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Determining TT Gateway Login Credentials with Dynamic Connections Disabled

Overview

Algo SE logs into each TT Gateway once and acts on behalf of all traders who connect to it. Thus, the MGTs Algo SE uses to log into the TT Gateways must have the authority to act on behalf of all traders using Algo SE. Specifically, the MGTs Algo SE uses to log into the TT Gateways must have permissions to view all orders and fills of all traders who will connect to it.

the figure called Sample TT Algo Strategy Engine Configuration shows a sample Algo SE configuration that demonstrates how Algo SE routes orders on behalf of multiple traders.

Sample TT Algo Strategy Engine Configuration

Guidelines for Determining TT Gateway Logins

The recommendations for determining the TT Gateway login credentials differ depending on whether the RiskPLChecking configuration option is enabled, as described in the following sections.

Note

Because of the potential impact on performance, TT recommends that you avoid using higher-level logins for TT Gateway logins unless no other solution can meet your business purposes.

Logins: P&L Risk-Checking Enabled

If the RiskPLChecking configuration option is set to 1, Algo SE performs a complete risk check (Max Order Quantity, Max Position, and P&L) for all orders that it routes on behalf of all users. Thus, Algo SE needs a complete picture of a trader’s risk before it routes an order. Consequently, both of the following rules apply:

  • A trader must be mapped to the same, or a subset of, TT Gateways to which Algo SE is configured to connect.
  • The MGTs to which the trader is mapped must be the same or hierarchically below those Algo SE uses to log in to the TT Gateways.

For example, assume you plan to configure AlgoSE-A to host the following traders.

TT Universal Login ID

TT Gateway

TT Routing MGT

Exchange MGT

BOB

CME-A

TTORDPM/007/001

DJ94/887/355

Eurex-A

TTORDPM/007/001

EE99/GJM/J8F

PAUL

CME-A

TTORDPM/007/002

DJ94/887/355

Eurex-A

TTORDPM/007/002

EE99/GJM/J8F

PETER

CME-A

TTORDPM/009/001

DJ94/887/355

Eurex-A

TTORDPM/009/001

EE99/GJM/J8F

In this scenario, the administrator could configure AlgoSE-A with either of the following TT Gateway logins.

TT Gateway

Member ID

Group ID

Trader ID

Member ID

Group ID

Trader ID

CME-A

TTORDPM

XXX

MGR

OR

DJ94

887

355

Eurex-A

TTORDPM

XXX

MGR

EE99

GJM

J8F

With AlgoSE-A configured in this manner, BOB, PAUL, and PETER will be able to run any algorithms whose instrument list comprises contracts from CME-A and/or Eurex-A.

For a comprehensive description of the hierarchical relationship between the order routing credentials, refer to the TT User Setup User Manual.

Logins: P&L Risk-Checking Disabled

If the RiskPLChecking configuration option is set to 0, Algo SE performs only a partial risk check (Max Order Quantity and Max Position) for all orders that it routes on behalf of all users. Thus, Algo SE only needs a complete picture of a trader’s risk for the order’s target TT Gateway. Consequently, the MGT to which a user is mapped for a particular TT Gateway must be the same, or hierarchically below, the MGT Algo SE uses to log in to this TT Gateway.

For example, assume you plan to configure AlgoSE-A to host the following traders who will only run algorithms on CME-A. Furthermore, assume that P&L risk checking is not required for these traders so the RiskPLChecking configuration option is set to 0.

TT Universal Login ID

TT Gateway

TT Routing MGT

Exchange MGT

BOB

CME-A

TTORDPM/007/001

DJ94/887/355

Eurex-A

TTORDPM/007/001

EE99/GJM/J8F

PAUL

CME-A

TTORDPM/007/002

DJ94/887/355

Eurex-A

TTORDPM/007/002

EE99/GJM/J8F

PETER

CME-A

TTORDPM/009/001

DJ94/887/355

Eurex-A

TTORDPM/009/001

EE99/GJM/J8F

In this scenario, AlgoSE-A could be configured with either of the following TT Gateway logins.

TT Gateway

Member ID

Group ID

Trader ID

Member ID

Group ID

Trader ID

CME-A

TTORDPM

XXX

MGR

OR

DJ94

887

355

With AlgoSE-A configured in this manner, BOB, PAUL, and PETER will be able to run any algorithms whose instrument list comprises contracts from CME-A but not Eurex-A.

Sample Login Scenarios

In these scenarios, AlgoSE-A could be configured with either of the following TT Gateway logins.

TT Gateway

Member ID

Group ID

Trader ID

CME-A

TTORDPM

XXX

MGR

Eurex-A

TTORDPM

XXX

MGR

For example, assume traders CHRIS, TOM and MARY are configured as follows.

TT Universal Login ID

TT Gateway

Member ID

Group ID

Trader ID

Result

CHRIS

CME-A

TTORDPM

009

001

CHRIS can run any algorithms that include contracts listed on the TT CME-A or Eurex-A Gateways, regardless of the value of the RiskCheckingPL configuration parameter.

Eurex-A

AlgoSE-A

TTORDPM

TTORDPM

009

009

001

001

TOM

CME-A

TTORDPM

009

001

If RiskCheckingPL = 1:

Because TOM can also connect to the TT Eurex-B Gateway, he cannot run any algorithms, even those that only include contracts listed on the other Gateways. Because AlgoSE-A is not configured to connect to Eurex-B, it does not have a complete picture of TOM’s risk.

If RiskCheckingPL = 0:

TOM can run any algorithms that include contracts listed on the TT CME-A or Eurex-A Gateways. However, TOM cannot run any algorithms that include contracts listed on the TT Eurex-B Gateway because AlgoSE-A does not connect to it.

Eurex-A

TTORDPM

009

001

Eurex-B

AlgoSE-A

TTORDPM

TTORDPM

009

009

001

001

MARY

CME-A

TTORDPM

009

001

If RiskCheckingPL = 1:

Even though AlgoSE-A is logged into all of the TT Gateways to which MARY can connect, AlgoSE-A will not allow Mary to run algorithms. Because TTORDAB/009/001 is not in the TTORDPM/XXX/MGR hierarchy, AlgoSE-A does not have a complete picture of MARY's risk.

If RiskCheckingPL = 0:

MARY can run any algorithms that include contracts listed on the TT CME-A Gateway. However, MARY cannot run any algorithms that include contracts listed on the TT Eurex-A Gateway because TTORDAB/009/001 is not in the TTORDPM/XXX/MGR hierarchy.

Eurex-A

AlgoSE-A

TTORDAB

TTAlgSe

009

SE1

001

001