ASX Trade OUCH Message Specification

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ASX TradeASX Trade OUCH Message SpecificationJune 2019

Table of Contents1Introduction.41.12Version History.4ASX Trade OUCH Architecture.62.12.2Data Types.6Inbound Messages.62.2.12.2.22.2.32.2.42.3Outbound Messages.142.3.12.3.22.3.32.3.42.3.53Enter Order Message.7Replace Order Message.10Cancel Order Message.13Cancel By Order ID Message.14Order Accepted Message.14Order Rejected Message.17Order Replaced Message.17Order Cancelled Message.21Order Executed.21Appendix 1ʹASX Trade OUCH Scenarios.243.1Scenario 1ʹOrder is entered, partially trades, is amended, partially trades again and is then cancelled.243.1.13.1.23.1.33.1.43.1.53.2Scenario 2ʹOrder is entered and trades out fully immediately.273.2.13.2.23.3User enters order.30User amends order.31Partial trade.32Scenario 4ʹFill and Kill order is entered that trades partially and remainder is cancelled.323.4.13.4.23.5User enters order.27Order trades out.28Scenario 3ʹOrder is entered and then amended, causing it to partially trade immediately.293.3.13.3.23.3.33.4Customer enters order.24Partialtrades for 1,000 at 3676 cents.25Customer amends the quantity of the order down.26Partially trades again.27Customer cancels the remaining order.27User enters Fill and Kill order.33Order trades.33Scenario 5 ʹFill or Kill order entered that is cancelled immediately.353.5.13.5.2User enters Fill or Kill order.35Order is cancelled.35 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification2/47

3.6Scenario 6ʹOrder is entered but rejected by ASX Trade.373.6.13.6.23.7Scenario 7ʹOrder is entered and then amended by a different user using the OMNet.API 383.7.13.7.23.7.33.8User enters order.37Order is rejected.37User entersorder.38Different user amends the order.39Order trades.40Scenario 8ʹA TMC order is entered and immediately trades with orders in the market.403.8.13.8.2User enters TMC order.40Order trades.414Appendix2 ʹMapping of ASX Trade OUCH Order Types to OMNet API .Values435Appendix 3ʹFrequently Asked Questions.455.15.25.3General Protocol FAQs.45Environment FAQs.45Functionality FAQs.45 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification3/47

1IntroductionASX Trade OUCH is the premium ultra-low latency order handling protocol for ASX Trade. ASX Trade OUCH provides lowlatency versions of the three principal order-handling actions; entering new orders, amending and cancelling existingorders and receiving order executions on ASX Trade. For public information about the ASX Trade order book, refer toASX Trade ITCH and Glimpse Specification.ASX Trade OUCH is a streamlined native protocol for order management on ASX Trade matching engine. It is designedto offer the maximum possible performance for the essential order management actionsand achieves roundtriptransactions in approximately one third theof time compared tothe BO5 broadcast received byOMNet API connectionvia Australian Liquidity Centre Liquidity Cross Connect.The ASX Trade OUCH protocol provides: Ultra-low latency order entry and updates for those ordersVirtually un-throttled accessto the matching engineAsynchronous protocol, no need to wait for order acknowledgmentEntry of orders with Day, FoK and FaKvalidityAmendment of orders entered with ASX Trade OUCHCancellation of orders entered with ASX Trade OUCHNotification of executions of orders entered with ASX Trade OUCHSupport of Unintentional Crossing Prevention functionalitySupport of ASX Sweep and Centre Point order functionalityAccess to all asset classes available in ASX TradeInternationally recognised and standardisedprotocolTime-stamping from ASX Trade to the 100 nanoseconds.For ASX Trade OUCH questions contact ASX Customer Technical Support (CTS) team either via email on cts@asx.com.auor phone 1800 663 053 (or on 61 2 9227 0372 from outside Australia).1.1Version HistoryThis document has been revised according to the table below:VersionDateCommentv2.0March 2015 Updated with changes for the ASX Trade Q2 2015 Release (SR8):Addition of new field Minimum Acceptable Quantity in the followingmessages:‒ Enter Order‒ Replace Order‒ Order Entered‒ Order Replaced.Addition of new field Match Attributes the Order Executed message.Additional of five new OUCH Order Types:‒ OUCH Order Type B: Mid-point Centre Point Block Order with single fillMAQ‒ OUCH Order Type F: Darklimit Centre Point Block Order with single fillMAQ‒ OUCH Order Type T: Centre Point Sweep order with single fill MAQ‒ OUCH Order Type C: Any Price Block order‒ OUCH Order Type E: Any Price Block order with single fill MAQ 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification4/47

VersionDateComment For OUCH Order Types N, S,D,B,F, T, C and E, the Enter Order and ReplaceOrder messages will accept prices at -tick.half A price at half-tick to beinterpreted as on-tick Limit price with half-tick improvement.Addition of four new values for the Deal Source field in the Order Executedmessage:‒‒‒‒v2.1June 2019 49 Reserved for future use50 Block Trade51 Preference Block Trade52 Reserved for future use.Updated to new ASX brandingRemoval of connectivity sectionʹmoved to a new documentAddition of information about theMatch ID in Order Executed messageCorrection of data type of Reject Code in Order Rejected MessageCorrection of Order Executed Message removingTime In Force fieldCorrection ofDeal Source LengthAddition of information aboutvalues of order book idfor the same stockvarying between the environments 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification5/47

2ASX Trade OUCH ArchitectureThe ASX Trade OUCH protocol is composed of logical messages passed between the ASX Trade OUCH host and theclient application. Each message type has a fixed message length.he messagesTare binary encoded, which means thatall numeric values are represented as binary values. Character or string values are composed-controlof nonISO 8859-1(Latin-1) encoded bytes.All outbound messages sent from the ASX Trade OUCH systeme clientto th are assumed to be sequenced, and theirdelivery is guaranteed by the lower level protocol. The SoupBinTCP protocol (specification available separately) is usedto guarantee the delivery and sequencing of ASX Trade OUCH messages sent fromtothethehostclient.Messages sent from the ASX Trade OUCH client to the host are inherently-guaranteed,noneven if they are carried by alower level protocol that guarantees delivery (like TCP/IP sockets). Therefore, all-boundhost messages are designed sothat they can be benignly resent for robust recovery from connection and application failures.Each physical ASX Trade OUCH host port is bound to an ASX Trade OUCH account assigned by ASX. Every order enteredon ASX Trade OUCH is uniquely identified by thembinationcoof the physical ASX Trade OUCH host port and a customercreated order token field. Order tokens have a one day lifetime and can be reused on subsequentFurtherdays.detailson OUCH connectivity requirements and connectivity methods are containedwithin the ASX Trade OUCH ConnectivityGuide.2.1Data TypesFor data types: All numeric fieldsare composed of binary encoded numbersAll alpha fields are left justified and padded on the right with spacesThe Alpha fields are composed of non-control ISO 8859-1 (Latin-1) encoded bytes.TypeSizeNotesNumeric1, 2, 4, 8 or 12 bytes Unsigned big-endian binary encoded numbers.Signed Numeric 4 bytesSigned big-endian binary encoded numbers.AlphaVariableLeft justified and padded on the right with spaces.Price4 bytesPrices are signed integer fields. Number of decimals is specified in the ITCHOrder Book Directory message.Note: The number of decimal places for pricesASXin Trade OUCHisuniversallyset to two decimal places, regardless of the configured number ofdecimal places for the instrument in ASX Trade.Timestamp8 bytesUNIX time (number of nanoseconds since1970-01-01 00:00:00 UTC).2.2Inbound MessagesInbound messagesare sent from thecustomer͛Ɛ ĂƉƉůŝĐĂƚŝŽŶ ƚŽ ƚŚĞ Kh , ŚŽƐƚ͘ dŚĞmessages may be repeated benignly. This gives the client the ability to resend any inbound messagethere is ifuncertainty whether ASX Trade has received it in the case of a connectionss orloan application error.The idea of benign inbound message retransmission with-to-endend acknowledgement is fundamental to the ASXTrade OUCH failover redundancy. If the connection ever fails, there is no way of knowing if pending messages werereceived before the failure. A robust ASX Trade OUCH client can safely resend any pending messages over a mirroredůŝŶŬ ǁŝƚŚŽƵƚ ƚŚĞ ƌŝƐŬ ŽĨ ŐĞŶĞƌĂƚŝŶŐ ĚƵƉůŝĐĂƚĞƐ͘ dŚŝƐ ĂƉe 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification6/47

ever needs to failover to the backup site, some messages sent at the moment of the failure may be lost. A robustapplication can simply resend the pending messages, making the failover seamless to the end user.All inbound messages on anASX Trade OUCHport are processed sequentially. This guarantees that if two orders areentered consecutively on the same connection, the first order entered will always be accepted first.2.2.1Enter Order MessageThe Enter Order message is used to enter a new order into the market. The responsea successfultoEnter Ordermessage is an Order Accepted message. If the order is rejected, the Order Rejected message will be returned.2.2.1.1Mid-Tick on Mid-Point OrdersASX Trade OUCH supports the use of mid-tick prices on mid-point orders (OUCHOrder Types: N,S, B, D, F, T, C and) byEpermitting entryof limit prices at half-tick. ASX Trade OUCH interpretsamid-point order with a half-tick price as equivalent to an order at the next permitted worse on tick price with-tickmidflag enabled.For example: A buy ASX Trade OUCH order of order type B, price 15.75 iscentsconsidered to be an order of price 15.50 centswith mid-tick flag enabled.A sell ASX Trade OUCH order of order type B, price 15.75 iscents,considered to be an order of price 16.00 centswith mid-tick flag enabled.This feature is only supported forOUCH Order Types N, S, B, F,T, D,C and .EAll other order types will reject half-tickprices. The Replace Order message also supports entry -tickof midprices and can therefore be used to turn onr offohalf-tick improvement if required.2.2.1.2Enter Order Message DetailsNameOffsetLengthValueNotesMessage Type01͞K͟Enter Order MessageOrder Token114AlphaClient-generated order identifierOrder Book ID154NumericOrder book identifier (i.e. the instrument identifier).This can be found inthe ITCH Order Book Directory messageinASX Trade ITCH and Glimpse Specification.Side191AlphaThe type of order being entered.Values:B Buy orderS Sell orderT Short Sell orderC Buy order in a Combination where the sell leg(s) are shortsell(s).Quantity208NumericOrder quantityPrice284PricePrice of the order(signed integer)Note: Number of decimals is specified in theITCH Order BookDirectory messagein ASX Trade ITCH and Glimpse Specification.The number of decimal places for pricesASXin Trade OUCHisuniversallyset to two decimal places, regardless of the 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification7/47

configured number of decimal places for the instrument in ASXTrade.For OUCH Order Types N, S, B, T,D,CF,and E,prices at half-tickare permitted and will be interpreted as -tickon Limit price withhalf-tick improvement.Time In Force321NumericThe time validity of the order.Values:0 Day3 Fill and Kill4 Fill or Kill.Open Close331NumericNot used by ASX.Set to zero.Client/Account3410AlphaClientʹa free text field typically used by thecustomertoindicate the ultimate client making the order.Customer Info4415AlphaCustomer informationʹa free text field typically used by thecustomerto indicate the own order identifier.Exchange Info5932AlphaA free text field used at thecustomer͛discretion.Ɛ Clearing Participant911AlphaClearing participant identifier.Possible values for a participant can be retrieved from the firstcharacter of the clearing customer s field in theOMNet APIClearing Participant query DQ55thein ASX Trade Querydocument at:ASX Trade Queries.Crossing Key924NumericCrossing key for Unintentional Crossing Prevention. When twoorders from the samecustomerwith the same crossing keytrade out, the resulting trade is treated like a booked transactionand not published to the market as a trade.Ϭ ;njĞƌŽͿ ŵĞĂŶƐ ͞ŶŽ hŶŝŶƚĞŶƚŝŽŶĂů order.Regulatory Data9644AlphaRegulatory data field used to facilitate the capture andtransmission of regulatory data from ASX Trade customers toASIC.The ASX specific structure presented in the table below isrequired to be applied as an overlay to the field in the specifiedcharacter position to support thetransmission of the ASICdefined content to ASIC.All unused Regulatory Data character positions are to be paddedwith spaces (ASCII 0x20).1AlphaOUCH order type.OUCH Order Type 140Values:Y Limit orderN Centre Point order (mid-point only)Price 0 defines a Centre Point Limit orderPrice 0 defines a Centre Point Market orderD Centre Point order (dark limit order)S Sweep order(can be dual-posted if entered price is at halftick) 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification8/47

PBFTCEPrice 0 defines a Limit Sweep orderPrice 0defines a Market-to-Limit Sweep order Dual-posted Sweep order (mid-tick flag enabled). Centre Point Block order (mid-point only) with single fillMAQPrice 0 defines a Centre Point Block Limit orderPrice 0 defines a Centre Point Block Market order Centre Point order (dark limit order) with single fill MAQ Limit Sweep order (can be dual-posted if entered price is athalf-tick) with single fill MAQ Any Price Block order Any Price Block order with single fill MAQ.Refer toAppendix 2 – Mapping of ASX Trade OUCH Order Typesto OMNet API Valueson how the OUCH order types map toOMNet API equivalent order type values.Short Sell Quantity 1418NumericFor short sell orders, the portion of the quantity that is short.Must be zero for orders that are not short sell orders(Side ͞B͟or ͞S͟).Must be greater than zero for short sell orders (Side͞T͟ or͞C͛͟Ϳ͘Minimum149Acceptable Quantity8NumericMAQ of Centre Point Block order, Any Price Block order or LimitSweep order when executing in Centre Point. Specifies theminimum quantity that must be traded in each execution cycle.0 no MAQ.For Fill Or Kill Centre Point Block orders or Any Price Block orders(Time In Force 4), the MAQ must be equal to the orderquantity.2.2.1.2.1ASX Specific Structures for Regulatory Data OverlayNameOffsetLengthValueNotesCapacity ofParticipant961AlphaCapacity of theparticipant.Values:A AgencyP PrincipalM Mixed Agency and Principal.Directed Wholesale971AlphaDirected wholesale indicator for agency orders and transactions.Values:Y TrueN False (default)Execution Venue984AlphaExecution venue.Not required on order messages, therefore not applicable forASX Trade OUCH. To be paddedwith spaces (ASCII 0x20).Intermediary ID10210AlphaIntermediary identifier for agency orders and transactions.Order Origin11220AlphaOrigin or order information for agency orders and transactions.Filler1328AlphaIgnore, not currently used. 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification9/47

NameOffsetLengthValueNotesTo be paddedwith spaces (ASCII 0x20).2.2.2Replace Order MessageThe Replace Order message is used to amend an existing order that was enteredASXwithTrade OUCH. The response toa successful Replace Order message is an Order Replaced message. If the amendment is rejected, the Order Rejectedmessage will be returned.There are two order tokens in the Replace Order message: The Existing Order Token is used to reference the order to be replaced.Note: This order token can be the original token used when the order was entered, or the replacement order tokenfrom any prior amendments.Replacement Order Token is the new order token to be assigned to the order if thedmentamenis successful. TheReplacement Order Token must not be a token previously used in Enter Order and Replace Order messages thatday.If the order amendment is successful, the Order Replaced message received as the response contains the current stateof the order. See below for details about amending order quantity.The following fields of an order may be amended in ASX Trade OUCH: QuantityPriceClient/AccountCustomer InfoExchange InfoRegulatory DataShort Sell QuantityMinimum Acceptable Quantity(MAQ).All fields not to be changed should be sent as follows in the Replace Order message: Numeric order parameters should be set to zero to leave them unchangedString (alpha) fields should either carry the original value or the first byte set to integernull and all other bytes setto space to leave them unchanged.Note:Since the system assumesno change for numeric fields set to zero, it is not possible to amend the order price,quantity, short sell quantity or MAQ to 0.2.2.2.1Amending Order QuantityIn the ASX Trade OUCH Replace Order message,Quantitythe field contains the desired total quantity of the order(open quantity plus any executed quantity). An example is listed below.Example:An order with a quantity of 1,000 is entered with ASX Trade OUCH.An Order Accepted message with Quantity 1,000 isreturned.A partial execution for 200 occurs. A quantity of 800 is left in the order book. An Executed Order message with TradedQuantity 200 is returned. 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification10/47

The user wants to increase the open quantityantity(qu in the order book) to 2,000. To do this the user sends an OrderReplace message with Quantity 2,200. A Replaced Order message with Quantity 2,000 is returned.In the case of this amendment, the desired total quantity of the order was 2,2000(2,00open quantity and 200executed quantity).2.2.2.2Amending Minimum Acceptable QuantityWhen amending MAQ, the new value is compared to the original order quantity and subsequent executions do notneed to be considered. The following examples illustrate the OUCHlogic for MAQ amendments:Scenario Order DetailsReplace Order MessageValuesResult1Order with quantity 5,000 MAQ 2,000and MAQ 3,000Order with quantity 5,000 and MAQ 2,0002Order with quantity 5,000 New priceand MAQ 3,000MAQ 0Order with quantity 5,000 and MAQ 3,000 (i.e. MAQ is unchanged)3Order with quantity 10,000 3,000 MAQ 10,000and MAQ 7,000.Order partially trades for 7,000and remains with quantity 3,000 and MAQ 0.Order with quantity 3,000 and MAQ 3,0004Order with quantity 10,000 MAQ 10,000and MAQ 7,000.Order partially trades for 7,000and remains with quantity 3,000 and MAQ 0.Replace Order Message will be rejected. TheMAQ cannot be larger than the originalorder quantity.5Order with quantity 10,000 MAQ 2,000and MAQ 7,000.Order partially trades for 7,000and remains with quantity 3,000 and MAQ 0.Order with quantity 3,000 and MAQ 2,0006Order with quantity 10,000 Quantity 13,000and MAQ 7,000.MAQ 13,000Order partially trades for 7,000and remains with quantity 3,000 and MAQ 0.Order with quantity 6,000 and MAQ 6,0007Order with quantity 10,000 Quantity 13,000and MAQ 7,000.MAQ 0Order partially trades for 7,000and remains with quantity 3,000 and MAQ 0.Order with quantity 6,000 and MAQ 02.2.2.3Losing Order Book PriorityAny change to the price of an order or increasing the quantity will result in the order losing its priority in the market. 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification11/47

2.2.2.4Replace Order Message DetailsNameOffsetLengthValueNotesMessage Type01͞h͟Replace Order Message.Existing OrderToken114AlphaThe original order token used when the order was entered, notfrom any prior amendments.Replacement Order15Token14AlphaThe original order token usedwhen the order was entered, orthe replacement order token from any prior amendments.Quantity298NumericDesired total quantity of the order (open quantity plus anyexecuted quantity).Price374PricePrice of the order (signed integer).Note: Numberof decimals is specified in theITCH Order BookDirectory message at:ASX Trade ITCH and Glimpse Specification.The number of decimal places for pricesASXin Trade OUCHisuniversally set to two decimal places, regardless of theconfigured number of decimal places for the instrument in ASXTrade.For OUCH Order Types N, S, B, T,D,CF,and Eprices at half-tickare permitted and will be interpreted as -tickon Limit price withhalf-tick improvement.Open Close411NumericNot used by ASX. Set to zero.Client/Account4210AlphaClientʹa free text field typically used by thecustomertoindicate the ultimate client making the order.Customer Info5215AlphaCustomer informationʹa free text field typically used by thecustomerto indicate the own order identifier.ExchangenfoI6732AlphaA free text field used at thecustomer͛Ɛ ĚŝƐĐƌĞƚŝŽŶ͘Regulatory Data9944AlphaRegulatory data field used to facilitate the capture andtransmission of regulatory data from ASX Trade customers toASIC.The ASX specific structurepresented in the table below isrequired to be applied as an overlay to the field in the specifiedcharacter position to support the transmission of the ASICdefined content to ASIC.All unused Regulatory Data character positions are to be paddedwith spaces (ASCII 0x20).8NumericFor short sell orders, the portion of the quantity that is short.Must be zero for orders that are not short sell orders(Side ͞B͟or ͞S͟).Must be greater than zero for short sell orders (Side͞T͟ or͞C͛͟Ϳ͘Short Sell Quantity 143 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification12/47

NameOffsetMinimum151Acceptable Quantity2.2.2.4.1LengthValueNotes8NumericMAQ of Centre Point Block order, Any Price Block order or LimitSweep order when executing in Centre Point. Specifies theminimum quantity that must be traded in each execution cycle.0 no change to MAQ.ASIC Specific Structures for Regulatory Data OverlayNameOffsetLengthValueNotesCapacity ofParticipant991AlphaCapacity of the participant.Values:A AgencyP PrincipalM Mixed Agency and Principal.Directed Wholesale1001AlphaDirected wholesale indicator for agency orders and transactions.Values:Y TrueN False (default).Execution Venue1014AlphaExecution venue.Not required on order messages, therefore not applicable forASX Trade OUCH. To be padded with spaces(ASCII 0x20).Intermediary ID10510AlphaIntermediary identifier for agency orders and transactions.Order Origin11520AlphaOrigin or order information for agency orders and transactions.Filler1358AlphaIgnore, not currently used.To be paddedwith spaces (ASCII 0x20).2.2.3Cancel Order MessageThe Cancel Order message is used to cancel an existing order that was entered with ASX Trade OUCH, using the ordertoken to identify the order being cancelled. The response to a successful Cancel Orderemessagis an Order Cancelledmessage. If the cancellation is rejected, the Order Rejected message will be returned.Note:The order token used in the Cancel Order message must be the original token used when the order was entered,not the replacement tokenfrom a subsequent amendment.2.2.3.1Cancel Order Message DetailsNameOffsetLengthValueNotesMessage Type01͞y͟Cancel Order MessageOrder Token114AlphaThe original order token used when the order was entered, notthe replacement token from asubsequent amendment. 2019 ASX Limited ABN 98 008 624 691 Versionv2.1 June 2019ASX Trade OUCH Message Specification13/47

2.2.4Cancel By Order ID MessageThe Cancel By Order ID message is used to cancel an existing own customer order that was entered with ASX TradeOUCH, using the order ID to identify the order being cancelled. The response to a successfulancel ByC Order IDmessage is an Order Cancelled message. If the cancellation is rejected, the Order Rejected message will be returned.Because an ASX Trade OUCH gateway is directly connected to an ASX Trade partition, the Cancel By Order ID messagemust besent from the gateway connected to the partition that the order resides in.2.2.4.1Cancel By Order ID Message DetailsNameOffsetLengthValueNotesMessage Type01͞z͟Cancel By Order ID Message.Order Book ID14NumericOrder book identifier (i.e. theinstrument identifier).This can be found in theITCH Order Book Directory message in:ASX Trade ITCH and Glimpse Specification.Side51AlphaThetype of order being cancelled.Values:B Buy orderS Sell order.Order ID2.368NumericThe order identifier assigned to the order by ASX Trade.Outbound MessagesOutbound messages are generated by ASX Trade and sent ASXto theTrade OUCHclient.2.3.1Order Accepted MessageThe Order Accepted message acknowledges the receipt and acceptance of a valid Enter Order message. The data fieldsfrom the Enter Order message areechoed back in the Order Accepted message, but some of the accepted values maydiffer from the entered values for some fields, depending on the state of the order. If the order for example tradedimmediately at entry, the Order Accepted message will showhe statetof the order after the trade.Order Accepted messages are guaran

ASX Trade OUCH supports the use of mid-tick prices on mid-point orders (OUCH Order Types: N, S, B, D, F, T, C and E) by permitting entry of limit prices at half-tick. ASX Trade OUCH interprets a mid-point order with a half-tick price as equivalent to an order at the next permitted worse on tick price with mid-tick flag enabled. For example:

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