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Series Key Issue on HKEX, OSE, and TOCOM Gateways

Advisory CA056-16
December 14, 2016
Customer Advisory

Series Key Issue on HKEX, OSE, and TOCOM Gateways

Over the past weeks, customers have reported missing trade records and stale Start of Day (SOD) records on expiring contracts on HKEX, OSE, and TOCOM. These issues can cause inaccurate positions to be represented within TT software, and in the past have been more likely to occur during contract roll time periods.  We have determined that the root cause of this issue is that these exchanges are re-purposing OrderBookIDs once contracts expire, These OrderBookIDs are used by the gateway to generate series keys.

After extensive analysis and testing, we have determined that the the optimal plan to address this issue is to modify creation of series keys at the TT Gateway level.  We plan to release updated Gateway versions for HKEX, OSE, and TOCOM that will change the way series keys are generated.  Currently, these TT gateways base the series key on the OrderBookID they receive from the exchange on a per product basis. This value was initially chosen based on the expectation based on exchange documentation that this value would be unique per product for an extended period of time, however in practice the values are re-used too often to ensure uniqueness.  

The specifics of how the creation of series keys will be modified are still being finalized.  Our goal is to implement a solution that will minimize customer impact while addressing the root cause as quickly as possible.

If you have any questions, please contact your TAM,