1. A method performed by one or more computers, the method comprising: receiving, from a sending enterprise software application executing on one or more local computers, i) a first request to send a first outbound message to a destination enterprise software application executing on one or more destination computers, and ii) a second request to send a second outbound message to the destination enterprise software application executing on the one or more destination computers, the first and second requests specifying a respective message payload and a message protocol, the message protocol specifying a message format for messages to send to an exchange system that translates messages between enterprise software applications; reading configuration data, stored by the one or more local computers, for the sending enterprise software application and the destination enterprise software application; building the first and the second outbound messages at the one of more local computers, including: for the first outbound message, building a message header using the configuration data and including the message header and the respective message payload in the first outbound message; for the second outbound message, including the respective message payload in the second outbound message; sending the first outbound message to the destination enterprise software application by communicating directly with the one or more destination computers; and sending the second outbound message to the exchange system for communicating the second outbound message to the destination enterprise software application.