| # EuNEx Process Diagram |
|
|
| ## 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 |
| ``` |
|
|
