POE.md

POE

POE is Parity's native order entry protocol. With it market participants can enter orders, cancel them and receive status updates on them.

Architecture

POE consists of logical messages passed between a client application and a trading system. Each message type has a fixed message length.

Messages from the trading system to the client application are sequenced. In case of a network disconnection, the client application can request messages starting from the last known sequence number.

Messages from the client application to the trading system can be resent benignly. In case of a network disconnection, the client application can resend messages to which it has not yet received acknowledgements.

POE uses NASDAQ SoupBinTCP 3.00 as the underlying transport protocol. The protocol provides authentication and keep-alive as well as the aforementioned message sequencing mechanism.

Data Types

Number fields are encoded as unsigned integers in network byte order.

Text fields are encoded as ASCII, left-justified and padded on the right with the space character.

Prices are represented in terms of the minimum price increment.

Quantities are represented in tems of the minimum quantity increment.

Timestamps are represented as nanoseconds since the midnight of the day on which the trading session started.

Inbound Messages

Inbound messages are sent by the client application to the trading system.

Enter Order

Enter an order. The order identifier must be unique within the trading session.

Name	Length	Type	Notes
Message Type	1	Text	E
Order ID	16	Text
Side	1	Text	See below
Instrument	8	Text
Quantity	8	Number
Price	8	Number

The sides are enumerated below.

Side	Description
B	Buy
S	Sell

Cancel Order

Cancel an order. The quantity refers to the new order size. To cancel an order fully, set the quantity to zero.

Name	Length	Type	Notes
Message Type	1	Text	X
Order ID	16	Text
Quantity	8	Number

Outbound Messages

Outbound messages are sent by the trading system to the client application.

Order Accepted

An Order Accepted message is sent as a response to an Enter Order message to acknowledge the entered order as accepted. The order number is the trading system's identifier for the order.

Name	Length	Type	Notes
Message Type	1	Text	A
Timestamp	8	Number
Order ID	16	Text
Side	1	Text
Instrument	8	Text
Quantity	8	Number
Price	8	Number
Order Number	8	Number

Order Rejected

An Order Rejected message is sent as a response to an Enter Order message if the order is not accepted.

Name	Length	Type	Notes
Message Type	1	Text	R
Timestamp	8	Number
Order ID	16	Text
Reason	1	Text	See below

The reasons for a rejection are enumerated below.

Reason	Description
I	Unknown instrument
P	Invalid price
Q	Invalid quantity

Order Executed

An Order Executed message indicates that an order has been executed in part or fully. The match number is the trading system's identifier for the trade.

Name	Length	Type	Notes
Message Type	1	Text	E
Timestamp	8	Number
Order ID	16	Text
Quantity	8	Number
Price	8	Number
Liquidity Flag	1	Text
Match Number	4	Number

The liquidity flags are enumerated below.

Liquidity Flag	Description
A	Added liquidity
R	Removed liquidity

Order Canceled

An Order Canceled message indicates that an order has been canceled in part or fully.

Name	Length	Type	Notes
Message Type	1	Text	X
Timestamp	8	Number
Order ID	16	Text
Canceled Quantity	8	Number
Reason	1	Text	See below

The reasons for a cancellation are enumerated below.

Reason	Description
R	Request
S	Supervisory

History

• Version 2. This version contains the following changes:
  • Remove the Broken Trade message
  • Represent prices using the minimum price increment
  • Represent quantities using the minimum quantity increment
  • Represent prices using 8 bytes
  • Represent quantities using 8 bytes
• Version 1. Initial version.