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Fill Server Rollover

Overview

TT Gateways 7.16.8 or higher provide the capability to configure position rollover schedules on the Fill Server using the rollover_schedule.ini file. This file allows you to configure the following:

  • Daily session rollover schedules
  • Customized session rollover schedules
  • Session rollover schedules for holidays

rollover_schedule.ini

The rollover_schedule.ini file installs with each TT Gateway and is configured with default Fill Server rollover times that are applicable to each exchange. The rollover_schedule.ini file provides the following functionality:

  • Fill Server rollover scheduling for Monday through Friday at one time, and Sunday at a different time according to the exchange session start time.
  • The ability to rollover fills from one day to another when an exchange's trading session spans a weekend.
  • The use of an optional holiday file (if applicable) that lists the days the rollover schedule is not to be followed (i.e., rollover will not occur). The following TT Gateways support holiday schedules as required by the exchange:
    • CME
    • SGX
    • OSE
    • TOCOM
    • TSE
    • TFX

Installation and Upgrade Considerations

For new and upgrade installations of the TT Gateway, the rollover_schedule.ini file and holidays.csv file (if applicable) are installed in the <root drive>:ttconfig directory. You do not have to manually add these files to this directory after an upgrade to 7.16.8 or higher.

Aconfig Impact

The rollover_schedule.ini file replaces the rollover times specified in AConfig using the Exchange-Day-Start parameters.

Note

If the Time.Zone.Standard.Bias is set to 0:00 in the Aconfig file, the rollover times configured in rollover_schedule.ini will be in UTC.

Auto-Calculate-SOD Impact

When Auto-Calculate-SOD is enabled, the Fill Server automatically calculates positions based on the Fill Server rollover schedule configured in the <Exchange_flavor>_rollover_schedule.ini file.

Auto-Calculate-SOD can now be used for LME Gateway and Brokertec Gateway 7.16.8 or higher. Refer to Auto-Calculate-SOD for LME and BrokerTec.

Exchange-specific Rollover Changes

The default Fill Server rollover times configured in rollover_schedule.ini provide the following exchange-specific enhancements:

  • For ICE Gateways, fills that occur during the early Sunday open will be displayed in X_TRADER® through Monday afternoon.
  • For TOCOM and OSE Gateways, fills that occur during the T+1 session on Friday will be displayed in X_TRADER through Monday afternoon.

Example: rollover_schedule.ini Configuration

The following shows an example of a default <Exchange_flavor>_rollover_schedule.ini file installed on the gateway.

Example

[ROLLOVER_SCHEDULE]

; Path to holidays csv formatted (Gateway Name, Description, Date (YYYYMMDD))

; holidays=<CONFIGFILEDIR>holidays.csv

; holidays_gateway_name=BVMF

; To ensure valid behaviour, the time zone settings in ACONFIG must also be configured correctly:

; Daylight: Bias and Start

; Standard: Bias and Start

;

; VALID TIME FORMAT (Local Exchange Time) - HH:MM:SS,HH:MM:SS (Standard Roll Time, Daylight Savings Roll Time)

;

; If daily schedule is set the schedule will be run Mon-Friday, all other schedules will be ignored

; daily_schedule = 00:00:00,00:00:00

; Comment out days to disable roll over

sunday = 0:00:00,0:00:00

monday= 0:00:00,0:00:00

tuesday= 0:00:00,0:00:00

wednesday= 0:00:00,0:00:00

thursday= 0:00:00,0:00:00

friday= 0:00:00,0:00:00

saturday= 0:00:00,0:00:00