ICE Private Order Feed Overview

Owned by Olga Bylinkina (Unlicensed)
Last updated: Feb 28, 2019 by Andrei Bakhteev (Unlicensed)
12 min read

Preface

B2BITS' FIX ICE Private Order Feed Solution is pre-configured to work with ICE POF FIX interface. ICE Private Order Feed Solution is based on B2BITS' generic server FIXEdge, therefore it leverages all FIXEdge features including easy configuration, administration, and monitoring. 

Workflow Overview

1. Supported FIX Messages

ICE Private Order Feed Solution data is captured by FIXEdge via FIX 4.2 session. The ICE Private Order Feed Solution supports the following FIX messages: 

  • From ICE Private Order Feed Solution to ICE POF:
    • Custom Logon (MsgType = 'A');
    • Custom History Request (MsgType = 'UHR')
  • From ICE POF to ICE Private Order Feed Solution:
    • Custom Logon (MsgType = 'A');
    • Execution Report (MsgType = '8');
    • News (MsgType = 'B');
    • Business Message Reject (MsgType = 'j');
    • Allocation Message (MsgType = 'J');

2. ICE Private Order Feed Solution Workflow

See also step-by-step description below:

Main flow:

  1. ICE Private Order Feed Solution starts and establishes FIX Session to ICE POF using data from FIXEdge.properties file
  2. Once the session is established, ICEPofHistoryReq.js is called and the Custom History Request (MsgType = "UHR") is sent to ICE POF (request asks for order events starting from today's midnight)
  3. ICE POF determines that the request parameters are valid and replies with snapshot of Execution Report (MsgType = '8') messages
  4. ICE Private Order Feed Solution processes snapshot of Execution Report (MsgType = '8') messages.

  5. To inform about completed snapshot of drop copy messages, ICE POF sends FIX News (MsgType = "B") message.

  6. ICE POF starts sending live updates (new orders or changes to existing ones - Execution Report (MsgType = '8') messages)
  7. ICE Private Order Feed Solution processes Execution Report (MsgType = '8') messages
  8. ICE POF starts sending Allocation (MsgType = 'J') messages
  9. ICE Private Order Feed Solution processes Allocation (MsgType = 'J') messages

Exceptional cases:

2a. Session with ICE POF is not established

2a1. Notice about a failed attempt to create the session is logged into FIXEdge.log

2a2. ICE Private Order Feed Solution performs an attempt to recreate the session based on the session configuration parameters

3a. ICE POF determines that the Historic Request contains invalid data

3a1. ICE POF sends the Business Message Reject (MsgType = 'j') to inform about failed request

3a2. ICE Private Order Feed Solution writes the following warning in the FIXEdge.log file

WARN: History Request failed with the following reason '" + *** Reject reason received from ICE *** + ""

4a. ICE POF does not have data available to be sent as a Snapshot

4a1. The FIX News (MsgType = "B") message is sent to Business Layer

"History Request was successfully accomplished. ICE POF status: '" + text + "'";

4a2. Main flow continues from the step 7. 

3. Processing Incoming ICE POF Data

  • All incoming traffic (Execution Report Messages, Allocation messages) is stored into the database by means of java script (ICEPofExecRpt.js, ICEPofAllocRpt.js).
  • Alternatively, data can be published to any other middleware supported by FIXEdge.

ICE Private Order Feed Solution Configuration

Please see the table below that represents the components included into the FIXEdge package intended for ICE Private Order Feed Solution:

Configuration FileDescription
BL_Config.xml

Is used to specify the following:

  • rules for processing incoming FIX messages (including those which call java scripts storing data to database)

    ..........
   <!-- ============== RULES FOR ICE POF HANDLER : START ======================== -->
    <Rule Description="Rule to notify java script creating Historic Request about established ICE POF FIX session">
      <Source>
        <FixSession SenderCompID=".*" TargetCompID=".*" /> 
      </Source>
      <Condition>
        <EqualField Field="35" Value="C" />
        <EqualField Field="50" Value="Q1"/>
  <!-- PLACE YOUR SENDER COMP ID HERE -->
  <MatchMessage Value=".*147=\[NOTE\] SENDER_COMP_ID:ICE Established.*"/>
      </Condition>
      <Action>
    <Script Language="JavaScript" FileName="../FIXEdge1/conf/ICEPofHistoryReq.js"/>  
      </Action>
     </Rule>
 <Rule Description="Save ICE POF Execution Reports">
      <Source Name="ICEPOF.*" />
   <Condition>
     <EqualField Field="35" Value="8" />
   </Condition>
   <Action>
     <Script Language="JavaScript" FileName="../FIXEdge1/conf/ICEPofExecRpt.js" />
   </Action>
 </Rule> 
   <!-- ============== RULES FOR ICE POF HANDLER : END ======================== --> 

   <!-- ============== RULES FOR ICE POF Allocation : START ======================== -->  
 <Rule Description="Save ICE POF Allocation Reports">
   <Source Name="ICEPOF.*" />
   <Condition>
  <EqualField Field="35" Value="J" />
   </Condition>
   <Action>
  <Script Language="JavaScript" FileName="../FIXEdge1/conf/ICEPofAllocRpt.js" />
   </Action>
 </Rule> 
   <!-- ============== RULES FOR ICE POF Allocation : END ======================== --> 
..........

  • description of DB tables to store data to (if applicable)

    ..........
    <History Name="ICEPOFReports"
             StorageType="ODBC"
             MaxNumberOfRecords="15000"
             TableName="ICEPOFReports"
             ColumnSize="256"
             ConnectionString="DSN=ICE_POF;UID=pof_admin;Pwd=temp_pass;">
      <KeyField ColumnName="ExecID" ColumnSize="128">17</KeyField>
      <KeyField ColumnName="Symbol" ColumnSize="128">55</KeyField>
      <KeyField ColumnName="Side" ColumnSize="128">54</KeyField>
      <KeyField ColumnName="SourceFeed" ColumnSize="128">9009</KeyField>
      <KeyField ColumnName="ExecType" ColumnSize="128">150</KeyField>
      <KeyField ColumnName="TransactTime" ColumnSize="128">60</KeyField>
      <Field ColumnName="TransactTimeWasNULL" ColumnSize="128">00</Field>
      <Field ColumnName="PossDupFlag" ColumnSize="128">43</Field>
      <Field ColumnName="PossResend" ColumnSize="128">97</Field>
      <Field ColumnName="SendingTime" ColumnSize="128">52</Field>
      <Field ColumnName="OrderID" ColumnSize="128">37</Field>
      <Field ColumnName="ClOrdID" ColumnSize="128">11</Field>
      <Field ColumnName="OrigClOrdID" ColumnSize="128">41</Field>
      <Field ColumnName="ClientID" ColumnSize="128">109</Field>
      <Field ColumnName="TargetCompId" ColumnSize="128">56</Field>
      <Field ColumnName="ExecInst" ColumnSize="128">18</Field>
      <Field ColumnName="OnBehalfOfCompId" ColumnSize="128">115</Field>
      <Field ColumnName="OnBehalfOfSubId" ColumnSize="128">116</Field>
      <Field ColumnName="OnBehalfOfLocationId" ColumnSize="128">144</Field>
      <Field ColumnName="HistoryRequestId" ColumnSize="128">9415</Field>
      <Field ColumnName="OriginatorUserID" ColumnSize="128">9139</Field>
      <Field ColumnName="ExecTransType" ColumnSize="128">20</Field>
      <Field ColumnName="ExecRefID" ColumnSize="128">19</Field>
      <Field ColumnName="OrdStatus" ColumnSize="128">39</Field>
      <Field ColumnName="OrderState" ColumnSize="128">9175</Field>
      <Field ColumnName="OrdRejReason" ColumnSize="128">103</Field>
      <Field ColumnName="OrderQty" ColumnSize="128">38</Field>
      <Field ColumnName="SecurityType" ColumnSize="128">167</Field>
      <Field ColumnName="PutOrCall" ColumnSize="128">201</Field>
      <Field ColumnName="StrikePrice" ColumnSize="128">202</Field>
      <Field ColumnName="MaxShow" ColumnSize="128">210</Field>
      <Field ColumnName="OrdType" ColumnSize="128">40</Field>
      <Field ColumnName="Price" ColumnSize="128">44</Field>
      <Field ColumnName="ExecRestatementReason" ColumnSize="128">378</Field>
      <Field ColumnName="CustOrderHandlingInst" ColumnSize="128">1031</Field>
      <Field ColumnName="LiquidityIndicator" ColumnSize="128">9120</Field>
      <Field ColumnName="MemoField" ColumnSize="128">9121</Field>
      <Field ColumnName="TransactDetails" ColumnSize="128">9123</Field>
      <Field ColumnName="NumberOfCycles" ColumnSize="128">9022</Field>
      <Field ColumnName="SequenceWithinMillis" ColumnSize="128">9028</Field>
      <Field ColumnName="ClientAppType" ColumnSize="128">9413</Field>
      <Field ColumnName="CustClearingVenue" ColumnSize="128">9209</Field>
      <Field ColumnName="TrdType" ColumnSize="128">828</Field>
      <Field ColumnName="TimeInForce" ColumnSize="128">59</Field>
      <Field ColumnName="PositionEffect" ColumnSize="128">77</Field>
      <Field ColumnName="LeavesQty" ColumnSize="128">151</Field>
      <Field ColumnName="CumQty" ColumnSize="128">14</Field>
      <Field ColumnName="AvgPx" ColumnSize="128">6</Field>
      <Field ColumnName="LastQty" ColumnSize="128">32</Field>
      <Field ColumnName="LastPx" ColumnSize="128">31</Field>
      <Field ColumnName="LastParPx" ColumnSize="128">669</Field>
      <Field ColumnName="MultiLegReportingType" ColumnSize="128">442</Field>
      <Field ColumnName="SecondaryExecID" ColumnSize="128">527</Field>
      <Field ColumnName="CrossId" ColumnSize="128">548</Field>
      <Field ColumnName="CrossType" ColumnSize="128">549</Field>
      <Field ColumnName="ClearingFirm" ColumnSize="128">439</Field>
      <Field ColumnName="ClearingAccount" ColumnSize="128">440</Field>
      <Field ColumnName="StartDate" ColumnSize="128">916</Field>
      <Field ColumnName="EndDate" ColumnSize="128">917</Field>
      <Field ColumnName="AccountCode" ColumnSize="128">9195</Field>
      <Field ColumnName="CustomerAccountRefId" ColumnSize="128">9207</Field>
      <Field ColumnName="CrossExecutionType" ColumnSize="128">9405</Field>
      <Field ColumnName="DeliveryStartDate" ColumnSize="128">9520</Field>
      <Field ColumnName="DeliveryEndDate" ColumnSize="128">9521</Field>
      <Field ColumnName="LocationCode" ColumnSize="128">9522</Field>
      <Field ColumnName="MeterNumber" ColumnSize="128">9523</Field>
      <Field ColumnName="LeadTime" ColumnSize="128">9524</Field>
      <Field ColumnName="ReasonCode" ColumnSize="128">9525</Field>
      <Field ColumnName="DayRate" ColumnSize="128">9526</Field>
      <Field ColumnName="Text" ColumnSize="128">58</Field>      
      <Field ColumnName="PriceType" ColumnSize="128">423</Field>
      <Field ColumnName="StopPx" ColumnSize="128">99</Field>
      <Field ColumnName="ExpireDate" ColumnSize="128">432</Field>
      <Field ColumnName="ExpireTime" ColumnSize="128">126</Field>
      <Field ColumnName="LinkExecID" ColumnSize="128">9527</Field>
      <Field ColumnName="BrokerCompID" ColumnSize="128">9065</Field>
      <Field ColumnName="BrokerCompName" ColumnSize="128">9066</Field>
      <Field ColumnName="BrokerUserID" ColumnSize="128">9067</Field>
      <Field ColumnName="DeleteReason" ColumnSize="128">285</Field>
      <Field ColumnName="QuoteRespID" ColumnSize="128">693</Field>
      <Field ColumnName="WaiverIndicator" ColumnSize="128">8013</Field>
      <Field ColumnName="ImpliedIndicator" ColumnSize="128">9003</Field>
      <Field ColumnName="CTICode" ColumnSize="128">9208</Field>
      <Field ColumnName="DirectElectronicAccess" ColumnSize="128">9700</Field>
      <Field ColumnName="TradingCapacity" ColumnSize="128">9701</Field>
      <Field ColumnName="LiquidityProvision" ColumnSize="128">9702</Field>
      <Field ColumnName="CommodityDerivIndicator" ColumnSize="128">9703</Field>
      <Field ColumnName="InvestmentDecision" ColumnSize="128">9704</Field>
      <Field ColumnName="ExecutionDecision" ColumnSize="128">9705</Field>
      <Field ColumnName="ClientIDCode" ColumnSize="128">9706</Field>
      <Field ColumnName="MiFIDID" ColumnSize="128">9707</Field>
      <Field ColumnName="MemberName" ColumnSize="128">5364</Field>
      <Field ColumnName="CounterpartyTraderID" ColumnSize="128">6347</Field>
      <Field ColumnName="CounterpartyCompID" ColumnSize="128">6822</Field>
      <Field ColumnName="ContraFirm" ColumnSize="128">9068</Field>
      <Field ColumnName="ComplianceID" ColumnSize="128">376</Field>   
      <Field ColumnName="NumOfCombiDefinitions" ColumnSize="128">9500</Field>
      <Field ColumnName="TermsQualityComments" ColumnSize="128">9510</Field>   
      <Field ColumnName="NoLegExecutions" ColumnSize="128">9029</Field>   
    </History>
 <History Name="ICEPOFReportsCombiDefinitions"
             StorageType="ODBC"
             MaxNumberOfRecords="15000"
             TableName="ICEPOFReportsCombiDefinitions"
             ColumnSize="256"
             ConnectionString="DSN=ICE_POF;UID=pof_admin;Pwd=temp_pass;">
   
      <KeyField ColumnName="ExecID" ColumnSize="128">17</KeyField>
      <KeyField ColumnName="Symbol" ColumnSize="128">55</KeyField>
      <KeyField ColumnName="Side" ColumnSize="128">54</KeyField>
      <KeyField ColumnName="SourceFeed" ColumnSize="128">9009</KeyField>
      <KeyField ColumnName="ExecType" ColumnSize="128">150</KeyField>
      <KeyField ColumnName="TransactTime" ColumnSize="128">60</KeyField>   
    <KeyField ColumnName="CombiDefinitionsEntry" ColumnSize="128">5999</KeyField> 
      <Field ColumnName="CombiPercentage" ColumnSize="128">9501</Field>
      <Field ColumnName="CombiPriceBasis" ColumnSize="128">9502</Field>
      <Field ColumnName="CombiPriceBasisPeriod" ColumnSize="128">9503</Field>
      <Field ColumnName="CombiPriceBasisSubLevel" ColumnSize="128">9504</Field>
      <Field ColumnName="CombiLegPrice" ColumnSize="128">9505</Field>
    </History>
 
    <History Name="Sent_Messages_ICE_POF"
             StorageType="ODBC"
             MaxNumberOfRecords="15000"
             TableName="Sent_Messages_ICE_POF"
             ColumnSize="256"
             ConnectionString="DSN=ICE_POF;UID=pof_admin;Pwd=temp_pass;">
      <KeyField ColumnName="ExecID" ColumnSize="128">17</KeyField>
      <KeyField ColumnName="Symbol" ColumnSize="128">55</KeyField>
      <KeyField ColumnName="Side" ColumnSize="128">54</KeyField>
      <KeyField ColumnName="SourceFeed" ColumnSize="128">9009</KeyField>
      <KeyField ColumnName="ExecType" ColumnSize="128">150</KeyField>
      <KeyField ColumnName="TransactTime" ColumnSize="128">60</KeyField>   
    </History>
   <History Name="ICEPOFAllocation"
             StorageType="ODBC"
             MaxNumberOfRecords="15000"
             TableName="ICEPOFAllocation"
             ColumnSize="256"
             ConnectionString="DSN=ICE_POF;UID=pof_admin;Pwd=temp_pass;">
      <KeyField ColumnName="AllocID" ColumnSize="256">70</KeyField>
      <KeyField ColumnName="TransactTime" ColumnSize="128">60</KeyField>
   <Field ColumnName="TransactTimeWasNULL" ColumnSize="128">00</Field>
   <Field ColumnName="PossDupFlag" ColumnSize="128">43</Field>
   <Field ColumnName="PossResend" ColumnSize="128">97</Field>
      <Field ColumnName="SendingTime" ColumnSize="128">52</Field>   
      <Field ColumnName="AllocTransType" ColumnSize="128">71</Field>
      <Field ColumnName="ClearingBusinessDate" ColumnSize="128">715</Field>
      <Field ColumnName="AllocReportType" ColumnSize="128">794</Field>
      <Field ColumnName="AllocStatus" ColumnSize="128">87</Field>
      <Field ColumnName="NoOrders" ColumnSize="128">73</Field>
      <Field ColumnName="ClOrdID" ColumnSize="128">11</Field>
      <Field ColumnName="NoExecs" ColumnSize="128">124</Field>
      <Field ColumnName="TrdType" ColumnSize="128">828</Field>
      <Field ColumnName="Symbol" ColumnSize="128">55</Field>
      <Field ColumnName="SecurityType" ColumnSize="128">167</Field>
      <Field ColumnName="MaturityMonthYear" ColumnSize="128">200</Field>
      <Field ColumnName="PutOrCall" ColumnSize="128">201</Field>
      <Field ColumnName="StrikePrice" ColumnSize="128">202</Field>
      <Field ColumnName="SecurityExchange" ColumnSize="128">207</Field>
      <Field ColumnName="Shares" ColumnSize="128">53</Field>
      <Field ColumnName="AvgPx" ColumnSize="128">6</Field>
      <Field ColumnName="TradeDate" ColumnSize="128">75</Field>
      <Field ColumnName="TradeInputSource" ColumnSize="128">578</Field>
      <Field ColumnName="Text" ColumnSize="128">58</Field>
      <Field ColumnName="LiquidityIndicator" ColumnSize="128">9120</Field>
      <Field ColumnName="NoAllocs" ColumnSize="128">78</Field>
    </History>
    <History Name="ICEPOFAllocationExecs"
             StorageType="ODBC"
             MaxNumberOfRecords="15000"
             TableName="ICEPOFAllocationExecs"
             ColumnSize="256"
             ConnectionString="DSN=ICE_POF;UID=pof_admin;Pwd=temp_pass;">
      <KeyField ColumnName="AllocID" ColumnSize="256">70</KeyField>
      <KeyField ColumnName="TransactTime" ColumnSize="128">60</KeyField>
      <KeyField ColumnName="ExecEntry" ColumnSize="128">7771</KeyField>
      <Field ColumnName="LastShares" ColumnSize="128">32</Field>
      <Field ColumnName="ExecID" ColumnSize="128">17</Field>
      <Field ColumnName="LastPx" ColumnSize="128">31</Field>
      <Field ColumnName="TradeID" ColumnSize="128">1003</Field>
      <Field ColumnName="ClientAppType" ColumnSize="128">9413</Field>   
    </History>
    <History Name="ICEPOFAllocationAllocs"
             StorageType="ODBC"
             MaxNumberOfRecords="15000"
             TableName="ICEPOFAllocationAllocs"
             ColumnSize="256"
             ConnectionString="DSN=ICE_POF;UID=pof_admin;Pwd=temp_pass;">
      <KeyField ColumnName="AllocID" ColumnSize="256">70</KeyField>
      <KeyField ColumnName="TransactTime" ColumnSize="128">60</KeyField>
      <KeyField ColumnName="AllocEntry" ColumnSize="128">7772</KeyField>
      <Field ColumnName="AllocShares" ColumnSize="128">80</Field>
      <Field ColumnName="AllocAccount" ColumnSize="128">79</Field>
      <Field ColumnName="AllocPrice" ColumnSize="128">366</Field>
      <Field ColumnName="SecondaryIndividualAllocID" ColumnSize="128">989</Field>
      <Field ColumnName="IndividualAllocType" ColumnSize="128">992</Field>
      <Field ColumnName="AllocCustomerCapacity" ColumnSize="128">993</Field>
      <Field ColumnName="AllocPositionEffect" ColumnSize="128">1047</Field>
      <Field ColumnName="AllocText" ColumnSize="128">161</Field>
      <Field ColumnName="SettlementAccountCode" ColumnSize="128">9194</Field>
      <Field ColumnName="AllocAcceptanceTime" ColumnSize="128">9060</Field>
      <Field ColumnName="NoAllocInfo" ColumnSize="128">9140</Field>
    </History>
 
    <History Name="ICEPOFAllocationAllocsInfo"
             StorageType="ODBC"
             MaxNumberOfRecords="15000"
             TableName="ICEPOFAllocationAllocsInfo"
             ColumnSize="256"
             ConnectionString="DSN=ICE_POF;UID=pof_admin;Pwd=temp_pass;">
      <KeyField ColumnName="AllocID" ColumnSize="256">70</KeyField>
      <KeyField ColumnName="TransactTime" ColumnSize="128">60</KeyField>
      <KeyField ColumnName="AllocEntry" ColumnSize="128">7773</KeyField>
      <KeyField ColumnName="AllocInfoEntry" ColumnSize="128">7774</KeyField>
      <Field ColumnName="AllocSideInfo" ColumnSize="128">9141</Field>
      <Field ColumnName="ClientID" ColumnSize="128">109</Field>
      <Field ColumnName="BrokerCompID" ColumnSize="128">9065</Field>
      <Field ColumnName="OriginatorUserID" ColumnSize="128">9139</Field>
      <Field ColumnName="AccountCode" ColumnSize="128">9195</Field>
      <Field ColumnName="TMMnemonic" ColumnSize="128">9103</Field>
      <Field ColumnName="RIMnemonic" ColumnSize="128">9603</Field>
      <Field ColumnName="CMMnemonic" ColumnSize="128">9604</Field>
      <Field ColumnName="ClrHouseCode" ColumnSize="128">9609</Field>
      <Field ColumnName="CustomerAccountRefID" ColumnSize="128">9207</Field>
    </History>
  
    <History Name="Sent_Allocation_ICE_POF"
             StorageType="ODBC"
             MaxNumberOfRecords="15000"
             TableName="Sent_Allocation_ICE_POF"
             ColumnSize="256"
             ConnectionString="DSN=ICE_POF;UID=pof_admin;Pwd=temp_pass;">
      <KeyField ColumnName="AllocID" ColumnSize="256">70</KeyField>
      <KeyField ColumnName="TransactTime" ColumnSize="128">60</KeyField>
    </History>
..........
additional_icepof.xmlDefines custom tags for ICE POF API messages
FIXEdge.properties

Is used to specify FIX Session details

  • Host  = **** as supplied by ICE ****
  • Port  = **** as supplied by ICE ****
  • Username = **** as supplied by ICE ****
  • Password = **** as supplied by ICE ****
  • Encryption required : No
  • FIX Version:  4.2
  • Role:  Initiator 
  • SenderCompID  = **** as supplied by ICE ****
  • SenderSubID  = 1
  • Heartbeat Interval = 60 (recommended; value of '0' will lead to connection drops)
  • Reconnect Interval = 15000 (recommended)

    Logon = custom logon message, see example below:

Custom ICE POF Logon

8=FIX.4.2 | 9=65 | 35=A | 49=SenderCompID | 50=1 | 56=ICE | 34=1 | 52=99990909-17:17:17 | 98=0 | 108=30 | 9001=1 | 9006=0 | 9007=1 | 9008=0 | 10=140 |

Note, value of SenderSubID (50) is not supplied by ICE. User can choose any value as long as it complies with datatype of this tag.
Values for the following tags are expected to be supplied by ICE and to be specified in custom Logon:

  • UserType (9001) - either '1' (Trading Firm) or '2' (Clearing Firm Company)

The following tags and their values must be specified in Custom ICE POF Logon to support the Allocation message:

  • StrategyPreference (9006) - StrategyPreference (Tag 9006) must be set to ‘1’ if PublishClearingAllocations (Tag 9008) = ‘1’. Set the value to 1.
  • PublishClearingAllocations (9008) - indicates whether or not the allocations from clearing should be published over the session.  Supported value(s): 0 = Do not send clearing allocation messages (Default if not sent). 1 = Send clearing allocation messages. Set the value to 1.
ICEPofHistoryReq.jsJava script for generation of Historic Request (MsgType = 'UHR'). By default, request asks for order events starting from today's midnight.

ICEPofExecRpt.js

Java script used to push ICE Execution report (MsgType = '8') messages to database.
Is a part of business rules for messages processing which are defined in BL_Сonfig.xml 
ICEPofAllocRpt.jsJava script used to push ICE Allocation message (MsgType = 'J') messages to database.
Is a part of business rules for messages processing which are defined in BL_Сonfig.xml 
SQL script

Used to create database tables