Eurex Gateway

7.17.20.4

Released: Nov 12, 2013 File Size: 0
Package Contents:
No notes available.

Important Notes

All customers will need to upgrade to the new version of the gateway (Eurex 7.17.20 or Eurex 7.16.20) prior to the start of trading on 25 November. Prior versions of TT's Eurex Gateways will not be able to operate in the upgraded exchange environment.

Why Should I Upgrade?

Eurex Gateway 7.17.20 adds support for Eurex T7 2.0 API release.

Going forward, Eurex Gateways will use only High Frequency (HF) sessions to route lean non-persistent orders to exchange. Low frequency (LF) sessions will not be utilized for GTD lean orders routing, unless an LF session is the only session configured for a membership.

Additionally, TT Gateways 7.17.20 in conjunction with TT User Setup 7.17.10 enable the following new features in TT system:
  • Enhanced Avoid Orders That Cross (AOTC) Functionality
    Server-side execution is done on a per account basis and ensures that the check is performed efficiently and consistently across all connected users and applications.
  • Wholesale Overrides
    Configure different pre-trade risk limits for wholesale OTC orders than for non-wholesale orders. Wholesale orders include all orders submitted from the X_TRADER? 7.17 Wholesale window.
  • Preventing Market Orders
    Prevent individual users from placing market order types.
  • Support for Additional Eurex OTC Trades
    Using X_TRADER® 7.17.2, brokers will be able to enter Exchange for Physicals (EFP) and Exchange For Swaps (EFS) OTC trades on Eurex.

System Requirements

Eurex Gateway 7.17.20 adds support for Eurex T7 2.0 API release.

Going forward, Eurex Gateways will use only High Frequency (HF) sessions to route lean non-persistent orders to exchange. Low frequency (LF) sessions will not be utilized for GTD lean orders routing, unless an LF session is the only session configured for a membership.

Additionally, TT Gateways 7.17.20 in conjunction with TT User Setup 7.17.10 enable the following new features in TT system:
  • Enhanced Avoid Orders That Cross (AOTC) Functionality
    Server-side execution is done on a per account basis and ensures that the check is performed efficiently and consistently across all connected users and applications.
  • Wholesale Overrides
    Configure different pre-trade risk limits for wholesale OTC orders than for non-wholesale orders. Wholesale orders include all orders submitted from the X_TRADER? 7.17 Wholesale window.
  • Preventing Market Orders
    Prevent individual users from placing market order types.
  • Support for Additional Eurex OTC Trades
    Using X_TRADER® 7.17.2, brokers will be able to enter Exchange for Physicals (EFP) and Exchange For Swaps (EFS) OTC trades on Eurex.

Installation Notes

Customers trading EEX products should not upgrade to the new version of the gateway (Eurex 7.17.20 or Eurex 7.16.20) until the weekend prior to trading on 25 November. After installation, customers must apply the following updated template files posted on the
  • EMDIFastTemplates-1.1.xml
  • EMDSFastTemplates-1.1.xml
  • ExtMkDatServ_FAST-1.1.xml
  • RDDFastTemplates-1.1.xml

Enhancements

  1. Eurex
    1. Added support for additional OTC trade types. X_TRADER® 7.17.2 is required to place these trades.
      Additionally, FIX Adapter 7.17.1 is needed to distinguish EFP trades, and FIX Adapter 7.8.0 to distinguish EFS trades, in tag 10828(TrdType). Earlier versions of FIX Adapter do not send tag 10828 identifier on Execution Reports for OTC orders and fills, so EFP and EFS trades will look just like regular orders and fills. (Ref 217635)

  2. Order Server
    1. Enhanced the routing algorithm to use only High Frequency(HF) sessions when routing Lean orders to the exchange.Going forward, Eurex Gateways will use only High Frequency (HF) sessions to route lean non-persistent orders to exchange. Low frequency (LF) sessions will not be utilized for GTD lean orders routing, unless an LF session is the only session configured for a membership. (Ref 221301)

  3. Pre-Trade Risk
    1. Introduced support for setting up separate risk limits for the Wholesale trades. This parameter is available for configuration on TT User Setup 7.17.10 and higher. (Ref 220732)

    2. Administrators can now disable users from entering market order types. This parameter is available for configuration on TT User Setup 7.17.10 and higher. (Ref 221204)

    3. Avoid Orders That Cross(AOTC) functionality is now supported on a per account basis. This parameter is available for configuration on TT User Setup 7.17.10 and higher. (Ref 221328)

Fixes

  1. Command Line
    1. Added an option to the help menu to select an option where a separate audit file created for each member configured on the gateway. (Ref 221194)

  2. Order Server
    1. Strategy GTD orders that become stale after the strategy contracts expire can now be deleted correctly using Admin delete. (Ref 222511)

    2. Operator ID is added to the Audit logs for all orders and fills records. (Ref 222567)

    3. EFP trades that are entered from the exchange GUI can now be approved from X_TRADER. (Ref 224038)

  3. Price Server
    1. Time and Sales information is now updated correctly. Previously, Time and Sales information was not updated with the OTC trade if that OTC trade had the same quantity as the previous OTC trade. (Ref 220485)

    2. Added support for Eurex T7 version 2.0 API handling. (Ref 224101)

Known Issues

  1. Fill Server
    1. The Fill Server might display manual fills from previous sessions if it does not process any fills over the course of the number of days configured by the "Trim-File-Interval" parameter in the AConfig Utility. (Ref 128329)

  2. Login
    1. Priming of TTORD is no longer required. (Ref 225075)

  3. Order Router
    1. ETS Router can crash while processing order update actions. (Ref 219572)

    2. OTC order becomes stale if the counterparty field is updated on this order. (Ref 220853)

  4. Order Server
    1. OTC orders are not deleted after clicking the Del Srs button on the X_TRADER® Market Grid. (Ref 127169)

    2. Direct Trader is not notified via an Audit Trail message when an associated TTORD Trader creates a strategy. (Ref 162111)

    3. OTC Router can crash if stopped manually. (Ref 211586)

    4. Log files can grow to a significant size if the gateway is misconfigured. (Ref 218444)

    5. FIX Adapter can report stale orders after in the unlikely event of ETS session disconnection from the exchange. (Ref 218850)

    6. GTC spread orders can get deleted from the TT order book, but still remain working at the exchange side. (Ref 222479)

    7. The Order Server incorrectly logs "Trader (id:XXXX) already logged in on Ses.XXXX" messages in the log file. The trader in fact may not be logged in yet. (Ref 222678)

    8. Sell side order in the TTORD book becomes stale if an exchange trader approves the trade after inquiring the order through the Inquire button in the Order Book window. As a workaround, traders can use the Inquire Block and Vola order dialog. (Ref 223083)

    9. Stale OTC orders can be generated by TT system. If the issue occurs, customers are advised to use Inquire function to remove the stale orders from the book. (Ref 223821)

    10. Orders will become unmanagable(deletes or changes are not processed) on TT system after an external modification of Account (Tag 1) or Reference (Tag 58) fields. (Ref 224514)

  5. Pre-Trade Risk
    1. Account-based positions are not reset at the fills session rollover if the Order Server is running during the rollover and AutoSOD is set to false. (Ref 221856)

  6. Price Server
    1. The Price Server can stop logging after the unlikely event of the Price Server intraday restart. (Ref 213215)

    2. Stale prices and cross markets can be displayed on the connected clients after the exchange product failover. The Price Server needs to be restarted to resolve the issue. (Ref 221969)

    3. Synthetic SE orders can incorrectly trigger when prices are not recovered correctly after a network disruption. (Ref 222692)