D gt ExecutionReport 8 ExecutionReport 8 ExecutionReport 8 Account 1 500 500 500 500 AvgPx 6 20 ClOrd
8. 6 Best buy 7 Last price 8 Sell price 9 Buy Price 30 BM amp FBOVESPA The New Exchange strPrice As String Purpose Share price It should be completed whenever the condition price type equals 0 Limit Price It uses a dot as decimal separator and supports up to 6 decimal places Thousand separators are not used It can comprise up to 9 significant digits eowalidity As HBOrderValidity Purpose Order validity type Possible Values 0 Today 1 Until cancellation 2 Specific date 3 All or nothing at all 4 Execute or cancel strValidityDate as String Purpose Order validity date in the following format YYYYMMDD It should be completed whenever validity type equals 2 Specific Date 1 4 3 4 HBCancelOrder Purpose Relevant information for order cancellation Used for cancellation requests Properties hbOrderInfo As HBOrderInfo Purpose Details of order to be cancelled StrExchangeNumber As String Purpose Exchange Number of order to be cancelled 1 4 3 5 HBQueryLimits Purpose Relevant information about limit queries Properties strCtriNumber As String Purpose Request identifier StrUserlD As String Purpose User associated with a query 31 MULTIGATEWAY BM amp F BOVESPA __ CC The New Exchange Note The user code field should not exceed 8 digits including the check digitwithout a hyphen 32 BM amp FBOVESPA The New Exchange 1 4 3 6 HBRe
9. ExecTransType 20 0 OrderID 37 Fix000000000000002 OrderQty 38 1000 1000 OrdStatus 39 PENDING NEW A OrdType 40 LIMIT 2 LIMIT 2 Price 44 87 87 Side 54 SELL 2 SELL 2 69 4 ExecutionReport 8 300 FixSample00004 0 Fix000000000000006 0 1106000003BAHI4 1000 NEW 0 LIMIT 2 87 SELL 2 BM amp FBOVESPA The New Exchange Symbol 55 BAHI4 BAHI4 BAHI4 ExecType 150 NEW 0 NEW 0 LeavesQty 151 0 0 Text 58 3 2 OrderCancelRequest 3 2 1 Cancellation of a Registered Order The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating the cancellation of a registered order 1 Client sends an OrderCancelRequest message 2 MultiGateway returns an ExecutionReport message with a PENDING CANCEL order status advising it has received an order cancellation request 3 After the request is processed MultiGateway returns an ExecutionReport message with a CANCELLED order status advising that the order has been cancelled Sequence 1 2 3 Message Received OrderCancelRequest F client Message Sent ExecutionReport 8 ExecutionReport 8 multigateway Account 1 300 300 ClOrdiD 11 FixSample00005 FixSample00005 FixSample00005 CumQty 14 0 0 ExecID 17 Fix000000000000007 Fix000000000000008 ExecTransType 20 0 0 OrderID 37 Fix000000000000003 Fix000000000000004 OrderQty 38 100 100 100 OrdStatus 39 PENDING CANCEL 6 C
10. Message Buffer In order to ensure that messages are sent both server and client store all messages sent to the other leg in a buffer This is done so as to address those cases where it becomes necessary to resend previously sent messages on account of network glitches for example By reviewing the dwAck field each time a new message is received it is possible to know what was the last message processed by the other leg Thus based on such information all messages whose sequence number is equal to or lower than the dwAck can be flushed from the buffer memory 1 2 3 Resend Mechanism Every time a message is received the dwSeq field is matched against an expected value dwSeq of the previous message added to 1 Should this value be higher than expected it means that messages have not been received Thus it is necessary to request the other leg to resend the messages not yet received so as to reestablish the correct sequence 1 2 4 Active Connection Check The HeartBeat ImAlive mechanism is used to verify that the connection between client and server remains active even after a time interval has elapsed without any messages being received After a period of inactivity which is set up by the system administrator the server sends a HeartBeat message to the client Upon receiving this type of message the client sends another ImAlive type message to the server In the event that the server does not receive an ImAlive type message after a
11. been received but at least one of its fields is not consistent Rejected messages are stored and the sequence number increased Messages with checksum or size errors will be disregarded BOVESPA MultiGateway will send a TestRequest request to detect the sequence failure and issue a Resend request If the error persists for three consecutive times the message will be disregarded and the sequence value increased The Text field will flag the reason for rejection if the cause has been identified A standard FIX Reject message is in the following format Tag Field name Required Remarks 45 RefSeqNum Yes Reference for the sequential number of a message 371 RefTagID No Number of the referenced FIX field 372 RefMsgType No Type of the referenced FIX message 373 SessionRejectReason No Code to identify message rejection Valid values 0 Invalid tag number 1 Required tag missing 2 Tag not defined for this message type 3 Undefined Tag 4 Tag specified without a value 5 Value is incorrect out of range for this tag 6 Incorrect data format for value 7 Decryption problem 8 Signature problem 9 ComplD problem 10 SendingTime accuracy problem 11 Invalid MsgType 58 Text No Text field Note No maximum length has been determined for this field 354 EncodedTextLen No Length in bytes of the EncodeText field 355 EncodedText No Encoded representation of the Text 58 field contents following the format defined in the M
12. blnNoMessagesAvailable As String Purpose Indicates whether or not orders are available strOrderBooklindex As String Purpose Order entry index in Order Book hbOrderInfo As HBOrderInfo Purpose Object comprising detailed information about an accepted order 1 4 3 17 HBOrderBookResponse2 Purpose Interface based on the HBConnection interface aimed at creating new methods and ensuring compatibility 39 BM amp FBOVESPA The New Exchange Properties strDisplayQuantity As String Purpose Quantity to be displayed for orders with disclosed quantity 1 5 LIB 1 5 1 LibGnr a Component Installation To register the component follow the steps below Copy the new LibGnr a file in binary mode and the GnrCli h file in ASC mode to your computer Linkedit along with client application Linkedition example If ApICli c is the client application the following line should be added include Gnrcli h in the program text and to linkedit use the following command cc ApICli c libGnr a o AplCli 1 5 2 Basic Use The LIB Library i e a Unix library added to the client application to access functions is provided by the client application developers for linkedition It consists of functions called by the client application These functions start up listening for a connection and authentication on the Gateway and once these are accomplished methods are sent to the Gateway The LIB has two fronts one that awaits and sends m
13. certain period of time has elapsed connection with client is closed In like manner if the client fails to receive a HeartBeat type message after a time interval it will close the connection with the server After the connection has been closed the Gateway server once again attempts to establish a new connection with the client 11 BM amp FBOVESPA M The New Exchange 1 2 5 Session Layer Messages 1 2 5 1 Authentication Request Message Type Authentication Request Purpose Send authentication data to the MultiGateway server This is the first message to be routed after a physical connection with the server has been established Structure sMsgAuth Source Client Destination Server struct sMsgAuth sClientMsgHeader sHeader union struct char cldCorretora 5 char cldVersao 5 char cOSPlatformld 6 char cOSMajorVersion 6 char cOSMinorVersion 6 char cOSBuildNumber 6 char cOSCSDVersion 15 char cOSServicePackMajor 6 char cOSServicePackMinor 6 char cProcessorArchitecture 6 char cProcessorT ype 6 char cProcessorLevel 6 char cProcessorRevision 6 char cProcessorSpeed 6 char cMemory 6 char cIP 15 char cPort 5 char cSource 120 Bytes gt 8 oito Blocos s o necess rios char cFiller 8 BLOCO_CRIPTO sBody 12 BM amp FBOVESPA M The New Exchange 1 2 5 2 Authentication Success Message Type Successful authentication Purpose To authenticate the cli
14. following message will pop up RegSvr32 e 1 DilRegisterServer em C bovespajnoval GWHBClientCOM dll teve xito 1 4 2 Basic Use Instantiate an HBConnection class object Use the Start method to start the process of connection and authentication on the Gateway Server Await the arrival of AuthenticationOK event to start the send and cancel process Use the object to convey event requests and event reception In the case of an authentication and or connection error use Stop method to release resources followed by Start method to resume the connection process When execution stops call Stop method to release resources of the HBConnection object In order to use the new functionalities it will be necessary to utilize the HBConnection2 interface which inherits the methods and properties of HBConnection and implements SendOrder2 allowing the disclosed quantity to be sent and ModifyOrder Whenever an OrderBookResponse event is used the resulting event will share the OrderBookResponse interface To access the strDisplayQuantity property it is necessary to access the OrderBookResponse2 interface Visual Basic gt this is a streamlined conversion that can be performed by creating a new tipoHBOrderBookResponse2 object for example 25 BM amp FBOVESPA The New Exchange Dim obj OrderBookResponse2 As HBOrderBookResponse2 Set obj OrderBookResponse obj OrderBookResponsel Visual C gt
15. quantity Therefore whenever a user sends a modification it will be necessary to calculate the quantity whether or not they wish to modify it Example Original Qty 500 Executed Qty 100 remaining qty 400 In the foregoing example if a ModifyOrder with Qty 500 is sent it is a clear indication that the remaining quantity i e 400 should be increased to 500 Asa result the total quantity will be 600 600 100 executed 500 BM amp FBOVESPA The New Exchange In this case to prevent the remaining quantity from being modified a Qty of 400 should be relaid so as to ensure that the total quantity returned is 500 500 100 400 For all other fields the original values can remain unchanged unless one wishes to change them 3 2 1 2 FIX To modify an order it is necessary to inform all fields from the original order even if such modification is made only to a single field To change an order quantity the value sent in the quantity field should always be the total order quantity and not just the remaining quantity as in the API case Ex Original order Quantity 500 Executed 300 Remaining 200 Modification 1 Quantity 400 In the foregoing modification the remaining quantity would be 100 since 400 300 which is the executed quantity 100 Modification 2 Quantity 600 In the foregoing modification the remaining quantity would be 300 since 600 300 which is the executed quantity 300 Modi
16. regarding the index of the last MEGA BOLSA message returned by the Gateway as well as the Control Number of the last message successfully sent by Unix LIB It accepts as parameter a TypelndexResponse type structure with the following fields typedef struct char pcCtriNumber 11 char pclIndex 7 TypelndexResponse Where e ControlNumber Sequential number of the last order sent by Unix LIB and successfully received by the Gateway e Index Sequential number generated by the Gateway belonging to the Gateway s last response sent by the Gateway and successfully received by the Unix LIB 1 5 4 8 OrderBookResponse It is generated in response to a QueryOrderBook query It accepts as parameter a TypeOrderBookResponse type structure with the following fields typedef struct char pclndex 7 49 BM amp FBOVESPA The New Exchange char pcCtriNumber 11 char pcStock 13 char pcUserID 9 i int iOrderType int iCondition int iValidity char pcQuantity 13 char pcPrice 11 char pcValidityDate 9 char pcOrderTime 15 i char pcExchNumber 13 char pcCumulativeQuantity 13 char pcRemainingQuantity 13 char pcAveragePrice 11 char pcOrderBooklIndex 7 int iNumberOfTrades i char pcStatusOfOrder 3 char cNoMsgsAvailable char acDisclosedQty 13 field input from version 1 3 0 0 TypeOrderBookResponse Where e pcindex Sequential number attributed by Gateway to its response messages pcCtri
17. the HBOrderBookResponse2 interface can be accessed through Queryinterface 1 4 3 Component Classes 1 4 3 1 HBConnection Purpose Responsible for Gateway connection maintenance allowing requests to be sent and responses to be received in the form of events It should be instantiated at the start of the application and remain instantiated while the application is running so as to allow events to occur while the application is also used for Gateway requests Properties LngStatus As Long Purpose Gateway connection status Possible Values 0 No connection with server 1 Awaiting connection with Gateway server 2 Connected to server 1 Connection error Methods SendOrder hbOrderInfo As HBOrderInfo Purpose Send orders to the trading system Parameters hbOrderInfo object with order details Purpose Starts the broker connection process Parameters LngPort connection port with Gateway IntCorretora Broker identification LngVersao Client x Gateway protocol version number Currently it should be set to 4 Stop Purpose Terminates connection with Gateway CancelOrder hbCancelOrder As HBCancelOrder Purpose Cancels an order previously sent to the trading system Parameters HbCancelOrder object with details of order to be cancelled Querylndex Purpose Requests that the Gateway provide the last index sent and the last control number received 26 BM amp FBOVESPA M The New Exchange Q
18. warned about a status transition to ERROR and subsequently to CLOSED This event accepts no parameters and receives a null in pvParam 1 5 4 13 ModifyResponse It occurs when MEGA BOLSA sends a response to a ModifyOrder transaction accepting as parameter a TypeModifyResponse object type structure comprising the following fields typedef struct char pcCtriINumber 11 char pcUserID 9 int iOrderType int iCondition int iValidity char pcQuantity 13 51 BM amp FBOVESPA The New Exchange char pcPrice 11 char pcValidityDate 9 char pcExchNumber 13 char pcOrderTime 15 char acDisclosedQty 13 char acExecutedTradeQuantity 13 char pclndex 7 TypeModifResponse Where e ControlNumber Sequential number for an order modification e Userld Code of client modifying an order e ExchangeNumber MEGA BOLSA order number e Condition Refers to the modification type and can be either partial or total e Index Sequential number attributed by Gateway to its response messages eiOrderType Sent order s type either buy or sell e iValidity Order validity for current day until cancellation 30 days maximum executes or cancels until a designated date e pcQuantity Quantity ordered e pcPrice Order price construed in accordance with the trading condition e pcValidityDate Limit date of order validity if such validity extends to a specific date e pcOrderTime Order date time e ExecutedTrad
19. 11 Order Execution Response Message Type Order execution response Purpose Message sent after order was executed on the trading system Class CAppMsgOrderResponse Source Server Destination Client Field Description strindex Message index strCtriNumber ControlNumber number that identifies the order for client application strStock Code symbol of stock to be traded strUserID Exchange user s code eotType Order type 0 buy 1 sell eocCondition Condition for order execution 0 limit price 3 opening price eovValidity Validity type 0 today 1 until cancellation 2 specific date 3 all or nothing at all 4 execution or cancellation strQuantity Quantity of shares to be traded strPrice Price per share strValidityDate Validity date strExecutionTime Date and time of order execution strExchangeNumber Identification code for each transaction on trading system etcCondition Execution condition 0 Partial 1 Total strTradeQuantity Executed trade quantity strTotalExecutedQuanti Original order s executed quantity ty strRemainingQuantity Remaining quantity strExecutedPrice Executed price strCounterpartBroker Identification of counterpart broker strTradeld Trade identification 1 3 4 12 Index Query Response Message Type Index query response Purpose Message sent after index query request Class CAppMsglndexResponse Source Server Destination Client Field Description strindex Messag
20. 23 1 4 1 GWHBClientCOM dll Component Installation 23 1 4 2 Basic Use 24 1 4 3 Component Classes 24 1 4 3 1 HBConnection 24 1 4 3 2 HBConnection2 27 1 4 3 3 HBOrderlnfo 28 1 4 3 4 HBCancelOrder 29 1 4 3 5 HBQueryLimits 29 1 4 3 6 HBRecalMsgs 30 1 4 3 7 HBOrderResponse 30 1 4 3 8 HBCancelResponse 30 1 4 3 9 HBErrorResponse 31 1 4 3 10 HBIndexResponse 32 1 4 3 11 HBLimitResponse 32 1 4 3 12 HBTradeResponse 33 1 4 3 13 HBModifyResponse 34 1 4 3 14 HBNewOrder 35 1 4 3 15 HBModifyOrder 35 1 4 3 16 HBOrderBookResponse 35 1 4 3 17 HBOrderBookResponse2 36 1 5 LIB 37 1 5 1 LibGnr a Component Installation 37 ee BM amp F BOVESPA The New Exchange 1 5 2 Basic Use 37 1 5 3 Functions 38 1 5 3 1 GetStatus 38 1 5 3 2 GetLastCtriNumber 38 1 5 3 3 Start 38 1 5 3 4 Stop 39 1 5 3 5 SendOrder 39 1 5 3 6 CancelOrder 41 1 5 3 7 QueryLimits 41 1 5 3 8 Querylndex 41 1 5 3 9 RecallMessages 41 1 5 3 10 QueryOrderBook 41 1 5 3 11 ModifyOrder 42 1 5 4 Events 42 1 5 4 1 OrderResponse 43 2 1 5 4 2TradeResponse 43 1 5 4 3 CancelResponse 44 1 5 4 4 LimitResponse 44 1 5 4 5 ErrorResponse 45 1 5 4 6 TradeCancelResponse 45 1 5 4 7 IndexResponse 45 1 5 4 8 OrderBookResponse 46 1 5 4 9 AuthenticationOk 47 1 5 4 10 AuthenticationError 47 1 5 4 11 ConnectionAccepted 47 1 5 4 12 ConnectionError 47 1 5 4 13 ModifyResponse 48 2 FIX PROTOCOL 49 2 1 FIX 49 2 2 FIX Messages 49 2 2 1 Header 49 2 2 2 Trailer 50 2 2 3 Administrator s Messages 51 2 2 3 1 Logo
21. 5 SendOrder MEGA BOLSA s response to the execution of this function will generate a CancelResponse event 1 5 3 7 QueryLimits This function has been deprecated and should not be used Responsible for querying a client s balance during a given period the QueryLimits function accepts two parameters The sequential number of the transaction and the user who wishes to query the trading limits The Gateway response to this query will generate a LimitResponse event Syntax long QueryLimits char cCtriNumber char pcUserID Where pcCtriNumber should be the pointer to a broker s internal sequential number with ten 10 digits ending in 0 and pcUserld should be the pointer to a user code with six 6 digits ending in 0 44 BM amp F BOVESPA The New Exchange 1 5 3 8 Querylndex Responsible for querying the index of the last MEGA BOLSA message returned by the Gateway as well as the Control Number of the last message successfully sent by the broker application The Gateway response to this query will generate a LimitResponse event Syntax long Querylndex void 1 5 3 9 RecallMessages Responsible for requesting the recall of the last response messages sent by MEGA BOLSA The RecallMessages function accepts the following parameters The index of a message that enables the recall and discloses the number of messages to be recalled Syntax long RecallMessages unsigned int uilndex unsigne
22. ANCELLED 4 OrdType 40 2 2 OrigClOrdID 41 FixSample00001 FixSample00001 FixSample00001 Price 44 10 10 10 Side 54 BUY 1 BUY 1 BUY 1 Symbol 55 PETR4 PETR4 PETR4 ExecType 150 PENDING CANCEL 6 CANCELLED 4 LeavesQty 151 100 0 3 2 2 Cancellation of a Non Existent Order The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating the cancellation of a non existent order 1 Client sends an OrderCancelRequest message 2 MultiGateway analyzes the message and returns an OrderCancelReject message with a REJ ECTED status and the text Order not found to advise that the request was rejected because the specified order was not found Sequence 1 2 Message Received OrderCancelRequest F client Message Sent OrderCancelReject 9 multigateway Account 1 300 ClOrdlD 11 FixSample00006 FixSamp e00006 OrderID 37 Fix000000000000002 OrderQty 38 100 OrdStatus 39 REJ ECTED 8 OrigClOrdID 41 FixSample00099 FixSamp le00099 Price 44 10 10 Side 54 BUY 1 BUY 1 Symbol 55 PETR4 PETR4 70 BM amp FBOVESPA The New Exchange Text 58 Order not found CxIRej ResponseTo CancelRequest 1 434 3 2 3 Cancellation of a Previously Cancelled Order The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating the cancellation of a previously cancelled order 1 Client sends an OrderCancelReque
23. BM amp FBOVESPA The New Exchange Tag Field name Required Remarks 8 Execution Report 9 Order Cancel Reject A Logon D Order Single F Order Cancel Request G Order Cancel Replace Request 49 SenderCompID Sim Defines message sender 56 TargetComplID Yes Defines message recipient 34 MsgSeqNum Yes Sequential number of message 50 SenderSubID No Value used to identify message creator 142 SenderLocationID No Value used to identify message creator location 57 TargetSubID No Value used to identify a specific individual or the only recipient of a message ADMIN reserved for administrator s message not addressed to a specific user 143 TargetLocationID No Value used to identify message destination location 97 PossResend No It indicates that message may contain information sent under another sequential number Valid values Y Possible resend N Original send 52 SendingTime Yes Message send time always in Universal Time Coordinated UTC 122 OrigSendingTime No Original message send time when resend requests are answered always in Universal Time Coordinated UTC 369 LastMsgSeqNumProcessed No The last MsgSeqNum received and processed It can be specified for each sent message 54 Eee BM amp FBOVESPA The New Exchange On messages generated by BOVESPA the SenderCompID tag should the same as BOVESPACompID which has the fixed value BOVESPA As for t
24. CancelResponse Purpose Triggered to inform that an order has been cancelled which may have been requested through the CancelOrder method or through other trading system tools Supervisor and or Mega Control Parameters HbCancelResponse object comprising details about the cancellation of an order ErrorResponse hbErrorResponse As IHBErrorResponse Purpose Triggered in response to a request handling error Order Cancellation or Limit Query Parameters HbErrorResponse object comprising error details IndexResponse hbIndexResponse As IHBIndexResponse Purpose Response to an information query about the last indices sent and the control number processed by the Gateway Parameters HbIndexResponse object comprising the last index sent and also the last control number processed by the Gateway LimitResponse hbLimitResponse As IHBLimitResponse Purpose Response to a limit query Parameters HbLimitResponse object comprising information about a user s available balance TradeResponse hbTradeResponse As IHBTradeResponse Purpose Event triggered to inform that a trade has been executed Parameters HbTradeResponse object comprising details about the execution of a trade TradeCancelResponse hbTradeCancelResponse As IHBTradeResponse Purpose Event triggered to inform that a trade has been cancelled Parameters HbTradeCancelResponse object comprising details of a trade cancellation
25. CtriNumber strStock strUserID eotType eocCondition eovValidity strQuantity strPrice strValidityDate strOrderTime strExchangeNumber m_strOrderTime m_strTotalExecutedQuantity Description Message index ControlNumber number that identifies the order for client application Code symbol of stock to be traded Exchange user s code Order type 0 buy 1 sell Condition for order execution 0 limit price 3 opening price Validity type 0 today 1 until cancellation 2 specific date 3 all or nothing at all 4 execution or cancellation Quantity of shares to be traded Price per share Validity date Date when order was registered on trading system Order identification code on trading system Date when order was registered on trading system Original order s total executed quantity 19 BM amp FBOVESPA The New Exchange 1 3 4 9 Order Cancellation Confirmation Response Message Type Order cancellation response Purpose Message sent after confirmation that an order was cancelled on the trading system Class CAppMsgCancelResponse Source Server Destination Client Field Description strindex Message index strCtriINumber ControlNumber number that identifies the order for client application strStock Symbol code of stock to be traded strUserID Exchange user s code eotType Order type 0 buy 1 sell eocCondition Condition for order execution 0 limit price 3 opening pric
26. M amp FBOVESPA The New Exchange 3 ExecutionReport 8 300 FixSample00001 0 Fix000000000000001 0 1106000001PETR4 100 NEW 0 LIMIT 2 10 BUY 1 PETR4 NEW 0 100 3 1 2 Order Registration Request followed by Rejection The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating an order registration attempt which is rejected due to a missing mandatory message field 1 Client sends a NewOrderSingle message without the Account 1 field 2 MultiGateway returns a Reject message with the text Required tag missing and a value of 1 in field RefTaglD 371 relative to the missing message field Sequence 1 2 Message Received NewOrderSingle D client Message Sent Reject 3 multigateway Account 1 ClOrdID 11 FixSample00002 MsgSeqNum 34 2 2 OrderQty 38 100 OrdType 40 LIMIT 2 LIMIT 2 Price 44 10 RefSeqNum 45 2 Side 54 1 Symbol 55 PETR4 Text 58 Required tag missing RefTagID 371 1 RefMsgT ype 372 NewOrderSingle D 64 SessionRejectReason 373 3 1 3 Freezing of Order The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating an order registration attempt followed by a freezing of order message BM amp FBOVESPA The New Exchange Required Tag Missing 1 1 Client sends a NewOrderSingle message 2 MultiGateway returns an ExecutionReport message wi
27. Multigatewa USER S MANUAL VERSION 3 1 EXTERNAL BM amp F BOVESPA The New Exchange oli ne ai BM amp F BOVESPA The New Exchange Introduction This document introduces MEGADirect BM amp FBOVESPA s new interface for entering orders into the exchange s MEGABOLSA trading platform This manual should be studied by managers and employees of all participating institutions currently using the service Whenever necessary BOVESPA will inform all users who have received this manual of any revisions and alterations made to the chapters Prior to any Multigateway access requests please refer to the guidelines available at www bovespanet com br Regulations Order Routing Automated Connections Technical support for participating institutions will be provided by the Call Center on the Sao Paulo telephone number 5511 3233 2333 or by e mail cab bovespa com br Change Log Version Description Author 3 1 Added support to market to BS limit orders Deprecated use of the QueryLimits function 1 0 First version J ML MULTIGATEWAY BM amp F BOVESPA The New Exchange Contents Chapters Page Introduction 2 Modifications 2 Content 4 l GOALS APPLICATION AND DEFINITIONS 1 GOALS 8 2 APPLICATION 8 3 DEFINITIONS 8 3 1 Terminology and Designations 8 3 2 System Rules 8 3 2 1 Order Modification 8 3 2 1 1 API 8 3 2 1 2 FIX 9 3 2 2 Cancellation or Modification of Previously Modified Order
28. Number Executed order s identifying number e pcStock Stock and market code symbol according to the BOVESPA standard pcUserID Client code of the broker requesting the order iOrderType Sent order s type either buy or sell according to the GNROrderType numbered type iCondition Trading condition limit price opening price best price market price according to the GNROrderCondition numbered type iValidity Order validity for current day until cancellation 30 days maximum executes or cancels until a designate date according to the GNROrderValidity numbered type pcQuantity Quantity ordered pcPrice Order price construed in accordance with the trading condition pcValidityDate Limit date of order validity if such validity extends to a specific date m pcOrderTime Order date time pcExchNumber MEGA BOLSA order number pcCumulativeQuantity Total executed quantity pcRemainingQuantity Remaining quantity pcAveragePrice Average execution price pcOrderBookindex Order entry index in Order Book iNumberOfTrades Number of closed trades pcStatusOfOrder Order status It can accept the following values Order waiting E SPACE O Order accepted O SPACE OX Order partially executed OG Order on hold TX Order totally executed A Order cancelled A SPACE 50 BM amp FBOVESPA M The New Exchange AX Cancelled order partially executed R Order re
29. OrdType 40 Price 44 Side 54 Symbol 55 ExecType 150 LeavesQty 151 Text 58 1 NewOrderSingle D 300 FixSample00004 3000 LIMIT 2 87 SELL 2 BAHI4 2 ExecutionReport 8 300 FixSample00004 0 Fix000000000000004 0 Fix000000000000002 3000 PENDING NEW A LIMIT 2 87 SELL 2 BAHI4 NEW 0 0 BM amp FBOVESPA The New Exchange 3 1 6 Order Send followed by Partial Trade Freezing and Subsequent Defreezing of Order upon Acceptance The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating an order registration attempt followed by a partial order response and its freezing 1 Client sends a NewOrderSingle message 2 MultiGateway returns an ExecutionReport message with a pending status 3 After the order is processed MultiGateway returns to client an ExecutionReport message with a SUSPEND order status advising that the order has been frozen 4 Subsequently it returns an ExecutionReport message to client with a SUSPENDED order status advising that the trade was partially executed 3 ExecutionReport 8 300 FixSample00004 0 Fix000000000000005 0 1106000003BAHI4 3000 SUSPEND 9 LIMIT 2 87 SELL 2 BAHI4 SUSPEND 9 0 This function is prohibited due to the current status of the security Sequence Message Received client 1 Message Sent multigateway Account 1 AvgPx 6 ClOrdID 11 CumQty 14 Ex
30. Quantity Executed trade Quantity e RemainingQuantity Remaining quantity on the order that generated a given trade e Condition Execution type either partial or total Price Executed price AveragePrice Average price of all partial executions for a given order e ExcutedTime Trade date time CounterpartBroker Number of broker that carried out the trade e Index Sequential number attributed by Gateway to its response messages When the Condition field value equals otcTotal order execution will have been completed and cannot be cancelled When the executed trade status equals otcPartial the order may have its non traded part cancelled 1 5 4 3 CancelResponse It occurs when MEGA BOLSA sends a response to a CancelOrder transaction accepting as parameter a TypeCancelResponse object type structure comprising the following fields typedef struct char pcCtriNumber 11 char pcUserID 9 char pcExchNumber 13 char pcCancelQuantity 13 int iCondition char pcCancelTime 15 char pclIndex 7 TypeCancelResponse Where e ControlNumber Sequential number of order cancellation 47 BM amp F BOVESPA M The New Exchange e Userld Code of client cancelling an order e ExchangeNumber MEGA BOLSA order number e CancelQuantity Cancelled quantity e Condition The cancellation either partial or total according to GNRCancelConditon numbered type Enums occPartial 0 occTotal 1 GNRCancelConditio
31. active A standard FIX HeartBeat message is in the following format Tag Field name Required Remarks 112 TestReqID No Identifier used with Test Request messages 2 2 3 4 TestRequest A TestRequest message forces the other side to send a heartbeat message The other application should return the TestReqID field value BOVESPA MultiGateway fills this space with date and time A standard FIX TestRequest message is in the following format Tag Field name Required Remarks 112 TestReqID Yes Identifier used with Test Request messages 2 2 3 5 ResendRequest The ResendRequest message is used to request that messages be resent It is possible to request one single message a range of messages or all messages of a given sequence It is recommended that the reception application store the messages on a first in first out basis If a message is lost the subsequent messages should be disregarded and a ResendRequest request be issued To request one single message BeginSeqNo EndSeqNo e To request a range of messages BeginSeqNo Beginning EndSeqNo End e To request all messages BeginSeqNo First EndSeqNo 999999 A standard FIX ResendRequest message is in the following format Tag Field name Required Remarks 7 BeginSeqNo Yes Sequential number of first message 16 EndSeqNo Yes Sequential number of last message 57 BM amp F BOVESPA The New Exchange 2 2 3 6 Reject The Reject message should be used to flag that a message has
32. alues Order Rejected not registered 1 4 3 10 HBindexResponse Purpose Information regarding a response to an index query Properties strLastCtriNumber As String Purpose Last Control Number processed by the Gateway strLastIndex As String Purpose Index of last message sent by the Gateway 1 4 3 11 HBLimitResponse Purpose Information about user s trading limit Properties strConsumedLimit As String Purpose Consumed limit value strCtriNumber As String Purpose Request identifier query 35 BM amp FBOVESPA M The New Exchange strindex As String Purpose Daily sequential index of a sent message In the case of a sequence breakdown the application should request that messages be resent strPeriod As String Purpose Number of days before limit is reset strTotalLimit As String Purpose User s total limit strUserID As String Purpose Code of user whose limit has been queried Note The user code field should not exceed 8 digits including the check digit without a hyphen 1 4 3 12 HBTradeResponse Purpose Information about trade execution or cancellation Properties hbTradeCondition As HBTradeCondition Purpose Trade condition Possible Values 0 Partial execution 1 Total execution hbOrderInfo As HBOrderInfo Purpose Order information details strAveragePrice As String Purpose Average price of all executions associated with an order strCounterpartBroker As Stri
33. ameter a TypeOrderResponse type structure comprising the following fields typedef struct char pcCtriNumber 11 char pcUserld 9 char pcExchNumber 13 char pcOrderTime 15 char pclIndex 7 TypeOrderResponse Where e ControlNumber Sequential number of a closed order e Userld Client code of the broker requesting the order e ExchangeNumber Number of the MEGA BOLSA order this number should be kept and later sent along with the order in the event of an order cancellation e OrderTime Order date time e Index Sequential number attributed by Gateway to its response messages 1 5 4 2 TradeResponse It occurs when MEGA BOLSA sends a partial or total order execution and receives a TypeTradeResponse type structure comprising the following fields 46 BM amp FBOVESPA The New Exchange Typedef struct char pcCtriNumber 11 char pcUserld 9 char pcTradeNumber 13 char pcExchNumber 13 char pcExecutedQuantity 13 char pcExecutedTradeQuantity 13 char pcRemainingQuantity 13 int iCondition char pcePrice 11 char pcAveragePrice 11 char ExecutedTime 15 char pcCounterpartBroker 4 char pclIndex 7 TypeTradeResponse Where e ControlNumber Sequential number of order being executed e Userld Code of client whose order is being executed e TradeNumber Trade number on MEGA BOLSA e ExchangeNumber Order number which generated a trade e ExecutedQuantity Total executed quantity e ExecutedTrade
34. andatory when 59 GTD 126 ExpireTime No Order expiration date and time this field should be defined in UTC 120 SettlCurrency No Currency code 58 Text No Text field Note No maximum length has been determined for this field 210 MaxShow No Maximum number of an order s shares that can be shown to other clients See Chapter I item 3 2 2 38 OrderQty Yes Quantity of shares requested See Chapter I item 3 2 1 63 3 3 1 Fix Messages NewOrderSingle 3 1 1 Order Registration The sequence shown below demonstrates an exchange of messages between a client and MultiGateway illustrating an order registration 1 Client sends a NewOrderSingle message 2 MultiGateway returns an ExecutionReport message with a PENDING NEW order status advising it has received the order 3 After the order is processed MultiGateway returns to client an ExecutionReport message with a NEW order status advising that the order has been registered Sequence Message Received client Message Sent multigateway Account 1 ClOrdID 11 CumQty 14 ExecID 17 ExecTransType 20 OrderID 37 OrderQty 38 OrdStatus 39 OrdType 40 Price 44 Side 54 Symbol 55 ExecType 150 LeavesQty 151 1 2 NewOrderSingle D ExecutionReport 8 300 300 FixSample00001 Fix000000000000000 Fix000000000000000 0 100 100 LIMIT 2 LIMIT 2 10 10 BUY 1 BUY 1 PETR4 PETR4 NEW 0 0 FixSample00001 0 PENDING NEW A B
35. antity Price Order price construed in accordance with the trading condition Condition Trading condition limit price opening price best price market price according to the GNROrderCondition numbered type Enum GNROrderCondition cndLimitPrice 0 cndMarketPrice 1 cndBestPrice 2 cndOpenPrice 3 cndAnyPrice 4 cndBestSell 5 cndBestBuy 6 cndLastPrice 7 cndSellPrice 8 cndBuyPrice 9 e Validity Order validity for the day until cancellation 30 days maximum all or nothing at all executes or cancels until a designated date according to the GNROrderValidity numbered type Enum GNROrderValidity vidToday 0 vidUntilCancel 1 vidDate 2 vIdAllOrNothing 3 vidExecuteOrCancel 4 e Validity Date Limit date of order validity if such validity extends to a specific date IgnoreLimit Enables orders to be sent with values above the daily trading limit or orders whose value added to a client s current balance also exceeds the aforementioned limit Note Upon receiving an order whose value exceeds the daily trading limit the Gateway will adopt the following procedure 43 BM amp FBOVESPA The New Exchange elf the order has an enabled IgnoreLimit field an Error Response will be issued to indicate improper use of this field elf the order has a disabled IgnoreLimit field a Limit Response will be issued i e the adopted procedure will be normal and the order will be stor
36. callMsgs Purpose Relevant information for message recalls Properties strBegin As String Index of the initial message whose resend is being requested strEnd As String Index of the final message whose resend is being requested 1 4 3 7 HBOrderResponse Purpose Information about the acceptance of an order by the trading system Properties StrExchangeNumber As String Purpose Number attributed to an order by the trading system strOrderTime As String Purpose Time when an order was registered on the system use YYYYMMDDHHMMSS format strindex As String Purpose Daily sequential index of sent message In the case of a sequence breakdown the application should request that messages be resent hbOrderInfo As HBOrderInfo Purpose Object comprising details of an accepted order 1 4 3 8 HBCancelResponse Purpose Information about the cancellation of an order by the trading system Properties StrExchangeNumber As String Purpose Number attributed to a cancelled order by the trading system strindex As String Purpose Daily sequential index of the sent message In the case of a sequence breakdown the application should request that messages be resent 33 BM amp FBOVESPA The New Exchange hbOrderInfo As HBOrderInfo Purpose Details of cancelled order strCancelledQuantity As String Purpose Cancelled quantity hbCancelCondition As HBCancelCondition Purpose Cancellation condition Possible Valu
37. cuting Broker Single identifier for list provided by institution Account agreed upon between broker and institution Indicates the order s execution creation time this field should be filled using the UTC format 434 102 58 354 355 CxIRej ResponseTo CxIRej Reason Text EncodedTextLen EncodedText Yes No No No 2 2 4 4 ExecutionReport The Execution Report message is used to 1 Confirm order reception 2 Confirm order modifications 3 Order status information 4 Order rejection Identifies the Cancel Request type in responding Valid values 1 Order Cancel Request 2 Order Cancel Replace Request Code to identify the reason for cancellation rejection Valid values 0 Too late to cancel 1 Unknown order 2 Broker Option 3 Order already in Pending Cancel Text field Length in bytes of the EncodeText field Encoded representation of the Text 58 field contents following the format defined in the MessageEncoding field The Execution Report message is in the following format Tag Field name Required Remarks 37 OrderID Yes Single order identifier provided by broker 11 ClOrdID No Order identifier provided by institution 41 OrigClOrdID No ClOrdID of a previous order provided by institution and used to identify a previously sent order for cancellation requests 17 ExecID Yes Single message execution identifier provided by broker it should be 0 if th
38. d defined by BOVESPA Each message has specific fields depending on their purposes although the fields listed below are common to all messages Field name Format Description M_strIndex String Application message index M_strMsgTransmissionTime String Date Time message was sent 1 3 1 Index The index field m_strindex is responsible for application message sequencing Unlike the session layer where sequencing is achieved on a per connection basis the application message sequence is done on a daily basis This sequencing allows all application messages to be indexed stored and made available to the client throughout the day 1 3 2 Control Number The Control Number field found in most messages conveys information which although not relevant to the Gateway functions as an order identifier for client applications The Gateway server always stores the last Control Number used which corresponds to the same number sent in the client s authentication confirmation message 1 3 3 Resend Sequence Control Every time a message is sent to the client the server expects an Ack type message informing that the message was properly processed by the client This message comprises information to help the server control how application messages are sent and resent With each authentication the Gateway server sends its client the last index and the last Control Number it has processed On this occasion the server reviews the Ack messages received
39. d defreezing MultiGateway returns to client an ExecutionReport message with a NEW order status advising that the order has been accepted Sequence Message Received client Message Sent multigateway Account 1 ClOrdID 11 CumQty 14 ExecID 17 ExecTransType 20 OrderlD 37 OrderQty 38 OrdStatus 39 OrdType 40 Price 44 Side 54 Symbol 55 ExecType 150 LeavesQty 151 Text 58 NewOrderSingle D FixSample00004 1000 LIMIT 2 87 SELL 2 BAHI4 ExecutionReport 8 300 FixSample00004 0 Fix000000000000004 0 Fix000000000000002 1000 PENDING NEW A LIMIT 2 87 SELL 2 BAHI4 NEW 0 0 ExecutionReport 8 300 FixSample00004 0 Fix000000000000005 0 1106000003BAHI4 1000 SUSPEND 9 LIMIT 2 87 SELL 2 BAHI4 SUSPEND 9 0 x This function is prohibited due to the current status of the security 66 ExecutionReport 8 300 FixSample00004 0 Fix000000000000006 0 1106000003BAHI4 1000 NEW 0 LIMIT 2 87 SELL 2 BAHI4 NEW 0 0 3 1 5 Freezing of Orders followed by Rejection upon Defreezing BM amp FBOVESPA The New Exchange The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating an order registration followed by a freezing order response and its defreezing 1 Client sends a NewOrderSingle message 2 MultiGateway returns an ExecutionReport message with a pending
40. d int uiNumMsggs 1 5 3 10 QueryOrderBook Responsible for requesting the transmission of a user s Order Book i e all orders by a given user 300 for example recorded in a broker s Order Book The QueryOrderBook function accepts as parameters the request type the order index to be used for recall and the index of the last order one wishes to recall The valid values for this type are 0 When the initial and final values of a query are informed or 1 When one wishes to query the last order only in this case all other parameters are disregarded Note the indices pertaining to this query are those found when an order is entered into the Order Book and not those generated by the Gateway for each message sent to Unix LIB Syntax long QueryOrderBook unsigned int uiType unsigned int uiBegin unsigned int uiEnd 1 5 3 11 ModifyOrder Responsible for the modification of an order the ModifyOrder function accepts as parameters the sequential number of the transaction the broker s client number a TypeOrder type structure and the Exchange Number of the order received during the OrderResponse event Syntax long ModifyOrder char pcCtriNumber char pcUserlD TypeOrder oOrder char pcExchNumber Where pcCtriNumber should be the pointer to the broker s internal sequential number with ten 10 digits ending in 0 the pcExchangeNumber should be the pointer to the MEGA BOLSA order number with eleven 11 digits
41. d stands by for the connection GWHBClientCOM dil MultiGW _exe Rede BOVESPA The MultiGateway server in turn performs a number of successive attempts to connect with the client at time intervals defined by the system administrator on the cluster resources setup screens There both the number of attempts and the interval between attempts are set up Once it is running the MultiGateway server always tries to connect with its respective client which was previously set up on the administrator screen in order to attempt to keep this connection active As soon as the server s connection with the client is active message exchange begins The client submits an authentication request message and the server responds by either allowing or not allowing a new message to be sent A detailed description of this mechanism is provided below For optimal data distribution the system was divided into two layers session layer and application layer These are in actuality two conceptual layers with each layer in charge of specific activities The session layer is responsible for the physical communication between client and server It is in charge of opening the connection between the sockets message sequencing and retransmission It contains specific messages to this end which are handled by this layer only and are not sent to the application layer The messages exchanged between server and client include a header and a body The header is ma
42. de up of fixed fields which are identical for all messages The fields comprising the body are specific for each message The header structure is as follows Field name Format Description Wsize Numerica Stores the size in Bytes of the message to be sent l bytLayer Byte Informs the destination layer of the message 1 session layer 2 application layer bytType Byte Informs the message type Ex 1 authentication message 2 10 BM amp FBOVESPA The New Exchange authentication message OK dwSeq Numerica Message sequencial number Will be detailed in the Message Sequencing item dwAck Numerica Message reception sequential number Will be detailed in the Message Buffer for subsequent resend 1 2 1 Message Sequencing Message sequencing is performed by using the dwSeq and dwAck fields on the message header The dwSeq field informs the sequential number of a sent message starting from zero The dwAck field informs the number of the last message received processed and sent by the other leg Every time a connection between server and client is established both client and server reset their sequencing values At each new message sent the dwSeq value is increased by 1 When one of the legs receives a message it immediately updates its dwAck value to match the value received in the dwSeg field In this manner message sequencing takes place while ensuring that the messages are processed in the order they were sent 1 2 2 Resend
43. dvising that the order has been modified Sequence 1 2 3 Message Received OrderCancelReplace G client Message Sent ExecutionReport 8 ExecutionReport 8 multigateway Account 1 300 300 ClOrdiD 11 FixSample00005 FixSample00005 FixSample00005 CumQty 14 0 0 ExecID 17 Fix000000000000007 Fix000000000000008 ExecTransType 20 0 0 OrderID 37 Fix000000000000003 Fix000000000000004 OrderQty 38 100 100 100 OrdStatus 39 PENDING REPLACED 5 REPLACE E OrdType 40 2 2 OrigClOrdID 41 FixSample00001 FixSample00001 FixSample00001 Price 44 10 10 10 Side 54 BUY 1 BUY 1 BUY 1 Symbol 55 PETR4 PETR4 PETR4 ExecType 150 PENDING REPLACED 5 REPLACE E LeavesQty 151 100 100 3 3 2 Changing a Non Existent Order The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating an attempt to modify a non existent order 1 Client sends an OrderCancelReplace message 2 MultiGateway analyses the message and returns an OrderCancelReject message with a REJ ECTED status and the text Order not found to advise that the request was rejected because the specified order was not found Sequence 1 2 Message Received OrderCancelReplace G client Message Sent ExecutionReport 8 multigateway Account 1 300 ClOrdiD 11 FixSample00006 FixSample00006 OrderID 37 Fix000000000000002 OrderQty 38 100 OrdStatus 39 REJ ECTED 8
44. e eovValidity Validity type 0 today 1 until cancellation 2 specific date 3 all or nothing at all 4 execution or cancellation strQuantity Quantity of shares to be traded strPrice Price per share strValidityDate Validity date strCancelTime Date when order was cancelled on trading system strExchangeNumber Order identification code on trading system eccCondition Cancellation condition 0 Partial 1 Total strCancelledQuantity Cancelled quantity 1 3 4 10 Error Event Response Message Type Error event response Purpose Message sent after an error has been detected when handling a request Class CAppMsgOrderResponse Source Server Destination Client Field Description strindex Message index strCtriNumber ControlNumber number that identifies the order for client application strStock Code symbol of stock to be traded strUserID Exchange user s code eotType Order type 0 buy 1 sell eocCondition Condition for order execution 0 limit price 3 opening price eovValidity Validity type 0 today 1 until cancellation 2 specific date 3 all or nothing at all 4 execution or cancellation strQuantity Quantity of shares to be traded strPrice Price per share strValidityDate Validity date strErrorTime Error event date strOrderStatus Order status strErrorSeverity Error severity strErrorNumber Error code number strErrorMsg Error message 20 BM amp FBOVESPA The New Exchange 1 3 4
45. e ExecTransType field is defined with Status 3 20 ExecTransType Yes Identifies the transaction type Valid values 0 New 1 Cancel 150 ExecType Yes Defines the Execution Report specifically Valid values 61 BM amp FBOVESPA The New Exchange Tag Field name Required Remarks 0 New 1 Partial fill 2 Fill 4 Cancelled 5 Replace 6 Pending Cancel 8 Rejected 9 Suspended A Pending New E Pending Replace 39 OrdStatus Yes Identifies an order s current status Valid values 0 New 1 Partially filled 2 Filled 4 Cancelled 5 Replaced 6 Pending Cancel 8 Rejected 9 Suspended A Pending New E Pending Replace 54 Side Yes Order side Valid values 1 Buy 2 Sell 14 CumQty Yes Cumulative order executed 151 LeavesQty Yes Quantity pending for a given order 6 AvgPx Yes Average price 103 OrdRejReason No Code to identify the reason for order rejection Valid values 0 Broker option 1 Unknown symbol 2 Exchange closed 3 Order exceeds limit 4 Too late to enter 5 Unknown Order 6 Duplicate Order 7 Duplicate of a verbally communicated order 8 Stale Order 1 Account No Account agreed upon between broker and institution 55 Symbol Yes Stock symbol Note Since there is no appropriate tag for trade cancellation TradeCancel the Text field tag 58 will be used instead observing the TCQ XXXXXXX standard format where XXXXXXX is the cancelled trade quantity
46. e Chapter I item 3 2 2 m_strDisplayQuantity Quantity to be displayed Order with disclosed quantity 1 3 4 16 Order Modification Confirmation Response Message Type Order modification response Purpose Message sent after confirmation that order has been modified on the trading system Class CAppMsgModifyResponse Source Server Destination Client Field Description strindex Message index strCtriINumber ControlNumber number that identifies the order for client application strStock Code symbol of stock to be traded strUserID Exchange user s code eotType Order type 0 buy 1 sell eocCondition Condition for order execution 0 limit price 3 opening price eovwValidity Validity type 0 today 1 until cancellation 2 specific date 3 all or nothing at all 4 execution or cancellation strQuantity Quantity of shares to be traded strPrice Price per share strValidityDate Validity date m_strExchangeNumber Order identification code on trading system m_strOrderTime Date when order was registered on trading system m_strTotalExecutedQuantity Original order s total executed quantity m_strQtdDispl Quantity to be displayed Order with disclosed quantity 23 MULTIGATEWAY BM amp F BOVESPA The New Exchange 1 4 DLL 1 4 1 GWHBCIlientCOM dil Component Installation If you already have this component installed on your computer please follow the steps below to remove your current registration f
47. e Sequence Purpose To inform the other leg about a new message sequence Structure sMsgGapFill Source Server Client Destination Client Server struct sMsgGapFill sClientMsgHeader sHeader union struct DWORD dwNewSeq 4 Byte gt only one 1 Block is required char cFiller BLOCO_CRIPTO sBody 1 2 5 6 Heartbeat Message Type HeartBeat Purpose To send to client a message informing that it is still active and expecting an ImAlive type message from client Structure sMsgHeartBeat Source Server Destination Client struct sMsgHeartBeat sClientMsgHeader sHeader 14 MULTIGATEWAY BM amp F BOVESPA ___ OC The New Exchange 15 BM amp FBOVESPA M The New Exchange 1 2 5 7 Heartbeat Response Message Type Response to heartbeat Purpose To send server a message informing that it is still active to avoid disconnection due to idle timeout Structure sMsgimAlive Source Client Destination Server struct sMsglmAlive sClientMsgHeader sHeader 1 3 Application Layer The application layer is responsible for all issues pertaining to server client negotiation and runs independently from the session layer It is in charge of handling application messages and interacting directly with client application It contains a set of specific layer messages and makes use of the session layer to send and receive messages Message sizes are not fixed and are encoded according to a standar
48. e cancellation of an order with many days validity 30 for example will only cause the client s balance to be written off if the cancellation is made within the same trading period as when the order was sent 1 5 4 5 ErrorResponse It occurs when either MEGA BOLSA or the Gateway returns an error accepting as parameter a TypeErrorResponse type structure comprising the following fields typedef struct 48 BM amp FBOVESPA M The New Exchange char peCtriNumber 11 char pcUserID 9 unsigned char ucErrorSeverity char pcErrorNumber 11 char pcErrorMsg 100 char pcErrorTime 15 char cStatusOfOrder char pclIndex 7 TypeErrorResponse Where ControlNumber Sequential number of the transaction that generated an error e Userld Broker client s code ErrorSeverity Indicates whether there is any need for external intervention to solve a given problem e ErrorNumber Error number ErrorMessage Error description e ErrorTime Error event time e Order Status Indicates whether an order has been rejected by MEGA BOLSA e Index Sequential number attributed by Gateway to its response messages 1 5 4 6 TradeCancelResponse It occurs whenever MEGA BOLSA sends a partial or total order cancellation message TradeResponse and receives a TypeTradeResponse type structure Under no circumstances will a trade cancellation ever cause a TradeResponse event 1 5 4 7 IndexResponse It is generated in response to a query
49. e for closing the connection with MEGA BOLSA to release the allocated resources and for changing the Status to CLOSED Syntax long Stop 1 5 3 5 SendOrder Responsible for sending Buy and Sell Orders the SendOrder function accepts as parameters the sequential number of the transaction the broker s client number and a TypeOrder type structure Syntax long SendOrder char pcCtriNumber char pcUserID TypeOrder pOrder Where pcCtriNumber should be the pointer to a broker s internal sequential number with ten 10 digits ending in 0 The sequential number should observe the MMDDSSSSSS format where MM and DD stand respectively for the month and day the order is being executed and SSSSSS corresponds to the sequential number on the order day The GNROrder structure contains information about the sent order observing the following format typedef struct int iOrderType char pcStock 13 char acQuantity 13 char pcPrice 11 int iCondition int iValidity f char pcValidityDate 9 42 BM amp FBOVESPA The New Exchange char acDisclosedQty 13 field entry as of version 1 3 0 0 TypeOrder Where e OrderType corresponds to the sent order type either buy or sell according to the GNROrderType numbered type Enum GNROrderType otBuy 0 otSell 1 Stock Stock and market code symbol according to BOVESPA s standard Quantity Quantity ordered acDisclosedQty Disclosed qu
50. e index strLastIndex Last message index used strLastCtriNumber Last Control Number used by client 21 BM amp FBOVESPA The New Exchange 1 3 4 13 Limit Query Response Message Type Limit query response Purpose Message sent after limit query request Class CAppMsgLimitResponse Source Field strindex strCtriNumber strUserID strTotalLimit strConsumedLimit strPeriod Server Destination Client Description Message index ControlNumber number that identifies the order for client application User code Customer limit total Consumed limit Period 1 3 4 14 Order Book Query Response Message Type Response to Order Book query Purpose Message sent after Order Book query request Class CAppMsgOrderBookResponse Source Field strindex strCtriNumber strStock strUserID eotType eocCondition eovValidity strQuantity strPrice strValidityDate strOrderTime strExchangeNum ber strCumulativeQu antity strRemainingQua ntity strAveragePrice strOrderBooklnd ex strNumberOfTrad es strStatusOfOrder strNoMsgsAvailab le m_strDisplayQua ntity Server Destination Client Description Message index ControlNumber number that identifies the order for client application Code symbol of stock to be traded Exchange user s code Order type 0 buy 1 sell Condition for order execution 0 limit price 3 Opening price Validity type 0 today 1 until cancellation 2 speci
51. e purpose of facilitating system updates in line with the FIX Protocol s future upgrades and considering the time saved by not writing a library to work with the FIX Protocol the QuickFix open source engine was utilized to support FIX Protocol versions 4 2 4 3 and 4 4 as a multiplatform solution Windows Linux Solaris FreeBSD and Mac OS X and its APIs available to C J ava NET and Python The connection between client and MultiGateway server via FIX occurs in the following manner The MultiGateway server initializes as Acceptor for each client and sets up the respective TCP IP port in advance in LISTEN mode and awaiting a client connection Initiator The client in turn connects with this set up server port As soon as the connection is established a FIX message exchange is initialized enabling a client logon process A description of FIX messages is shown below along with their mandatory BOVESPA MultiGateway fields 2 2 FIX Messages 2 2 1 Header The FIX message header is in the following format Tag Field name Required Remarks 8 Begin String Yes Defines the version used by FIX It should be the first field on the message 9 BodyLength Yes Message length in bytes It should be the second field on the message 35 MsgType Yes Defines the message type It should be the third field on the message Valid values 0 Heartbeat 1 Test Request 2 Resend Request 3 Reject 4 Sequence Reset 5 Logout 53
52. eQuantity Executed trade quantity e acDisclosedQty Disclosed quantity The Condition field returns either occTotal or occPartial depending on the order status If trade execution is already underway cancellation will be partial otherwise it will be total In the event of an attempt to cancel a total execution order MEGA BOLSA will respond with an ErrorResponse event containing the Order Not Found message 52 BM amp FBOVESPA The New Exchange 2 FIX Protocol 2 1 FIX Created in 1992 the Financial Information Protocol FIX Protocol is a technical specification for use in trade related electronic message communication J ointly developed by banks brokerage houses exchanges public interest companies industrial associations institutional investors and Information Technology providers established around the world FIX is not a software but rather a global protocol specification for trade related communication The FIX Protocol specification is developed through the voluntary efforts of business technicians and professionals from affiliate companies which together manage the specification Above and beyond the stringent technical and engineering related efforts undertaken to ensure ongoing applicability of the protocol to financial market systems the FIX Protocol benefits from vigorous educational and marketing endeavors aimed at maintaining the specification viable relevant and attuned to the needs of market participants With th
53. eclID 17 ExecTransType 20 LastPx 31 OrderID 37 OrderQty 38 OrdStatus 39 OrdType 40 Price 44 Side 54 Symbol 55 ExecType 150 LeavesQty 151 3 ExecutionReport 8 300 FixSample00004 1000 Fix000000000000010 0 1106000003BAHI4 3000 NEW 0 LIMIT 2 87 SELL 2 BAHI4 PARTIAL FILL 1 2000 68 4 ExecutionReport 8 300 87 FixSample00004 3000 ExecutionReport 8 300 FixSample00004 1000 1106000003BAHI401T 0 1106000003BAHI4 3000 SUSPEND 9 LIMIT 2 87 SELL 2 BAHI4 PARTIAL FILL 1 2000 1106000004BAHI402T 0 87 1106000003BAHI4 3000 FILLED 2 LIMIT 2 87 SELL 2 BAHI4 FILL 2 0 Text 58 BM amp F BOVESPA The New Exchange 3 1 7 Freezing of Order followed by Auction The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating an order registration attempt followed by a freezing order response and subsequent auction 1 Client sends a NewOrderSingle message 2 MultiGateway returns an ExecutionReport message with a pending status 3 After the order is processed MultiGateway returns an ExecutionReport message to client with a SUSPEND order status advising that the order has been frozen 4 After freezing of order MultiGateway returns an ExecutionReport message to client with a NEW order status advising that the order has been placed in auction Sequence 1 2 3 4 Message Received N
54. ed by one of the legs Besides they exchange HeatBeat messages sent by the Gateway and ImAlive messages responded by the LIB TimeOut is yet another control once Gateway accepts authentication it sends an AUTHOK type message comprising a TimeOut value among other information This value indicates the maximum time period allowed for the LIB to receive no messages from the Gateway To check this timing the LIB makes use of a SetTimer function which issues an alarm and as soon as the set time has elapsed triggers the TimeOut function The TimeOut function simply sets to TRUE the 40 BM amp FBOVESPA The New Exchange SharedMemory s ucFim variable to break the monitoring loop A ResetTimer is executed for each message received from the Gateway Message reception transmission by the application layer is ensured by an ACK sent to the Gateway when the client application s event handling is completed The application layer therefore remains independent from the session Should the client application stall an event i e delays in handling it the session layer nevertheless continues its communication with Gateway by exchanging HeartBeat ImAlive messages or receiving exchange responses Should the client application hang and Gateway messages begin to stack up the LIB chooses to terminate the Gateway connection Since the Gateway maintains a list of unhandled messages in other words messages that did not send an ACK the Ga
55. ed pending future authorization In order to attain authorization the client should resend the order using the same Control Number with the IgnoreLimit enabled eWhen the previously rejected order is resent with the IgnoreLimit field enabled the Gateway will accept it and add its value to the client s current balance An order whose value does not exceed the daily trading limit but has the IgnoreLimit field enabled will cause the Gateway to issue an Error Response event indicating improper use of this field If the order is accepted an OrderResponse event will be received with information about the order s registration number on MEGA BOLSA called an Exchange Number Otherwise an ErrorResponse event will be received 1 5 3 6 CancelOrder Responsible for cancelling an order the CancelOrder function accepts the following parameters The sequential number of the transaction the broker s client number a TypeOrder type structure and the Exchange Number of the order received during the OrderResponse event Syntax long CancelOrder char pcCtriNumber char pcUserID TypeOrder pOrder char pcExchNumber Where pcCtriNumber should be the pointer to the broker s internal sequential number with ten 10 digits ending in 0 the pcExchangeNumber should be the pointer to the MEGA BOLSA order number with eleven 11 digits ending in 0 and pOrder follows the TypeOrder structure specified under item 1 5 3
56. ent to initiate system activities It informs the number of the last message index handled the last control number received as well as the inactivity time period to be observed before the client sends an ImAlive type message Structure sMsgAuthOK Source Server Destination Client struct sMsgAuth sClientMsgHeader sHeader union struct DWORD dwLastindex 4 Bytes char cLastCtriNum 20 20 Bytes DWORD dwinactivityTimeout 4 Bytes 28 Bytes gt 2 dois Blocos s o necess rios char cFiller 2 BLOCO_CRIPTO sBody 1 2 5 3 Authentication Error Message Message Authentication error Purpose To warn client against authentication errors Structure sMsgAuthErr Source Server Destination Client struct sMsgAuthErr sClientMsgHeader sHeader union struct BYTE bytReason 1 Byte gt only one 1 Block is required char cFiller BLOCO_CRIPTO sBody 13 BM amp FBOVESPA The New Exchange 1 2 5 4 Message Resend Request Message Type Message resend Purpose To request the other leg to resend a given message interval Structure sMsgResync Source Server Client Destination Client Server struct sMsgResync sClientMsgHeader sHeader union struct DWORD dwBegin DWORD dwEnd 8 Byte gt only one 1 Block is required char cFiller BLOCO_CRIPTO sBody 1 2 5 5 New Message Sequence Notification Message Type Notification of a New Messag
57. es 0 Partial 1 Total strCancelTime As String Purpose Time when order cancellation was executed use YYYYMMDDHHMMSS format 1 4 3 9 HBErrorResponse Purpose Information about error event Properties hbOrderInfo As HBOrderInfo Purpose Details of an order which caused an error or details of the order associated with the cancellation that caused the error strErrorMsg As String Purpose Textual error message According to a Gateway query table If user wishes to display messages in different languages the ErrorNumber property should be used to translate messages into the desired language strErrorNumber As String Purpose Numerical error code strErrorSeverity As String Purpose Error severity Possible Values 0 Gateway 1 SLE 2 MEGA BOLSA 34 BM amp FBOVESPA The New Exchange strErrorTime As String Purpose Error event time strindex As String Purpose Daily sequential index of sent message In the case of a sequence breakdown the application should request that messages be resent strOrderStatus As String Purpose Order status on the trading system Possible Values 5 Order on hold When this situation occurs the order remains on the system awaiting either acceptance or rejection as a result the order is not disregarded If the order is accepted an OrderResponse event will confirm the order otherwise a new error or cancellation event will invalidate the order Other V
58. essageEncoding field 2 2 3 7 SequenceReset The sequence reset message is used to reset message sequential numbers BOVESPA MultiGateway sends a SequenceReset only when a RequestResend infinite loop is detected A standard FIX SequenceReset message is in the following format Tag Field name Required Remarks 7 BeginSeqNo Yes Sequential number of first message 16 EndSeqNo Yes Sequential number of last message 2 2 4 Application Messages The following FIX application messages are supported by BOVESPA MultiGateway NewOrderSingle OrderCancelRequest 58 BM amp FBOVESPA The New Exchange OrderCancelRej ect ExecutionReport OrderCancelReplace 2 2 4 1 NewOrderSingle The NewOrderSingle message should be sent by a client to register a new order A standard FIX NewOrderSingle message is in the following format Tag Field name Required Remarks 11 ClOrdiD Yes Single number sent by broker 76 ExecBroker No Identifies the executing Broker 1 Account Yes Account agreed upon between broker and institution Note The user code field should not exceed 8 digits including the check digit without a hyphen 21 HandInst Yes Order handling instruction Valid values 1 Automated execution order private no Broker intervention 111 MaxFloor No Maximum number of an order s counterparts that can be displayed at a given time 55 Symbol Yes Stock 54 Side Yes Order side Valid values 1 Buy 2 Sell 60 TransactTime Yes Indicate
59. essages to from the Gateway and one that awaits the methods and sends events to the client application The process that communicates with the client application is called pai Parent The process of sending and receiving messages by the Gateway through the socket is called filho Son Upon receiving a method from the client the parent process writes to a pipe and is read by the son process which also monitors via select the Gateway socket Upon receiving a message from the Gateway addressed to the parent the son process sends a signal SIGUSR1 or SIGUSR2 to the parent thereby making it aware that there is a message for it on the pipe The parent then processes the message and generates an event to the client application through a callback function which was informed by the client application when the Start method was executed see 1 5 3 3 The LIB is associated with the session layer and application layer concepts The session layer only handles message exchanges and it contains mechanisms to ensure that the connection reception transmission of messages are maintained on a continuous and sequential manner Every message has a header to provide the other leg with information such as the sequential number of the current message and the last sequential number received by one of the legs Without the awareness of the client application both the Gateway and the LIB can request messages to be resent if a sequence breakdown has been not
60. ewOrderSingle D client Message Sent ExecutionReport 8 ExecutionReport 8 ExecutionReport 8 multigateway Account 1 300 300 300 300 ClOrdlD 11 FixSample00004 FixSample00004 FixSample00004 FixSample00004 CumQty 14 0 0 0 ExeclID 17 Fix000000000000004 Fix000000000000005 Fix000000000000006 ExecTransType 20 0 0 0 OrderID 37 Fix000000000000002 1106000003BAHI4 1106000003BAHI4 OrderQty 38 1000 1000 1000 1000 OrdStatus 39 PENDING NEW A SUSPEND 9 NEW 0 OrdType 40 LIMIT 2 LIMIT 2 LIMIT 2 LIMIT 2 Price 44 87 87 87 87 Side 54 SELL 2 SELL 2 SELL 2 SELL 2 Symbol 55 BAHI4 BAHI4 BAHI4 BAHI4 ExecType 150 NEW 0 SUSPEND 9 NEW 0 LeavesQty 151 0 0 0 Text 58 This function is prohibited due to the current status of security 3 1 8 New Order Send during Auction The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating an order registration attempt while the order is in auction 1 Client sends a NewOrderSingle message 2 MultiGateway returns an ExecutionReport message with a pending status 3 After the order is processed MultiGateway returns an ExecutionReport message with a NEW order status Sequence 1 2 Message Received client NewOrderSingle D Message Sent multigateway ExecutionReport 8 Account 1 300 300 ClOrdiD 11 FixSample00004 FixSample00004 CumQty 14 0 ExecID 17 Fix000000000000004
61. fic date 3 all or nothing at all 4 execution or cancellation Quantity of shares to be traded Price per share Order validity date Date when message was processed Order identification code on trading system Cumulative quantity of previously executed order Remaining quantity of order not yet executed Average execution price Order Book index Number of executed trades Status of order Indicates whether sent message was the last Order Book message Quantity to be displayed Order with disclosed quantity 22 BM amp FBOVESPA M The New Exchange 1 3 4 15 Order Modification Request Message Type Order modification Purpose Send an order modification request to trading system Class CAppMsgModify Source Client Destination Server Field Description strCtriNumber ControlNumber number that identifies the order for client application strStock Code symbol of stock to be traded strUserID Exchange user s code See Chapter I item 3 3 eotType Order type 0 buy 1 sell eocCondition Condition for order execution 0 limit price 3 opening price See Chapter I item 3 3 eovValidity Validity type 0 today 1 until cancellation 2 specific date 3 all or nothing at all 4 execution or cancellation strQuantity Quantity of shares to be traded See Chapter I item 3 2 1 strPrice Price per share strValidityDate Validity date strExchangeNumber Number that identifies an order on Gateway Se
62. fication 3 Quantity 200 In this case an error would pop up since the total quantity may not be lower than or equal to the executed quantity Thus in the FIX case users are always required to inform the total order quantity desired 3 2 2 Cancellation or Modification of Previously Modified Order API and FIX In the case of both API and FIX to cancel or modify a previously modified order it is always necessary to inform the last order control number 3 3 Restrictions e The order s user code modification even at auctions will not be allowed for families of ports 300 through 309 and 500 through 509 e Placing an order at opening price during auctions and calls will only be allowed for families of ports 400 500 and 510 e The user code field should not exceed 8 digits including the check digit without a hyphen Compliance with these restrictions should be observed in sending cancelling and modifying orders 3 4 References e FIX Protocol MULTIGATEWAY BM amp F BOVESPA S The New Exchange http www fixprotocol org e QuickFIX Engine FIX Open Source http www quickfixengine org di loli BM amp FBOVESPA The New Exchange ll Procedures 1 API PROTOCOL The connection between client and MultiGateway server via API HomeBroker takes place in the following manner The client application using the GWHBClientCOM dlIl component initiates the connection with the server placing the TCP IP socket in listening mode an
63. he SenderSubID and SenderLocationID fields these will remain the same as BOVESPASubID and BOVESPALocationlD respectively In this case the fields TargetComplD TargetSubID and TargetLocationlD fields will be the same as in the client s ID fields which are received at the outset of a session or on the message of the request that generated the answer 2 2 2 Trailer The FIX message ending is in the following format Tag Field name Required Remarks 10 CheckSum Yes Message length in bytes should be the last field on the message 55 BM amp F BOVESPA The New Exchange 2 2 3 Administrator s Messages The following FIX administrator s messages are supported by BOVESPA MultiGateway o Logon Logout HeartBeat TestRequest ResendRequest Reject SequenceReset 000000 2 2 3 1 Logon The FIX LOGON process can be defined in three parts 1 The client session Initiator establishes communication with the server session Acceptor 2 The client sends a Logon message as described below to server who in turn should authenticate it and identify it If client is authenticated the Logon message is answered otherwise the connection is terminated 3 After the Logon message is answered the client sends a message to sync the sequential numbers The FIX Logon message is in the following format Tag Field name Required Remarks 98 EncryptMethod Yes Valid values 0 None Other 108 HeartBtInt Yes HeartBeat interval defined in
64. iD 11 FixSample00012 FixSample00012 FixSample00012 FixSample00012 CumQty 14 0 0 15 ExecID 17 Fix000000000000015 Fix000000000000016 1106000007PETR402T ExecTransType 20 0 0 0 LastPx 31 20 75 OrderID 37 OrderQty 38 OrdStatus 39 OrdType 40 Price 44 Side 54 Symbol 55 ExecType 150 LeavesQty 151 BM amp FBOVESPA The New Exchange Fix000000000000010 1106000007PETR4 1106000007PETR4 15 15 15 15 PENDING NEW A NEW 0 FILLED 2 LIMIT 2 LIMIT 2 LIMIT 2 20 20 20 20 SELL 2 SELL 2 SELL 2 SELL 2 PETR4 PETR4 PETR4 PETR4 NEW 0 NEW 0 FILL 2 0 15 0 3 4 3 Cancel Trade The sequence shown below demonstrates an exchange of messages between a client and MultiGateway illustrating the cancellation of a trade 1 Client sends a NewOrderSingle sell order message 2 MultiGateway returns an ExecutionReport message with a PENDING NEW status 3 After the request has been processed MultiGateway returns an ExecutionReport message with a NEW order status advising that the order has been registered 4 After the orders are matched the central system advises MultiGateway of the trade and MultiGateway returns to the client an ExecutionReport message advising him her of the trade 5 After the trade has been cancelled the central system advises MultiGateway of the cancellation and MultiGateway returns to the clients an ExecutionReport message with a NEW status advising the clients of the t
65. in the last connections finds out which messages were actually processed by the client and then if necessary resends the lost messages The client application can also randomly request that old messages be resent using the Recall Messages message where the indices of the first and last messages to be resent are defined 16 BM amp FBOVESPA The New Exchange 1 3 4 Application Layer Messages 1 3 4 1 New Order Registration Request Message Type New order Purpose To send a new order to the trading system Class CAppMsgNewOrder Source Client Destination Server Field Description strCtriNumber ControlNumber number that identifies the order for the client application strStock Code symbol of stock to be traded strUserID Exchange user s code eotType Order type 0 buy 1 sell eocCondition Condition for order execution 0 limit price 3 opening price See Chapter I item 3 3 eowalidity Validity type 0 today 1 until cancellation 2 specific date 3 all or nothing at all 4 execution or cancellation strQuantity Quantity of shares to be traded strPrice Price per share strValidityDate Validity date m_strDisplayQuantity Quantity to be displayed Order with disclosed quantity 1 3 4 2 Order Cancellation Request Message Type Order cancellation Purpose To send an order cancellation request to the trading system Class CAppMsgCancel Source Client Destination Server Field Description s
66. jected R SPACE Order being modified SPACE SPACE X Order partially executed and currently being modified SPACE X N Order being cancelled N SPACE AA Order awaiting cancellation NX Order partially executed and currently being cancelled cNoMsgsAvailable If 0 orders are available if 1 no orders available 1 5 4 9 AuthenticationOK It occurs when a UNIX client is authenticated changing the Status from CONNECTED to AUTHENTICATED This event accepts as parameter a TypelndexResponse type structure with the following fields typedef struct char pcCtriNumber 11 char pcIndex 7 TypeAutOkResponse Where ControlNumber Sequential number of the last order sent by Unix LIB and successfully received by Gateway Index Sequential number generated by MEGA BOLSA belonging to Gateway s last response which was sent by Gateway and successfully received by Unix LIB 1 5 4 10 AuthenticationError It occurs when a UNIX client s authentication is unsuccessful changing the Status from CONNECTED to CLOSED This event accepts no parameters and receives a null in pvParam 1 5 4 11 ConnectionAccepted It occurs in response to a connection with MEGA BOLSA when the Status is changed from WAITING to CONNECTED This event accepts no parameters and receives a null in pvParam 1 5 4 12 ConnectionError It occurs in response to a communication error with MEGA BOLSA so that the Home Broker is
67. n e CancelTime Order cancellation date time e Index Sequential number attributed by Gateway to its response messages The Condition field returns either occTotal or occPartial depending on the order status If trade execution is already underway cancellation will be partial otherwise it will be total In the event of an attempt to cancel a total execution order MEGA BOLSA will respond with an ErrorResponse event containing the Order Not Found message 1 5 4 4 LimitResponse A response is generated to a broker s client limit query accepting as parameter a TypeLimitResponse type estructure comprising the following fields typedef struct char pcCtriNumber 11 char pcUserID 9 char pcTotalLimit 11 char pcConsumedLimit 11 int iPeriod char pclIndex 7 TypeLimitResponse Where ControlNumber Sequential number of limit query Userld Code of client performing the query TotalLimit Maximum limit traded in a given period ConsumedLimit Limit spent by a client in a given period Period Time in days remaining before ConsumedLimit is reset Index Sequential number attributed by Gateway to its response messages Note The ConsumedLimit field contains the summation of order values sent to MEGA BOLSA within a given trading period This means that a sent order value will be added to the client s balance as soon as it is received by the Gateway even if its validity is still in force for a few more days Th
68. n 51 2 2 3 2 Logout 51 2 2 3 3 HeartBeat 52 2 2 3 4 TestRequest 52 2 2 3 5 ResendRequest 52 2 2 3 6 Reject 53 2 2 3 7 SequenceReset 53 2 2 4 Application Messages 53 2 2 4 1 NewOrderSingle 54 2 2 4 2 OrderCancelRequest 55 2 2 4 3 OrderCancelRej ect 55 2 2 4 4 ExecutionReport 56 MULTIGATEWAY BF BOVESPA The New Exchange 2 2 4 5 OrderCancelReplace 58 3 FIX MESSAGES 59 3 1 NewOrderSingle 59 3 1 1 Order Registration 59 3 1 2 Order Registration Request Followed by Rejection 59 3 1 3 Freezing of Order 60 3 1 4 Freezing of Order Followed by Acceptance upon Defreezing 61 3 1 5 Freezing of Order Followed by Rejection upon Defreezing 62 3 1 6 Order Send Followed by Partial Trade Freezing and Subsequent 63 Defreezing of Order upon Acceptance 3 1 7 Freezing of Order Followed by Auction 64 3 1 8 New Order Send during Auction 64 3 2 OrderCancelRequest 65 3 2 1 Cancellation of a Registered Order 65 3 2 2 Cancellation of a Non Existent Order 65 3 2 3 Cancellation of a Previously Cancelled Order 66 3 2 4 Cancellation of an Order at Auction 67 3 3 OrderCancelReplace 68 3 3 1 Modifying a Registered Order 68 3 3 2 Modifying a Non Existent Order 68 3 4 Trade 69 3 4 1 Trade Filled 69 3 4 2 Trade Partially Filled 70 3 4 3 Cancel Trade 71 MULTIGATEWAY BF BOVESPA The New Exchange Goals Application and Definitions 1 Goals This document is designed to provide a detailed description of the functioning and framework of MultiGateway The aim is t
69. ng Purpose Counterpart broker strExchangeNumber As String Purpose Order exchange number 36 BM amp FBOVESPA The New Exchange strExecutedPrice As String Purpose Trade executed price strExecutionTime As String Purpose Trade execution time strindex As String Purpose Daily sequential index of sent message In the case of a sequence breakdown the application should request that messages be resent strRemainingQuantity As String Purpose Remaining quantity strTotalExecutedQuantity As String Purpose Total executed quantity for all executions associated with an order strTradeQuantity As String Purpose Trade quantity executed 1 4 3 13 HBModifyResponse Purpose Information about acceptance of an order modification Properties strExchangeNumber As String Purpose Number attributed to an order by the trading system strOrderTime As String Purpose Time when an order was registered on the system in YYYYMMDDHHMMSS format strindex As String Purpose Daily sequential index of sent message In the case of a sequence breakdown the application should request that messages be resent 37 BM amp FBOVESPA The New Exchange hbOrderInfo As HBOrderInfo Purpose Object comprising details of an accepted order strDisplayQuantity As String Purpose Quantity to be displayed for orders with disclosed quantity 1 4 3 14 HBNewOrder Purpose Represents the features of a new order Used for send
70. o impart a broader knowledge of the system as a whole as well as to facilitate a greater understanding of the particularities of each constituent module Its functionalities features of its connections with customers and the trading system data structures and other particulars are described in detail 2 Application This manual is aimed at Broker Societies using online tools such as Home Brokers to connect online and carry out online trades 3 Definitions 3 1 Terminology and Designations e DLL Dynamic Link Library e MEGA BOLSA Is the trading system of the S o Paulo Stock Exchange which manages and controls information and is responsible for registering all trades executed at BOVESPA MULTIGATEWAY Is the Home Broker and automated connection server Pipe A mechanism to allow a process to transfer information to another process e Linkedition A method to add a library to an application e Callback A pointer to a function e LIB A Unix library added to the client application to access functions 3 2 System Rules 3 2 1 Order Modification 3 2 1 1 API To modify an order it is necessary to inform all fields from the original order even if such modification is made only to a single field In the Order Quantity field the following detail should be observed The modified quantity refers to the remaining quantity Thus in the case of a partial execution the quantity modification informed will be added to the executed
71. or this component Click on Start gt Run Executar Digite o nome de um programa pasta documento ou A recurso da Internet e o Windows o abrir para voc Abrir iv Cancelar Procurar Type the following command line regsvr32 u lt path to your current file gt GWHBCIlientCOM dil Executar Digite o nome de um programa pasta documento ou i recurso da Internet e o Windows o abrir para voc Abrir regsvr32 fu C bovespalantiga GWHBClientCOM dll ia Cancelar Procurar Click on the OK button and the following message will pop up RegSvr32 e 1 DllUnregisterServer em C bovespatantiga GWHBClientCOM dll teve xito To register the component follow the steps below Copy the new file GWHBCIientCOM dll to your computer Click on Start gt Run 24 MULTIGA BM amp FBOVESPA The New Exchange Executar Digite o nome de um programa pasta documento ou fj recurso da Internet e o Windows o abrir para voc Abrir v Type the following command line regsvr32 lt path to your current file gt GWHBClientCOM dil Executar Digite o nome de um programa pasta documento ou A recurso da Internet e o Windows o abrir para voc Abrir Leqsvr32 C bovespalnovalGWHBClientCOM dll ix Cancelar Procurar Click on the OK button and the
72. order requests Properties hbOrderInfo As HBOrderInfo Purpose Order information strDisplayQuantity As String Purpose Quantity to be displayed for orders with disclosed quantity 1 4 3 15 HBModifyOrder Purpose Represents the features of a new order Used for send order requests Properties hbOrderInfo As HBOrderlInfo Purpose Order information strDisplayQuantity As String Purpose Quantity to be displayed for orders with disclosed quantity strExchangeNumber As String Purpose Number attributed to an order by the trading system 1 4 3 16 HBOrderBookResponse Purpose Information about the acceptance of an order by the trading system Return information to customer with regard to user s Order Book Properties strindex As String Purpose Daily sequential index of sent message In the case of a sequence breakdown the application should request that messages be resent 38 BM amp FBOVESPA The New Exchange strOrderTime As String Purpose Time when order was registered on the system in YYYYMMDDHHMMSS format strExchangeNumber As String Purpose Order Exchange Number strCumulativeQuantity As String Purpose Cumulative quantity of executed order strRemainingQuantity As String Purpose Remaining quantity strAveragePrice As String Purpose Average execution price strNumberOfTrades As String Purpose Number of trade executions strStatusOfOrder As String Purpose Order status
73. rade cancellation Sequence 1 2 3 4 5 Message NewOrderSingle D Received client 1 Message Sent ExecutionReport 8 ExecutionReport 8 ExecutionReport 8 ExecutionReport 8 multigateway Account 1 300 300 300 300 300 AvgPx 6 87 0 ClOrdID 11 FixSample00004 FixSample00004 FixSample00004 FixSample00004 FixSample00004 CumQty 14 0 0 1000 0 ExecID 17 Fix000000000000017 Fix000000000000018 1106000008BAHI04T 1106000008BAHI401C ExecRefID 1106000008BAHI404T ExecTransType 0 0 0 0 20 LastPx 31 87 87 LastQty 32 1000 OrderID 37 Fix000000000000011 1106000008BAHI4 1106000008BAHI4 1106000008BAHI4 OrderQty 38 1000 1000 1000 1000 1000 OrdStatus 39 PENDING NEW A NEW 0 FILLED 2 CANCELLED 4 OrdType 40 LIMIT 2 LIMIT 2 LIMIT 2 LIMIT 2 Price 44 87 87 87 87 87 Side 54 SELL 2 SELL 2 SELL 2 SELL 2 SELL 2 Text 58 TCQ 1000 Symbol 55 BAHI4 BAHI4 BAHI4 BAHI4 BAHI4 ExecType 150 NEW 0 NEW 0 FILL 2 CANCELLED 4 LeavesQty 151 0 1000 0 0 76
74. s the order s execution creation time this field should be filled using the UTC format 40 OrdType Yes Order type Valid values 2 Limit A On Close K Market with leftover as limit See Chapter I item 3 3 44 Price No Price per share 15 Currency No identifies the currency used for the price BRL in Brazil s case 59 TimelnForce No Specifies time period that an order remains in force valid If this number is missing it will be interpreted as DAY Valid values 0 Day 1 Good Till Cancel GTC 2 At the Opening OPG 3 Immediate or Cancel OC 4 Fill or Kill FOK 5 Good Till Crossing GTX 6 Good Till Date GTD 432 ExpireDate No Order expiration date Mandatory when 59 GTD 59 BM amp FBOVESPA The New Exchange Tag Field name Required Remarks 126 ExpireTime No Order expiration date and time this field should be defined in UTC 120 SettICurrency No Currency code of establishment denomination 58 Text No Text field Note No maximum length has been determined for this field 210 MaxShow No Maximum number of an order s shares that can be displayed to other clients 38 OrderQty Yes Number of shares requested 2 2 4 2 OrderCancelRequest The OrderCancelRequest message should be sent by a client to cancel a previously sent and approved order The FIX Cancel Order message is in the following format Tag Field name Required Remarks 41 OrigClOrdID Yes Single number of an order sent b
75. seconds 141 ResetSeqNumFlag No It indicates that both sides of the FIX communication should reset the sequential number Valid values Y Yes sequential number should be reset N No sequential number should not be reset 35 MsgT ype No Message specific type value is supported This field is required if the NoMsgTypes field is defined with any value higher that zero 2 2 3 2 Logout A standard FIX session logout should consist in an exchange of Logout messages any other means of program termination should be regarded as abnormal and handled as an error Prior to sending a Logout message it is recommended that a TestRequest message be sent to force the HeartBeat on the other side This helps verification of sequential numbers which must be in sync Prior to logging out of a session the Initiator should wait until the other side answers the Logout message although the session may be closed if the Acceptor fails to respond within a reasonable time period A standard FIX Logout message is in the following format Tag Field name Required Remarks 58 Text No Text field Note No maximum length has been determined for this field 56 BM amp FBOVESPA The New Exchange 2 2 3 3 HeartBeat The heartbeat message monitors communication status and helps to maintain message sequence in sync When both client and server are idle each side of the connection is expected to send a Heartbeat message to advise each other that the connection is
76. st message 2 MultiGateway returns an ExecutionReport message with a PENDING CANCEL order status advising it has received an order cancellation request 3 After the request has been processed MultiGateway returns to client an ExecutionReport message with a REJECTED order status with the text Invalid Operation advising that the order was rejected because it had been cancelled previously Sequence 1 2 3 Message Received OrderCancelRequest F client Message Sent ExecutionReport 8 OrderCancelRej ect 9 multigateway Account 1 300 300 ClOrdlD 11 FixSample00007 FixSample00007 FixSample00007 CumQty 14 0 0 ExecID 17 Fix000000000000009 ExecTransType 20 0 OrderlD 37 Fix000000000000005 Fix000000000000006 OrderQty 38 100 100 OrdStatus 39 PENDING CANCEL 6 REJ ECTED 8 OrdType 40 LIMIT 2 LIMIT 2 OrigClOrdID 41 FixSample00001 FixSample00001 FixSample00001 Price 44 10 10 10 Side 54 BUY 1 BUY 1 BUY 1 Symbol 55 PETR4 PETR4 PETR4 Text 58 Invalid transaction ExecType 150 PENDING CANCEL 6 LeavesQty 151 100 CxIRejResponseTo OrderCancelRequest 1 434 71 BM amp FBOVESPA The New Exchange 3 2 4 Cancellation of an Order at Auction The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating the cancellation of an order during an auction 1 Client sends an OrderCancelRequest message 2 MultiGate
77. status 3 After the order is processed MultiGateway returns to client an ExecutionReport message with a SUSPEND order status advising that the order has been frozen 4 After order acceptance and defreezing MultiGateway returns to client an ExecutionReport message with a cancelled order status advising that the order has been rejected Sequence 1 Message Received NewOrderSingle D client Message Sent multigateway Account 1 300 ClOrdiD 11 FixSample00004 CumQty 14 ExecID 17 ExecTransType 20 OrderID 37 OrderQty 38 OrdStatus 39 OrdType 40 LIMIT 2 Price 44 87 Side 54 SELL 2 Symbol 55 BAHI4 ExecType 150 LeavesQty 151 Text 58 1000 ExecutionReport 8 300 FixSample00004 0 Fix000000000000004 0 Fix000000000000002 1000 PENDING NEW A LIMIT 2 87 SELL 2 BAHI4 NEW 0 0 ExecutionReport 8 300 FixSample00004 0 Fix000000000000005 0 1106000003BAHI4 1000 SUSPEND 9 LIMIT 2 87 SELL 2 BAHI4 SUSPEND 9 0 This function is prohibited due to the current status of the security 67 ExecutionReport 8 300 FixSample00004 0 Fix000000000000006 0 1106000003BAHI4 1000 CANCELLED 4 LIMIT 2 87 SELL 2 BAHI4 CANCELLED 4 1000 TCQ 1000 Sequence Message Received client Message Sent multigateway Account 1 ClOrdID 11 CumQty 14 ExeclID 17 ExecTransType 20 OrderID 37 OrderQty 38 OrdStatus 39
78. teway resends all past pending messages from the next new connection To close the whole process the client application executes the Stop method which simply sets to TRUE the SharedMemory s ucFim variable to flag the end of the monitoring loop 1 5 3 Functions 1 5 3 1 GetStatus Syntax unsigned int GetStatus void Returns the connection status with MEGA BOLSA where the following values are possible e CLOSED when the UNIX client is created but is not yet prepared to connect with MEGA BOLSA or immediately after handling an error that caused a connection failure e WAITING client initialized and ready to connect with MEGA BOLSA e CONNECTED connection with MEGA BOLSA is successful awaiting authentication e AUTHENTICATED after validating its credentials Brokerld IP Version on the Gateway it is ready to send and receive messages e ERROR immediately after a communication error which has not yet been handled 1 5 3 2 GetLastCtrINumber Returns the sequential number of the last message successfully sent by the Home Broker application to MEGA BOLSA thereby allowing the application to have message retrieval control Syntax char GetLastCtriNumber void 1 5 3 3 Start Responsible for allocating the necessary resources it starts by waiting for a connection with MEGA BOLSA then changing the status from CLOSED to WAITING It accepts the following events as parameters e iPort Represents the socket port used by Gatewa
79. th a pending status 3 After the order is processed MultiGateway returns to client an ExecutionReport message with a SUSPEND order status advising that the order has been frozen Sequence Message Received client Message Sent multigateway Account 1 ClOrdID 11 CumQty 14 ExecID 17 ExecTransType 20 OrderID 37 OrderQty 38 OrdStatus 39 OrdType 40 Price 44 Side 54 Symbol 55 ExecType 150 LeavesQty 151 1 NewOrderSingle D 300 FixSample00003 100 LIMIT 2 10 BUY 1 PETR4 2 ExecutionReport 8 300 FixSample00003 0 Fix000000000000002 0 Fix000000000000001 100 PENDING NEW A LIMIT 2 10 BUY 1 PETR4 NEW 0 0 65 3 ExecutionReport 8 300 FixSample00003 0 Fix000000000000003 0 1106000002PETR4 100 SUSPEND 9 LIMIT 2 10 BUY 1 PETR4 SUSPEND 9 100 BM amp FBOVESPA The New Exchange 3 1 4 Freezing of Order followed by Acceptance upon Defreezing The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating an order registration followed by a freezing order response and its defreezing 1 Client sends a NewOrderSingle message 2 MultiGateway returns an ExecutionReport message with a pending status 3 After the order is processed MultiGateway returns to client an ExecutionReport message with a SUSPEND order status advising that the order has been frozen 4 After order acceptance an
80. trCtriNumber ControlNumber number that identifies the order for the client application strStock Code symbol of stock to be traded strUserID Exchange user s code eotType Order type 0 buy 1 sell eocCondition Condition for order execution 0 limit price 3 opening price See Chapter I item 3 3 eovValidity Validity type 0 today 1 until cancellation 2 specific date 3 all or nothing at all 4 execution or cancellation strQuantity Quantity of shares to be traded strPrice Price per share strValidityDate Validity date strExchangeNumber Number that identifies an order on Gateway See Chapter I item 3 2 2 i7 BM amp FBOVESPA The New Exchange 1 3 4 3 Order Rerequest Message Type Rerequest of previous orders Purpose To request that previously sent orders be resent by server Class CAppMsgRecallMsgs Source Client Destination Server Field Description strBegin Index of first message to be resent strEnd Index of last message to be resent 1 3 4 4 Limit Query Message Type Limit query Purpose To query the limits of a given customer Class CAppMsgQueryLimits Source Client Destination Server Field Description strCtriNumber Control number that identifies a request strUserID User ID code 1 3 4 5 Last Index Query Message Type Query the last index Purpose To request Gateway server for the last index used Class CAppMsgQuerylndex Source Client Destination Ser
81. ueryLimits hbQueryLimits As HBQueryLimits Purpose This function has been deprecated and should not be used Requests information about available balance for use on the system Parameters HbQueryLimits object with details of a limit query request RecallMsgs hbRecallMsgs As HBRecallMsgs Purpose Requests message recall Parameters HbRecallMsgs object with details about messages required to be resent Events AuthenticationError IngError As Long Purpose Triggered when an authentication error occurs Parameters LngError error code ConnectionError IngError As Long Purpose Triggered when an error occurs in the Gateway Server connection Parameters LngError error code ConnectionOK Purpose Triggered when the Gateway connection is successful AuthenticationOK strLastIndex As String strLastCtriNum As String Purpose Triggered when Gateway authentication is successful Parameters StrLastIndex index of last message sent StrLastCtriNum last Control Number sent ConnectionClosed Purpose Triggered when the Gateway Server connection is closed OrderResponse hbOrderResponse As IHBOrderResponse Purpose Triggered when the Gateway Server sends a response about an order previously sent through the SendOrder method Parameters HbOrderResponse object comprising details of a sent order 27 BM amp FBOVESPA The New Exchange CancelResponse hbCancelResponse As IHB
82. ver Field Description strCtriNumber Control number to identify request strUserID User ID code 1 3 4 6 Order Book Query Message Type Query the Order Book Purpose To request Gateway server for differential information about a specific message interval Class CAppMsgQueryOrderBook Source Client Destination Server Field Description eobType Query type 0 By index 1 last ones strBegin Index of first message strEnd Index of last message 18 1 3 4 7 Ack Message Type Ack Purpose BM amp FBOVESPA The New Exchange To inform server that the received message was properly processed It is always sent after an application message received by client has been handled Class CAppMsgAck Source Client Destination Server Field strindex strMsgTransmissionTime strindexAck bytOriginalMsgT ype strOriginalMsgReceptionTime strCtriINumber strExchangeNumber strStock Description Message index Message handling time Index of message received by client Type of Message received by client Message reception time Control number to identify request Transaction identification number on Gateway server Stock symbol used in transaction 1 3 4 8 Order Registration Confirmation Response Message Type Order entry response Purpose the trading system Message sent after confirmation that an order has been entered into Class CAppMsgOrderResponse Source Server Destination Client Field strindex str
83. way returns an ExecutionReport message with a pending status 3 MultiGateway returns an OrderCancelReject message Sequence 1 2 3 Message Received OrderCancelRequest F client Message Sent ExecutionReport 8 OrderCancelReject 9 multigateway Account 1 300 300 ClOrdlD 11 FixSample00007 FixSample00007 FixSample00007 CumQty 14 0 0 ExecID 17 Fix000000000000009 ExecTransType 0 20 OrderID 37 Fix000000000000005 Fix000000000000006 OrderQty 38 1000 1000 OrdStatus 39 PENDING CANCEL 6 REJ ECTED 8 OrdType 40 LIMIT 2 LIMIT 2 OrigClOrdID 41 FixSample00001 FixSample00001 FixSample00001 Price 44 87 87 87 Side 54 SELL 2 SELL 2 SELL 2 Symbol 55 BAHI4 BAHI4 BAHI4 ExecType 150 PENDING CANCEL 6 LeavesQty 151 0 CxIRejResponseTo OrderCancelRequest 1 434 Text 58 2 No orders may be cancelled during auction 72 BM amp FBOVESPA M The New Exchange 3 3 OrderCancelReplace 3 3 1 Modifying a Registered Order The sequence shown below demonstrates an exchange of messages between the client and MultiGateway illustrating modifications made to a registered order 1 Client sends an OrderCancelReplace message 2 MultiGateway returns an ExecutionReport message with a PENDING REPLACE order status advising it has received an order modification request 3 After the request has been processed MultiGateway returns an ExecutionReport message with a REPLACED order status a
84. y broker for cancellation See Chapter I item 3 2 2 37 OrderiD No Single order identifier indicated by broker 11 ClOrdID Yes Single number sent by broker 1 Account No Account agreed upon between broker and institution 76 ExecBroker No Identifies the executing Broker 55 Symbol Yes Stock symbol 54 Side Yes Order side Valid values 1 Buy 2 Sell 60 TransactTime Yes Indicates the order s execution creation time this field should be filled using the UTC format 38 OrderQty No Number of shares requested 58 Text No Text field Note No maximum length has been determined for this field 2 2 4 3 OrderCancelReject The OrderCancelReject message should be sent by MEGA BOLSA with the information that a previous cancellation request cannot be fulfilled A standard FIX OrderCancelReject message is in the following format Tag Field name Required Remarks 37 OrderlD Yes Single order identifier provided by broker 11 ClOrdID Yes Single number sent by broker 41 OrigClOrdID Yes Single number of an order sent by broker for cancellation 39 OrdStatus Yes Identifier for an order s current status Valid values 0 New 1 Partially filled 2 Filled 4 Cancelled 5 Replaced 6 Pending Cancel 8 Rejected 60 Tag Field name BM amp FBOVESPA The New Exchange Required Remarks 76 60 ExecBroker ListID Account TransactTime No No No No 9 Suspended A Pending New E Pending Replace Identifies the exe
85. y to attempt a connection e uiBrokerld Broker identification code e pfnEvents Pointer to the callback function to handle an occurred event Syntax typedef void PFN EVENT _CALLBACK unsigned char ucType void lpvParam int Start int iPort unsigned int uiBrokerld PFN_EVENT_ CALLBACK pfnEvents 41 BM amp FBOVESPA The New Exchange Event may occur due to messages sent to MEGA BOLSA in response to the Start function These events are ConnectionAccepted Occurs in response to a connection with MEGA BOLSA when the Status is changed from WAITING to CONNECTED ConnectionError Occurs in response to a communication error with MEGA BOLSA so that a user is warned about a status transition to ERROR and subsequently to CLOSED AuthenticationOK Occurs when the broker application is authenticated on the Remote Trading Gateway and the Status changes from CONNECTED to AUTHENTICATED AuthenticationError Occurs when the broker application fails to authenticate and the Status changes from CONNECTED to CLOSED Note The connection event ConnectionClosed occurs when the Remote Trading Gateway is closed In like manner as in the case of a ConnectionError after the occurrence of a ConnectionClosed the Start function should be used to establish a new connection thus imparting greater control to the broker application Under no circumstances will the reconnection ever occur automatically 1 5 3 4 Stop Responsibl

USER'S MANUAL VERSION 3.1 EXTERNAL

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