17 Feb 2021

Eurex

Eurex Exchange Readiness Newsflash | Incident Handling Refresher Newsflash

Eurex Exchange Readiness Newsflash | Incident Handling Refresher Newsflash


Dear Eurex Participant,

We strive to ensure high availability of our trusted Eurex T7 trading system. Nevertheless, we want market participants to be well prepared for any rarely occurring incidents. Hence, we have started to publish newsflash messages on a regular basis dealing with the incident handling of different special incident cases or providing more general incident handling information. 

Today, we provide you with the information on order book restatement after market reset events. 

1.   Background information

Technical problems such as central components failure events (which are very unlikely) may lead to matching engine failover or matching engine failure, which will trigger the market reset event.

In particular, a matching engine failover is not transparent, but always implies a market reset. With a market reset, all non-persistent orders and quotes on the affected partition are deleted. In case the primary matching engine fails, the secondary component will take over by loading the persistent orders from the persistency layer and trading continues after a market reset. As non-persistent orders were already deleted following the market reset and thus were unknown to the secondary matcher, there will be no notification about a deletion of these.

Please note that some of the actions prior to a failure of the matching engine may have triggered a preliminary acknowledgement to the trading participant, but may not have persisted. It is therefore crucial that the states of all orders are synchronised with the order book restatement after the secondary component takes over. The following lays down the expected sequence of events in this context:

  • After a market reset event, all active persistent orders of a session will be transmitted to the market participant via the respective session.
  • First, a trading session event message is sent informing the participant of one market reset event per partition accordingly;
  • Optionally followed by extended order information messages for each restated order of the respective session and finally a trading session event message is sent indicating the end of the restatement per product.
  • Order book restatement messages (and the trading session event messages mentioned above) are recoverable.

2.    Best Practice

Due to the preliminary nature of all responses (including preliminary execution reports) sent by the matching engine, it is crucial to synchronise the status of all persistent orders with the order book restatement in case a market reset has been issued by the matching engine.

We urge participants to synchronise the states of all their orders with the restatement after a market reset. This is required, as there may have been order additions/modifications/cancellations/executions, acknowledged by the matching engine, which, however, did not reach the persistency layer and thus, are not taken into consideration after a market reset.

Important note: If there is no trade notification (ETI)/trade capture report (FIX) for a given execution report, it must be considered invalid and should be discarded.

More details about order book restatement can be found in our Enhanced Trading Interface (ETI) Manual, section "4.7.10 order book restatement" and in the T7 FIX Gateway Manual, section "3.9.11 order book restatement".

3.    Focus days in Simulation

This focus day scenario is designed to assist participants in testing the event "matching engine failover and failure".

Please refer to the section "matching engine failover and failure" in the Participant Simulation Guide for more details:

Trade > Support > Initiatives > Release 9.0 > System Documentation > Simulation

Simulation Calendar, under the following path:

Trade > Support > Technology > Simulation calendar

For the latest information on the development and implementation of T7 at Eurex, please refer to our implementation news:

Trade > Support > Information Channels > Implementation news

4.    Further information

For further information, please have a look into the T7 Incident Handling Guide (Chapters 3.5 and 3.9), under the following path:

Trade > Support > Initiatives > Release 9.0 > System Documentation > Production

Enhanced Trading Interface (ETI) Manual under the following path:

Trade > Support > Initiatives > Release 9.0 > System Documentation > Trading Interfaces

T7 FIX Gateway Manual under the following path:

Trade > Support > Initiatives > Release 9.0 > System Documentation > Trading Interfaces

If you have any questions or comments, please do not hesitate to contact us at: client.services@eurex.com.
 

Kind regards 

Your Client Services Team

How to keep up with news? Get the latest Eurex updates fast and easy using: Eurex App, LinkedIn, YouTube or visit our website.


Recipients:

All Trading Participants of Eurex Deutschland and Vendors

Target groups: 

Front Office/Trading, Middle + Back Office, IT/System Administration, Auditing/Security Coordination

Contact:

client.services@eurex.com

Web:

www.eurex.com


Market Status

XEUR

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