NYSE Liffe Gateway

7.17.3.11

Released: Aug 23, 2013 File Size: 0
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 TraderCardRef field. 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.
  • Enhanced support for the Wholesale trade entry in conjunction with X_TRADER® 7.17. For details, please refer to the Help Library.
  • All Wholesale OTC trades are now included in the account based risk calculations.

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 TraderCardRef field. 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.
  • Enhanced support for the Wholesale trade entry in conjunction with X_TRADER® 7.17. For details, please refer to the Help Library.
  • All Wholesale OTC trades are now included in the account based risk calculations.

Installation Notes

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 Notes
    1. Update Price Server configuration in ttchron.ini file to start at 0:25.
      [win32-svc-[EXCHANGE_FLAVOR] PriceServer]
      schedule=MTWRF@0:25-21:30 (Ref 212446)

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

    2. Improved the Order Server start-up and initialization logic, addressing an issue that could result in missing orders and fills. (Ref 213767)

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

  5. 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)

  6. 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)

  7. TTChron
    1. Added Audit Converter utility to the gateway installation package. (Ref 214477)

Fixes

  1. Order Server
    1. Order date is now set correctly for OTC trades. (Ref 176247)

    2. Resolved an issue where the price of the Block trade of the volatility strategy is divided by 5 when the trade is processed by the Order Server. (Ref 201649)

    3. Wholesale Trades can now be submitted with a blank Posting Code (Clearing Instruction), if desired. (Ref 205517)

    4. Prof Trades can now be submitted with an Account Code of 'C'. (Ref 205631)

    5. Unsolicited Delete messages are now sent to the Audit Trail window. (Ref 214975)

    6. Wholesale OTC trades are now routed only to a single gateway when the Direct Trader is logged in to multiple gateways at the same time, with the same M/G/T credentials. (Ref 216710)

    7. Price and Delta fields in volatility strategy creation are now processed correctly. (Ref 58159)

  2. Orders
    1. Orders for London market are no longer rejected with the message "Duplicate Clordid". (Ref 218509)

  3. Price Server
    1. Corrected the default Point Values for Paris commodities products: yEMA, yEBM,yECO,yEOB,yEPL. Customers will need to delete the existing product table before the upgrade, so that the Price Server will create a new product table with updated point values. (Ref 206466)

    2. Volume at Price(VAP) calculations are reset correctly now after the Price Server restart. (Ref 212533)

  4. Strategy Creation
    1. Delta field is now passed correctly for conversion / reversal strategies. (Ref 211298)

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
    1. Stale orders can be generated if the Order Server uses a batch transaction to send orders to the exchange. (Ref 221017)

  3. Order Server
    1. Direct traders will not receive notifications when a mapped TTORD trader submits a strategy creation. (Ref 157150)

    2. Direct traders will not receive notifications when a mapped TTORD trader submits a Request for Quote (RFQ). (Ref 157151)

    3. The gateway might display the incorrect quantity in reject messages. (Ref 157180)

    4. Working orders can become stale when the NYSE Liffe Order Server does not receive "Contract Availability" (UC) messages for the security groups. This issue mostly impacts daily options contracts. (Ref 174136)

    5. Working orders can disappear from a trader's order book and appear only for TTADM logins if the Order Server experiences multiple intra-day restarts. (Ref 200800)

    6. The Exchanges= entry in Hostinfo.cfg is case sensitive. (Ref 214371)

    7. Client applications connecting to the gateway cannot re-download the working Wholesale orders (Block, Asset Allocation). (Ref 220014)

  4. Orders
    1. Order Add messages do not provide exchange date. (Ref 218240)

  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. When the Price Server misses a large number of packets and enters recovery, the server can run out of memory. Depending on the specific scenario, this results in either the server experiencing a shutdown or a crash. (Ref 162127)

    2. Using the Spread Matrix auto creation option might create spreads too quickly. In this situation, the exchange rejects some of the strategy creation requests and prevents those strategies from being created. (Ref 166300)

    3. In some cases, the expiration dates on a spread contract can be incorrectly populated, which results in both orders and summary fills reporting the wrong date in the Expiry field. Leg fills for these contracts have the correct dates. (Ref 174101)

    4. The NYSE Liffe Price Server loads products for channels to which it isn't subscribed. (Ref 193172)

    5. If the Price Server misses a large number of packets, it can run out of memory and crash during the recovery. When this occurs, TT Chron automatically restarts the Price Server. After restart, the Price Server continues to function properly. (Ref 200907)

    6. The X_TRADER® Time and Sales window does not display OTC trades if the price of the trade is not disseminated by the exchange, as is the case with Against Actual trades. (Ref 201027)

    7. The Price Server can fail to retrieve all products if the exchange Refresh Server is not available. (Ref 201492)

    8. Turkish lira (TRY) is missing from the default Guardian currency table. (Ref 210322)

    9. In the event of a Price Server disconnect from the exchange, after the re-connect price updates can be delivered out of order to the connected client applications (e.g., prices that are off the inside market could be delivered before inside market prices). In this scenario, some client applications that trigger off inside market prices might trigger prematurely. (Ref 213650)

    10. The same TT series key can be used on two different strategy contracts, when these strategies get created in different trading sessions. The issue causes FIX Adapter to miss fills for one of the strategy contracts. (Ref 214224)

  7. Wholesale Trades
    1. Wholesale OTC trades submitted via X_TRADER® 7.12 ( old X_Block window ) are not risk checked for price reasonability limits. (Ref 220864)

    2. Wholesale OTC orders are not displayed in the Order Book after the session disconnect. Fills for such orders are processed correctly. (Ref 221778)