SGX FX Composite Market Data FIX

Specification

Version 1

Oct 2024

SGX FX Systems UK Limited

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Contents

1. Introduction .......................................................................................................... 4

2. Connectivity .......................................................................................................... 4

2.1. Connection medium ............................................................................................... 4

3. Session Management ............................................................................................ 4

3.1. Message Formats ................................................................................................... 5

3.1.1. Logon.................................................................................................................. 5

4. Market Data ......................................................................................................... 5

4.1. Message Flow ........................................................................................................ 5

4.2. Message Formats ................................................................................................... 6

4.2.1. Market Data Request .......................................................................................... 6

4.2.2. Market Data Request Reject ............................................................................... 9

4.2.3. Market Data – Full Refresh ................................................................................ 9

1. Introduction

This document outlines the Financial Information Exchange (FIX) message format for

querying and receiving pricing from the SGX FX real-time composite system,

specifying the subset of FIX messages and fields supported by the interface. SGX FX's

market data streaming implementation is described here, based on the FIX 4.4

specification, and is intended to be read in conjunction with the FIX Protocol

Specification. The specification supports pricing on the following price streams

 Spot

 Forward

 NDF

2. Connectivity

The client is responsible for initiating the connection to SGX FX. Once the connection

is established the client must then initiate the normal FIX logon process.

To minimize market data message latency, SGX FX does not support persisting market

data messages, nor do we support these being resent on recovery. Further, the sequence

number will be explicitly reset on logon.

2.1. Connection medium

SGX FX support the below connection over the private networks such as through

Cross-Connectivity. Additional details on these are available upon request and options

can be discussed with the SGX FX team.

3. Session Management

The SGX FX interface supports the standard FIX session protocol, including all

standard session messages:

Name MsgType

Heartbeat 0

Logon A

Test Request 1

Resend Request 2

Reject 3

Sequence Reset 4

Logout 5

Note: The "Req'd" column used in the tables for this specification contain values 'Y' for

compulsory tags, 'N' for optional and 'C' for conditionally required tags.

Repeated groups are marked by an indention in the table, for example:

146 NoRelatedSym Y ...

→ 55 Symbol Y ...

3.1. Message Formats

Only the Logon message requires clarification, the other session messages are as per the

specification.

3.1.1. Logon

Tag

Field Name Req'd

Comment

Standard Header Y MsgType = A

108

HeartBtInt Y Heartbeat interval (seconds).

98 EncryptMethod Y Method of encryption. Only 0 (None) supported.

95 RawDataLength N The length of the password. Not set unless required by

96 RawData N The client's password. Not set unless required by LP

141

ResetSeqNumFlag

N Indicates both sides of a FIX session should reset

sequence numbers.

Standard Trailer Y

4. Market Data

4.1. Message Flow

The client requests a stream of prices for a currency pair, by submitting a Market Data

Request with a SubscriptionRequestType of Snapshot + Updates (value 1). If the

request is successful, Market Data messages will start to be sent to the client. They will

continue to be sent until the connection is lost or a Market Data Request with a

SubscriptionRequestType of Disable previous Snapshot + Update Request (value 2) is

sent by the client.

All data is sent as Market Data Full Refresh messages that contain the full set of price

tiers, i.e. an entry will be provided for each price and amount.

The SettlType field can be used to specify which price to stream. The valid options are

0 for streaming spot prices or tenor codes for forward points. If the SettlType field is

left empty, a value of spot is assumed

Client will request one stream of either spot rates or forward rates for a specific tenor.

Clients can subscribe for multiple different tenor streams, e.g. spot, 1M forward, 2M

forward for the same currency pair all regarded as different streams. Attempts to submit

more than one Market Data Request for a specific stream will result in a Market Data

Request Reject message

For forward subscriptions, the spot price will be published in the forward stream (i.e. it

is not required to subscribe to both the spot and forward streams in order to get the all-

in price).

4.2. Message Formats

4.2.1. Market Data Request

Tag 50 (SenderSubID) can be used to send a stream ID which can differentiate between

different pricing tiers.

Tag Field Name R

Comment

Standard Header

MsgType = V

262 MDReqID Y

Unique identifier allocated by the client for the

subscription.

When unsubscribing (SubscriptionRequestType =

2) the same Id must be supplied.

263 SubscriptionReque

stType

1 = Subscribe

2 = Unsubscribe

264 MarketDepth Y

1= Top Of Book (0 = Full Book - supported but

returns the same result as top)

265 MDUpdateType

Required if SubscriptionRequestType = 0.

Supported values:

0 = full request (default if not supplied)

1 = Incremental Refresh (not supported)

267

NoMDEntryTypes

Number of MDEntryType fields to follow.

→

269 MDEntryType Y

0 = Bid

1 = Offer

146 NoRelatedSym Y

Number of symbols requested. Currently only a

single Symbol can be requested per Market Data

Request message. Supported values: 1

→

55 Symbol Y

The currency pair to subscribe to in the form

base/term where base and term are ISO currency

code, e.g. EUR/USD.

→

63 SettlType Y

0 = Spot

For Forward/NDF a tenor should be specified as

one of the:

xD = FX tenor expression for "days" where "x" is

any integer > 0, e.g. "5D"

xM = FX tenor expression for "months" where "x"

is any integer > 0, e.g. "1M"

xW = FX tenor expression for "weeks", where "x"

is any integer > 0, e.g. "2W"

xY = FX tenor expression for "years", where "x" is

any integer > 0, e.g. "1Y"

Note that the tenors expressed using xD, xM, xW,

and xY values do not denote business days, but

calendar days

For value=6 the SettleDate field is required.

→

167 SecurityType C

Indicates type of security.

FXSPOT = FX Spot

FXFWD = FX Forward

FXNDF = Non-deliverable forward

Can be omitted for Spot when 63 (SettleType) = 0

Standard Trailer

Example: Spot MD Request

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

263

SubscriptionRequestType

264

MarketDepth

265

MDUpdateType

267

NoMDEntryTypes

269

MDEntryType

269

MDEntryType

146

NoRelatedSym

Symbol

EUR/USD

63 SettlType 0

167 SecurityType FXSPOT

Example Spot request message:

35=V | 49=SGX FX | 56=BROKER-MD | 34=52 | 50=GOLD | 52=20160424-

22:54:31.757 | 262=BROKERFXRFS-2016042422543151 | 263=1 | 264=0 |

265=0 |267=2 | 269=0 | 269=1 | 146=1 | 55=EUR/GBP | 63=0 | 167=FXSPOT

| 10=139 |

Example: Forward MD Request

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

263

SubscriptionRequestType

264

MarketDepth

265

MDUpdateType

267

NoMDEntryTypes

269

MDEntryType

269

MDEntryType

146

NoRelatedSym

Symbol

EUR/USD

SettlTyp

167

SecurityType

FXFWD

Example Forward request message:

35=V | 49=SGX FX | 56=BROKER-MD | 34=1017 | 50=GOLD | 52=20160425-

06:46:18.493 | 262=BROKERFXRFS-2016042506461889 | 263=1 | 264=0 |

265=0 | 267=2 | 269=0 | 269=1 | 146=1 | 55=EUR/GBP | 63=1M | 167=FXFWD

| 10=138 |

Example: NDF MD Request

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

263

SubscriptionRequestType

264

MarketDepth

265

MDUpdateType

267

NoMDEntryTypes

269

MDEntryType

269

MDEntryType

146

NoRelatedSym

Symbol

USD/INR

SettlTyp

167

SecurityType

FXNDF

Example NDF request message:

35=V | 49=SGX FX | 56=BROKER-MD | 34=24 | 50=TIER1 | 52=20160505-

21:11:06.125 | 262=BROKERFXRFS-2016050521110621 | 263=1 | 264=0 |

265=0 | 267=2 | 269=0 | 269=1 | 146=1 | 55=USD/PHP | 63=1M | 167=FXNDF

| 10=052 |

4.2.2. Market Data Request Reject

Tag

Field Name

Req'd

Comment

Standard Header

MsgType = Y

262

MDReqID

Must refer to the MDReqID of the request.

281 MDReqRejReason

N Rejection reason code. See FIX Specification for

valid values.

Text

Textual description of the rejection reason.

Standard Trailer

4.2.3. Market Data – Full Refresh

Tag

Field Name

Req'd

Comment

Standard Header

MsgType = W

262

MDReqID

As provided in the Market Data Request.

55 Symbol Y The currency pair the entry for in form

base/term, where base and term are ISO

currency code, e.g. EUR/USD.

64 SettlDate Y The value date for the ccy pair. This will be

in the format YYYYMMDD.

167 SecurityType C FXSPOT/FXFWD/FXNDF

Can be omitted for SettlTyp=0

268

NoMDEntries

Number of entries following.

→

269 MDEntryType Y Supported values:

0 = Bid

1 = Offer

→

188 BidSpotRate C The spot rate bid.

→

189 BidForwardPoints C The forward points bid.

→

190 OfferSpotRate C The spot rate ask.

→

191 OfferForwardPoints

C The forward points ask.

→

270 MDEntryPx Y All-in price

→

271 MDEntrySize Y The trade size the MDEntryPx

→

273 MDEntryTime N Time of Market Date Entry (millisecond

precision).

20001

ConfidenceLevel Y Composite price confidence level (2-5)

Standard Trailer

Example: Spot Full Refresh

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

Symbol

USD/JPY

SettlDate

20151117

268

MarketDepth

→

269 MDEntryType 0

→

270 MDEntryPx 123.123

→

271 MDEntrySize 10000000

→

273 MDEntryTime 11:41:13.276

→

20001

ConfidenceLevel

→

269 MDEntryType 1

→

... ... ...

Example Spot full refresh message:

35=W|49=BROKER-MD|56=SGX FX|34=17|52=20160502-

21:10:38.766|262=BROKERFXRFS-

201605022110382|55=AUD/USD|64=20160505|268=4|269=0|270=0.76646|271=100

0000|20001=5|269=1|270=0.76727|271=1000000|273=11:41:13.276|20001=5|26

9=0|270=0.76645|271=3000000|20001=5|269=1|270=0.76728|271=3000000|273=

11:41:13.276|20001=5|10=162|

Example: Forward Full Refresh

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

Symbol

AUD/NZD

SettlType

SettlDate

20151216

167 SecurityType FXFWD

268

MarketDepth

→

269 MDEntryType 0

→

188 BidSpotRate 1.0925

→

189 BidForwardPoints

0.0006

→

270 MDEntryPx 1.0931

→

271 MDEntrySize 5000000

→

273 MDEntryTime 11:41:13.276

→

20001

ConfidenceLevel 5

→

269 MDEntryType 1

→

... ... ...

Example merged Forward full refresh message:

35=W | 49=BROKER-MD | 56=SGX FX | 34=895981 | 52=20160506-00:26:51.770

| 262=BROKERFXRFS-2016050600265044 | 55=USD/SGD | 63=6 | 64=20160523 |

167 = FXFWD | 268=4 | 269=0 | 188=1.3588 | 189=2.66 | 270=1.359066 |

271=1000000 | 273=11:41:13.276 | 20001=5 | 269=1 | 190=1.35913 |

191=4.19 | 270=1.359549 | 271=1000000 | 273=11:41:13.276 | 20001=5 |

269=0 | 188=1.35875 | 189=2.66 | 270=1.359016 | 271=5000000 |

273=11:41:13.276 | 20001=5 | 269=1 | 190=1.35918 | 191=4.19 |

270=1.359599 | 271=5000000 | 273=11:41:13.276 | 20001=5 | 10=169 |

Example: NDF Full Refresh

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

Symbol

USD/KRW

SettlType

SettlDate

20151221

167

SecurityType

FXNDF

268

NoMDEntries

→

269 MDEntryType 1

→

190 OfferSpotRate 1169.61

→

191 OfferForwardPoints

0.49

→

270 MDEntryPx 1170.1

→

271 MDEntrySize 5000000

→

273 MDEntryTime 11:41:13.276

→

20001

ConfidenceLevel 4

→

269 MDEntryType 1

→

... ... ...

Example merged NDF full refresh message:

35=W | 49=BROKER-MD | 56=SGX FX | 34=931064 | 52=20160506-00:32:03.673

| 262=BROKERFXRFS-2016050600320246 | 55=USD/MYR | 63=6 | 64=20160531 |

167 = FXNDF | 268=4 | 269=0 | 188=4.008 | 189=29.58 | 270=4.010958 |

271=1000000 | 273=11:41:13.276 | 20001=4 | 269=1 | 190=4.015 |

191=35.42 | 270=4.018542 | 271=1000000 | 273=11:41:13.276 | 20001=4 |

269=0 | 188=4.008 | 189=29.58 | 270=4.010958 | 271=3000000 |

273=11:41:13.276 | 20001=4 | 269=1 | 190=4.015 | 191=35.42 |

270=4.018542 | 271=3000000 | 273=11:41:13.276 | 20001=4 | 10=190 |