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Participation in the LIFFE CONNECT® market is dependent upon market access and data requests made via the LIFFE CONNECT API.
2.2.1.1 Log On/Log Off ITM Log OnTo access LIFFE CONNECT it is necessary for a user to log on via an Individual Trader Mnemonic (ITM) and API call. This call establishes a session on the Trading Host for the Individual Trader Mnemonic in question. The Individual Trader Mnemonic is authenticated by the use of a cryptographic key and password (see 6.1.2 Responsible Person/Individual Trader Mnemonic/e-cbot User ID). The logon call returns the ITM’s privilege level. Some ITMs may have a 'View' privilege, where they can request information only.
Specifically, ITMs with a 'View' privilege can use any API call with the exception of:
· Those related to trading and order handling.
· The call to Retrieve Orders.
Logon attempts are refused while the Trading session is closed or while Market Operations deny logon to specific ITMs (see 3.1.3 Lock-Out). An appropriate error status is returned for each case.
In order to protect the Trading Host from multiple failed logons, the Gateway will stop forwarding ITM logon requests to the Trading Host after a configurable number of failed logins (See 7.1.2 LIFFE CONNECT Gateway). The Gateway will continue to stop failed logons for a configurable period of time. An appropriate error status is returned when the maximum logon attempts has been reached. This is counted on a per ITM session basis, so failed logons made by one ITM will not affect the ability of other ITMs to logon.
ITM Log OffThis call closes the ITMs session on the Trading Host and pulls all orders except those which have been either successfully handed over to a replacement trader (see 2.3.1.6 Handover to Replacement Trader) or have been entered as GTCs.
User Log OffDepending on the implementation of the client application it is possible for users to log off of their local application while keeping the ITM logged in to LIFFE CONNECT. In this scenario the users day orders would not be affected.
2.2.2.1 Automated Market Reference
Automated Market References (AMR) are used to uniquely identify each possible outright and strategy market. The Client Applications use API calls to request outright and strategy standing data information, which will detail the AMR values and consequent market definitions.
2 .2.3 Market Information Functions
2.2.3.1 Subscription
Client applications must allow a user to subscribe to a market, using a Subscribe to Market call, before any market information can be forwarded to them.
Subscribers will then receive market mode changes for any individual market to which they have subscribed.
In addition, client applications can subscribe independently to any of the following optional streams of information within the above levels. The streams are:
· RFQ stream - To receive Request for Quote (RFQ) calls.
· Best Price stream - To receive Publish Market Information, Publish Implied Market Information and Publish Strategy Market Information calls.
· Market Depth stream - To receive a Market Depth update, followed by Order Book Update calls.
· Market Data stream - To receive Indicative Prices, Deltas, Volatilities and Interest Rate calls from the Market Data Interface.
A user can submit orders or RFQs to any market and receive trade confirmations on any orders without subscribing to the market in question.
2.2.3.2 Market UpdateA Client Application, which subscribes to the Market Depth stream of information for a market, immediately receives the price, side of the market (buy or sell) and new residual volume of any change to explicitly quoted prices/volumes in the central order book. The change may be due to a new order submission, a withdrawal, an order revision or a trade. This enables Client Applications to continuously track market depth. The updates will be disseminated for all products from the time they enter Pre-Open until they close.
2.2.3.3 Market DepthThe Client Application, using the API, may request market depth information from the Trading Host. The call requests all explicit prices, and related aggregate volumes, available for buy and sell orders of a specified expiry month, series or explicit strategy market.
Note: The use of this call is monitored and controlled to limit degradation of service that could result from its excessive use.
Client Applications can continuously track market depth by updating the initial market depth information with the Order Book and Market Update information provided on subscribing to a market. Therefore, depending on the design of a Client Application, a trader will be able to view market depth on any chosen market.
2.2.3.4 Retrieve OrdersUsing a Retrieve Orders call, a Client Application can retrieve current details of either:
· GTC orders in the Trading Host for e-cbot User IDs under an ITM, or
· Non-GTC orders for e-cbot User IDs under an ITM that were withdrawn at the point of a ITM level Client Application failure (on reconnection, during the same Trading Day).
A call parameter is set to determine which details are returned.
A user does not need to be subscribed to a market to retrieve orders in that market.
2.2.3.5 Persisted FillsPersisted fills retrieves a record of all trades for an ITM that have been filled during the current trading day. This call is only intended for use when an ITM logs on.
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