NYSE Liffe Gateway

7.18.40.31

Released: Nov 22, 2019 File Size: 0
Package Contents:
No notes available.

Important Notes

NYSE Liffe Gateway 7.18.40 is released to support the Euronext Optiq Phase 3 API upgrade occurring in production on Monday, November 25.

We have released X_TRADER® 7.17.89, which will be required starting November 25 to trade wholesale orders via Euronext. Note that this version will ONLY support wholesale orders on the Optiq API; therefore customers currently using the wholesale functionality on CCG should not upgrade to this X_TRADER® version until after the close on November 22. Documentation on Wholesale functionality may be found here. 

Why Should I Upgrade?

NYSE Liffe Gateway 7.18.40 is released to support the Euronext Optiq Phase 3 API upgrade occurring in production on Monday, November 25.

We have released X_TRADER® 7.17.89, which will be required starting November 25 to trade wholesale orders via Euronext. Note that this version will ONLY support wholesale orders on the Optiq API; therefore customers currently using the wholesale functionality on CCG should not upgrade to this X_TRADER® version until after the close on November 22. Documentation on Wholesale functionality may be found here.

Note on Exchange High Availability Functionality
  • Please note that the Euronext High Availability (HA) mechanism is not supported on the X_TRADER® platform. When the exchange initiates an HA event due to a failure on one of their segments, there is a possibility that some previously received market events (trades/orders) may be undone. This may result in the following behavior:
  • Orders which were filled during the HA interval are no longer filled
  • Orders which were cancelled during the HA interval will once again be working
  • Orders entered during the HA interval will no longer be working at the exchange
  • Any order modifications done during the HA interval will be undone
     
During an HA failure event, the exchange rolls back to a previous timestamp, and any actions taken during that interval are undone. As an example, at 10:00:000, the exchange may send a message indicating that the book state on a given partition should be rolled back to 9:59:500. Any actions taken on Logical Accesses connecting to that partition between 9:59:500 and 10:00:000 will be undone. In these cases, customers will need to contact the exchange to reconcile their order books.

System Requirements

NYSE Liffe Gateway 7.18.40 is released to support the Euronext Optiq Phase 3 API upgrade occurring in production on Monday, November 25.

We have released X_TRADER® 7.17.89, which will be required starting November 25 to trade wholesale orders via Euronext. Note that this version will ONLY support wholesale orders on the Optiq API; therefore customers currently using the wholesale functionality on CCG should not upgrade to this X_TRADER® version until after the close on November 22. Documentation on Wholesale functionality may be found here.

Note on Exchange High Availability Functionality
  • Please note that the Euronext High Availability (HA) mechanism is not supported on the X_TRADER® platform. When the exchange initiates an HA event due to a failure on one of their segments, there is a possibility that some previously received market events (trades/orders) may be undone. This may result in the following behavior:
  • Orders which were filled during the HA interval are no longer filled
  • Orders which were cancelled during the HA interval will once again be working
  • Orders entered during the HA interval will no longer be working at the exchange
  • Any order modifications done during the HA interval will be undone
     
During an HA failure event, the exchange rolls back to a previous timestamp, and any actions taken during that interval are undone. As an example, at 10:00:000, the exchange may send a message indicating that the book state on a given partition should be rolled back to 9:59:500. Any actions taken on Logical Accesses connecting to that partition between 9:59:500 and 10:00:000 will be undone. In these cases, customers will need to contact the exchange to reconcile their order books.

Installation Notes

Note: A clean install, or uninstall/reinstall is required if upgrading from versions prior to 7.18.40.

Please see the Euronext Optiq OEG Migration guide for full details.

Customers utilizing the X_TRADER® Platform should request Logical Accesses (LA) for the FIX API.

How Do I Configure the Price Server?
For the Dress Rehearsals, the standing data files provided by the exchange will be for the date of the Monday following the mock session, so customers must take one of the following actions:

Simple method:
Modify the Windows date so that it matches the trade date of the exchange for the mock session, which is the following Monday. So, if the mock session is occurring on Saturday, November 23, customers should change the Windows system date to Monday, November 25. Please ensure the date is corrected after the mock session is completed.

File Based Method:

1. Using Production EFS credentials, log into the Euronext EFS site from a browser at: https://efs.euronext.com/
2. Locate the required files via the following paths:
- OptiqMDG/Production/EquityDerivatives/Current
- OptiqMDG/Production/FinancialDerivatives/Current
- OptiqMDG/Production/IndexDerivatives/Current
- OptiqMDG/Production/Commodities/Current
3. In each folder, locate the correct file with the trading date of the following Monday. For example:
- OptiqMDG_Production_DerivativesStandingDataFile_EquityDerivatives_20191125.xml
4. Once the files have been located, download and save them to the tt/datfiles directory, and rename them, removing the date as follows:
- OptiqMDG_Production_DerivativesStandingDataFile_Commodities.xml
- OptiqMDG_Production_DerivativesStandingDataFile_EquityDerivatives.xml
- OptiqMDG_Production_DerivativesStandingDataFile_FinancialDerivatives.xml
- OptiqMDG_Production_DerivativesStandingDataFile_IndexDerivatives.xml
- OptiqMDG_Production_DerivativesTickSizeFile_IndexDerivatives.xml
5. Add the following parameter to the hostinfo.cfg under the price server section:
- ignorefiledownload=all
6. At the end of the Dress Rehearsal, please remove or comment out the ignorefiledownload=all parameter

Note that the above steps are not necessary for Production go-live on November 25.

Changes to Impliedconfig.cfg
With the move to Optiq OEG, the exchange has changed their Implied Prices model. In the near future, we will support Spontaneous (SIM) Implieds which are disseminated via the price feed. Customers must implement a new impliedconfig.cfg file on the following applications:

  • X_TRADER
  • SSE
  • ASE
  • AlgoSE

The new impliedconfig.cfg file may be downloaded here.

How Do I Configure the Order Server?
Euronext has split products into partitions as follows:
Commodity Derivatives - Segment 8
Index Derivatives - Segment 11
Equity Derivatives - Segment 12
Financial Derivatives - Segment 13

Note that each LA can only trade products on the segment it is permissioned for. So, an LA permissioned for Commodity Derivatives will not also be able to trade Index Derivatives.

Sample configuration for Logical Accesses in the hostinfo.cfg file, where 2 sessions are configured, one connecting to Segment 11 and the other to Segment 12:

[OrderServerSession_1]
PrimaryPort=123456
SenderCompId=00009999
SegmentID=11
LogicalAccessID=22222
CancelOnDisconnect=Y
Member=16G
LogSendReceive=1
A1=1:9
A2=1:8
A3=1:10
G1=1:10
G2=2:10
G3=2:10
M1=6:9
M2=6:8
M3=6:10
P1=2:9
P2=2:8
P3=2:9
U1=1:10

[OrderServerSession_2]
PrimaryPort=45678
SenderCompId=00008888
SegmentID=12
LogicalAccessID=33333
CancelOnDisconnect=Y
Member=16G
LogSendReceive=1
A1=1:9
A2=1:8
A3=1:10
G1=1:10
G2=2:10
G3=2:10
M1=6:9
M2=6:8
M3=6:10
P1=2:9
P2=2:8
P3=2:9
U1=1:10

The Member ID is configured by the customer. When LAs across Segments are assigned to the same Member, orders will be automatically routed to the correct LA based on the product being traded. So, a trade routed on an Index Derivative will use the associated LA for Segment 11, while a trade routed on an Equity Derivative will be routed on Segment 12.

The Firm ID (SenderCompId) provided by the exchange is always 8 characters, with any leading 0s required. For instance, if the ID is 12345, 00012345 would be used.

Note that no IP address is configured per Logical Access. The NYSE_Liffe-MSGWs.cfg file provides the connectivity parameters and Segment/Partition IDs needed to connect your order sessions to the exchange. The file is installed on the NYSE Liffe Gateway in root drive:ttconfig after clean and upgrade installations, and includes the Segment and Partition IDs and IP addresses provided by Euronext.

Enhancements

 

Fixes

 

Known Issues

    • Implied Prices (Spontaneous Implied Matching and Event Driven Implied Matching)
    • Wholesale volume is not reflected in Time and Sales