CME Gateway

7.17.3.14

Released: Aug 23, 2013 File Size: 68419928
Package Contents:
No notes available.

Important Notes

Prior to the upgrade to Gateways version 7.17.3, customers must ensure all client applications are upgraded to the following minimum versions:
  • TT User Setup 7.4.12
  • X_TRADER 7.11.4
  • X_RISK 7.11.4
  • FIX Adapter 7.7.x
  • TTAPI 7.2.x
  • X_TRADER API 7.7.x
  • Algo SE 7.3.x
  • Synthetic SE 7.3.x
  • Autospreader SE 7.3.x

Why Should I Upgrade?

7.17 gateways offer a number of enhancements, including:
  • The ability to shared account numbers amongst different proxy (TTORD) traders.
  • Operator ID field is used to populate the exchange credential to uniquely identify a user at the exchange. This field is passed directly to the exchange as tag 50. Earlier versions of TT gateways use either Username or Trader ID fields to pass the user information to the exchange. End users will also have an ability to change the Operator ID on all working orders while staying logged into the X_TRADER.
  • Pre-trade risk limits can be set up for each individual contract expiry of the same product. TT User Setup 7.17.10 is required to configure these limits.

System Requirements

7.17 gateways offer a number of enhancements, including:
  • The ability to shared account numbers amongst different proxy (TTORD) traders.
  • Operator ID field is used to populate the exchange credential to uniquely identify a user at the exchange. This field is passed directly to the exchange as tag 50. Earlier versions of TT gateways use either Username or Trader ID fields to pass the user information to the exchange. End users will also have an ability to change the Operator ID on all working orders while staying logged into the X_TRADER.
  • Pre-trade risk limits can be set up for each individual contract expiry of the same product. TT User Setup 7.17.10 is required to configure these limits.

Installation Notes

Upgrades from CME Gateways version 7.14.x or prior are not supported. Customers must first upgrade to a CME Gateway 7.15.x or 7.16.x before upgrading to 7.17.

Operator ID field must be populated by running Operator ID Assistant utility after the upgrade. Customers must obtain the Operator ID Assistant utility from their TAM. For further details about the utility, refer to the Help Library.

The ttchron.ini_master file has been updated to include a section to run the audit_convert.exe tool at 00:10. Customers wishing to automate the gateway audit file generation and archiving must manually add this section to the local ttchron.ini file.

[win32-auditconvert]
path=<INSTALLDIR>\bin\audit_convert.exe
schedule=MTWRFB@00:10
args=<INSTALLDIR>\auditfiles
# By default the compressed .csv file will be archived to tt\Archday folder

Note that TTClean application can be configured to delete old CSV and CBA files.

Enhancements

  1. Common
    1. Audit log file names do not contain blank spaces any longer. (Ref 221071)

  2. Configuration
    1. Updated Fast.cfg file for MexDer products. (Ref 217838)

  3. Logging
    1. A new Gateway Audit Log file will be created for a new calendar date after midnight for that calendar date. (Ref 166311)

  4. Order Server
    1. The Gateway audit convert utility can now optionally generate the audit file in the format expected by the exchange. Previously customers had to use an Excel macro, which formatted the audit file generated by the utility, to do so. (Ref 156876)

    2. Fill Modification records are now recorded in the Audit file logs. (Ref 175427)

    3. Enhanced the Gateway Audit File to include the Spread and Strategy leg information. (Ref 205609)

    4. A new field 'Display Name' has been added to the gateway audit file to display contract details. (Ref 206206)

    5. TT User Setup Operator ID is recorded in the "Remaining Fields" in the audit file. (Ref 207596)

  5. Other
    1. Included and option to generate a separate Audit log file for each session configured on the Order Server. (Ref 201842)

  6. Price Server
    1. The contract name for spreads and strategies will now display correctly in the X_TRADERĀ® and X_RISK Audit Trail windows. (Ref 210193)

    2. Added NYMEX_METALS_SOFTS_OPTIONS to the default hostinfo file. (Ref 217250)

  7. Risk Limits
    1. Added support for pre-trade risk limits set up on a per contract basis. TT User Setup 7.17.10 is required to support this feature. (Ref 217446)

    2. All Wholesale OTC trades are now included in the account-based risk limits. (Ref 220525)

Fixes

  1. Order Server
    1. Gateway no longer crashes at Sunday start up when the initial logon attempt of one or more of its iLink sessions is rejected by the exchange. (Ref 156594)

    2. The Order Server no longer crashes intraday. (Ref 213798)

Known Issues

  1. General
    1. Expired User Defined Strategy (UDS) contracts are not automatically removed from the X_TRADER® Market Explorer and are available for trading. As a result, any submitted orders for the expired contracts are rejected, because the contracts do not exist at the exchange. (Ref 98844)

  2. 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)

  3. Installation
    1. In rare circumstances when TT Chron is running and all gateway servers are stopped manually via Services, clicking the Start Gateway desktop icon does not start all the gateway servers. In such cases, clicking the Start Gateway desktop icon a second time starts the servers. An alternative is to start the servers manually. (Ref 117357)

  4. Order Server
    1. Cabinet trades are sent to the exchange for contracts for which they are not supported. (Ref 145293)

    2. The Order Server crashed while shutting down, resulting in stale orders in the order book. (Ref 161969)

    3. Summary fills in Fill window retain the 'Partial' flag after the remaining quantity is deleted. (Ref 212406)

    4. Race condition when receiving session rejects caused by exceeding exchange throttle limits on two sessions at the same time causes the Order Server to restart. (Ref 214208)

    5. Order Server may not shut down when shutdown is requested via services. (Ref 221731)

  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. (Ref 221856)

  6. Price Server
    1. The tick size for User Defined Strategies (UDS) might be too small, which allows a trader to enter off-tick orders that are rejected by the exchange. All of the appropriate values are available (for example, if a contract is listed in increments of 5, it displays in increments of 1). (Ref 100434)

    2. After a Price Server restart, sometimes the TT Quantity at Price (TTQAP) data is reset instead of accumulated from the previous shutdown. (Ref 106023)

    3. In rare cases, specifically for SPO, CZM, CZS, CZC, CZW and MC6 calendar options, the gateway cannot distinguish between different options contracts of a product. This manifests itself as missing options contracts for the affected products. It also affects FIX Adapter, where contract definitions change between restarts. Because these contracts are not handled properly by the gateway, customers are advised not to trade them. (Ref 152503)

    4. The gateway does not properly classify the strategy type of 'DG' as a Diagonal. By default, such strategies are classified as Generic. (Ref 195620)

    5. If the Price Server receives a corrupt packet that includes an erroneously high sequence number, the server stops processing other new packets until that new sequence number is reached, which can result in a long period of frozen prices and require a Price Server restart. (Ref 199848)

    6. The Price Server indicator turns red in Guardian during a dump status request. (Ref 200848)

    7. Settlement prices are displayed off-tick when a restart occurs prior to the official rounded settlement. (Ref 200904)

    8. The Price Server cannot differentiate option products with strike prices of -2, 0 and 2. So only one of the three will show up depending on the order the security definitions received at startup from the exchange, and prices for all three will most likely all get sent to the same contract so the prices will be wrong. (Ref 213428)

    9. The Price Server does not send create RFQ message when the RFQ is created by a third party solution. (Ref 214485)

    10. A single instance of missing price updates on an option strategy. (Ref 220098)

    11. Products associated with Variable Tick Table 12 do not adjust to half-point ticking appropriately. These products always tick in quarters, which results in the display of untradeable prices in certain price ranges. Variable Tick Table 12 is most notably associated with certain months of the Eurodollar Option contracts. (Ref 86075)