Вы находитесь на странице: 1из 24

BARX FIX RULES OF ENGAGEMENT

FX POST-TRADE NOTIFICATION AND STP

Version 4.3 February 2011

References/Supporting Documentation FPL FIX Specification 4.4 FPL FIX Implementation Guide BARX On-boarding and Connectivity Guide BARX Client Checklist Revision history
Date Issued Aug 2007 Aug 2007 Aug 2007 Sep 2007 Dec 2007 Dec 2008 June 2009 January 2010 January 2011 February 2011 October 2011 Version No 4.0 4.1 4.1.1 4.1.2 4.1.3 4.1.4 4.1.5 4.2 4.2.1 4.3 4.3.1 Author Pritam Kamat Jack Utley Pritam Kamat Pritam Kamat Jack Utley Evon Lim Jack Utley Christine Bowes Vinayak Doraiswamy Matt Roberts Vinayak Doraiswamy Reason for Change Initial Revisions to layout and formatting Added raw string examples Added comments from NW Reordering of fields to conform with strict validation Revisions to FIX tags used in the TCR Adding NDF tags and Client reference fields Review and updates FX NDF TCR and updates FX Options updates FX NDF Swaps

CONTENTS
INTRODUCTION
Purpose of this document Intended audience Intended use Scope What is FIX? BARX FIX capabilities FIX versions and messages FIX Engines and OMS The FIX team at Barclays Capital Barclays contact information

SYSTEM OVERVIEW
BARX What is BARX? TradeCapture Report for FX Spot, Forward, Swaps and Options Trade Capture Reporting Supported FIX Behaviour and Messages Administrative Level Message Details Application Level Messages Connectivity Hours of Operation End of Day Procedures Counterparty Identification Account Fields and Booking Details Aggregations Allocations Duplicate Handling and Error Recovery Time Synchronization and Stale Messages Fail Over Procedures Sequence Diagrams and Message Flows

SEQUENCE DIAGRAMS

7 8

APPENDIX 1 MESSAGE DEFINITIONS AND VALUES


Trade Capture Report Request, FX Spot, Forward, Swaps and FX Options Trade Capture Report Request Ack Trade Capture Report, FX Spot and Forward Trade Capture Report, FX Swaps Trade Capture Report, FX NDF Trade Capture Report, FX NDF Swap Trade Capture Report, FX Options

APPENDIX 2 DOS AND DONTS FOR FIX TCRS

20 21
1

APPENDIX 3 CONFORMANCE TESTS

INTRODUCTION
Purpose of this document This document is designed to provide clients/vendors with the technical specifications required to connect to Barclays Capital FX trading platform using the FIX protocol. This is one of a series of detailed technical specifications that outlines the FIX services offered by Barclays Capital for the following products: Vol. 1 Equities Vol. 2 Futures and Options Vol. 3 FX Vol. 4 Commodities Vol. 5 Fixed Income Vol. 6 Structured Products Vol. 7 Money Markets Vol. 8 FX Trade Notification and STP For further information on FIX services for each Asset class please refer to the relevant Rules of Engagement volume. Intended audience This document is targeted at business and technical managers responsible for implementing or building a FIX adaptor to the BARX FIX API. It provides a functional overview of how FX post-trade reporting can be supported using FIX, and specifically how the BARX platform will behave via FIX API. Intended use Trade Capture Reporting via FIX is intended to provide users of the Barx trading application with a real-time electronic trade notification feed into their back office systems for booking and position keeping purposes. Users who intend to use the FIX feed for risk management purposes should do so in the knowledge that not all trades are reported in real-time due to allocations and aggregations functionality available to traders in the Barx application. Note Barx TCR FIX feed only supports notification of electronically executed orders in Barx. It does not support voicetrades. Scope The scope of this document is limited to defining the FIX messages and formats supported by the BARX platform for FX and FX Options Post-Trade feeds/reporting. What is FIX? The Financial Information eXchange (FIX) Protocol is a technical specification for electronic communication of financial data. It is a globally accepted standard of messaging specifications developed through the collaboration of banks, brokers, exchanges, institutional investors, and information technology providers from around the world. For more information and supporting materials on the FIX protocol, please refer to the FPL website, www.fixprotocol.org. BARX FIX capabilities Trade Capture Reporting via FIX supports trade notification for all deals done on the BARX application. This includes coverage of Spot, Forward and Swap trades, as well as Aggregation, Splits and Allocations. It also includes vanilla and exotic FX options. It does not provide coverage for Voice trades. FIX versions and messages Barclays Capital electronic FX trading system is based on the FIX protocol (Financial Information eXchange). Barclays Capital bases its message set on FIX 4.4 for Trade Capture Reporting. These messages are defined in Appendix 1 Message Definitions and Values of this document. Only the messages and fields relevant to communicating with Barclays Capital and its clients are included in this document. Additional fields will be ignored and unsupported field values will be rejected. This document is intended to complement the published FIX protocol specification, available at www.fixprotocol.org. All counterparty applications will be expected to comply with the FIX protocol for all session level behaviour and should default to the FIX defined formats and values unless otherwise stated. Barclays Capital makes use of some Custom defined fields and formats in its messages.

FIX engines and OMS Barclays Capital uses Cameron Systems Fix Universal Server with a custom message processor adapted for FX Trade Capture Reporting. Cameron FIX is an industry standard FIX engine that is compliant and certified for all versions of FIX. BARX trading platform is a wholly owned and proprietary trading platform designed and maintained by Barclays Capital. The FIX team at Barclays Capital Barclays Capital has been using FIX for electronic trading for over six years and was one of the first adopters to implement FX trading and streaming executable prices. Supported by a global team of ten professionals with over 50 years of FIX experience we provide: E  xperienced single point of contact for all FIX requirements from analysis through to execution D  edicated Global FIX connectivity team offering professional services and assistance with FIX implementation and connectivity solutions C  onsistent service through London, New York, Singapore and Tokyo providing round-the-clock service 24 hours/day, 5 days/week Tailored solutions to meet with individual client needs C  ompatibility with all major FIX engines, Black Boxes andOMS

Barclays contact information Implementation and on-boarding support: Global FIX Connectivity email fixconnectivity@barcap.com FIX Desk London +44 (0)20 7773 4846 FIX Desk New York +1 (212) 412 1820 FIX Desk Tokyo +81 (3) 4530 1736 FIX Desk Singapore +65 6828 5534 Production support: Client Services Group email BARXsupport@barcap.com CSG Desk London +44 (0)20 7773 9885 CSG Desk New York +1 (212) 412 3640 CSG Desk Tokyo +81 (3) 4530 5162 CSG Desk Singapore +65 6395 3270

SYSTEM OVERVIEW
BARX What is BARX? BARX is Barclays Capital award-winning proprietary FX trading platform, providing institutional traders 24 hour access to twoway executable streaming prices in over 50 currencies and 300 currency pairs. Our proprietary platform leads the way with Precision Pricing. An extra decimal place raises your trading game to a new level of precision. You can also trade over 50 currencies in 300 pairs up to two years forward, BARX makes it easier to extend your reach into global capital markets. Additional products like Money Markets and Commodities are also available on BARX via FIX. Trade capture report for FX Spot, Forward and Swaps Trade capture reporting allows for Barclays Capitals clients toreceive real-time reporting and historic reporting of completed trades within the BARX trading environment via ourFIX 4.4 API. Trade Capture reporting is designed to facilitate the process of reporting electronic executions dealt over our standard FIX API or via the BARX Trader GUI, providing clients with an easy means of receiving trade confirmations either ad hoc or in real-time. Trade Capture Reporting supports two methods of collection: S  napshot Provides a historical download of all trades within the trading day up to the time of the request. This can be modified to request trades from previous trading days S  napshot + Updates Provides all historical trades plus a subscription to Live trade confirmations in real-time. As long as your FIX session remains connected you will receive a copy of each trade notification in BARX. BARX Trader GUI currently supports trades in: FX Spot FX Forwards FX Swaps NDFs FX Options For a detailed explanation of Trade Capture Reporting functionality please refer to Volume 5 of the FIX Protocol 4.4 with errata at www.fixprotocol.org. Hours of operation Table 1 shows the hours of operation for the FIX Engines. When the Barclays Capital FIX Engine stops at the end of the business day the sequence numbers are reset before the FIX Engine restarts. Previous releases of this document provided the times in GMT/BST but that potentially caused issues during the times when clocks changed from GMT to BST, as the systems at BarclaysCapital are started and stopped at times relative to their locale. Trade capture reporting supported FIX behaviour and messages Administrative level message details The following administrative messages will be supported: Heartbeat Logon Test Request Resend Request Session-level Reject Sequence-Reset (Gap Fill) Logout These messages may be sent by either party in accordance with the FIX specification. Application level messages The following application messages will be supported by Barclays Capital: Messages sent by Client to Barclays Capital  TradeCaptureReportRequest Messages sent by Barclays Capital to Client TradeCaptureReportRequestAck TradeCaptureReport Connectivity Barclays Capital acts as an acceptor of all FIX Connections. Clients must initiate the Logon sequence and establish their connection to the appropriate Barclays FIX Gateway as per the schedule outlined below. For a more detailed explanation of how you can connect to Barclays Capital and the supported connectivity options, please refer to the BARX: On-boarding and Connectivity Guide document listed in supporting documentation.

Table 1: Start/Stop times for FIX Counterparties


Day Monday Monday Thursday 17:00 (NYK) Stop-time Start-time 04:50 (SYD) 17:15 (NYK) Issue trade capture request to stop receiving any post-trade reports (Optional) Send Logout Message (Optional) Reset Sequence Numbers Issue trade capture request to stop receiving any post-trade reports (Optional) Send Logout Message (Optional) Reset Sequence Numbers No Action Client-stop-actions

Account fields and booking details (FX only) If an Account is specified in BARX on the initial trade and is booked to that account, then the account value is sent in the Trade Capture Report. Where multiple accounts are used, traders can flag a trade to be Allocated or Split after the trade is done. When trades are marked for Allocation or Aggregation they will not be reported until the trade has been fully executed and booked. Aggregations (FX only) The BARX application allows traders to aggregate orders up into a single parent order, with a combined quantity of all the child orders and a cumulative average price. Orders marked by traders to be aggregated in this way, will not be reported until the aggregation is completed. Once complete, a single order will be reported in place of several child orders. Allocations (FX only) When trades are not being booked to the default account, they can be split across several sub-accounts. An order can be traded in BARX but marked for Allocation and can be split across several sub-accounts at a later time during the trading day. Trades completed in this way do not get reported via the FIX feed until they have been fully Allocated. For Allocated trades, AllocAccount is used instead of the Account field. Duplicate handling and error recovery It is recommended that sequence numbers are reset during Logon (using tag 141=Y) this means that duplicate handling is carried out at the application level. If 141=Y is not used FIX session recovery will automatically happen at the FIX level. Time synchronisation and stale messages Barclays Capital uses NTP to synchronise its servers and recommends that client systems do the same. The sending time on all received messages is validated against our system clock and when messages have a sending time older than a preconfigured amount of seconds, the message will be rejected.

Friday

17:00 (NYK)

Saturday

n/a

In Table 1, the locale SYD is the Sydney timezone. The locale NYK is either the EST or EDT timezone depending on the time of year. End-of-day procedures FIX sequence numbers are reset at the end of each weekday after the daily disconnect. During the break the FX system rolls its calendar dates. For example, a Spot date issued at 17:15 NYK would be one day later than the date issued for the same request at 16:49. This convention is based on the time of the New York close (17:00 EST) All clients are expected to reset their sequence numbers during this downtime. Counterparty identification SenderCompID (Tag 49) and TargetCompID (Tag 56) are used to identify counterparties between client and Barclays Capital. The values of these fields are bilaterally agreed between Barclays Capital and each client (up to a maximum of 12 characters) during the On-boarding process. Client > Barclays Capital: SenderCompID 49=<ClientCompID> TargetCompID 56=<BARX-TCR> Barclays Capital > Client: SenderCompID 49=< BARX-TCR> TargetCompID 56=< ClientCompID> Generally there is no requirement for the use of a SenderSubID, but it can be enabled when required. Currently the SenderLocationID is not supported. During the development and testing phase all comp ids are suffixed with -TEST. Similarly, if between test and production the staging environment is used, the ids are suffixed -DEMO.

SYSTEM OVERVIEW
Fail over procedures Barclays Capital runs its FIX Engines in an HA (high availability Active/Active) cluster. This ensures that in the event of a failure with either FIX Engine or the machine, the clients trading/reporting activity is unhindered. BarclaysCapital supports connectivity from both a clients DR site and from the client to Barclays Capital DR. Please see the BARX: On-boarding and Connectivity Guide for more details on DR. Barclays Capital closely monitors all its FIX Engines and if the need arises to contact you due to an exception, the Client Services Group will contact your designated Application support contact. Please ensure that your Support details are passed to your Connectivity Manager prior to Go Live. Sequence diagrams and message flows Details of the specific tags in the FIX messages are described later in Appendix 1 Message Details and Formats. There now follows some sequence diagrams with a brief description, where required. Details of FIX session level sequences such as ResendRequest, and GapFill are not provided here, (apart from Logon and Logout). Logon The Logon sequence is always initiated by the client. When logging on, tag 141 must always be set to Y, since handling of resent messages is handled by downstream systems. Logout In a FIX session, the Logout behaviour is the Barclays Capital FIX engine does not send a Logout message to you, you are recommended to always initiate a Logout after the end of day.

Sequence diagrams
Figure 1: Trade Capture Report Snapshot
Client Barclays Capital

Figure 3: Trade Capture Report Rejection


Client Barclays Capital

TradeCaptureReportRequest (35=AD) TradeCaptureReportRequest (35=AD) TradeRequestID(568)<new> SubscriptionRequestType(263)<> TradeRequestID(568)<new> SubscriptionRequestType(263)<0/1>

TradeCaptureReportRequestAck (35=AQ) TradeRequestID(568)<Client> SubscriptionRequestType(263)<Client> TradeRequestResult(749)<result> TradeRequestStatus(750)<012>

TradeCaptureReportRequestAck (35=AQ) TradeRequestID(568)<Client> TradeRequestResult<X> TradeRequestStatus<2>

TradeCaptureReport (35=AE) TradeReportID(571)<new> TradeRequestID(568)<Client>

Figure 4: Trade Capture Report for NDF trade amendments


Client Barclays Capital

TradeCaptureReportRequestAck (35=AQ) TradeRequestID(568)<Client> SubscriptionRequestType(263)<Client> TradeRequestResult(749)<result> TradeRequestStatus(750)<1>

TradeCaptureReport(35=AE) TradeReportID(571)<new> Fixing Date (541)<FixingDate> OrderID (37)<OrderID> NDFFIag (6082) <Y> TradeCaptureReport(35=AE) TradeReportID(571)<new> TradeReportRefID(572)<TradeReportID( 571)<original>> FixingDate (541) <Amended Fixing Date> OrderID(37)<original OrderID> Fixing Date amended

Figure 2: Trade Capture Report Snapshot + Update


Client Barclays Capital

TradeCaptureReportRequest (35=AD) TradeRequestID(568)<new> SubscriptionRequestType(263)<1>

TradeCaptureReportRequestAck (35=AQ) TradeRequestID(568)<Client> SubscriptionRequestType(263)<Client> TradeRequestResult(749)<result> TradeRequestStatus(750)<012>

TradeCaptureReport (35=AE) TradeReportID(571)<new> TradeRequestID(568)<Client>

TradeCaptureReportRequest (35=AD) TradeRequestID(568)<new> SubscriptionRequestType(263)<2>

Appendix 1 Message definitions and values


Trade Capture Report Request, FX Spot, Forward, and Swaps The Trade Capture Report Request is used by the counterparty application to request either a snapshot or streaming request from Barclays Capital trade notification server. The TCR request is either for FX Spot, Forward and Swaps or FX Options, depending on the value of tag 167 (SecurityType).
Name MsgType TradeRequestID TradeRequestType SubscriptionRequestType Tag 35 568 569 263 Reqd Y Y Y Y Description AD Unique Trade RequestID 0 = All Trades default value for requesting all trades 3 = Unreported Trades to request only those trades not previously sent 0 = Snapshot Only 1 = Snapshot + updates 2 = Disable or Unsubscribe FOR = FX Cash (default) OPT = FX Options 1 = One date specified. When used, TradeDate (Tag 75) is required to be present. Absence of this field, our system would default it as of current trading day. Value Date YYYYMMDD, default is current trading day Version 4.4 4.4 4.4 4.4

SecurityType NoDates TradeDate

167 580 75

N Y N

4.4 4.4 4.4

 Snapshot only will return tickets from the beginning of the requested trade date up to the time of therequest S  napshot + Updates will return tickets from the beginning of the requested trade date up to the time of the request and continue to send tickets in real-time until a SubscriptionRequestType of Disable is sent in a Trade Capture Report Request Example of a Trade Capture Report Request for Post- Trades:
(8=FIX.4.4^A9=110^A35=AD^A49=CLIENT-TCR-TEST^A56=BARX-TCR-TEST^A34=6^A52=20081229-12:41:33^A568=AD_20081229-12:41:33.903^A569=0^A263=1^A 580=1^A75=20081229^A10=060^A) BeginString BodyLength MsgType SenderCompID TargetCompID MsgSeqNum SendingTime TradeRequestID TradeRequestType SubscriptionRequestType NoDates TradeDate 8 9 35 49 56 34 52 568 569 263 580 75 FIX.4.4 110 AD CLIENT-TCR-TEST BARX-TCR-TEST 6 20081229-12:41:33 AD_20081229-12:41:33.903 0 1 1 20081229

Trade Capture Report Request Ack The Trade Capture Report Request Ack is used by Barclays Capital to respond to the clients initial TCR request, acknowledging or rejecting receipt of the request. In the case of subscription type requests it is used to acknowledge the subscription prior to sending reports. Where details of users or trade dates do not match and no trades are found the TCR Request Ack is used to indicate that the request has been rejected.
Name Standard Header TradeRequestID TardeRequestType SubscriptionRequestType 568 569 263 Tag Reqd Y Y Y N Description MsgType = AQ Indentifier for the trader request 0 = All Trades Subscription Request Type Valid values: 0 = Snapshot 1 = Snapshot + Updates (Subscribe) 2 = Disable previous Snapshot + Update Request (Unsubscribe) Total number of trade reports returned Result of Trade Request 0 = Succesful (default) 1 = Invalid or unknown instrument 2 = Invalid type of trade requested 3 = Invalid parties 4 = Invalid Transport Type requested 5 = Invalid Destination requested 8 = TradeRequestType not supported 9 = Unauthorised for Trade Capture Report request 99 = Other Status of Trade Request 0 = Accepted 1 = Completed 2 = Rejected FOR = FX Cash OPT = FX Options Freeform text field 4.4 4.4 4.4 Version

TotNumTradeReports TradeRequestResult

748 749

N Y

4.4 4.4

TradeRequestStatus

750

4.4

SecurityType Text Standard Trailer

167 58

N N Y

4.4 4.4 4.4

An Ack will be sent in response to every Trade Capture Report Request An Ack will be sent when finished sending Trade Reports to indicate that the request has been fulfilled. (Snapshot only) An Ack will be sent with TradeRequestStatus of Rejected if any Trade Request cannot be processed. TradeRequestResult will indicate the reason of the reject with any additional information sent freeform as text Example of Trade Capture Report Request Ack for Spot Trade:
(8=FIX.4.4^A9=116^A35=AQ^A34=7^A49=BARX-TCR-TEST^A56=CLIENT-TCR-TEST^A52=20081229-12:41:58^A568= AD_20081229-12:41:33.903^A569=0^A749=0^ A750=0^A10=243^A) BeginString BodyLength MsgType SenderCompID TargetCompID MsgSeqNum SendingTime TradeRequestID TradeRequestType TradeRequestResult TradeRequestStatus CheckSum 8 9 35 49 56 34 52 568 569 749 750 10 FIX.4.4 110 AQ BARX-TCR-TEST CLIENT-TCR-TEST 7 20081229-12:41:58 AD_20081229-12:41:33.903 0 0 0 243

Appendix 1 Message definitions and values


Trade Capture Report, FX Spot and Forward The Trade Capture Report is used by Barclays Capital to send trade notifications either in real-time or historically of trades done in the BARX application. The fields and values used in the Trade Capture Report match exactly the information provided in the deal ticket confirmation from the BARX trading GUI. Depending on whether a trade is Split allocated or booked to the default account not all of the fields shown below will be sent.
Name MsgType TradeReportID TradeReporTransType TradeRequestID ExecType OrdStatus ExecID PreviouslyReported Symbol SecurityType OrderQty SecondaryQty Price LastQty LastPx LastSpotRate LastForwardPoints Trade Date TenorValue TransactTime Currency OrderType Tag 35 571 487 568 150 39 17 570 55 167 38 6054 44 32 31 194 195 75 6215 60 15 40 Reqd Y Y N Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Description AE Unique identifier for the Trade Capture Report 0 = New Client Trade Request ID F = Trade Filled 2 = Filled Barclays Capital assigned Execution ID (Trade Identifier) Y = previously reported, N = not previously reported CCY/CCY eg GBP/USD FOR CCY amount, Near Leg Calculated side amount, Near Leg Price Same as OrderQty Same as Price Spot rate of deal Fwd Points of deal, will be reported as 0.0 for Spot trades Value date YYYYMMDD as specified in the Request Tenor Value or Time Bucket of original trade eg SP YYYYMMDD-HH:MM:SS Client UTC time stamp Dealt CCY D = Previously quoted Version 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4

10

Name NoSides (repeating group) Side OrderID NoPartyIDs (repeating group) PartyID PartyIDSource PartyRole NoAllocs (repeating group) AllocAccount AllocQty CalculatedAmount SettlDate ClOrdID

Tag 552 54 37 453 448 447 452 78 79 80 6069 64 11

Reqd Y Y Y Y Y Y Y N N N N Y N

Description 1 = One Side 1 = BUY, 2 = SELL Barclays Capital unique TradeID 1 = Number of Parties. Repeating goup consists of PartyID, PartyIDSource and PartyRole Trader Name as used in the BARX Trading Application (Username or Login ID) D = Custom Code for BARX 11 = Order Origination Trader (associated with Order Origination Firm eg trader who initiates/submits the order) No of Allocations in repeating group Allocation Account Amount of allocation in dealt currency. Sum of all tag 80s on a TCR will be equal to tag 38 Calculated Qty of Secondary CCY Value date YYYYMMDD Unique Client Order ID. This field is only present when orders have been generated by FIX. Absence of this field in a TCR implies the trade was done over the BARX trader GUI The main account used to book the trade against Freetext reference field from the BARX trading ticket or FIX trade Freetext reference field from the BARX trading ticket or FIX trade Freetext reference field from the BARX trading ticket or FIX trade Y = Non-deliverable forward flag indicates trade is in a non-deliverable forward. The dealt currency will not settle. Fixing date of the NDF contract YYYYMMDD Reference identifier in an amendment Trade Capture Report message referring to original messages TradeReportID(571)

Version 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4

Account Reference 1 Reference 2 Reference 3 NDF Flag FixingDate TradeReportRefID

1 6001 6002 6003 6082 541 572

N N N N N N N

4.4 4.4 4.4 4.4 4.4 4.4 4.4

There may be multiple messages of this type in response to Trade Capture Report Request depending on the Trade Report Request Type

11

Appendix 1 Message definitions and values


Example of Trade Capture Report for Spot Trade:
8=FIX.4.4^A9=498^A35=AE^A34=24^A49=BARX-TCR-TEST^A56=CLIENT-TCR-TEST^A52=20071227-15:56:23^A571=JHTGPDLR12276634294967294^A568=jack01^A150=F^A39=2^A17=00QFM00001^A570=Y^A55=EUR/USD^A167=FOR^A38=10000.000000000^A6054=14570.800000000^A44=1.457080000^A32=10000.000 000000^A31=1.457080000^A194=1.457080000^A195=0.0000^A75=20071227^A6215=SP^A60=20071227-15:54:59^A552=1^A54=1^A37=00QFM00001^A453=1^A 448=utleyjac^A447=D^A452=11^A15=EUR^A40=D^A78=2^A79=AR2^A80=5000.000000^A6069=7285.400000^A79=ACC1^A80=5000.000000^A6069=7285.400000 ^A487=0^A64=20071231^A10=030^A BeginString BodyLength MsgType SenderCompID TargetCompID MsgSeqNum SendingTime TradeReportID TradeRequestID ExecType OrdStatus ExecID PreviouslyReported Symbol SecurityType OrderQty SecondaryQty Price LastQty LastPx LastSpotRate LastForwardPoints 8 9 35 49 56 34 52 571 568 150 39 17 570 55 167 38 6054 44 32 31 194 195 FIX.4.4 498 AE BARX-TCR-TEST CLIENT-TCR-TEST 540 20040823-12:15:12 JHTGPDLR12276634294967294 jack-01 F 2 00QFM00001 Y EUR/USD FOR 10000.000000000 4570.800000000 1.457080000 10000.000000000 1.457080000 1.457080000 0.0000 Trade Date TenorValue TransactTime NoSides Side OrderID NoPartyIDs PartyID PartyIDSource PartyRole Currency OrderType NoAllocs AllocAccount AllocQty CalculatedAmount AllocAccount AllocQty CalculatedAllocQty TradeReportTransType SettlDate CheckSum 75 6215 60 552 54 37 453 448 447 452 15 40 78 79 80 6069 79 80 6069 487 64 10 20071227 SP 20071227-15:54:59 1 1 00QFM00001 1 Utleyjac D 11 EUR D 2 AR2 5000.000000 7285.400000 ACC1 5000.000000 7285.400000 0 20071231 30

Trade Capture Report, FX Swaps


Name Msg Type TradeReportID TradeReportTransType TradeRequestID ExecType OrdStatus ExecID PreviouslyReported Symbol SecurityType OrderQty OrderQty2 SecondaryQty SecondaryQty2 Price Price2 LastQty LastQty2 LastPx LastPx2 Tag 35 571 487 568 150 39 17 570 55 167 38 192 6054 6055 44 640 32 6058 31 6059 Reqd Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Y Description AE Unique identifier for the Trade Capture Report 0 = New Client Trade Request ID F = Filled 2 = Filled Barclays Capital assigned Execution ID (Trade Identifier) Default value is Y = previously reported to counterparty CCY/CCY e.g. GBP/USD FOR Order Qty, Near Leg Order Qty, Far Leg Calculated side amount, Near Leg Calculated side amount, Far Leg Dealt Rate, Near leg Dealt Rate, Far leg Same as OrderQty Same as OrderQty2 Same as Price Same as Price2 Version 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4

12

Name LastSpotRate LastSpotRate2 LastForwardPoints LastForwardPoints2 Trade Date TenorValue TenorValue2 TransactTime Currency OrderType NoSides (repeating group) Side

Tag 194 6060 195 641 75 6215 6216 60 15 40 552 54

Reqd Y Y Y Y Y Y Y Y Y Y Y Y

Description Spot rate, Near Leg Spot rate, Far Leg Fwd Points, Near Leg Fwd Points, Far Leg Value date YYYYMMDD as specified in the Request Tenor Value or Time Bucket of near leg Tenor Value or Time Bucket of far leg YYYYMMDD-HH:MM:SS Client UTC time stamp Dealt CCY D previously quoted 1 = One Side 1=BUY, 2=SELL Applies to the 2nd leg or future portion of the Swap (Far Leg). Side on near leg will be the opposite. Barclays Capital TradeID Number of Parties. Group consists of PartyID, PartyIDSource, Trader Name as used in the BARX Trading Application (Username D 11 No of Allocations in repeating group Allocation Account* Amount of allocation in dealt currency. Sum of all tag 80s on a TCR will be equal to tag 38* Calculated Qty of near leg Amount of allocation in dealt currency on far leg of a swap. Sum of all tag 6060s on a TCR will be equal to tag 192* Calculated Qty of far leg Value date YYYYMMDD Value date YYYYMMDD Unique Client Order ID. This field is only present when orders have been generated by FIX. Absence of this field in a TCR implies the trade was done over the Barcap trader GUI. Main Account if trade is not split allocated Freetext reference field from the BARX trading ticket or FIX trade Freetext reference field from the BARX trading ticket or FIX trade Freetext reference field from the BARX trading ticket or FIX trade Near Leg Fixing date of NDF Swap trade YYYYMMDD Far Leg Fixing date of NDF Swap trade YYYYMMDD Near Leg Fixing time of NDF Swap trade Far Leg Fixing time of NDF Swap trade Near Leg Fixing currency of NDF Swap trade Far Leg Fixing currency of NDF Swap trade Reference identifier in an amendment Trade Capture Report message referring to original messages TradeReportID(571) Y = Non-deliverable forward flag indicates trade is in a non-deliverable forward. The dealt currency will not settle.

Version 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4

OrderID NoPartyIDs PartyID PartyIDSource PartyRole NoAllocs (repeating group) AllocAccount AllocQty CalculatedQty AllocQty2 CalculatedQty2 SettlDate SettlDate2 ClOrdID (repeating group)

37 453 448 447 452 78 79 80 6069 6061 6070 64 193 11

Y Y Y Y Y N N N N N N N N N

4.4 4.4 4.4 4.4 4.4 4.4 4.4

4.4 4.4 4.4 4.4 4.4 4.4

Account Reference 1 Reference 2 Reference 3 NearLegFixingDate FarLegFixingDate NearLegFixingTime FarLegFixingTime NearLegFixingCurrency FarLegFixingCurrency TradeReportRefID NDF Flag

1 6001 6002 6003 6083 6084 6085 6086 6087 6088 572 6082

N N N N N N N N N N N N

4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4

* Notes on Allocations and Aggregations (affecting tags 487, 79, 80 and 6060): Tag 487 values 1 and 2 and tags 79, 80 and 6060 are optional and will be configured by Barclays Capital according to your needs. By default all trades will be reported when executed and allocations and aggregations will not be considered. In this case support is not required for tag 487 values 1 and 2 and tags 79, 80 and 6060 Allocations are available in the BARX GUI. Where a client uses allocations by default they will be sent only the trade when it is executed. If desired they may receive either the trade when executed and a replacement when it is allocated (487=2, with repeating group 79, 80 and 6060 showing the allocations) or the trade only when allocated (with repeating group 79, 80 and 6060 showing the allocations) Aggregations allow a BARX GUI user to aggregate several smaller trades into a single larger trade for settlement. Clients by default will receive each individual trade when executed. They may choose instead to receive the details of the aggregation only, in which case they must support the cancelling of aggregations which is permitted in the BARX GUI (487=1)

13

APPENDIX 1 MESSAGE DEFINITIONS AND VALUES


Example of Trade Capture Report for Swap Trade:
(8=FIX.4.4^A9=727^A35=AE^A34=26^A49=BARX-TCR-TEST^A56=CLIENT-TCR-TEST^A52=20071228-12:50:59^A571=CGGTVRHT12277444294967294^A 568=AD_20071228-12:41:33.903^A150=F^A39=2^A17=00QFM0000A^A570=Y^A 55=EUR/USD^A167=FOR^A38=10000.000000000^A192=10000.000000000^A605 4=14696.000000000^A6055=14697.930000000^A44=1.469600000^A640=1.469793000^A32=10000.000000000^A6058=10000.000000000^A31=1.469600000^A 6059=1.469793000^A194=1.469600000^A6060=1.469600000^A195=0.0000^A641=1.9300^A75=20071228^A6215=SP^A6216=1W^A60=20071228-12:49:50^A552 =1^A54=2^A37=00QFM0000A^A453=1^A448=Utleyjac-TEST^A447=D^A452=11^A15=EUR^A40=D^A78=2^A79=ACC1^A80=5000.000000^A6069=7348.000000^A6 061=5000.000000^A6070=7348.960000^A79=AQR2^A80=5000.000000^A6069=7348.00000^A6061=5000.000000^A6070=7348.960000^A487=0^A64=20080102 ^A193=20080109^A10=248^A)

BeginString BodyLength MsgType Sequence Number SenderCompID TargetCompID SendingTime TradeReportID TradeRequestID ExecType OrdStatus ExecID PreviouslyReported Symbol SecurityType OrderQty OrderQty2 SecondaryQty SecondaryQty2 Price Price2 LastQty LastQty2 LastPx LastPx2 LastSpotRate LastSpotRate2 LastForwardPoints LastForwardPoints2 TradeDate

8 9 35 34 49 56 52 571 568 150 39 17 570 55 167 38 192 6054 6055 44 640 32 6058 31 6059 194 6060 195 641 75

FIX.4.4 727 AE 26 BARX-TCR-TEST CLIENT-TCR-TEST 20071228-12:50:59 CGGTVRHT12277444294967294 AD_20071228-12:41:33.903 F 2 00QFM0000A Y EUR/USD FOR 10000.00000000 10000.00000000 14696.000000000 14696.000000000 1.469600000 1.469600000 10000.0000 10000.0000 1.469600000 1.469600000 1.9100 1.91000 0.0000 1.9300 20071228

TenorValue TenorValue2 TransactTime NoSides Side OrderID NoPartyIDs PartyID PartyIDSource PartyRole Currency OrderType NoAllocs AllocAccount AllocQty CalculatedAllocQty AllocQty2 CalculatedAllocQty2 AllocAccount AllocQty CalculatedAllocQty AllocQty2 CalculatedAllocQty2 TradeReportTransType FutSettDate FutSettDate2 Checksum

6215 6216 60 552 54 37 453 448 447 452 15 40 78 79 80 6069 6061 6070 79 80 6069 6061 6070 487 64 193 10

SP 1W 20071228-12:49:50 1 2 005K90008N 1 Utleyjac-TEST D 11 EUR D 2 ACC1 5000.000000 7348.000000 5000.000000 7348.000000 AQR2 5000.000000 7348.000000 5000.000000 7348.000000 N 20080102 20080109 170

There may be multiple messages of this type in response to Trade Capture Report Request depending on the Trade Report Request Type

14

Trade Capture Report, FX NDF The Trade Capture Report format for NDF trades sent by Barclays Capital are the same as Trade capture Reports for Forwards (refer earlier sections for details). There are, however additional options available for NDF trades as follows Trade Capture Reports are sent without NDF Fixing date or NDF Flag. (making it same as a forward trade) or Trade Capture Reports for NDF trades are sent with the fixing date (tag 541) (if available) and the NDF flag (tag 6082=Y) There is an optional functionality where Barclays Capital can trigger a 2nd TCR message to send an updated TCR message when Fixing date is amended for a trade This message will have the same OrderID (tag 37) as the original trade, a reference to the original TradeReportID (tag 571) in the TradeReportRefID (tag 572) field. This helps clients identify the original trade being amended
Note: Clients should clearly indicate during Onboarding how they want to handle NDF trades

Trade Capture Report, FX NDF Swap The Trade Capture Report format for NDF Swap Trades sent by Barclays Capital are the same as Trade Capture Reports for Swaps (refer to earlier sections for details). There are however additional options available for NDF Swap Trades as follows: Trade Capture Reports are sent without Near and Far leg NDF Fixing dates or NDF Flag (making this message similar to an FX Swap Trade) or Trade Capture Reports for NDF Swap Trades are sent with the Near Leg Fixing Date (tag 6083), the Far Leg Fixing Date (tag 6084) and the NDF Flag (tag 6082=Y) There is an optional functionality where Barclays Capital can trigger a 2nd TCR message to send an updated TCR message when Fixing Date is amended for a Trade. This message will possibly have four additional tags: Near Leg Fixing Time (tag 6085), Far Leg Fixing Time(tag 6086), Near Leg Fixing Currency (tag 6087), Far Leg Fixing Currency (tag 6088) The message will have the same OrderID (tag 37) as the original trade, and a reference to the original TradeReportID (tag 571) in the TradeReportRefID (tag 572) field
Note: Clients should clearly indicate during Onboarding how they want to handle NDF trades

15

APPENDIX 1 MESSAGE DEFINITIONS AND VALUES


Trade Capture Report, FX Options If the trade is part of a deal, the TradeLinkID field may be used to match up all other trades in the same deal. The absence of this field implies that the trade was booked individually and not as part of a larger deal. A number of different option trade types are supported. Tag 762 (SecuritySubType) is used to indicate the trade/leg type. The tags present in each FX Options TCR will have some variation dependent on the type of option trade being reported.
BARX Trade Type Accrual Barrier DCI Funded DCI Unfunded Digital Digital Range Double No Touch Double Barrier Double Touch Double Window Barrier Euro Barrier FX Hedge KIKO Knock-Out One Touch No Touch One Touch Range Accrual Vanilla Window Barrier Tag 762 sglrangeaccrual barrier dcifunded dciunfunded digital digitalrange doublenotouch doublebarr doubletouch enhancedbarr eurobarr fx hedge kiko koonetouch notouch onetouch rangeaccrual vanilla windowbarr

The BARX trading GUI contains a number of shortcuts for defining a group of trades as a single strategy. The following table shows the strategies currently supported by the BARX trading GUI, and the corresponding trade types that will appear in the TCRs for each strategy. Within each deal, each strategy has a unique ID which is used to populate tag 880 (TrdMatchID) in all associated legs.
Strategy Barrier Forward Calendar Spread Call Spread Custom Spread Euro Forward Plus Euro Knock Out Forward Forward Plus KIKO Put Spread Risk Reversal Straddle Strangle Window Barrier Forward Window Forward Plus Trades in TCRs Barrier *2 Vanilla *2 Vanilla *2 Vanilla *2 Vanilla + Euro Barrier Euro Barrier * 2 Vanilla + Barrier Barrier + Double Barrier Vanilla *2 Vanilla *2 Vanilla *2 Vanilla *2 Window Barrier * 2 Vanilla + Window Barrier

16

Hedge & FX trade types use the same format as FX Spot/Forward trades, with the addition of tag 820 to link them with their respective deal and tag 762 which contains a description as outlined above. All other Options trade types use the following format:
Name MsgType TradeReportID TradeReportTransType TradeRequestID ExecType TradeReportRefId TradeLinkID TrdMatchID ExecID OrdStatus PreviouslyReported Symbol CFICode Tag 35 571 487 568 150 572 820 880 17 39 570 55 461 Reqd Y Y Y Y Y N N N Y Y Y Y Y1 Description AE Unique identifier for the Trade Capture Report 0 = New, on first reporting this trade, 2 = Replace, subsequently Client Trade Request ID F = Trade If 570=Y, original value of 571 Deal ID shared by all trades in deal Strategy ID shared by all trades in strategy (e.g. both legs of a straddle) Barclays Capital assigned Execution ID (Trade Identifier) 2 = Filled N on first reporting this trade, Y subsequently CCY/CCY e.g. GBP/USD CFI code as denoted by ISO Standard 10962 Six character code where char 1 = O (option) char 2 = C (call) or P (put) or B (bet) or F (forward) char 3 = A (American style expiry) or E (European Style Expiry) char 4 = C (underlying asset of Currency) char 5 = P (physical delivery) or C (cash delivery) char 6 = N (Non-standardised terms) e.g. OCECCN for a call option with European style expiry and cash delivery OptionPayoutTime 22004 Y3 Payout time for bets 1 = Instant 2 = Expiry Fixing reference for cash-settled options OPT BARX trade type Date of Option Expiry (or decision date for Dual Currency products) Option Expiry Time (in UTC/GMT) Expiry cut code Strike price (amount of StrikeCurrency per other currency) Strike Currency Deposit Start Date Deposit End Date 1 ANNUAL Total yield rate Total yield in cash =3 (Fixed Amount) 1 Face/notional currency Amount of face/notional currency Alternative currency Amount of alternative currency 1 Premium paid (-ve), or received (+ve) (BonusYieldAmount for Dual Currency products) Reference spot rate Fwd points if payoff type is Forward Custom Version 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4

CashSettlementFixingRef SecurityType SecuritySubType MaturityDate ExpiryTime ExpiryTimeCode StrikePrice StrikeCurrency StartDate EndDate OrderQty YieldType Yield YieldRedemptionPrice YieldRedemptionPriceType NoUnderlyings (repeating group) UnderlyingCurrency UnderlyingQty ReciprocalCurrency ReciprocalQty LastQty LastPx LastSpotRate LastForward Points

22006 167 762 541 9124 9125 202 947 916 917 38 235 236 697 698 711 318 879 22007 22008 32 31 194 195

N Y Y Y Y Y Y4 Y4 Y7 Y7 Y Y7 Y7 Y7 Y7 Y Y Y N N Y Y Y Y6

Custom 4.4 4.4 4.4 Custom Custom 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 Custom Custom 4.4 4.4 4.4

17

Appendix 1 Message definitions and values


Name Trade Date TransactTime SettlDate NoSides (repeating group) Side OrderID NoPartyIDs (repeating group) PartyID PartyIDSource PartyRole SideSettlCurrency OrdType Commission CommType Tag 75 60 64 552 54 37 453 448 447 452 1155 40 12 13 Reqd Y Y Y Y Y Y Y Y Y Y Y Y Y2 Y2 Description Value date YYYYMMDD YYYYMMDD-HH:MM:SS Client UTC time stamp Delivery Date YYYYMMDD 1 = One Side 1 = Buy 2 = Sell Same as ExecID 1 BARX username of individual who booked the trade D 11 Premium currency D = PreviouslyQuoted Profit, in CommType units 1 = basis points per annum 2 = basis points flat 3 = flat (currency) Profit Currency Profit Date Day count basis, e.g. ACT/360 Yield in cash due to risk free rate Currency used if/when option is cash-settled Deposit Rate Premium Date YYYYMMDD Number of barriers Style of barrier 1 = knock-in 2 = knock-out Price of the underlying at which the option comes into existence or ceases to exist. Designates the direction in which the Barrier needs to be crossed to activate the option. 1 = up 2 = down Date from which the barrier is active (same as Trade Date for a standard barrier) YYYYMMDD Date after which the barrier is inactive (same as Maturity Date for a standard barrier) YYYYMMDD Barrier Rebate (proportion of notional) Percentage accrual rate under lowest level Number of accrual levels Incremental index of accrual range At or above this level the related accrual rate applies Percentage accrual rate Date from which accrual is active YYYYMMDD Date after which accrual is inactive YYYYMMDD The maximum amount that can be accrued (proportion of notional) The minimum amount that can be accrued (proportion of notional) Number of fixings Date on which the fixing occurs Weight applied to fixing Version 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 4.4 Custom 4.4 4.4 4.4

CommCurrency CommDate DayCount InterestAtMaturity SettlCurrency RiskFreeRate PaymentDate NoBarriers (repeating group) BarrierStyle

479 22041 5798 738 120 1190 504 22020 9130

Y2 Y2 Y2 Y2 N Y2 Y Y5 Y5

4.4 Custom Custom 4.4 4.4 Custom Custom Custom Custom

BarrierLevel BarrierDirection

9131 9132

Y5 Y5

Custom Custom

BarrierStartDate BarrierEndDate

9133 9134

Y5 Y5

Custom Custom

BarrierRebate AccrualLower Rate NoAccrual Levels (repeating group) AccrualIndex AccrualLevel AccrualRate AccrualStart AccrualEnd AccrualCap AccrualFloor NoFixings (repeating group) FixingDate FixingWeight

9135 22011 22010 22018 22012 22013 22014 22015 22016 22017 22030 22031 22032

N Y6 Y6 Y6 Y6 Y6 Y6 Y6 Y6 Y6 Y6 Y6 Y6

Custom Custom Custom Custom Custom Custom Custom Custom Custom Custom Custom Custom Custom

18

Name DepositHeld

Tag 22042

Reqd Y2

Description Whether the DCI is funded or not. Y = Funded N = Unfunded Y = Yes N = No Difference between total yield rate and risk free (money market) rate Yield in cash due to bonus yield rate Whether investment amount and profit are netted Y=Yes N=No

Version Custom

InterestAtRisk BonusYield Rate BonusYield Amount ProfitIsNetted

22043 22044 22045 22046

Y2 Y2 Y2 Y2

Custom Custom Custom Custom

Notes on optionally required fields: not required for Dual Currency products only required for Dual Currency products 3 only required for Bet trades 4 not required for Bet trades 5 only required for Barrier or Bet trades 6 only required for Accrual trades
1 2

Example of Trade Capture Report for an FX Vanilla Option trade:


(8=FIX.4.4^A9=466^A35=AE^A56=CLIENT-TCR-TEST^A49=BARX-TCR-TEST^A34=372^A52=20110127-11:04:49^A571=9880881296126288^A487=0^A568=D129612 6269769^A150=F^A17=988088^A39=2^A570=N^A55=USD/ZAR^A461=OCECPN^A167=OPT^A762=vanilla^A541=20110203^A9124=15:00^A9125=NY^A202=7.0781 ^A947=ZAR ^A38=1^A711=1^A318=USD^A879=363636.36^A22007=ZAR^A22008=2573854.52^A32=1^A31=18512.73^A194=7.0529^A75=20110127^A60=2011012 7-04:48:48^A64=20110131^A552=1^A54=2^A1155=ZAR^A37=988088^A453=1^A448=testuser^A447=D^A452=11^A40=D ^A504=20110207^A10=030)

BeginString BodyLength MsgType TargetCompID SenderCompID Sequence Number SendingTime TradeReportID TradeReportTransType TradeRequestID ExecType ExecID OrdStatus PreviouslyReported Symbol CFICode SecurityType SecuritySubType MaturityDate ExpiryTime ExpiryTimeCode StrikePrice StrikeCurrency

8 9 35 56 49 34 52 571 487 568 150 17 39 570 55 461 167 762 541 9124 9125 202 947

FIX.4.4 466 AE CLIENT-TCR-TEST BARX-TCR-TEST 372 20110127-11:04:49 9880881296126280 0 D1296126269769 F 988088 2 N USD/ZAR OCECPN OPT vanilla 20110203 15:00 NY 7.0781 ZAR

OrderQty NoUnderlyings UnderlyingCurrency UnderlyingQty ReciprocalCurrency ReciprocalQty LastQty LastPx LastSpotRate TradeDate TransactTime SettlDate NoSides Side OrderID NoPartyIDs PartyID PartyIDSource PartyRole SideSettlCurrency OrdType PaymentDate Checksum

38 711 318 879 22007 22008 32 31 194 75 60 64 552 54 37 453 448 447 452 1155 40 504 10

1 1 USD 363636.36 ZAR 2573854.52 1 18512.73 7.0529 20110127 20110127-04:48:48 20110131 1 2 988088 1 testuser D 11 ZAR D 20110207 30

19

Appendix 2 Dos and Donts for FIX TCRs


Dos Ensure you are familiar with the FIX Protocol Logon and Logout D  o use tag 141=Y for TCRs. (All TCRs will be replayed for a snapshot or subscription request, so you do not need to worry about resend requests or gap fill) D  o wait a small amount of time after your Logon before sending application messages (QuoteRequest/Order/TCR Request). The recommended time is a heartbeat interval/2. This allows any synchronisation to happen following a disconnect D  o send a logout message when intentionally disconnecting your session. Failure to do so would result in your disconnection being considered abnormal. This allows our support teams to raise alerts and investigate where appropriate TCR Requests and Reports Do insure each TCR request id is unique across the day D  o make sure that your adaptor or application can process duplicate trades in a TCR Report. Check the ExecID and OrderID in each report. As all trades will be replayed during a Snapshot request if you reconnect intra-day D  o make sure you can unsubscribe your TCR request. If you have duplicate subscriptions, you will receive duplicate TCRs Donts TCR Requests and Reports D  o not resubmit a TCR request without unsubscribing first. If no TCR Ack is received for a TCR request then it means none is available. If the TCR request has an error in it, then a TradeCaptureReportRequestAck will be returned.

20

Appendix 3 Conformance Tests


The Trade Capture Reporting conformance test is to show that your implementation conforms to the RoE specified here, and also to let you familiarise yourself with the Barclays Capital FX trade notification service. Not all the tests need to be run. The actual tests required will be based upon your trading profile (for example if you never trade on the secondary currency then those tests need not be run). The tests are outlined below:
ID 1 2 3 4 5 6 7 8 9 10 11 12 13 Test Buy Spot in primary CCY Sell Spot in primary CCY Buy Fwd in primary CCY Sell Fwd in primary CCY Buy Spot in secondary CCY Sell Spot in secondary CCY Buy Fwd in secondary CCY Sell Fwd in secondary CCY Buy Vanilla Swap Sell Vanilla Swap Buy Mismatched Swap Allocate Single Account Split Allocation Purpose Client enters a Spot Trade in the BARX GUI in the primary currency and receives a TCR with the correct values Client enters a Spot Trade in the BARX GUI in the primary currency and receives a TCR with the correct values Client enters a Forward Trade in the BARX GUI in the primary currency and receives a TCR with the correct values Client enters a Forward Trade in the BARX GUI in the primary currency and receives a TCR with the correct values Client enters a Spot Trade in the BARX GUI in the secondary currency and receives a TCR with the correct values Client enters a Spot Trade in the BARX GUI in the secondary currency and receives a TCR with the correct values Client enters a Spot Trade in the BARX GUI in the secondary currency and receives a TCR with the correct values Client enters a Spot Trade in the BARX GUI in the secondary currency and receives a TCR with the correct values Client enters a Vanilla Swap Trade in the BARX GUI and receives a TCR with the correct values Client enters a Vanilla Swap Trade in the BARX GUI and receives a TCR with the correct values Client enters a mis matched Swap Trade in the BARX GUI and receives a TCR with the correct values Client enters a Spot Trade in the BARX GUI in the primary currency, then allocates the trade to Single account and receives a TCR with the correct values Client enters a Spot Trade in the BARX GUI in the secondary currency with references, then allocates the trade to multiple accounts and receives a TCR with the correct values Client enters several orders in the same CCY and then rolls them up to one parent order and receives a TCR with the correct values for the parent Client enters an NDF Trade in the BARX GUI in the NDF currency and receives a TCR with the correct values Client enters an NDF Trade in the BARX GUI in the base currency and receives a TCR with the correct values Client buys a put option in the BARX GUI and receives a TCR with the correct values Client sells a put option in the BARX GUI and receives a TCR with the correct values Client buys a call option in the BARX GUI and receives a TCR with the correct values Client sells a call option in the BARX GUI and receives a TCR with the correct values Client trades a multi-leg vanilla deal in the BARX GUI, including a hedge and receives TCRs with the correct values Comment Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket

14 15 16 17 18 19 20 21

Aggregations of orders Buy NDF Sell NDF Buy vanilla put option Sell vanilla put option Buy vanilla call option Sell vanilla call option Trade multi-leg vanilla options deal alternating notional, premium currency, premium date, cash settled, expiry, inverse ccy Buy barrier Sell double window barrier Buy double no touch Sell accrual with rebate on knock-out barrier Buy exotic strategy Sell multi-leg deal with multiple trade types Buy DCI Unfunded Buy DCI Unfunded

Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket

22 23 24 25 26 27 28 29

Client buys a barrier option in the BARX GUI and receives a TCR with the correct values Client sells a double window barrier option in the BARX GUI and receives a TCR with the correct values Client buys a DNT bet in the BARX GUI and receives a TCR with the correct values Client sells an accrual trade in the BARX GUI and receives a TCR with the correct values Client buys a Euro Forward Plus strategy in the BARX GUI and receives 2 TCRs with the correct values Client sells a multi-leg deal in the BARX GUI, including a hedge and receives TCRs with the correct values Client buys an Unfunded DCI in the BARX GUI and receives a TCR with the correct values Client buys an Funded DCI in the BARX GUI and receives a TCR with the correct values

Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket Check values in FIX message against BARX ticket/termsheet Check values in FIX message against BARX ticket/termsheet

21

DISCLAIMER
Issued by Barclays Bank PLC, authorised and regulated by the Financial Services Authority and a member of the London Stock Exchange. Barclays Capital is the investment banking division of Barclays Bank PLC and undertakes US securities business in the name of its wholly owned subsidiary Barclays Capital Inc., a FINRA and SIPC member. BARX, Barclays Capital, PowerFill+ and The Traders Best Friend are registered trademarks of Barclays Bank PLC and/or its affiliates. Other trademarks are property of their respective owners. Neither Barclays Bank PLC nor any affiliate nor any officer or director of any of them accepts any liability or loss arising from any use of this publication or its contents. This publication is for discussion purposes only and shall not constitute any offer to sell or any solicitation to buy any security nor is it intended to give rise to any legal relationship between Barclays Bank PLC or any of its affiliates and you or any other person, nor is it a recommendation to buy any securities or enter into any transaction. This document does not disclose all the risks and other significant issues related to use of the functionality and enhancements described herein. Prior to using such functionality, you should ensure that you fully understand all applicable risks, including without limitation, the risks inherent in trading and in particular using trading algorithms and defaults. The BARX platform and all the enhancements described herein might not be available to all categories of investors due to local regulatory requirements and if made available are provided pursuant to a separate agreement between you and Barclays. Some products and execution techniques might not be available in certain jurisdictions and can be confirmed by contacting local offices. Prior to entering into any transaction of the type discussed herein, investors shall seek their own legal, tax and accounting advice to determine the advisability of entering into transactions and their eligibility for BARX. Copyright 2011 Barclays Bank PLC. All rights reserved.

CONTACTS
Implementation and on-boarding support: Global FIX Connectivity email fixconnectivity@barcap.com FIX Desk London +44 (0)20 7773 4846 FIX Desk New York +1 (212) 412 1820 FIX Desk Tokyo +81 (3) 4530 1736 FIX Desk Singapore +65 6828 5534
CS1100763

Production support: Client Services Group email BARXsupport@barcap.com CSG Desk London +44 (0)20 7773 9885 CSG Desk New York +1 (212) 412 3640 CSG Desk Tokyo +81 (3) 4530 5162 CSG Desk Singapore +65 6395 3270