EBS Direct 2.0 has been built from the ground up to be low latency and represents a significant improvement on our previous platform. This section of content focuses on API level changes since EBS Direct 1.0. The API is backwards compatible and the vast majority of existing clients will not need to make any code changes unless they wish to take advantage of new functionality.  

Contents

New Functionality

All new functionality is optional, therefore maintaining backwards compatibility with the existing API.

• Ability to specify a Ceiling or Cumulative Notional Market Depth on your Market Data subscriptions.

  • Reduce the volume of Market Data on your subscriptions by seeing only the volume you want to see.

• Throttling is now supported on Incremental Market Data subscriptions.

Session Level

Logon (35=A)

• Persistence is no longer supported for Order Management sessions (it is not, and was not previously supported for Market Data sessions).

• All Logon messages should set 141=Y.

• DefaultCstmApplVerID(1408) is no longer required, if supplied it will be ignored.

ResendRequest (35=2)

• ResendRequest(35=2) messages should no longer be sent, if EBS receives a ResendRequest(35=2) from a client then the session will be logged out by way of a Logout (35=5) message.

SequenceReset (35=4)

• SequenceReset messages are no longer supported, they will not be sent by EBS and if they are received from a Taker then the session will be logged out with a Logout (35=5) message.

Application Level

All Messages

Outrights and Swaps are no longer supported, associated tags and enums have been removed where they only applied to these Security Types.

Market Data Request (35=V)

The ability to specify multiple LPs in the DeliverToCompId(128) message has been removed.
The below (optional) tag has been introduced:

• MDEntrySize(271) – ability to set a cumulative notional volume you would like to see depth for Sweepable, or a ceiling notional you would like to see depth for on Single Ticket.

The below tags have been removed:

• NoMDRungQty(12001)

• MDRungQty(12002)

UpdatedInterval(12003) – can now be set on Incremental Market Data Subscriptions (in addition to Snapshot) giving the ability to throttle market data updates.

Market Data Request Reject (35=Y)

The below enum has been added to MDReqRejReason(281):

• Invalid UpdateFrequency(i)

Market Data Snapshot Full Refresh (35=W)

SettlType(63) is no longer provided on empty book (269=J) messages.

MDEntryID(278) is no longer provided by default on Snapshot subscriptions (where 265=0 on the 35=V message). It is still provided on Incremental (265=1) subscriptions.

Market Data Incremental Refresh (35=X)

The format of MDEntryID(278) values has changed to be an integer up to 2147483648, this remains within the constraints of the FIX protocol and the longest value is still shorter than that of the existing 1.0 API. MDEntryID(278) is unique amongst active entries on a given MDReqID(262). It is not unique across all MDReqIDs.

New Order Single (35=D)

The ability to specify the priority order of LPs in the DeliverToCompID(128) has been removed. This can now be configured in the EBS Admin tool. Only a single LP can be configured in DeliverToCompId(128).

The following TimeInForce(59) values are no longer supported:

• GFT (59=A)

• GTD (59=6)"

The below tags have been removed:

• ExposureDuration(1629)

• ExposureDurationUnit(1916)

UserReference1(20115) and FundDesignation(5106) are limited to 12 characters, values longer than this will be truncated.

Execution Report (35=8)

ExpireTime(126) is always provided on messages relating to resting orders.

PartyRole information for the LC Firm and Trader (452=1 and 12) is provided on ExecType(150)=New(0), even when not provided on the corresponding NewOrderSingle(35=D).

Order Mass Cancel Request(35=q)

This message type is no longer supported.

RFQ

RFQ is no longer supported, the below message types have been removed.

• Request For Quote (35=R)

• Quote (35=S)

• Quote Request Reject (35=AG)

• Quote Cancel (35=Z)