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Is B2BITS ICE Trade Capture Solution certified by ICE

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Yes, B2BITS ICE Trade Capture Solution is a certified software. You can find us among ICE Trade Capture Vendors listed on the ICE website - https://www.theice.com/connectivity/trade-capture-vendors.

How to deploy the package and make it work

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Follow the step-by-step instruction below:

1. Install FIXEdge using these instructions: https://kb.b2bits.com/display/B2BITS/FIXEdge+Installation+Guide
   
   
2. Create a database for ICE trades storing:
   1. Create a database itself. ‘ICE_Trades’ is suggested as the default name.
   2. Create database tables using the ‘ICE_database.sql’ script – adjust it if necessary (database name, user, etc)
   3. Add ODBC data source for the database
      
      
3. Adjust FIXEdge configuration (typically located here ‘C:/B2BITS/FIXEdge/FIXEdge1/conf/’)
   1. ICE Handler property file (ICEProperties.properties)
      1.  Specify SenderCompID for:
         1.  The ICESession property so that its final format is: SenderCompID[SOH]TargetCompID
         2. The ICESession.SenderCompID property
      2. Add security definitions subscriptions to the necessary markets using provided examples in the "Security Definition Subscriptions" section: 
         1. Add a security definition subscription name to the list in the ICESession.SecurityDefinitionSubscriptions property
         2. Specify SecurityID and CFICode for added security definition subscription as described in the property file comments or in the instruction below
         Codes of ICE markets can be found at: https://www.theice.com/publicdocs/technology/Supported_Market_Types_on_ICE_API.pdf
      3. Specify an appropriate value of the ICESession.SecurityDefinitionSubscriptions.RequestMode property 
         1. If you wish to receive SecurityDefinitions from p.ii only once a day, set ICESession.SecurityDefinitionSubscriptions.RequestMode = OnceADay
         2. If you wish to receive SecurityDefinitions from p.ii at each logon, set ICESession.SecurityDefinitionSubscriptions.RequestMode = EachLogon
      4. Specify a correct path in the ICESession.StorageFileName property.
   2. Make changes to the ‘FIXEdge.properties’ configuration file:
      1. For ‘ICESession’ specify SenderCompID, your ICE Username and Password. By default the parameters are filled with dummy values / not filled
   3. ‘BL_Config.xml’
      1. Make sure that correct ICE Handler lib (Windows or Linux) and appropriate path are specified in the ICE Handler definition
      2. Make sure that all <History> entities point to the correct DSN, also adjust username and password if they are wrong
      3. Specify correct SenderCompID in the rule "Launch ICE Handler" at the line: <MatchMessage Value=".*PLACE YOUR SENDER COMP ID HERE.*" />
         E.g., if your SenderCompID is 1234, the rule will look like: <MatchMessage Value=".*1234.*" />

      4. Check paths to the ICETrdCapt.js and ICESecDef.js java scripts in rules 'Save ICE Trade Capture Report data and register trade in ICEHandler' and 'Save ICE Security Definition data and register secdef in ICEHandler' accordingly

4. Start FIXEdge via FIX Integrated Control Center (FIXICC)

How to subscribe to the particular ICE market

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ICE markets ICE Trade Capture Solution will subscribe to are specified in the ICEProperties.properties configuration file.

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Code Block
language bash title Snippet from ICEProperties.properties linenumbers true
ICESession.SecurityDefinitionSubscriptions = ICEAtlanticCoalOptions, ICESingaporeEnergyFutures # Atlantic Coal Futures ICESession.SecurityDefinitionSubscriptions.ICEAtlanticCoalOptions.SecurityID = 123 ICESession.SecurityDefinitionSubscriptions.ICEAtlanticCoalOptions.CFICode = OXXXXX # Singapore Energy ICESession.SecurityDefinitionSubscriptions.ICESingaporeEnergyFutures.SecurityID = 133 ICESession.SecurityDefinitionSubscriptions.ICESingaporeEnergyFutures.CFICode = FXXXXX

How to perform recovery and re-request trades from some period

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ICE Trade Capture Solution has inbuilt abilities to restore the trade data missed due to the outage. Basic recovery mechanism is based on the persistence file (ICE_persistStorage.out), where the date & time of the last received trade are preserved.

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In order to re-request trades which have already been received earlier, just remove the persistence file (ICE_persistStorage.out) or specify a desired date there (from which the snapshot of trades should be requested) and restart the session.

How long does ICE keep trades records

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According to ICE Trade Capture specification, ICE holds trade capture data for last 2 business days only.

What is the ICE Trade Capture behavior in case of the ICE session termination

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1. ICE Trade Capture Solution determines that connection with ICE is lost.
2. ICE Trade Capture Solution considers the Trade Capture Report subscription terminated.
3. ICE Trade Capture Solution tries to reconnect in accordance with the ReconnectMaxTries and ReconnectInterval session properties specified in the FIXEdge.properties.

4. Once the connection is back, ICE Trade Capture Solution starts execution of the main flow from:

   1. step 2, if ICESession.SecurityDefinitionSubscriptions.RequestMode = EachLogon is specified in the ICEProperties.properties

   2. step 4, if ICESession.SecurityDefinitionSubscriptions.RequestMode = OnceADay is specified in the ICEProperties.properties

   Note
   Start time in Trade Capture Report Request (MsgType = "AD") will be populated based on the data stored in is specified in the persistence file (ICE_persistStorage.out).

What is the ICE session schedule and how to setup it in ICE Trade Capture Solution

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According to the ICE specification, all FIX sessions will be reset by the ICE FIX host after every 24 hours, i.e. at the beginning of the next trading day (during maintenance window between 6:30 PM to 7:30 PM EST/EDT).

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Code Block
language bash title Snippet from FIXEdge.properties linenumbers true
Schedules.ICEFIXSchedule.StartTime = 0 30 18 * * * Schedules.ICEFIXSchedule.TerminateTime = 0 30 19 * * * Schedules.ICEFIXSchedule.TimeZone = EST FixLayer.FixEngine.Session.ICESession.Schedule = ICEFIXSchedule

How to make a new field from ICE Trade Capture FIX interface stored in the database

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In order to process new fields so that they can appear in the database, the following needs to be done:

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1. According to the ICE Trade Capture specification (see https://community.theice.com/docs/DOC-19796), MiFIDID is located in the root of the Trade Capture Report message (MsgType = "AE").
   Then the ICEReports history from the BL_Config file should be adjusted. Adding the new field to the ICEReports history:

   Code Block
   language xml title Snippet from BL_Config
   <History Name="ICEReports" StorageType="ODBC" MaxNumberOfRecords="15000" TableName="ICEReports" ColumnSize="256" ConnectionString="DSN=ICE_Trades;UID=ice_admin;Pwd=temp_pass;"> <KeyField ColumnName="TradeReportID" ColumnSize="256">571</KeyField> .......... <Field ColumnName="MiFIDID" ColumnSize="256">9707</Field> <Field ColumnName="ClientAppType" ColumnSize="256">9413</Field> </History>

2. Add the processing of the new 9707 field to the ICETrdCapt.js:

   Code Block
   language js title Snippet from ICETrdCapt.js
   .......... rootData = new Array(); rootTags = new Array(487,856,828,150,17,39,570,55,48,22,461,9403,202,916,917,32,31,75,60,9018,9022,552,555,1126,207,820,9820,9520,9521,9522,9523,9524,9525,9064,762,9510,...,9707/*,in code 9413*/); ..........

3. Add the new MiFIDID column with varchar (256) type to the ICEReports table.

How can I know about ICE releases which affect the ICE Trade Capture Solution

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EPAM B2BITS team is constantly monitoring updates of ICE. In case of any changes, the impact on the solution is assessed. If the change is critical and it affects the solution, a new version of the software is released and distributed to the clients in advance.