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High-frequency interfaces to access Eurex

High frequency interfaces to access Eurex

Introduction

In order to meet your demand for streamlined access, Eurex designs interfaces that provide you with high-performance, low-latency access to market data, order management as well as risk and position information:

  • The Enhanced Broadcast Solution provides access to un-netted market data in real-time and with comprehensive market depth.
  • The Enhanced Transaction Solution offers high-speed access for core trading activities; focus is on order and quote maintenance functions.
  • The Enhanced Risk Interface offers distribution of real-time risk data for all exchanges and trading venues for which Eurex Clearing provides its services.
  • The Enhanced Confirmation Solution allows Members to receive recoverable order, trade and matching event information.

Member firms have actively adopted the use of Eurex's interfaces. Currently more than 70 percent of all options orders and quotes and more than 90 percent of all futures orders were entered using the Enhanced Transaction Solution.

Enhanced Broadcast Solution

Uni-directional socket interface used by an Exchange Participant to receive market data from the exchange and receive confirmations in return. Key technical features:

  • Low latency
  • Market data dissemination concept based on a state-of-the-art multicast protocol
  • Additional market depth
  • Independent of hardware platform
  • Independent of operating system and compiler

Enhanced Transaction Solution

Two-way socket interface used by an Exchange Participant to send orders and quotes to the exchange and receive confirmations in return. Key technical features:

  • Low latency
  • Message-based
  • Session-oriented
  • Open interface
  • Full control on failover
  • Independent of hardware platform
  • Independent of operating system and compiler

Enhanced Risk Interface

Two-way socket interface used by a Member to receive and inquire its intraday, and where applicable, end-of-day risk and position data. Key technical features:

  • Uses FIXML-based connection on over new industry standard AMQP transport
  • Independent of hardware platform
  • Independent of operating system and compiler

Enhanced Confirmation Solution

Two-way socket interface used by a member to receive recoverable order, trade and matching event information without the need to use a MISS. Key technical features:

  • Message-based
  • Session-oriented
  • Open interface
  • Own gateway to prevent performance impact
  • Independent of operating system and compiler

The aforementioned high-frequency interfaces are optional for Eurex Exchange Participants and are considered suitable for firms that pursue certain types of trading strategies, for example high-frequency trading.

Clearing Members using the Enhanced Risk Interface still must access clearing functions and reports available via either the Eurex Clearing FIXML Interface or the MISS server. Please note that Eurex Participants already have the possibility to access Eurex GUIs and reports via the internet without the need to operate a MISS.

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