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Eurex Market Data And Order API

eurex-market-data-and-order-apisource

Use when building an order path into Eurex over the T7 Enhanced Trading Interface, applying the directional price reasonability check against the opposite-side best, the contract minimum price change, and ETI scaled-integer encoding.

Domain
Global Market Integration
Version
2.0.0
Reading
8 min
Hands off to
6
Handed off from
3
License
Apache-2.0
CoversEurex T7 ETI (Derivatives)T7 EMDI / MDI / RDIPython Dataclasses

When to Use

Use this skill when building or auditing an order path into Eurex (MIC XEUR) over the T7 Enhanced Trading Interface (ETI) — a little-endian binary protocol with FIX 5.0 SP2 semantics — fed by T7 EMDI price-level depth over UDP multicast. It covers the checks that must happen on the client side, before a message leaves your process:

  • Would T7's Price Reasonability Check reject this limit price?
  • Is the price on the contract's minimum price change?
  • Are prices and quantities encoded as the scaled integers ETI carries?
  • Is the 24-byte ETI request header framed correctly, with a gap-free MsgSeqNum and a template that still exists?

When NOT to Use

  • Not a transport. Nothing here opens a socket, logs on to a gateway, or sends an order. ready_to_send means "passed local validation", never "the exchange has it". Session logon, throttles, heartbeats and recovery are out of scope.
  • Not a FAST decoder. EMDI carries FIX 5.0 SP2 semantics in FAST encoding. This module models the book state a decoder produces, not the wire decoding.
  • Not a full message encoder. It frames the header, not the message body. Body offsets are release-specific — take them from the T7 ETI Derivatives Message Reference for the release you are certified against.
  • Not a source of price ranges. The reasonability band is per-instrument reference data from the RDI PriceRangeRules message. This module will not guess it, because it cannot be inferred from the price.
  • Not for Xetra cash. Deutsche Börse runs T7 for both, but the cash market has its own message reference, a different TradingCapacity domain, and the RTS 11 tick regime instead of per-contract minimum price changes. See deutsche-borse-xetra-api-integration.
  • Not for off-book (TES) or strategy instruments. Scope is outright simple instruments (ProductComplex 1). Off-book standardised futures strategies use a finer price gradation — for FESX, 0.01 index points since 24 June 2024, against 1.0 on-book.

Prerequisites

  • A T7 ETI session and user; SenderSubID is the T7 User ID.
  • Instrument reference data from the T7 RDI: SecurityID (tag 48), MarketSegmentID (tag 1300), and the instrument's PriceRangeRules table plus the product's FastMarketPercentage. The symbol is for human readability — the wire identifies instruments numerically.
  • The T7 ETI Derivatives Message Reference for your target release, for body offsets and BodyLen.
  • Python 3.10+. Standard library only.

Workflow

  1. Keep an EMDI book you can trust, and know when you cannot. EMDI is the un-netted interface — every order book change up to the configured depth, and every on-exchange trade individually. (MDI is the netted one; EOBI is order-by-order.) Depth incrementals carry a MsgSeqNum range per product: on a gap, take the message from the other live-live service (A/B carry identical content on different multicast addresses) before falling back to the snapshot feed, which links back via LastMsgSeqNumProcessed. A book with an unrecovered gap — or a crossed one — must not be used as a price reference at all.
  2. Validate field domains before anything that depends on them. Side (tag 54) is 1/2, not "BUY"/"SELL". TradingCapacity (tag 1815) on Eurex derivatives is 1 Customer (Agency), 5 Principal (Proprietary), 6 Market Maker — the cash values 9 and 10 do not exist here.
  3. Check the contract's minimum price change in decimal arithmetic. FESX is 1 index point (EUR 10 per point); FGBL is 0.01 percent of par on a EUR 100,000 nominal, so one full point is EUR 1,000 and one tick is EUR 10. Validate that the price is positive as its own check — float modulo says -4851.0 % 1.0 is zero.
  4. Run the Price Reasonability Check the way T7 runs it — directionally. The rejection condition is Buy Limit > Reference + PriceRange(Reference) or Sell Limit < Reference − PriceRange(Reference). The reference is the opposite-side best price (best ask for a buy, best bid for a sell), not the mid, and the range is computed from the reference, never from the limit. A buy below the market and a sell above it never fail.
  5. Derive the range from the price range table, not from a constant. PriceRange = APR + |Reference| × PPR / 100, with APR/PPR from the PriceRangeRules row containing the reference, scaled by (1 + FastMarketPercentage / 100) in fast or stressed markets, and never rounded.
  6. Decide what happens when there is no reference price. The standard procedure needs both best prices with a spread inside the range; otherwise the non-standard procedure substitutes the last trade or theoretical price, or the previous day's settlement price. If none is available, PriceValidityCheckType (tag 28710) decides: 1 Optional accepts the order unchecked, 2 Mandatory rejects it. Choose deliberately — that is the only difference between the two values.
  7. Encode price and quantity as scaled integers. ETI PriceType is an 8-byte signed integer with 8 implied decimals; Qty is the same width with 4. Refuse a value that needs more precision rather than rounding it.
  8. Frame the header and advance MsgSeqNum only on success. BodyLen is the whole message including the BodyLen field itself — 280 bytes for template 10138 on a simple instrument in Release 14.0, plus 8 per leg. The Session Logon is MsgSeqNum 1, so the first order request is 2. ETI has no sequence recovery: a gap or duplicate is rejected and the session disconnected, and every reconnection restarts at 1.
  9. Pick a template that still exists. New Order Single (10100) and the other nine deprecated order management requests were removed from production with T7 Release 14.1 on 18 May 2026. Use New Order Single or Multi Leg (10138), its short layout (10139), Replace (10140/10141) and Cancel (10142).

Full procedure: see references/workflows.md. Message layouts, field domains and rule citations: see references/standards.md. Printable pre-flight checklist: see assets/checklist.md.

Common Pitfalls

  • Testing reasonability symmetrically against the mid. This is the expensive one, and it is wrong twice over: T7 references the opposite-side best price, and the check is directional. An abs(price − mid) > band gate rejects deep passive orders the venue would have accepted — exactly the resting liquidity a market maker is trying to post — while giving no protection the venue does not already give on the aggressive side.
  • Hard-coding a reasonability band. There is no published universal band for any Eurex product. The range comes from the instrument's PriceRangeRules table and moves with the reference price, the product's fast-market percentage, and the exchange's own parameter changes.
  • Computing the range from the limit price. T7 computes it from the reference price. Using the limit price makes the accepted region depend on how wrong the order already is.
  • Building against template 10100. It was removed from production on 18 May 2026. Code that still frames it produces a message the gateway rejects, and the failure looks like a session fault rather than an obsolete template.
  • Float modulo for the tick check. -4851.0 % 1.0 == 0.0, so a naive float check passes negative prices. Use Decimal, and check positivity separately.
  • Letting a float reach the wire encoding. int(0.29 * 1e8) is 28999999 — one wire unit below the intended price, because 0.29 is not exactly representable. Convert through Decimal and refuse values that will not scale exactly.
  • Burning a sequence number on a rejected order. MsgSeqNum must increase by exactly one per request. ETI has no recovery mechanism: a gap is a disconnect, and the reconnection starts again at 1 with all non-persistent orders and quotes already mass-cancelled.
  • Retrying an order because the request timed out. Reuse the original ClOrdID and resolve the order's state through the venue. A retry under a fresh identifier is a second position.
  • Sending the symbol as the instrument identifier. T7 ETI uses the numeric SecurityID (tag 48) with MarketSegmentID (tag 1300). FESX_202609 is a label for humans.
  • Treating an Execution Report as the trade. Information in Execution Reports (8, U8) is indicative; the legally binding confirmation is the Trade Capture Report (AE) on the trade broadcast. Reconcile positions against those, not against public EMDI prints.
  • Pre-checking against an auction book. T7 performs the Price Reasonability Check exclusively in instrument state Continuous. Market orders are bounded by the separate Market Order Matching Range instead.
  • Copying field offsets across releases. Offsets and widths change between T7 releases; only the 24-byte request header has held stable.

Verification

  • PriceRangeTable reproduces the worked examples published with the formula: for the table (0–1: APR 0.10, PPR 0), (1–5: APR 0, PPR 10), (5+: APR 0.50, PPR 0), reference prices 0.27, 3.50 and 7.80 give ranges 0.10, 0.35 and 0.50, and −2.40 gives 0.24. With FastMarketPercentage 100, 3.50 gives 0.70.
  • With best bid 4850 and best ask 4851 and a flat 50-point range: a BUY at 4901 passes and at 4902 fails; a SELL at 4800 passes and at 4799 fails; a BUY at 4750 passes — the regression a symmetric band introduces.
  • The standard-procedure reference for a BUY is 4851 and for a SELL 4850. Neither is the mid (4850.5).
  • Widen the spread to 4800/4900 so it exceeds the range: with no alternative reference price the check cannot be performed; with a last trade price of 4855 the non-standard procedure uses 4855.
  • price_to_eti_int("4851") $\implies$ 485_100_000_000; price_to_eti_int(0.29) $\implies$ 29_000_000 while int(0.29 * 1e8) is 28_999_999. qty_to_eti_int(10) $\implies$ 100_000.
  • audit_eurex_tick_size("-4851", "1") $\implies$ False, though -4851.0 % 1.0 == 0.0.
  • Instantiate EurexMarketDataAndOrderApiEngine(sender_sub_id=55443). A BUY of 10 FESX at 4851 $\implies$ STATUS_OK, contract_value_eur == 485100, side_wire_value == 1, eti_header.template_id == 10138. At 4851.5 $\implies$ INVALID_TICK_SIZE.
  • header.pack() $\implies$ exactly 24 bytes: BodyLen 280 at offset 0, TemplateID 10138 at offset 4, MsgSeqNum at 16, SenderSubID at 20, little endian. The first framed request carries MsgSeqNum 2, because the Session Logon is 1.
  • Rejected orders consume no sequence number, and a repeated ClOrdID is refused.
  • A crossed local book is refused as a reasonability reference; a locked one is not.
  • Run python -m unittest discover -s skills/eurex-market-data-and-order-api/scripts and confirm a 100% pass rate.
  • Against simulation only: send one validated order and confirm T7 accepts the template, the BodyLen and the sequence number. A framing bug that unit tests cannot see is one where the body length does not match the release you are certified against.

Verify it, from the repository root

python -m unittest discover -s skills/eurex-market-data-and-order-api/scripts

Hands off to 6

Skills this document names, usually in When NOT to Use, as the owner of a case it excludes.

Tick pipelines and backpressure

Auth, tokens, idempotent orders

Exchanges and venues worldwide

SEC, FINRA, MiFID II, FCA, SEBI

Calendars, timezones, symbology

Handed off from 3

Skills that name this one as the place a case belongs. The reverse edges of the graph.

Exchanges and venues worldwide

Tick pipelines and backpressure