eSpeed Electronic Trading InterfaceeSpeed Electronic Trading Interface

Message Flow DiagramsMessage Flow Diagrams

Proprietary Rights NoticeProprietary Rights Notice

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OverviewOverview

Each Slide details the messages that pass between Each Slide details the messages that pass between an eSpeed enabled application and the eSpeed an eSpeed enabled application and the eSpeed system for various activitiessystem for various activities

Messages sent from the client are highlighted in Messages sent from the client are highlighted in REDRED

Messages received from the eSpeed system are Messages received from the eSpeed system are highlighted in highlighted in BLUEBLUE

Pre-existing States are highlighted in BLACKPre-existing States are highlighted in BLACK

Process DiagramsProcess Diagrams

Submitting a Bid/OfferSubmitting a Bid/Offer Canceling a Bid/OfferCanceling a Bid/Offer Submitting a Buy/Sell OrderSubmitting a Buy/Sell Order Bid/Offer Gets Hit/LiftedBid/Offer Gets Hit/Lifted Canceling a Buy/Sell OrderCanceling a Buy/Sell Order Market Data Subscribe/UnsubscribeMarket Data Subscribe/Unsubscribe QueriesQueries

Submitting a Bid/OfferSubmitting a Bid/Offer

C FETIPostM essage(cm d=C FE TC _P O S T_M A R K ET)

C FETI_M KT_ACC EPTED C FETI_M KT_REJEC TED

Note:When an outstanding bid is joined by a new best offer (or vice versa), a timer limits the ability of any market participant to hit (lift) except for the outstanding bidder and the new offerer (or vice versa). This market is exclusive to the outstanding and new market makers until the timer expires.

Canceling a Bid/OfferCanceling a Bid/Offer

C FETI_PO ST_M ESSAG E(cm d=C FE TC _C A N C E L_M A R K E T)

C FETI_M KT_ACC EPTED

CFETI_CANC EL_M AR KET_R EJEC TED

C FETI_C AN C EL_M ARKET_ACCEPTED

S ee N ote 1

Notes:1. Certain products require a system defined interval to expire before a market can be cancelled.2. A market can also be cancelled automatically by logging out, losing a connection to the trading system, a partial buy/sell (see Submitting a Buy/Sell Order) or by entering a better bid/offer (unless the outstanding bid/offer is a GTC or Limit )

Submitting a Buy/Sell OrderSubmitting a Buy/Sell Order

CFET IPostM essage(cm d=C FETC _S U B M IT_O R D ER )

CFE TI_O R DER_Q UEU ED CFETI_O R DER _REJEC TED

CFETI_O R DER _EXEC UTED

C FETI_TRADE_CO NFIR M

CFETI_O R DER_CAN C ELLED

Any S ize R em a in ing?

Yes

S ize Ava ilab leIncreased by Coun terparty?

CFETI_O R DER_CAN C ELLED

C FETI_M KT_C R EATED

YesN o

N o

SeeN ote 1

Notes:1. User account settings determine whether CFETI_ORDER_CANCELLED is followed by CFETI_MKT_CREATED2. Trade execution is managed by three timers. The first timer allows the initial counterparties to have the exclusive right to increase their size and get matched. The second one passes this right to the other parties in the market. The third timer clears the trade and ends the hit/take state. Additionally, some systems use a timer to prevent trading for a cool off period after the initial trade clears.

Bid/Offer Gets Hit/LiftedBid/Offer Gets Hit/Lifted

CFETI_M KT_EXEC U TED

CFETI_TR AD E_CO N FIRM

CFETI_M KT _C AN CELLED

CFETI_M K T_C REATED

YE S

Entire B id/O ffe rH it/L ifted?

N O

CFETI_M KT _ACC EPTED

S eeN ote 2

See N ote 1

Notes:1. More than one CFETI_MKT_EXECUTED may occur for any given CFETI_MKT_ACCEPTED 2. User account settings determine whether CFETI_MKT_CANCELLED is followed by CFETI_MKT_CREATED3. Trade execution is managed by three timers. The first timer allows the initial counterparties to have the exclusive right to increase their size and get matched. The second one passes this right to the other parties in the market. The third timer clears the trade and ends the hit/take state. Additionally, some systems use a timer to prevent trading for a cool off period after the initial trade clears.

Canceling a Buy/Sell OrderCanceling a Buy/Sell Order

C FETI_PO ST_M ESSAG E(cm d=C FE TC _C A N C E L_O R D E R )

CFETI_O RD ER_ACCEPTED

CFETI_CANC EL_O R DER _R EJEC TED

C FETI_C AN C EL_O RD ER_AC CEPTED

Notes:Users can only cancel the balance of the order that is not currently trading.

Market Data Subscribe/UnsubscribeMarket Data Subscribe/Unsubscribe

C FETIPostM essage(cm d=C FE TC _S U B S C R IB E )

CFETI_SU BSC RIBE_AC CE PTED

CFETIPostM essage(cm d=C FE TC _U N S U B S C R IB E )

CFETI_SUBSC R IBE_REJEC TED

C FETI_UN SU BSC R IBE_AC CEPTED

C FETI_U NSU BSC R IBE_R EJEC TED

C FETI_U PD ATE

Follow ing in itia l Update , A synch ronousUpdates w ill occur as m erited.

Note:Subscribe to a security to begin receiving real time market data

QueriesQueries

C FETIPostM essage(cm d=C FE TC _Q U E R Y )

C FET I_Q U ERY_AC CEPTED CFETI_Q UER Y_R EJEC TED

Note:Instrument Query: Request data on tradable securitiesTrade Query: Request data on trades executed by user

Further InformationFurther Information

For greater detail on any of the topics For greater detail on any of the topics covered within this document, refer to the covered within this document, refer to the Electronic Trading Interface Reference Electronic Trading Interface Reference GuideGuide..