SGX Gateway

7.17.3.8

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?

7.17.3 gateways offer a number of enhancements, including:
  • The ability to shared account numbers among different proxy (TTORD) traders.
  • Support for the configuration of multiple members with separate sets of exchange credentials on a single gateway.
  • 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.
Additionally, this release also supports SGX One-Sided order placement (Trade Reporting).

System Requirements

7.17.3 gateways offer a number of enhancements, including:
  • The ability to shared account numbers among different proxy (TTORD) traders.
  • Support for the configuration of multiple members with separate sets of exchange credentials on a single gateway.
  • 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.
Additionally, this release also supports SGX One-Sided order placement (Trade Reporting).

Installation Notes

Customers should refer to the 7.17.0 Gateway Migration Guide and System Administration Manual before installing/upgrading the gateway. To obtain these documents, contact your local TAM.

The following parameters in the hostinfo.cfg file are no longer supported by the gateway. Upon upgrade these parameters, if present, should be removed from the hostinfo.cfg file.
  • ResubmitOnSessionDown
  • ResubmitOnStartup


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 based on calendar date 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.

It is recommended to upgrade the gateway after the scheduled gateway shutdown time on Saturday and before the start-up time on Monday. If the gateway is upgraded on an exchange business day, before the upgrade, customers should delete (after backing up the files if necessary) all CBA files present in the auditfiles directory.

Enhancements

  1. API
    1. SGX gateway has been compiled with the latest API header, 19.3.0222 to support the SGX Trade Report functionality. (Ref 220347)

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

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

    2. Added support for the configuration of multiple members with separate sets of exchange credentials on a single gateway. (Ref 198956)

    3. Increased Order Server performance by implementing concurrent mode functionality. (Ref 199573)

    4. Increased Order Server throughput by no longer routing order Change, Delete and Replace actions via the TTO through which the initial order was originally routed. (Ref 202373)

    5. 'Display Name' and Product Type' fields have been added to the gateway audit file. (Ref 206208)

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

    7. SGX One-Sided orders (Trade Reporting) will now be supported through TT system. X_TRADER® 7.17.1 or above version is required for this functionality. (Ref 214480)

    8. Iceberg functionality will not be supported from SGX Gateway 7.17.0 onwards. Customers wishing to place Iceberg orders in SGX gateway should place the order through Synthetic Strategy Engine. (Ref 217525)

  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 Market-Depth.NumDepthLevels AConfig parameter has been removed from the SGX Gateway. The number of levels of aggregate depth sent by the gateway will no longer be configurable. 20 levels of aggregate depth on each side is displayed by default. (Ref 204691)

    2. 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)

Fixes

  1. Price Server
    1. The gateway will support a maximum of 20 levels of aggregate depth on each side of the market. (Ref 196151)

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 Server
    1. Orders placed through X_TRADER® API with an off-tick price are not rejected. The Order Server sends the order to the exchange, which rounds the price up to the next tick. (Ref 121664)

    2. Un-triggered Session State Orders (SSO) appear in "Working" state instead of "Pending." (Ref 123523)

    3. The gateway rejects Good Til Canceled (GTC) orders with "Go to Market" actions. (Ref 132274)

    4. In certain cases when a trade occurs between two Ratio Strategy orders, the exchange might calculate off-tick values for the leg fills. In this case, the Order Server rounds the leg fill prices to valid tick prices for display in client applications. Summary fill calculations also use these rounded values, resulting in discrepancies between the exchange-provided LTP (Last Traded Price) for this Ratio Strategy contract and the summary fill price displayed in the Audit Trail and Fill Window. (Ref 136545)

    5. Fills will be double counted for spreads that support implied pricing when the following occurs:
      • the routing session is configured to leave orders working upon logout/disconnect
      • the Order Server is down intraday
      • a working spread or strategy order is partially filled by the individual futures or options that make up that spread through implied pricing
      • the Order Server comes back up

      Depending on the quantities, this will either result in a greater quantity working at the exchange than is indicated by the order book or a working order at the exchange that is not in the order book at all. (Ref 145299)

    6. The X_TRADER® Order Book window inconsistently displays the order type for Market and triggered Stop Market orders. Both orders should display as a "Market" order type. (Ref 94895)

  3. 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)

  4. Price Server
    1. The Opening Auction States for some products are not updated in the "S" column of the X_TRADER® Market Grid with the appropriate value ("PRE-OPEN") and instead displays "CLSD." These products go directly into "OPEN" without going into "PRE-OPEN." Users should check the X_TRADER® Audit Trail messages for state changes. (Ref 102423)

    2. The close price for Stock Indices can be cleared out intra-day. (Ref 124054)

    3. A Price Server restart in the middle of a busy trading session can result in incorrect price depth. (Ref 149362)

    4. The Price Server does not reset LTP/LTQ when SGX sends a reset message at the end of the T session (Ref 170320)

    5. The Price Server might crash during a shutdown. (Ref 170935)

    6. Price Server incorrectly logs "invalid negative price received from exchange" for RGF and VCF products. (Ref 219536)

    7. SGX Trade Report (Wholesale) trades are displayed with incorrect quantity in X_TRADER® Time & Sales window. (Ref 220053)

    8. Price Server sends empty Audit Trail alert messages to connected TT client applications when it receives empty B18 broadcast from the exchange. (Ref 220203)

    9. HALT and SUSPEND states do not appear in the X_TRADER® Market Grid "S" column. If an order is rejected by the exchange due to the product state change, the Audit Trail will display the following: "Illegal transaction at this time." (Ref 93807)