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FIX Connection | Physical (e.g. network) connection through which FIX messages can be sent and received and is established before the FIX Session is established. |
FIX Session | A bi-directional stream of FIX messages, each associated with a sequence of increasing FIX Sequence Numbers.
In support of message recovery, a single FIX session may span multiple consecutive FIX Connections.
A session begins with a Logon message and ends with a Logout message. |
Floor Code
| A unique 4 digit identifier assigned by EBS to identify a client and the required settlement instructions. For example if you have multiple Prime Brokers (PBs) then you would have a specific Floor Code you would use for trading with each respective PB. |
Multi Level Price Depth | Market data entries reflect a price and quantity from a single liquidity provider. These prices are not sweepable. Clients may target only a single LP's prices within the configured speed-bump time interval. Market data entries are sorted first by side, bids and then offers, then by price, then by size, from largest quantity to smallest and then by LP matching priority. |
Price Depth Book (Sweepable Book) | This is a standard price-based market data book. Dependent upon the market data request, prices may be aggregated across liquidity providers or the quote of each liquidity provider is provided in a discrete market data entry.
Taker orders may be executed against any number of market data bid/offers to reach the desired cumulative size. Bids/offers will be hit in order of descending attractiveness from top of book. |
Resting orders | Resting orders are orders with TimeInForce value of 0, Day; 1, Good Till Cancel; 6, Good Till Date; or A, Good for Time |