EBS Analytics API Rules of Engagement
Quant Analytics provides greater insight into your trading performance so you can improve your results with every trade. Using real-time, historical and end-of-day data, the platform gives you a clear picture of FX trading.
The EBS Analytics API streams trade information, market impact and alpha calculations on a trade-by-trade basis to clients. Using benchmark data taken from the entire EBS ecosystem, the Quant Analytics platform provides insights that allow clients to analyze trade flows, optimize execution efficiencies and benchmark their performance against the EBS community, including statistics on averages for like trades.
This topic represents a FIX 4.4 compliant specification for integration with the Quant Analytics system. Some tags are borrowed from FIX 5.0SP2.
See also:
- EBS Analytics FIX Data Dictionary (XML)
- FTC FIX Specification 4.4
- FTC FIX Specification 5.0 SP2
Refer to the FTC documentation on the FTC website.
Contents
Products Supported
Instruments Supported
EBS Analytics API supports the following instruments at launch:
- Spot
- NDFs
- Precious Metals
The below instruments are NOT supported but will be in the future:
- Forward Outrights
- Swaps
Markets Supported
The following markets are supported:
- EBS Direct
The below markets are NOT supported but will be in the future:
- EBS Market
Analytic Timings
T+5 analytics are provided between 5.5 and 10.5 minutes after the trade takes place. This is approximate because trades are processed in batches which can affect timing. More accurate calculations are performed by 6am GMT on a daily basis and at this time the analytics will include metrics not available at T+5 minutes.
Connectivity
Connectivity will be available by SSL over Internet at launch; other connectivity methods may be introduced at a later date.
Concurrent Subscriptions
To safeguard systems, by default 10 concurrent subscriptions are allowed, attempts to stream more than this will be rejected.
System Schedule
EBS Analytics FIX Servers are available from 7pm on Sunday until 8am on Saturday (GMT).
The ideal configuration is for clients to connect on a weekly basis. This will ensure there is no interruption to a client's T+5 minutes feed.
Time | Action |
---|---|
19:00 Sunday | Start FIX session. |
00:00 Mon-Fri | System rollover, FIX session will remain connected but historical data for the previous calendar |
06:00 Mon-Fri | Latest time T+1 day calculations are published. |
08:00 Saturday | Stop FIX session, reset sequence numbers. |
Historical Data and Recovery
At launch it is possible to request historical data going back to midnight GMT:
- On the current calendar day for T+5 mins analytics.
- On the previous calendar day for T+1 day analytics.
This applies to both snapshot and snaphot+update requests.
Any T+5 min data missing prior to midnight will be restored by 6am GMT when T+1 day analytics are produced at the latest. If further historical data is required then it is possible to use the web dashboard to extract data in CSV format.
Session Management
Clients initiate FIX sessions with the EBS FIX engine which is the acceptor. Most clients will only need a single session, but if you are both an Liquidity Consumer (LC) and an Liquidity Provider (LP) then you will require separate sessions.
Logon (35=A)
A single SenderCompID/TargetCompID may have only one active FIX connection at a time. If a duplicate Logon request for the same SenderCompID/TargetCompID is received while a FIX connection is active, there will be no response to the new Logon request.
Tag | Field Name | Req | Ver | Comments |
---|---|---|---|---|
98 | EncryptMethod | Y | 4.4 | Always '0' = None |
108 | HeartBtInt | Y | 4.4 | Heartbeat interval in seconds. Must be > zero. |
141 | ResetSeqNumFlag | Y | 4.4 | Should be set to 'Y' as persistence is not supported. |
553 | Username | Y | 4.4 | User name assigned by EBS to a user. |
Failed Logon Attempts
If a client Logon request has passed network layer authentication and initial message validation, but the Logon request cannot be completed for any reason, EBS will reply with a Logout message indicating the reason for the Logon failure in the Text field. The Logon request must include a valid SenderCompID/valid TargetCompID combination. After sending the Logout message, EBS will immediately terminate the network connection.
Connection attempts which do not pass network layer authentication will not be responded to. Similarly, malformed Logon messages (missing required field, invalid data type, invalid header or trailer) will