SGX Gateway

7.17.65.1

Released: Dec 11, 2014 File Size: 0
Package Contents:
No notes available.

Important Notes

Why Should I Upgrade?

Added support for the following functionalities:

  • Price Reasonability check
  • Correct P&L calculations for the Quarterly Electricity Futures
  • Passive/Aggressive indicator for orders and fills
  • System Requirements

    Added support for the following functionalities:

  • Price Reasonability check
  • Correct P&L calculations for the Quarterly Electricity Futures
  • Passive/Aggressive indicator for orders and fills
  • Installation Notes

    SGX Electricity futures will be listed under 'ENERGY' product type. After upgrading the gateway customers must manually update the following Aconfig parameter to enable the ENERGY product type:
    GAL.Product-Types = 1073741886

    Enhancements

    1. Logging
      1. Position reserve orders are flagged in audit log. (Ref 229193)

    2. Order Server
      1. Added support for passive or aggressive indicator in X_TRADER® Order Window and Fill Window. X_TRADER® 7.17.50 (or higher) version is required for this functionality. (Ref 228954)

    3. Price Server
      1. Added support for SGX Quarterly Electricity Futures P&L calculations based on the contract size in MWh. (Ref 229517)

    Fixes

      1. A 'FrmHst' (from exchange to TT application) event has been added to the TT audit file. (Ref 229286)

    Known Issues

    1. Order Server
      1. Orders placed through X_TRADER® API with an off-tick price are not rejected. The Order Server sends the order to the exchange, which rounds the price up to the next tick. (Ref 121664)

      2. Un-triggered Session State Orders (SSO) appear in "Working" state instead of "Pending." (Ref 123523)

      3. The gateway rejects Good Til Canceled (GTC) orders with "Go to Market" actions. (Ref 132274)

      4. In certain cases when a trade occurs between two Ratio Strategy orders, the exchange might calculate off-tick values for the leg fills. In this case, the Order Server rounds the leg fill prices to valid tick prices for display in client applications. Summary fill calculations also use these rounded values, resulting in discrepancies between the exchange-provided LTP (Last Traded Price) for this Ratio Strategy contract and the summary fill price displayed in the Audit Trail and Fill Window. (Ref 136545)

      5. Fills will be double counted for spreads that support implied pricing when the following occurs:
        • the routing session is configured to leave orders working upon logout/disconnect
        • the Order Server is down intraday
        • a working spread or strategy order is partially filled by the individual futures or options that make up that spread through implied pricing
        • the Order Server comes back up

        Depending on the quantities, this will either result in a greater quantity working at the exchange than is indicated by the order book or a working order at the exchange that is not in the order book at all. (Ref 145299)

      6. The X_TRADER® Order Book window inconsistently displays the order type for Market and triggered Stop Market orders. Both orders should display as a "Market" order type. (Ref 94895)

    2. Price Server
      1. The Opening Auction States for some products are not updated in the "S" column of the X_TRADER® Market Grid with the appropriate value ("PRE-OPEN") and instead displays "CLSD." These products go directly into "OPEN" without going into "PRE-OPEN." Users should check the X_TRADER® Audit Trail messages for state changes. (Ref 102423)

      2. The close price for Stock Indices can be cleared out intra-day. (Ref 124054)

      3. A Price Server restart in the middle of a busy trading session can result in incorrect price depth. (Ref 149362)

      4. The Price Server does not reset LTP/LTQ when SGX sends a reset message at the end of the T session (Ref 170320)

      5. The Price Server might crash during a shutdown. (Ref 170935)

      6. The Price Server cannot differentiate option products with strike prices of -2, 0 and 2, resulting in incorrect prices for these strike prices. The issue shows up only when the exchange sends the security definition out of order. (Ref 213428)

      7. Price Server incorrectly logs "invalid negative price received from exchange" for RGF and VCF products. (Ref 219536)

      8. Alias field in guardian product table is not updated when exchange updates the Cleared Alias field in product download. (Ref 229931)

      9. HALT and SUSPEND states do not appear in the X_TRADER® Market Grid "S" column. If an order is rejected by the exchange due to the product state change, the Audit Trail will display the following: "Illegal transaction at this time." (Ref 93807)