Market Data Broadcast Vendor Certification v1.0

Market Data Broadcast

Vendor Certification

v1.0.4

Market Data Broadcast Vendor Certification

Document Acceptance Test Plan for FIX4.4 Protocol v1.0.4

Owner BM&FBOVESPA

30/03/2010 DST-NG Page 2

Contacts To request copies of this document, please contact: [email protected] [email protected]

mailto:[email protected]

mailto:[email protected]



Owner BM&FBOVESPA

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Index

1. PREFACE .......................................................................................................... 4

2. VENDOR CONTACT INFORMATION ........................................................................ 4

3. ENVIRONMENT .................................................................................................. 6

3.1. Network Configuration ........................................................................................... 6

4. ACCEPTANCE CRITERIA ...................................................................................... 7

5. TEST SCENARIOS ............................................................................................... 8

5.1. Interpreting test scenarios ....................................................................................... 8

5.1.1. “Resumo de Mercado” ............................................................................. 8

5.1.2. “Mercado por oferta” .............................................................................. 8

5.1.3. “Negócios” ............................................................................................ 9

5.2. Test Checklist ................................................................................................... 11

Test .................................................................................................................... 11

Section/Number.................................................................................................... 11

Test title .............................................................................................................. 11

Status ................................................................................................................. 11

5.2.1. ................................................................................................................ 11

5.2.2. ................................................................................................................ 13

5.2.3. ................................................................................................................ 14

5.2.5. ................................................................................................................ 37

5.2.7................................................................................................................ 39



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1. Preface

This document describes the series of tests that qualify a third-party institution to connect to BM&FBOVESPA for the purpose of requesting and receiving Market Data using FIX4.4 (Financial Information eXchange) protocol. FIX is a technical specification for electronic communication of trade-related messages. It is an open standard managed by members of FIX Protocol Limited http://www.fixprotocol.org/. This document outlines the certification process to receive BM&FBOVESPA’s market data feed and is provided for third-parties which need trading connectivity with BM&FBOVESPA.

2. Vendor Contact Information

Please fill in the following form with the client’s contact information.

Company name:

Project Manager Name:

Project Manager E-mail:

Project Manager Phone:

Test Manager Name:

Test Manager E-mail:

Test Manager Phone:

http://www.fixprotocol.org/



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3. Environment

3.1. Network Configuration

The BM&FBOVESPA certification environment consists of a Vendor Gateway connected to the Exchange’s Certification FIX Gateway, which provides an interface to receiving market data in a controlled environment. This interface is implemented using the FIX protocol.

The following diagram illustrates the high-level connectivity in BM&FBOVESPA certification environment.

Vendor Gateway Gateway DMZ BM&FBOVESPA Gateway

RCCF BM&FBOVESPA Site Vendor Site

FIX Protocol TCP/IP

FIX Protocol TCP/IP

FIREWALL

VENDORS DMZ BM&F

Internet VPN

VENDOR DMZ BM&FBOVESPA



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4. Acceptance Criteria

1. A “Market Data Simulator” software will be available to make all tune-up and primary tests. It will simulate BM&F’s market data feed making an established connection between Vendors and BM&F in this first step unnecessary.

2. The test environment will be available for two weeks and all possible test scenarios in test plan must be covered, with 100% of success. It will be possible that some specific(s) scenario(s) will not be available for testing; in this/these case(s), the “N/A” option must be used in “Status” column. During these weeks, the results will be watched and analyzed by a responsible person agreed upon.



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5. Test Scenarios

The test scenarios will be executed sequentially, and each one will be available for 15 minutes, this way, the expected results can be verified and initially analyzed in case of fail.

Pre-condition: All FIX messages must follow the structure specified in the Bell FIX Spec (or

later), which is available on the BM&FBOVESPA Website at http://www.bmf.com.br/novogts, under the development kits section.

5.1. Interpreting test scenarios

In the “Business Scenarios” session, in specific scenarios there are screenshots to help to understand and clearly know what kind of information is expected as result.

5.1.1. “Resumo de Mercado”

The window identified with “A” (Resumo de mercado) contains information like best prices and its respective quantities, Settlement price, Opening price, higher and lower prices, trade volume, and others.

See the picture below:

5.1.2. “Mercado por oferta”

The window identified with “B” (Mercado por oferta) is the book, it contains details of bids and offers, like quantity, price, time it was created and trader code identification.


http://www.bmf.com.br/novogts



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5.1.3. “Negócios”

The third window identified with “C” (Negócios) contains trades details, specification of date and time of the trades, quantity and price and identify the codes of the involved traders.




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5.2. Test Checklist

These are the intended scenarios to be covered:

Test

Section/Number Test title Status

5.2.1. Session Messages Scenarios

5.2.1.1 Send FIX Logon message with synchronized timing Pass Fail N/A

5.2.1.2 Test Heartbeat message in idle connection Pass Fail N/A

5.2.1.3 Send Test Request message Pass Fail N/A

5.2.1.4 Send Resend Request message (Message range to be resent, First and last defined) Pass Fail N/A

5.2.1.5 Send Resend Request message (Resend Request for a single message,

BeginSeqNo=EndSeqNo)

Pass Fail N/A

5.2.1.6 Send Resend Request message(Request for all messages subsequent to a particular

message, EndSeqNo=0)

Pass Fail N/A

5.2.1.7 Test Reject message for invalid tag number Pass Fail N/A

5.2.1.8 Test Reject message for required tag missing Pass Fail N/A

5.2.1.9 Test Reject message for tag not defined for this message type Pass Fail N/A

5.2.1.10 Test Reject message for tag specified without a value Pass Fail N/A

5.2.1.11 Send FIX Logon message with unsynchronized timing Pass Fail N/A



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5.2.1.12 Test Reject message for value is incorrect (out of range) for this tag Pass Fail N/A

5.2.1.13 Test Reject message for Incorrect data format for value Pass Fail N/A

5.2.1.14 Test Reject message for Invalid MsgType Pass Fail N/A

5.2.1.15 Test Reject message for Tag appears more than once Pass Fail N/A

5.2.1.16 Test Reject message for any Other error Pass Fail N/A

5.2.1.17 Send Sequence Reset - “Gap Fill mode” Pass Fail N/A

5.2.1.18 Send Sequence Reset - “Reset mode” Pass Fail N/A

5.2.1.19 Send Logout Message Pass Fail N/A



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5.2.2. Market Data Scenarios

5.2.2.1

SubscriptionRequestType = 1 Indicates what type of response is expected – Snapshot + Update (Subscribe)

MDUpdateType 1 = Incremental Refresh

MDEntryType´s = 0,1,2,4,5,7,8,9,B,X,Z,a,b,c

Subscription Type: Single Instrument

Pass Fail N/A

5.2.2.2

SubscriptionRequestType = 2 Indicates what type of response is expected – Unsubscribe



Subscription Type: Single Instrument

Pass Fail N/A

5.2.2.3




Subscription Type: CFI Code

Pass Fail N/A

5.2.2.4




Subscription Type: CFI Code

Pass Fail N/A

5.2.2.5




Subscription Type: Security Type

Pass Fail N/A

5.2.2.6




Subscription Type: Security Type

Pass Fail N/A

5.2.2.7




Subscription Type: Product

Pass Fail N/A



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5.2.2.8




Subscription Type: Product

Pass Fail N/A

5.2.2.9


Subscription Type: Invalid Single Instrument

Expected Timeout received

Pass Fail N/A

5.2.2.10


Subscription Type: Invalid CFI Code


Pass Fail N/A

5.2.2.11


Subscription Type: Invalid Security Type


Pass Fail N/A

5.2.3. Subscription Scenarios

5.2.3.1 Step1 – Logon

Step2 – Send Market Data Request (For Snapshot) Step3 – Send Market Data Request (Unsubscribe) Step4 – Send Market Data Request (For Snapshot)

Pass Fail N/A

5.2.3.2

Step1 – Logon Step2 – Send Market Data Request (For Snapshot)

Step3 – Logout Step4- Logon

Step5 – Send Market Data Request (For Snapshot)


Step2 – Send Market Data Request (For Snapshot) Step3 – Send Market Data Request (For Snapshot)

Pass Fail N/A


Step2 – Send Market Data Request (For Snapshot) Step3 - Standby (For Incremental)

Pass Fail N/A



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These scenarios are required to be executed in sequence according to this document. Inputs will be provided by BM&FBOVESPA at the certification moment (previously appointed).

5.2.4. Business Scenarios

5.2.4.1

Send Market Data Request - Snapshot + Update MDEntryTypes (0 = Bid, 1 = Offer, 2 = Trade, 4 = Opening Price, 5 = Closing Price, 7 = Trading Session High Price, 8 = Trading Session Low Price, 9 = Trading Session VWAP Price, B = Trade Volume, X = Top of book – offer, Z = Top of book – bid, a =

Referential prices, b = Instrument trading phase, c = Instrument state)

In this test, the following information is expected: 5 bids and 10 offers information, Trades, Opening Price, Closing Price, Trading Session High Price, Trading Session Low Price, Trading Session VWAP Price, Trade Volume, Top of book – offer, Top of

book – bid, Referential price, Instrument trading phase, Instrument state.

Pass Fail N/A

Some information like settlement price, opening price, closing price are not available because no trades occurred until this moment.



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5.2.4.2 Standby (For Incremental)

In this scenario a new bid update is expected, according to the screenshot

Pass Fail N/A



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In this scenario a new offer update is expected, according to the screenshot

Pass Fail N/A



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This test is for a new best bid update, according to the screenshot

Pass Fail N/A



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This test is for a new best offer update, according to the screenshot

Pass Fail N/A



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In this test scenario a bid cancel update is expected

Pass Fail N/A



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In this test scenario an offer cancel update is expected

Pass Fail N/A



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In this test the best bid is canceled and the best price and quantity are updated

Pass Fail N/A



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In this test the best offer is canceled and the best price and quantity are updated

Pass Fail N/A



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This test expects an update for the 5

th bid modification

Pass Fail N/A



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Receive offer modify update This test expects an update for the 10

th offer modification

Pass Fail N/A



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5.2.4.12 Send Market Data Request – Unsubscribe

In this test, the expected is: no more updates

Pass Fail N/A

5.2.4.13

Send Market Data Request – Snapshot + Update MDEntryTypes (0 = Bid, 1 = Offer, 2 = Trade, 4 = Opening Price, 5 = Closing Price, 7 = Trading Session High Price, 8 = Trading Session Low Price, 9 = Trading Session VWAP Price, B = Trade Volume, X = Top of book – offer, Z = Top of book – bid, a =

Referential prices, b = Instrument trading phase, c = Instrument state)

In this test, the following information is expected: 5 bids and 10 offers information, Trades, Opening Price, Closing Price, Trading Session High Price, Trading Session Low Price, Trading Session VWAP Price, Trade Volume, Top of book – offer, Top of

book – bid, Referential price, Instrument trading phase, Instrument state

Pass Fail N/A



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This test scenario expects an update by the modification of the best bid, becoming

worse (the 2nd

one)

Pass Fail N/A



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This test scenario expects an update by the modification of the best offer, becoming

worse (the 2nd

one)

Pass Fail N/A



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This test scenario expects an update by the modification of the 3

rd bid, becoming the

best one

Pass Fail N/A



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This test scenario expects an update by the modification of the 3

rd offer, becoming the

best one

Pass Fail N/A



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5.2.4.18

Standby (For Incremental)

In this test scenario, the following information are expected: new best bid, new best offer, trade, Opening Price, Closing Price, Trading Session High Price, Trading

Session Low Price, Trading Session VWAP Price and Trade Volume

Pass Fail N/A



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This test result is Receive 1

st trade cancel update

Pass Fail N/A



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The expect result of this test scenario is to receive updates from the 2nd bid

modification, which become the best bid with partial fill

Pass Fail N/A



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The expect result of this test scenario is to receive updates from the 2nd offer

modification, which becomes the best offer with complete fill

Pass Fail N/A



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This scenarios expects a instrument state update

Pass Fail N/A



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This scenarios expects a phase update

Pass Fail N/A



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5.2.5. Security List and News Scenarios

5.2.5.1 Security List Request through CFICode

(559=1)

Pass Fail N/A

5.2.5.2 Security List Request through SecurityType (559=1) Pass Fail N/A

5.2.5.3 Security List Request for all securities

(559=4)

Pass Fail N/A

5.2.5.4 Security List Request with SecurityType and CFICode

(CFICode has precedence)

Pass Fail N/A

5.2.5.5 Receive News message Pass Fail N/A



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5.2.6 GLOBEX Products

5.2.6.1 Receive Security Status due to a security state change by BM&FBOVESPA (Requires

BM&FBOVESPA´s intervention)

Pass Fail N/A

5.2.6.2 Subscribe for Market Data for a single instrument with MDEntryTypes e, f, 2, 4, 5, 7, 8, B, X,

Z, a (Only supported by Globex)

Pass Fail N/A

5.2.6.3 Unsubscribe for Market Data for a single instrument with MDEntryTypes e, f, 2, 4, 5, 7, 8, B,

X, Z, a

Pass Fail N/A

5.2.6.4 Send a MarketDataRequest for a CME CFICode asking for all MDEntryTypes Pass Fail N/A

5.2.6.5 Update order book trade history with 1000 trades in a single go Pass Fail N/A

5.2.6.4 Trade Bust (Trade Cancellation) of the last 3 trades Pass Fail N/A



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5.2.7 Price Depth scenarios

5.2.7.1 5 Bid´s and 10 Offer´s are sent to populate the price depth order book Pass Fail N/A

5.2.7.2 A New Bid Order is sent and increment the top of the book quantity Pass Fail N/A



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5.2.7.3 Send a Sixth order worst than the fifth, the order book don´t change. Pass Fail N/A



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5.2.7.4 300 quantities deleted from the top of the Bid side. Pass Fail N/A



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5.2.7.5 Increment 200 quantities on the top of Offer side book Pass Fail N/A



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5.2.7.6 Delete top of Bid and Offer side. Pass Fail N/A



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5.2.7.7 Trade Level 3 and level 4 of Bid side Pass Fail N/A



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5.2.7.8 Change price of level 2 for Bid to 23,00 and Offer for 24,60 Pass Fail N/A



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Please sign below to acknowledge that all the above information is true.

x___________________________________

Person responsible for the certification process (Vendor)

x___________________________________

IT Manager (Vendor)

x__________________________________

Person responsible for the certification process (BM&FBOVESPA)

Documents

Market Data Broadcast Vendor Certification v1.0