Eurex

Eurex

Eurex sessions

You can connect to the Eurex via Enhanced Trading Interface (ETI) sessions, which support derivatives order routing, and OTC sessions for OTC trade reporting via the Eurex T7 trading system.

Ordering Sessions

Login to the Eurex member section at Deutsche Börse Group portal and do the following:

  1. Select Requests and Configuration > New Request > New Session
  2. Under Market, select the applicable market (Eurex ETI or EEX ETI)
  3. For Provider, enter TRTSP
  4. On the next screen, select an environment (production or simulation). Simulation sessions will be configured in the ext-prod-cert environment. Also, select a business unit and number of sessions. The Market should default to the one selected on the previous screen (EEX or Eurex).
  5. On the next screen, select the session capacity type (HF or LF) and installation. Available installations:
    • 1060630-1-5 (LON-Hanbury St 11, Old Truman Brewery)
    • 1060630-6-5 (FRA-Friesstr. 26)
  6. Submit the request.

    Once submitted, the pop-up window provides the session ID and password. Note: Write those down immediately or take a screen shot, as this is the only time this information is available on the portal.

    TT Onboarding will approve the session. After approval, the session is ready for order routing.

  7. For any issues with the new credentials, contact your TT Onboarding Manager or the TT Onboarding Group: onboarding@tradingtechnologies.com

Eurex Sessions Overview

Use the Type field in General Settings to select a session. The exchange's ETI (Enhanced Trading Interface) supports the following types of sessions:

  • low-frequency (LF)
  • high-frequency (HF)
  • OTC

Note: The exchange offers HF Full (150 TPS), HF Light (50 TPS), LF Full (150 TPS), and LF Light (50 TPS) sessions. In Setup, you can select the same session Type for either the full or light session that you ordered from the exchange. If you want to ensure that you do not exceed the exchange-imposed throughput limit, you can also set the Max Order Rate option for your connection.

High-frequency sessions only support Lean order types. These sessions are designed specifically for automated trading as they also do not support broadcasts and do not have any recoverability mechanism in place for orders or fills. For example, after a session disconnect, it is not possible to inquire or replay the missed executions through an HF session. GTD orders are most likely routed through HF sessions. Low Frequency sessions support lean, non-persistent, and persistent orders. LF sessions support broadcasts and allow all orders and fills to be recovered across a participant's ETI sessions.

TT routes orders to Eurex based on the Send All Orders as Standard Persistent Orders setting for the account and the TIF selected in the Trade application. Standard orders (GTC, GTDate) and persistent orders are routed through LF sessions. GTD orders can be routed through either LF or HF sessions, but HF sessions only support GTD orders. GTC and GTDate orders are always persistent.

When orders with a TIF of GTD are routed to the exchange, the TT platform sets the “lean order” attribute for ETI sessions. This attribute is a way to improve throughput and reduce latency for high-frequency trading. The exchange processes a lean order without persisting order event messages or broadcasting the messages to all listening ETI sessions.

All exchange-supported order types can be routed through LF sessions. HF sessions only support GTD orders. OTC sessions only support block trades (i.e., "Block" order type only).

Persistent Orders

Persistent orders get written to the exchange database and saved during an exchange outage. These orders have the longest round trip time, but are the most reliable. Persistent orders always remain working after a session disconnect, session logout, or exchange outage.

Non-Persistent Orders

Non-persistent orders have a shorter round-trip time and do not get written to the exchange database. Eurex deletes all non-persistent orders in the event of a session disconnect regardless of the reason: exchange host failure, network outage, exchange event, etc.