Detail of JR/T 0016-2004

Introduction of JR/T 0016-2004

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

Contents of JR/T 0016-2004

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