1. Scope
This standard is Futures Trading Data Exchange Protocol (hereinafter referred to as FTD), comprising architecture, message format, data dictionary, operation mechanism and other contents of data exchange protocol.
This standard is applicable to the data exchange and communication required for trading between futures exchange system and member system. This standard is also applicable to the data exchange and communication required for trading inside futures exchange, from member to member or among futures exchanges.
2. Terms and Definitions
All the terms defined in this chapter are specific to the futures trading, exclusive of the technical terms and the terms referred to in this standard. These terms will be defined or distinguished specifically when adopted in this standard in case that any ambiguity may be aroused.
2.1 Futures-related Terms
2.1.1
Futures Contract
Futures contract (sometimes referred to as Contract in this standard) is a standardized contract established and specified uniformly by the futures exchange to deliver a specified quantity and quality of commodities at a specified future date and place.
Note: all the elements of futures contract other than price and trading parties have been determined.
2.1.2
Futures Exchange
Futures exchange refers to the unified place where futures contract trading is conducted according to the relevant requirements.
2.1.3
Member
Member is the fundamental unit conducting futures trading, delivery, settlement and fund management in the futures exchange.
Note: futures exchange follows membership-based management, thus only members are entitled to direct futures trading in the futures exchange.
2.1.4
Trader
Trader is the representative of a member engaged in futures trading in some futures exchange.
Note: a member may have several traders who may not bear identical authorities in a futures exchange.
2.1.5
Client
Individual or entity engaged in futures trading
Note: the client must entrust the qualified member for the futures trading by opening an account in the member corporation. Futures exchange settles accounts to the member that settles accounts to the client. A client can apply for orders via any one trader to which the member has order authorities.
2.1.6
Speculation
The trading activities for making profit on the basis of price difference in the market
2.1.7
Hedge
The trading activities of buying (or selling) the futures contract that is equivalent to the spot market quantity but opposite to the trading direction, in the hope of compensating the actual price risk caused by spot market price fluctuation by selling (or buying) futures contract sometime in the future
2.2 Trading-related Terms
2.2.1
Order
Entrusting and requesting made by the member or the client to buy or sell some futures contract
Note: there are different types of orders. Besides, each order can be set with different conditions, for the purpose of restricting the match mode. Such categories and conditions are defined in 2.3.
2.2.2
Match
The trading completed in principle of matching by the futures exchange
Note: a match aims at the Buyer and the Seller and is related to two orders.
2.2.3
Match Quotation
The information issued in the futures exchange for informing each member and client of the current contract match conditions
2.2.4
Order Quotation
The information issued in the futures exchange for informing each member and client of the current contract order queue conditions
2.2.5
Trade Status
The status value specified in the futures exchange for distinguishing different trade modes
Note: each futures exchange may define its own trade status at different sessions according to the specific requirements. The current trade status generally consists of opening auction, continuous trade, closing auction, trading halt and trading stop.
2.2.6
Exchange System
The computer system provided by the futures exchange for receiving various business requests from the members and sending proper responses
2.2.7
Member System
The computer system provided by the members for sending various business requests to the futures exchange and properly explaining the responses obtained
2.2.8
Exchange side
The side of exchange system in the two sides connected in this Protocol
2.2.9
Member Side
The side of member system in the two sides connected in this Protocol
2.2.10
Continuous Trade
The trade mode provided by the futures exchange, by which a match is realized at the current proper price immediately after an order is received
2.2.11
Auction
The trade mode provided by the futures exchange, by which trade is not conducted immediately after an order is received, but a match is completed after determining the transaction price in principle of maximum trading volume and minimum surplus according to the overall order conditions upon reception of all the orders
2.2.12
Margin
The funds paid by the client according to the standard rate for settlement and performance guarantee
Note: margin calculation method is determined by the clearing house.
2.2.13
Fuse
The business activities for implementing some specific operations to manage the risks under some specific conditions due to major market fluctuations appeared during the trading process
Note: the specific conditions mentioned hereinabove generally refers to rise or fall of transaction price exceeding the specific amplitude. Specific operations generally refer to trading stop, trading halt, and auction reopening, etc.
2.3 Order-related Terms
2.3.1
Limited Order
The order with limit price
Note: such orders are only implemented at a limit price or a better price.
2.3.2
Market Order
The order without price limit bought or sold at several best prices in the market
Note: the part that cannot be closed will be canceled.
2.3.3
Market Stop Order
The order that will be activated and turn into Market Order when the current market price is up to the designated stop price
2.3.4
Limited Stop Order
The order that will be activated and turn into Limited Order when the current market price is up to the designated stop price
2.3.5
Market to Limited Order
The order that is closed in the mode of Market Order, and the part that cannot be closed is preserved in the order queue and turns into Limited Order
2.3.6
Best Price Order
The order without price limit bought or sold at the best price in the market
Note: the part that cannot be closed will be canceled.
2.3.7
Average Price Order
The order that limits the final average transaction price
Note: the exchange system attempts to satisfy all the orders from the best price in the market until they are all closed, the counterparties disappear, or the average transaction price is up to the limited average price, in such case, another match will make the average price limits fail to be satisfied. The residual parts that cannot be closed will be canceled.
2.3.8
Fill or Kill
The conditions of orders representing all immediate match or all cancelled
Foreword i
1. Scope
2. Terms and Definitions
2.1 Futures-related Terms
2.2 Trading-related Terms
2.3 Order-related Terms
3. Architecture
3.1 Requirements
3.2 Communication Mode
3.3 Examples of Communication Mode
3.4 Communication Mode and Data Stream
4. Message Format
4.1 FTD Message
4.2 FTDC Message
4.3 Main Business Operation Mechanism
4.4 Description of Key Data
4.5 Message List
5. Safety Requirement
5.1 Identity Authentication
5.2 Transmission Encryption
5.3 Authorization
6. Reliability Assurance
6.1 Single Point Failure Protection
6.2 Network Disconnection Detection
6.3 Break Restoration
6.4 Mechanism against Retransmission and Out-of-order
7. Extension Mode
Appendix A (Normative) Information Type Content Value
Appendix B (Normative) Details of Derived Types
Appendix C (Normative) Schedule of Items
Appendix D (Normative) Schedule of Data Field Contents
Appendix E (Normative) Schedule of Message Contents
Appendix F (Informative) FTD DTD Description
Appendix G (Informative) FTD XML Description
期货交易数据交换协议
1. 范围
本标准是期货交易数据交换协议(Futures Trading Data Exchange Protocol，简称FTD)，包括该数据交换协议的体系结构、报文格式、数据字典、运作机制等内容。
本标准适用于期货交易所系统和会员系统之间进行交易所需的数据交换和通讯。本标准也可以适用于交易所内部、会员内部或者交易所之间的数据交换和通讯。
2. 术语和定义
本章定义的所有术语都是针对期货交易的，不包含技术名词，以及本标准自己使用的名词。这些名词的使用，如果可能会产生歧义，都将在本标准中使用时专门进行定义或区分。
2.1 有关期货的术语
2.1.1
期货合约 Futures Contract
由交易所统一制定的、规定在将来某一特定的时间和地点交割一定数量和质量商品的标准化合约。本标准内有时简称为合约。
注：除了价格、交易双方以外，期货合约的所有其他要素都已经确定了。
2.1.2
交易所 Futures Exchange
根据有关规定，进行期货合约交易的统一场所。
2.1.3
会员 Member
在交易所进行期货交易、交割、结算和资金管理的基本单位。
注：交易所实行会员制管理，只有会员才有权在交易所直接从事期货交易。
2．1．4
交易员 Trader
会员在某个交易所从事期货交易时的代表。
注：一个会员在一个交易所可以有若干个交易员，每个交易员的权限可能不完全相同。
2．1．5
客户 Client
进行期货交易的个人或者机构实体。
注：客户要从事期货交易，必须通过有资格的会员进行，在会员公司开户，由会员代理客户从事期货交易。交易所对会员结算，会员对客户结算。一个客户可以通过该会员有报单权限的任何一个交易员进行报单申请。
2．1．6
投机 Speculation
利用市场出现的价差进行买卖从中获得利润的交易行为。
2．1．7
套期保值 Hedge
买入(卖出)与现货市场数量相当、但交易方向相反的期货合约，以期在未来某一时间通过卖出(买入)期货合约来补偿现货市场价格变动所带来的实际价格风险的交易行为。
2．2 有关交易的术语
2．2．1
报单 Order
会员或客户对某期货合约的申买申卖委托请求。
注：报单有许多种类，每个报单还可以设置不同的属性，以限定其成交的方式。这些种类和属性的定义见2．3。
2．2．2
成交 Match
按交易所配对撮合原则完成的交易。
注：一个成交是针对买卖双方的，与两个报单相关。
2．2．3
成交行情 Match Quotation
由交易所发布的，让各个会员和客户了解目前合约成交情况的信息。
2．2．4
报单行情 Order Quotation
由交易所发布的，让各个会员和客户了解目前合约报单队列情况的信息。
2．2．5
交易状态 Trade Status
指交易所规定的对不同的交易方式进行区分的状态值。
注：各个交易所可以根据自己的需要，定义自己在不同时段的交易状态。目前的交易状态一般包括开盘集合竞价、连续交易、收盘集合竞价、暂停交易、停止交易等。
2．2．6
交易所系统 Exchange System
由交易所提供的可以接收会员的各种业务请求，并发出适当的响应的计算机系统。
2．2．7
会员系统 Member System
由会员提供的可以向交易所发出各种业务请求，并且能够恰当地解释所得到响应的计算机系统。
2．2．8
交易所端 Exchange Side
指本协议连接的两端中，属于交易所系统的一端。
2．2．9
会员端 Member Side
指本协议连接的两端中，属于会员系统的一端。
2．2．10
连续交易 Continuous Trade
指交易所提供的，在接收报单后，立即按照当前适当的价格进行成交的交易模式。
2．2．11
集合竞价 Auction
指交易所提供的，在接收报单后，不立即进行交易，而是在接收所有报单后，根据总体的报单情况按照最大成交量、最小剩余量原则确定了成交价格后，再完成成交的交易模式。
2．2．12
保证金 Margin
客户按照规定标准交纳的，用于结算和保证履约的资金。
注：保证金的计算方式由清算机构决定。
2．2．13
熔断 Fuse
在交易过程中，市场波动过大，满足某个特定条件时，执行某些特定操作以管理风险的业务过程。
注：这里的特定条件一般是指成交价格升高或降低超过特定的幅度。特定操作一般是指停止交易、暂停交易、重新进行集合竞价等。
2．3 有关报单的术语
2．3．1
限价报单 Limited Order
带有限定价格的报单。
注：只有在限定价格或更好价格时才执行。
2．3．2
市价报单 Market Order
不带有价格限定，按照市场中存在的最好的几个价格买入或者卖出的报单。
注：不能成交的部分将被取消。
2．3．3
止损市价报单 Market Stop Order
在目前的市场价格达到指定的止损价格时，才会被激活，变成市价报单的报单。
2．3．4
止损限价报单 Limited Stop Order
在目前的市场价格达到指定的止损价格时，才会被激活，变成限价报单的报单。
2．3．5
市价转限价报单 Market to Limited Order
按照市价报单的方式成交，但是其不能成交的部分保留在报单队列中，变成限价报单的报单。
2．3．6
最好价格报单 Best Price Order
不带有价格限定，按照市场中存在的最好的一个价格买入或者卖出的报单。
注：不能成交的部分将被取消。
2．3．7
均价报单 Average Price Order
限定了最终成交的平均价格的报单。
注：交易所系统将尝试从市场上最好价格开始来满足报单的全部数量，直到全部成交、找不到对手方或者成交的平均价已经达到限定的均价，再做一个成交则均价的限制就不能满足。剩余未成交部分将被取消。
2．3．8
即时全部成交 Fill or Kill
表示要求立即全部成交，否则就全部取消的报单属性。
2．3．9
即时部分成交 Fill and Kill
表示要求立即成交，对于无法满足的部分予以取消的报单属性。
2．3．10
当日有效 Good for Day
表示只在当日的交易时段有效，一旦当前交易时段结束，自动取消的报单属性。
2．3．11
取消前有效 Good Till Cancel
表示将一直有效，直到交易员取消这个报单，或者该合约本身到期的报单属性。
2．3．12
指定日期前有效 Good Till Date
表示将一直有效，直到指定日期、交易员取消这个报单，或者该合约本身到期的报单属性。
2．3．13
最小成交量 Minimum Volume
表示要求满足成交量达到这个最小成交量，否则就取消的报单属性。
3. 体系结构
3．1 要求
本标准的体系结构应建立在一个可靠的、有连接的、基于流的广域网络协议的基础之上。该广域网络协议应当：
· 具备点对点的寻址能力
· 能够进行连接和断开操作
· 能够有序地进行信息内容的传送
· 具有透明的流分割传送机制
具有这些特征的广域网络协议包括但是不限于TCP／IP、X.25、ATM。本标准也可以基于具有某些安全特性的可靠连接之上，例如SSL (Secure Socket Layer)等。
3.2 通讯模式
FTD中的所有通讯都会基于某个通讯模式。通讯模式实际上就是说明通讯双方协同工作的方式。FTD涉及的通讯模式共有三种：
· 对话通讯模式
· 私有通讯模式
