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## End-to-End Order Flow (Optiq-style)
```
┌─────────────────────────────────────────────────────────────────────────────────────┐
│ EXTERNAL CLIENTS │
│ FIX 5.0 SP2 / SBE Binary Protocol │
└────────────────────────────────┬────────────────────────────────────────────────────┘
│
▼
┌────────────────────────────────────────────────────────────────────────────────────┐
│ OEGActor (Core 0) ← Optiq: OEG/OEActor│
│ ┌──────────────────────────────────────────────────────────────────────────────┐ │
│ │ • Accepts NewOrder / Cancel / Modify requests │ │
│ │ • Validates session, routes by SymbolIndex → correct MECoreActor │ │
│ │ • Sends ExecutionReports back to client (ack, fill, reject) │ │
│ └──────────────────────────────────────────────────────────────────────────────┘ │
└────────────────────────────────┬────────────────────────────────────────────────────┘
│ NewOrderEvent / CancelOrderEvent / ModifyOrderEvent
│ (Simplx Event::Pipe — lock-free cross-core delivery)
▼
┌────────────────────────────────────────────────────────────────────────────────────┐
│ MECoreActor (Core 1) — one per symbol ← Optiq: LogicalCoreActor + Book│
│ ┌──────────────────────────────────────────────────────────────────────────────┐ │
│ │ RECOVERY CAUSE │ │
│ │ RecoveryProxy.cause(persistenceId, order, callback) │ │
│ │ • Persists incoming event to FragmentStore (→ Kafka in production) │ │
│ │ • Assigns chainId + sequence for IACA tracking │ │
│ └──────────────────────────────────┬───────────────────────────────────────────┘ │
│ ▼ │
│ ┌──────────────────────────────────────────────────────────────────────────────┐ │
│ │ MATCHING ENGINE │ │
│ │ Book.newOrder() / cancelOrder() / modifyOrder() │ │
│ │ • Price-time priority matching (std::map<Price, std::deque<Order>>) │ │
│ │ • FOK: reject if insufficient liquidity │ │
│ │ • IOC: fill what's available, cancel remainder │ │
│ │ • Market: match at any price, never rests on book │ │
│ │ • Multi-level sweep across price levels │ │
│ └──────┬─────────────────────────────────────────────────┬─────────────────────┘ │
│ │ │ │
│ ▼ ▼ │
│ ┌────────────────────┐ ┌────────────────────────────────────┐ │
│ │ IACA CAUSE │ │ RECOVERY EFFECT (Master only) │ │
│ │ IacaFragment: │ │ RecoveryProxy.effect(callback) │ │
│ │ • BOOK root frag │ │ • Sends ExecReport → OEG │ │
│ │ • ACK child frag │ │ • Sends TradeEvent → MarketData │ │
│ │ • TRADE child frag│ │ • Sends BookUpdate → MarketData │ │
│ │ (nextCount check) │ │ • Mirror skips all effects │ │
│ └────────┬───────────┘ └─────────┬──────────┬─────────────┘ │
│ │ │ │ │
└──────────┼──────────────────────────────────────────┼──────────┼───────────────────┘
│ │ │
▼ │ │
┌──────────────────────────┐ │ │
│ IacaAggregator │ │ │
│ ← Optiq: IacaActor │ │ │
│ ┌──────────────────────┐ │ │ │
│ │ Collects fragments │ │ │ │
│ │ per chainId │ │ │ │
│ │ Detects completion │ │ │ │
│ │ (sum nextCount == │ │ │ │
│ │ total fragments -1) │ │ │ │
│ │ Fires handler → │ │ │ │
│ │ IA SBE message │ │ │ │
│ └──────────────────────┘ │ │ │
└──────────┬───────────────┘ │ │
│ IA message │ │
▼ │ │
┌──────────────────────────┐ ┌───────────▼──────────▼──────────────────┐
│ Future: IDS / PTB / │ │ MDGActor (Core 2) │
│ SATURN / Clearing │ │ ← Optiq: MDLimitLogicalCoreHandler │
│ ┌──────────────────────┐ │ │ ┌────────────────────────────────────┐ │
│ │ IDS: Intraday Data │ │ │ │ • Maintains BBO snapshot per sym │ │
│ │ PTB: Post-Trade Bus │ │ │ │ • Stores recent trades │ │
│ │ SATURN: ARM reporting│ │ │ │ • Publishes BookUpdateEvent │ │
│ │ Clearing: LCH/CC&G │ │ │ │ (bestBid, bestAsk, depths) │ │
│ └──────────────────────┘ │ │ │ → Future: multicast SBE feed │ │
│ (not yet implemented) │ │ └────────────────────────────────────┘ │
└──────────────────────────┘ └─────────────────────────────────────────┘
```
## Master / Mirror High Availability
```
┌─────────────────────────────────────────┐ ┌─────────────────────────────────┐
│ MASTER NODE │ │ MIRROR NODE │
│ │ │ │
│ RecoveryProxy(isMaster=true) │ │ RecoveryProxy(isMaster=false) │
│ │ │ │
│ cause() → persist + run callback ✓ │ │ cause() → persist + callback ✓│
│ effect() → execute side-effects ✓ │────▶│ effect() → SKIP (no-op) ✗ │
│ recoveryEffect() → SKIP ✗ │ │ recoveryEffect() → execute ✓ │
│ │ │ │
│ ┌─────────────────────────────────┐ │ │ ┌───────────────────────────┐ │
│ │ FragmentStore (shared memory) │────┼─────┼─▶│ Same FragmentStore │ │
│ │ → Kafka topic in production │ │ │ │ (Kafka consumer replay) │ │
│ └─────────────────────────────────┘ │ │ └───────────────────────────┘ │
└─────────────────────────────────────────┘ └─────────────────────────────────┘
On failover: Mirror becomes Master,
replays FragmentStore, resumes effects
```
## IACA Fragment Chain Example (Buy order that matches)
```
Chain #42: BUY 60 @ 50.00 (matches resting SELL 100 @ 50.00)
┌─────────────────────────────┐
│ Fragment 1 (ROOT) │
│ origin: BOOK:1:seq │
│ previousOrigin: null │
│ causeId: NEW_ORDER_BUY │
│ nextCount: 2 │──────┐
└─────────────────────────────┘ │
│ │
├───────────────┐ │ 2 children expected
▼ ▼ │ 2 children found → COMPLETE
┌─────────────┐ ┌─────────────┐ │
│ Fragment 2 │ │ Fragment 3 │ │
│ ACK_DATA │ │ TRADE_DATA │ │
│ prev: ROOT │ │ prev: ROOT │ │
│ nextCount: 0│ │ nextCount: 0│ │
└─────────────┘ └─────────────┘ │
│
sum(nextCount) = 2 + 0 + 0 = 2 ─────┘
total fragments = 3
complete when: sum == total - 1 ✓ (2 == 3-1)
▼
┌─────────────────────────┐
│ Handler fires: │
│ NewOrderHandler → │
│ Generate IA SBE message │
└─────────────────────────┘
```
## Component Mapping: StockEx → EuNEx → Optiq Production
```
StockEx (Python/Kafka) EuNEx (C++/Simplx shim) Optiq (Production)
═══════════════════════ ═══════════════════════ ══════════════════
fix_oeg_server.py ───▶ OEGActor ───▶ OEActor (FIX/SBE)
Kafka 'orders' topic ───▶ Event::Pipe ───▶ Simplx cross-core
session mgmt ───▶ submitNewOrder() ───▶ FIX 5.0 SP2 acceptor
matcher.py ───▶ MECoreActor ───▶ LogicalCoreActor
match_order() ───▶ Book::newOrder() ───▶ RecoveryCause→IACA→Book
handle_cancel() ───▶ Book::cancelOrder() ───▶ CancelOrderData
handle_amend() ───▶ Book::modifyOrder() ───▶ ModifyOrderData
Kafka 'trades' topic ───▶ TradeEvent via Pipe ───▶ IACA fragment chain
dashboard.py (SSE) ───▶ MDGActor ───▶ MDLimitLogicalCoreHandler
/orderbook/<sym> ───▶ BookUpdateEvent ───▶ PublishLimitUpdateRequest
/trades ───▶ TradeEvent list ───▶ IA→SBE multicast
database.py (SQLite) ───▶ RecoveryProxy (memory) ───▶ RecoveryProxy → Kafka
save_trade() ───▶ FragmentStore::append() ───▶ PersistenceAgent produce
(none) ───▶ IacaAggregator ───▶ IacaAggregatorActor
───▶ FragmentChain ───▶ CoherentFragmentChain
───▶ FragmentHandler ───▶ FastNewOrderHandler
(none) ───▶ (future) ───▶ SATURN/ARM
(none) ───▶ (future) ───▶ IDS (Intraday Data)
(none) ───▶ (future) ───▶ PTB (Post-Trade Bus)
(none) ───▶ (future) ───▶ Clearing (LCH/CC&G)
```
## Data Flow Summary
```
1. Client ──FIX/SBE──▶ OEGActor ──Event::Pipe──▶ MECoreActor
▲ │
│ ├─ RecoveryProxy.cause() → FragmentStore
│ ├─ Book.match()
│ ├─ IACA fragments → IacaAggregator
│ │
ExecReport ◀─┘ ├─ effect() [Master only]:
│ ├─ ExecReport → OEG → Client
│ ├─ TradeEvent → MDGActor
│ └─ BookUpdate → MDGActor
│
└─ IacaAggregator
└─ complete chain → IA message
└─ (future) IDS/PTB/SATURN
```
---
## Future Expansion: Full Optiq Production Topology
The diagram below shows the complete Optiq production trade path (from `Trades paths.drawio`
and the Optiq Overview/SATURN presentations) with EuNEx components mapped where they exist
and `[FUTURE]` markers where implementation is needed.
```
┌──────────────────────────────────────────────────────────────────────────────────────────┐
│ TRADING MEMBERS (Clients) │
│ FIX 5.0 SP2 / SBE / TCS OTC / SATURN Web / EMS / DAS │
└───────────┬──────────────┬──────────────────────┬───────────────────┬────────────────────┘
│ │ │ │
▼ ▼ ▼ ▼
┌───────────────┐ ┌──────────────┐ ┌──────────────────┐ ┌────────────────┐
│ OEG.n.BOTH │ │ TCS.IN/OUT │ │ SATURN Web/API │ │ EMS / DAS │
│ (OEG │ │ [FUTURE] │ │ [FUTURE] │ │ [FUTURE] │
│ Actor) ✓ │ │ Trade │ │ External trade │ │ Execution │
│ │ │ Capture │ │ declarations │ │ Mgmt System │
└───────┬───────┘ │ Service │ └────────┬─────────┘ └────────────────┘
│ └──────┬───────┘ │
│ ord │ Trade Decl │
▼ ▼ │
┌────────────────────────────────────────────────────────────────────────────────────────┐
│ ME / Trading Chain │
│ ┌────────────────────────────────────────────────────────────────────────────────────┐ │
│ │ Book / LogCore#n (MECoreActor) ✓ │ │
│ │ │ │
│ │ ┌─────────────────┐ ┌─────────────────┐ ┌─────────────────┐ │ │
│ │ │ Recovery Cause │ │ Matching Engine │ │ IACA Inside │ │ │
│ │ │ (RecoveryProxy │ │ (Book) ✓ │ │ (IacaAggregator │ │ │
│ │ │ → Kafka) ✓ │ │ │ │ partial) ✓ │ │ │
│ │ └────────┬────────┘ └────────┬────────┘ └────────┬────────┘ │ │
│ │ │ │ │ │ │
│ │ ▼ ▼ ▼ │ │
│ │ ┌──────────────────────────────────────────────────────────┐ │ │
│ │ │ Kafka Bus (KFK) [FUTURE — currently in-memory] │ │ │
│ │ └──┬──────┬──────┬──────┬──────┬──────┬──────┬──────┬──────┘ │ │
│ └─────┼──────┼──────┼──────┼──────┼──────┼──────┼──────┼────────────────────────────┘ │
└───────┼──────┼──────┼──────┼──────┼──────┼──────┼──────┼──────────────────────────────┘
│ │ │ │ │ │ │ │
▼ ▼ ▼ ▼ ▼ ▼ ▼ ▼
```
### Downstream Consumers from Kafka Bus
```
┌─────────────── Kafka Topics ──────────────────────────────────────────────────────┐
│ recovery+audit trail │ MktUpdt,FullTradeInfo │ Trade Fill │ IACA fragments │
└───────┬───────────────┼──────────┬────────────┼─────┬─────┼──────────┬────────────┘
│ │ │ │ │ │ │
▼ ▼ │ │ │ │ ▼
┌──────────────┐ ┌─────────────┐ │ │ │ │ ┌──────────────────┐
│ PE DB │ │ MDG │ │ │ │ │ │ IACA FINISH │
│ [FUTURE] │ │(MarketData │ │ │ │ │ │ [FUTURE] │
│ Persistence │ │ Actor) ✓ │ │ │ │ │ │ Completes chains │
│ Engine DB │ │ │ │ │ │ │ │ → IA SBE messages│
│ (order state │ │ Multicast │ │ │ │ │ └────────┬─────────┘
│ snapshots) │ │ SBE feed │ │ │ │ │ │
└──────────────┘ │ [FUTURE] │ │ │ │ │ ▼
└─────────────┘ │ │ │ │ ┌──────────────────┐
▼ │ │ │ │ IACA COPY │
┌──────────────────┐ │ │ │ │ [FUTURE] │
│ IDS │ │ │ │ │ Copy to members │
│ [FUTURE] │ │ │ │ │ (DropCopy/DCG) │
│ Intraday Data │ │ │ │ └──────────────────┘
│ Service │ │ │ │
│ (files to │ │ │ │
│ regulators) │ │ │ │
└──────────────────┘ │ │ │
▼ │ │
┌────────────────┐ │ │
│ PTB │ │ │
│ [FUTURE] │ │ │
│ Post-Trade Box │ │ │
│ (admin, │ │ │
│ resilience) │ │ │
└───────┬────────┘ │ │
│ │ │
▼ ▼ ▼
┌────────────────────────────────────────────┐
│ CLEARING [FUTURE] │
│ ┌──────────┐ ┌──────────┐ ┌────────────┐ │
│ │ EuroCCP │ │ LCH Ltd │ │ SIX Xclear │ │
│ └──────────┘ └──────────┘ └────────────┘ │
│ Enxt Clearing ← PTB2EC │
└────────────────────────────────────────────┘
```
---
## Future Expansion: Trading Phases & Order Types
Based on the Euronext Trading Manual (Notice 4-01, Dec 2025).
### Trading Day Phases (not yet implemented in EuNEx)
```
┌─────────────────────────────────────────────────────────────────────────────────┐
│ CONTINUOUS TRADING DAY LIFECYCLE │
│ │
│ ┌─────────────┐ ┌──────────┐ ┌────────────────┐ ┌──────────┐ ┌────────┐ │
│ │ Pre-opening │ │ Opening │ │ Main │ │Pre-close │ │Closing │ │
│ │ Call Phase │──▶│Uncrossing│──▶│ Trading │──▶│Call Phase│──▶│Uncross │ │
│ │ │ │ │ │ Session │ │ │ │ │ │
│ │ Orders │ │ Book │ │ Continuous │ │ Orders │ │ Max │ │
│ │ accumulate, │ │ frozen, │ │ matching, │ │ accum., │ │ exec. │ │
│ │ IOP calc'd │ │ IOP → │ │ price-time │ │ no │ │ price │ │
│ │ continuously│ │ opening │ │ priority │ │ trades │ │ algo │ │
│ │ │ │ price │ │ │ │ │ │ │ │
│ └─────────────┘ └──────────┘ └────────────────┘ └──────────┘ └───┬────┘ │
│ │ │
│ ┌────────────────┐ ┌──────────────────────┐ │ │
│ │ AVD Orders │ │ Trading-at-Last │◀───────┘ │
│ │ [FUTURE] │ │ [FUTURE] │ │
│ │ Auction Volume │ │ Trade only at TAL │ │
│ │ Discovery — │ │ price (= last trade │ │
│ │ after each │ │ or closing price) │ │
│ │ uncrossing │ │ │ │
│ └────────────────┘ └──────────────────────┘ │
└─────────────────────────────────────────────────────────────────────────────────┘
```
### Order Types Roadmap
```
Currently Implemented (EuNEx) To Be Added
═══════════════════════════ ═════════════════════════════════════════
✓ Limit orders □ Market-to-Limit orders
✓ Market orders (IOC) (converted to limit at best opposite)
✓ IOC (Immediate or Cancel) □ Stop-Market orders
✓ FOK (Fill or Kill) (triggered when price crosses stop)
✓ Day validity □ Stop-Limit orders
✓ Cancel order (stop trigger + limit price)
✓ Modify order □ Primary Pegged orders
(pegged to BBO, auto-reprice)
□ Mid-Point orders
(pegged to mid of BBO spread)
□ Iceberg orders
(displayed qty + hidden reserve)
□ AVD orders (Auction Volume Discovery)
(fill imbalance after uncrossing)
□ GTD / GTC validity
(Good Till Date / Good Till Cancel)
□ VFU / VFCU validity
(Valid For Uncrossing / Closing Uncr.)
```
### Uncrossing Algorithm (Opening / Closing)
```
[FUTURE] Uncrossing price determination algorithm:
Step 1: Maximum Execution Principle
Find price P that maximizes executable volume
Step 2: Minimum Surplus
If tie → pick P with smallest order imbalance
Step 3: Reference Price
If still tie → pick P closest to previous reference price
Step 4: Market Pressure
If still tie → pick higher P if buy surplus, lower if sell surplus
Currently EuNEx uses continuous matching only.
Uncrossing requires:
• TradingPhaseManager actor
• Theoretical Opening Price (IOP) calculation
• Book freeze during uncrossing
• AVD order processing after uncrossing
```
### Price Collars & Reservations
```
[FUTURE] Price protection mechanisms:
┌────────────────────────────────────────────────────────────┐
│ DYNAMIC COLLARS │
│ Based on last traded price ± threshold % │
│ Breach → order rejected or book reserved │
│ │
│ STATIC COLLARS │
│ Based on reference price ± wider threshold % │
│ Breach during continuous → reservation + uncrossing │
│ │
│ RESERVATION │
│ Book frozen, enters call phase │
│ Duration: configurable per trading group │
│ After reservation → uncrossing to resume trading │
└────────────────────────────────────────────────────────────┘
```
---
## Future Expansion: Segments & Partitions
From the Optiq Architecture presentation.
```
┌─────────────────────────────────────────────────────────────────────┐
│ OPTIQ SEGMENTS │
│ │
│ Cash Derivatives │
│ ┌─────┐ ┌─────┐ ┌─────┐ ┌─────┐ ┌─────┐ ┌─────┐ ┌─────┐ │
│ │ EQU │ │ ETF │ │ FXI │ │ WAR │ │ EQD │ │ IDD │ │ CMO │ │
│ │Equit│ │Track│ │Bonds│ │Warr │ │Eq. │ │Index│ │Commo│ │
│ │ies │ │ers │ │Debt │ │ants │ │Deriv│ │Deriv│ │dity │ │
│ └─────┘ └─────┘ └─────┘ └─────┘ └─────┘ └─────┘ └─────┘ │
│ │
│ ┌─────┐ │
│ │ BLK │ Block — large trades off main book │
│ └─────┘ │
│ │
│ Each segment has: │
│ • Own OEG instances (OEG.n.BOTH) │
│ • Own ME partitions │
│ • Own MDG multicast channels │
│ │
│ EuNEx currently: single segment, single partition │
│ [FUTURE] Multi-segment support via SegmentManager actor │
└─────────────────────────────────────────────────────────────────────┘
┌─────────────────────────────────────────────────────────────────────┐
│ PARTITIONS (Horizontal Scalability) │
│ │
│ 1 Partition = 1 Machine = 1 TRNODE │
│ │
│ ┌────────────┐ ┌────────────┐ ┌────────────┐ ┌────────────┐ │
│ │ Partition 1│ │ Partition 2│ │ Partition 3│ │ Partition 4│ │
│ │ Group 11 │ │ Group 16 │ │ Group 35 │ │ Group 37 │ │
│ │ Group 12 │ │ Group 17 │ │ Group 44 │ │ ... │ │
│ │ Group 13 │ │ ... │ │ ... │ │ │ │
│ └────────────┘ └────────────┘ └────────────┘ └────────────┘ │
│ │
│ Cross-partition orders → routed via OEG to correct partition │
│ │
│ Trading Group = set of instruments with shared: │
│ • Trading schedule (phases, times) │
│ • Matching rules │
│ • Collar parameters │
│ • Market segment or liquidity level │
│ │
│ Each Instrument: │
│ • Identified by SymbolIndex │
│ • May have multiple order books │
│ • Inherits trading group attributes │
│ • Can override: APF (Authorized Price Fluctuation) │
│ │
│ EuNEx currently: MECoreActor per symbol, single "partition" │
│ [FUTURE] PartitionManager distributes symbols across nodes │
└─────────────────────────────────────────────────────────────────────┘
```
---
## Future Expansion: SATURN (Regulatory Reporting)
From the SATURN Overview v1.0.4 presentation.
```
┌────────────────────────────────────────────────────────────────────────────────────┐
│ SATURN SYSTEM [FUTURE] │
│ │
│ ┌───────────────────────────────────────────────────────────────────────────────┐ │
│ │ ARM — Approved Reporting Mechanism (MiFID II RTS 22) │ │
│ │ │ │
│ │ Trading Engine ──order msg──▶ Check Library ──▶ Reporting Tool ──▶ NCAs │ │
│ │ (ME) (incl. (MiFID II (RTS 22 (AMF, │ │
│ │ MiFID II controls, formatting) FSMA, │ │
│ │ data) acceptance/ CBI, │ │
│ │ rejection) AFM, │ │
│ │ Consob) │ │
│ │ External Trades ──▶ Saturn GUI / API / File Upload ──▶ same pipeline │ │
│ │ │ │
│ │ MiFID Firms: report to regulator of member's country │ │
│ │ Non-MiFID Firms: report to regulator of instrument's MIC │ │
│ └───────────────────────────────────────────────────────────────────────────────┘ │
│ │
│ ┌───────────────────────────────────────────────────────────────────────────────┐ │
│ │ OBOE — Off-Book On-Exchange (Dublin + Oslo) │ │
│ │ │ │
│ │ Trade Declaration ──▶ Check Module ──▶ MDG (publication) ──▶ Members │ │
│ │ (via Saturn Web / REST API) (deferred publication rules) │ │
│ │ │ │
│ │ Scope: instruments listed on Euronext Dublin & Oslo, │ │
│ │ tradable on Euronext Central Order Book │ │
│ └───────────────────────────────────────────────────────────────────────────────┘ │
│ │
│ ┌───────────────────────────────────────────────────────────────────────────────┐ │
│ │ SLC Manager — Short Long Code (MiFID II anonymization) │ │
│ │ │ │
│ │ Before: Order has Member LEI → everyone sees originator │ │
│ │ After: Order has Short Code 123 → only SATURN maps to LEI │ │
│ │ │ │
│ │ Entities hidden: Client ID (LEI), human client (National ID), │ │
│ │ AGGR/PNAL flags, Execution Decision maker, │ │
│ │ Investment Decision maker │ │
│ │ │ │
│ │ Transmitted to NCAs via RTS 22/24 regulatory reports │ │
│ └───────────────────────────────────────────────────────────────────────────────┘ │
│ │
│ ┌───────────────────────────────────────────────────────────────────────────────┐ │
│ │ Commodities Reporting (MiFID II RTS 21) │ │
│ │ │ │
│ │ Daily: positions per client → ESMA/NCAs │ │
│ │ Weekly: Commitment of Traders (CoT) → Euronext website │ │
│ │ │ │
│ │ Sources: Participants & EMS → Saturn → Check Library │ │
│ │ Reference: Matrix (IDS) + European Instruments Referential │ │
│ └───────────────────────────────────────────────────────────────────────────────┘ │
│ │
│ Architecture: Kafka Engine + GUI + API + DB │
│ Communicates with: ESMA, NCAs (AMF, CBI, FCA, AFM, Consob, CNMV, CSSF, FSMA, │
│ CMVM), Euronext Clearing, Borsa Italiana │
└────────────────────────────────────────────────────────────────────────────────────┘
```
---
## Future Expansion: Post-Trade Path
From `Trades paths.drawio` — complete downstream flow after trade execution.
```
┌──────────────────────────────────────────────────────────────────────────────────┐
│ COMPLETE POST-TRADE PATH [FUTURE] │
│ │
│ Book/LogCore (trade generated) │
│ │ │
│ ├──▶ Kafka (recovery + audit trail) ──▶ PE DB (Persistence Engine DB) │
│ │ │
│ ├──▶ IACA Inside (fragment emission) │
│ │ │ │
│ │ ├──▶ IACA FINISH (chain completion → IA SBE message) │
│ │ │ │ │
│ │ │ ├──▶ IACA COPY (members) ──▶ Members (DropCopy) │
│ │ │ ├──▶ IACA COPY (3rd parties) ──▶ DCG 3P's │
│ │ │ ├──▶ IAkafka2DB.TRD ──▶ PE DB (trade persistence) │
│ │ │ └──▶ PackFULL / PackTOL ──▶ MDG Emitter ──▶ Members │
│ │ │ │
│ │ └──▶ IDS (files to IDS) ──▶ Regulators (RTS nn) │
│ │ │
│ ├──▶ MktUpdt, FullTradeInfo ──▶ MDG ──▶ Members (market data multicast) │
│ │ │
│ ├──▶ Trade Fill ──▶ PTB (Post-Trade Box) │
│ │ │ │
│ │ ├──▶ PTB admin (resilience) │
│ │ ├──▶ SATURN/OBOE (regulatory reporting) │
│ │ ├──▶ PTB2EC ──▶ Enxt Clearing │
│ │ ├──▶ EC.POSTTRAD ──▶ Enxt Clearing │
│ │ └──▶ Clearing houses: │
│ │ EuroCCP, LCH Ltd, SIX Xclear │
│ │ │
│ └──▶ ACK/NAK ──▶ OEG ──▶ Members (execution reports) │
│ │
│ External entities: DSS, BITA instr., Enxt Legacy instr., SMARTS │
│ Risk/Audit: Regulators, Risk/Audit systems │
└──────────────────────────────────────────────────────────────────────────────────┘
```
---
## Market Data Dissemination
From Trading Manual Section 5.
```
[FUTURE] Market data types to implement:
┌──────────────────────────────────────────────────────────────────┐
│ 1. Market by Orders (MBO) │
│ Every individual order visible in the book │
│ (currently: not disseminated by EuNEx) │
│ │
│ 2. Market by Limits (MBL) ← EuNEx has this (BookUpdateEvent) │
│ Aggregated qty per price level (BBO + depth) │
│ getAsks(n) / getBids(n) already implemented │
│ │
│ 3. Trades ← EuNEx has this (TradeEvent) │
│ Each trade with price, qty, timestamp │
│ │
│ 4. Trading Day Price Summary │
│ Open, High, Low, Close, Volume, VWAP │
│ (currently: not tracked by EuNEx) │
│ │
│ Format: SBE multicast (production) vs in-memory events (EuNEx) │
└──────────────────────────────────────────────────────────────────┘
```
---
## Implementation Priority Roadmap
```
Phase 1 (Current) ✓ DONE
├── Book with price-time priority matching
├── OEGActor → MECoreActor → MDGActor pipeline
├── Recovery Cause/Effect with Master/Mirror gating
├── IACA fragment chains with completion detection
└── Simplx shim for single-threaded testing
Phase 2 — Core Trading Features
├── Trading phases (pre-open, uncrossing, continuous, close, TAL)
├── Uncrossing algorithm (max execution, min surplus, ref price)
├── Price collars (dynamic + static) and reservations
├── Additional order types (Stop, Pegged, Mid-Point, Iceberg, M2L)
├── Additional validities (GTD, GTC, VFU, VFCU)
└── Trading groups and instrument configuration
Phase 3 — Infrastructure
├── Real Simplx integration (multi-threaded, multi-core actors)
├── Kafka persistence (replace FragmentStore with real Kafka)
├── SBE encoding (replace event structs with SBE messages)
├── PE DB (Persistence Engine database for order state)
└── FIX 5.0 SP2 gateway (replace shim OEG with FIX acceptor)
Phase 4 — Post-Trade & Distribution
├── IACA FINISH + IACA COPY (DropCopy to members / 3rd parties)
├── MDG multicast SBE feed
├── IDS (Intraday Data Service → files to regulators)
├── PTB (Post-Trade Box) with trade routing
└── DCG (DropCopy Gateway for 3rd parties)
Phase 5 — Regulatory & Clearing
├── SATURN ARM (MiFID II RTS 22 trade reporting to NCAs)
├── SATURN OBOE (Off-Book On-Exchange for Dublin/Oslo)
├── SLC Manager (Short Long Code anonymization)
├── Commodities Reporting (RTS 21 position reporting)
├── Clearing integration (EuroCCP, LCH Ltd, SIX Xclear)
└── Enxt Clearing (PTB2EC, EC.POSTTRAD)
Phase 6 — Scalability & Operations
├── Multi-segment support (EQU, ETF, FXI, EQD, IDD, CMO, etc.)
├── Partitioning (1 partition = 1 machine, cross-partition routing)
├── Full Master/Mirror failover with Kafka replay
├── TCS OTC (Trade Capture Service for OTC trades)
├── SMARTS market surveillance integration
└── GUI resilience and operational tooling
```
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