Eurex Gateway

7.17.3.7

Released: Sep 12, 2013 File Size: 70350328
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.
  • 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.
  • Enhanced support for the Wholesale trade entry in conjunction with X_TRADER® 7.17. For details, please refer to the Help Library.
Additionally, Eurex Gateways 7.17.3 include:
  • Account Based Risk: Account-based risk allows TT User Setup administrators to configure risk limits for a particular account, or to place multiple account numbers into a single account group and configure risk checking for the group as a whole. This includes limits on maximum order size, worst-case maximum long or short position limits, and worst-case sum of all long or short contracts. Use of this feature requires TT User Setup 7.4.8. Additional information is available in the Account-Based Risk Feature Guide.
  • Reduced Latency Risk Calculations: Firms who move to exclusively use account-based risk limits and disable trader (M/G/T) based and credit risk checks will realize lower latency server based execution using Autospreader® SE, Synthetic SE and Algo SE.
  • Account-Based Start of Day (SOD) Records: SOD records generated by the gateway will now include an account number.
  • Per-Gateway Login SODs: With TT User Setup 7.4.8 and higher, administrators can now determine on a per-gateway login (MGT) basis whether or not the gateway should generate SOD records.

System Requirements

7.17 gateways offer a number of enhancements, including:
  • The ability to shared account numbers amongst different proxy (TTORD) traders.
  • 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.
  • Enhanced support for the Wholesale trade entry in conjunction with X_TRADER® 7.17. For details, please refer to the Help Library.
Additionally, Eurex Gateways 7.17.3 include:
  • Account Based Risk: Account-based risk allows TT User Setup administrators to configure risk limits for a particular account, or to place multiple account numbers into a single account group and configure risk checking for the group as a whole. This includes limits on maximum order size, worst-case maximum long or short position limits, and worst-case sum of all long or short contracts. Use of this feature requires TT User Setup 7.4.8. Additional information is available in the Account-Based Risk Feature Guide.
  • Reduced Latency Risk Calculations: Firms who move to exclusively use account-based risk limits and disable trader (M/G/T) based and credit risk checks will realize lower latency server based execution using Autospreader® SE, Synthetic SE and Algo SE.
  • Account-Based Start of Day (SOD) Records: SOD records generated by the gateway will now include an account number.
  • Per-Gateway Login SODs: With TT User Setup 7.4.8 and higher, administrators can now determine on a per-gateway login (MGT) basis whether or not the gateway should generate SOD records.

Installation Notes

As part of the upgrade process, customers should remove the existing [win32-guardianMFC] entry in the ttchron.ini file. Failure to do so can result in the inability to see the Guardian icon in the Windows system tray.

Eurex Gateways 7.17.3 include a new rollover_schedule.ini file in the tt\config directory. This file will now be used to specify Fill Server rollover time. The rollover times specified in AConfig via the Exchange-Day-Start parameters will no longer apply.

There are additional upgrade considerations for customers using Back Office Bridge. Some Back Office Bridge functionality is incompatible with Eurex 7.17.3 gateways. For more information, please refer to the Back Office Bridge Migration Guide.

In order to ensure positions are calculated correctly, beginning with Eurex 7.17.3 gateways, the Order Server and Fill Server are dependent on each other at startup. The Order Server will not move to an Active state unless the Fill Server is running, and the Fill Server will not move to an Active state unless the Order Server is running. Customers who have changed the default times in the ttchron.ini should review those times to ensure both the Order Server and Fill Server start before the beginning of trading.

If upgrading from Eurex Gateway 7.17.2, remove all working orders prior to the gateway upgrade. After the upgrade from Eurex 7.17.2, all working orders will ONLY be displayed in the TTADM Order Book.

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=TWRFB@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. Installation
    1. Added rollover_schedule.ini file to gateway install (Ref 208483)

  3. Order Router
    1. Enhanced OTC Block trade entry. Block trades can be completed now using X_TRADER®, when the Buy side of the trade isentered using "OTC Block Trade Entry" window on the exchange GUI. (Ref 217328)

  4. Order Server
    1. Fill Modification records are now recorded in the Audit file logs. (Ref 175427)

  5. Other
    1. Included an 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_TRADER® and X_RISK Audit Trail windows. (Ref 210193)

    2. Fast market state is now displayed correctly. (Ref 218296)

  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. The Order Server will fully initialize only when there is at least one ETI session connected to the exchange. (Ref 215205)

    2. Non-persistent orders are placed on hold after the volatility interrupt or disconnect from the exchange. (Ref 215238)

    3. On session disconnect lean orders are placed on hold. (Ref 216243)

    4. Incomplete persistent orders are displayed in the TTADM order book. Orders are considered incomplete, when they are downloaded from the exchange, but missing internal TT information to route to a correct TT end user. Such orders are displayed only in TT Admin order book. (Ref 218025)

    5. Session disconnects are now handled correctly. Prevoisouly, some GTC could remain stale after the disconnects. (Ref 218726)

    6. Placing orders on hold and resubmitting those orders now works correctly. Previously, an order could become stale after it was put on hold and resubmitted multiple times. (Ref 220365)

    7. The fills for the lean orders are processed correctly after a session disconnect. Previously, some fills can be missing after a disconnect. (Ref 221509)

    8. Prices for OTC Block orders are now reported correctly. (Ref 221524)

    9. GTD orders for strategy contracts are deleted correct at the end of the trading session. Previously such orders, would become stale on the next trading day. (Ref 222322)

  2. Price Server
    1. Point Values for EEX futures are now displayed correctly. (Ref 213763)

    2. Strategies of type Hedged Call/Put Diag Calendar Spread are now displayed correctly. (Ref 221103)

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. 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)

  3. 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. ABR is not calculated correctly on Equity strategies on BVMF 7.17.5 with TTUS 7.4.12 (Ref 221530)

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

    8. Strategy GTD orders that become stale after the strategy contracts expire can not be deleted using Admin delete. (Ref 222511)

  4. 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)

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

    2. Time and Sales information is not updated with the OTC trade if this OTC trade has the same quantity as the previous OTC trade. (Ref 220485)

    3. 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)