ICE Gateway

7.18.30.16

Released: Jan 10, 2020 File Size: 0
Package Contents:
No notes available.

Important Notes

ICE is enforcing its strategy harmonization project as of January 14 2020. After this date, ICE will set the Strategy Preference flag to 1 for all logins.

Why Should I Upgrade?

TT has added support for the ICE's Harmonization project. Prior to this feature, ICE sent many contracts like quarterlies, balance week/month, seasonal, and annual that were made up of other daily or monthly contracts as futures and options. After this feature, these contracts are sent as spreads and strategies with the appropriate contracts as legs. In addition, contracts that have other spreads as legs are now filled as individual legs instead of the two spread legs. As a result of the exchange's upgrade, clients will experience the following
  • TT will send execution reports for product legs for these newly migrated contracts.
  • Workspaces will need to be updated with with these products as the product type is changing
  • Risk administrators should consider these products in spread risk
  • The product names are not changing as part of harmonization. However, the symbology for affected individual contracts will change to accommodate new types of combo codes (quarterlies, balance week/month, seasonal, and annual) in the contract symbol in a meaningful way
  • Gasoil Spreads will now trade in increments of 4 to match WebICE
  • If the legs of a spread are traded as a Flow contract, then the spread will also be traded as a Flow contract
  • This release supports the updated spreads by renaming products to values used in pre-strategy harmonization. In some cases the products had to be renamed which could affect Excel RTD.

System Requirements

TT has added support for the ICE's Harmonization project. Prior to this feature, ICE sent many contracts like quarterlies, balance week/month, seasonal, and annual that were made up of other daily or monthly contracts as futures and options. After this feature, these contracts are sent as spreads and strategies with the appropriate contracts as legs. In addition, contracts that have other spreads as legs are now filled as individual legs instead of the two spread legs. As a result of the exchange's upgrade, clients will experience the following
  • TT will send execution reports for product legs for these newly migrated contracts.
  • Workspaces will need to be updated with with these products as the product type is changing
  • Risk administrators should consider these products in spread risk
  • The product names are not changing as part of harmonization. However, the symbology for affected individual contracts will change to accommodate new types of combo codes (quarterlies, balance week/month, seasonal, and annual) in the contract symbol in a meaningful way
  • Gasoil Spreads will now trade in increments of 4 to match WebICE
  • If the legs of a spread are traded as a Flow contract, then the spread will also be traded as a Flow contract
  • This release supports the updated spreads by renaming products to values used in pre-strategy harmonization. In some cases the products had to be renamed which could affect Excel RTD.

Installation Notes

  • With these changes, the new market type IDs, 184 and 185 must be added to the MarkeTypeIds list in the ICE_IPE Host.info file. The comments section can be optionally updated.
  • Market type ID 184 should be added to [BrentFutures] and [EuropeOptions] in the multicastgroups.cfg file.
  • Market type ID 185 should be added to [LiffeGCF_EurodollarFutures] in the multicastgroups.cfg file.

Enhancements

  1. Price Server
    1. The new market type ID, 184 must be added to the MarkeTypeIds list in the ICE_IPE Host.info file. Market type ID 184 should be added to [BrentFutures] and [EuropeOptions] in the multicastgroups.cfg file. The new market type ID, 185, must be added to the MarkeTypeIds list in the ICE_IPE Host.info file. Market type ID 185 should be added to [LiffeGCF_EurodollarFutures] in the multicastgroups.cfg file. (Ref 237194)

Fixes

 

Known Issues

  1. Quarterlies with daily contracts as underlying has long names. The issue will be resolved in a week of time
  2. Security sub type is "unknown" for few Strategy instruments. It will resolved in future release