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Fill Server: Start of Day Records

Overview

Start of Day records represent a traders’ net position.

TT provides the following methods to manage Start of Day (SOD) records:

  • Auto-Calculate-SOD parameter
  • Back Office Bridge

Detailed Start of Day (DSOD) Records

In Core Version 7.0.14 and higher, TT offers support for Detailed Start of Day (DSOD) records. DSODs can retain Account, FFT2, and FFT3 details from fills on a per trader and per contract basis allowing firms to create and roll over positions from one trading session to the next.

To take advantage of Detailed Start of Day records, you must publish records using TT’s Back Office BridgeTM. In addition, you must disable the Auto-SOD functionality using the Auto-Calculate-SOD parameter in the Aconfig Utility.

Warning

You can only manage Detailed Start of Day records using TT’s Back Office Bridge. In addition, you must ensure that the Auto-Calculate-SOD parameter remains disabled for all accounts on the TT Gateway.

Traders using the TT TOCOM Gateway can use DSODs to include the required sub-account information with fills. The TT TOCOM Gateway forwards the TOCOM sub-account number via the FFT3 field and Back Office Bridge includes this information in the DSOD records.

For a complete description of publishing DSOD records for TOCOM, refer to the TT TOCOM Gateway System Administration Manual.

Auto-Calculate-SOD

The Fill Server calculates Start of Day records at rollover. Since Auto-Calculate-SOD is disabled by default, the SOD equals zero at rollover.

With Auto-Calculate-SOD enabled, the Fill Server automatically generates a closing position for each combination of trader and filled contract in the current session and creates a SOD for the next trading session.

Note

Auto-Calculate-SOD does not generate SOD records for spread summary fills.

Prior to enabling Auto-Calculate-SOD, delete all *_bof*, *_fill*, and *_position* files. Also, if running Back Office BridgeTM, ensure that Back Office Bridge does not login to the TT Gateway. To enable Auto-Calculate-SOD, verify that the Auto-Calculate-SOD parameter equals to true. Set this value using the AconfigUtil. This parameter is located in the AConfigCoreServerExchange-SpecificExchange-flavorFill-Server directory.

Warning

When enabling Auto-Calculate-SOD, you must delete all accumulated *_bof*, *_fill*, and *_position* files and restart the Fill Server.

This includes all TT Gateways in a redundant cluster/pair in addition to any machines that are running Order Servers, Order Routers, X_RISK, Back Office Bridge, or any XTAPI applications that are publishing SODs, DSODs, or Manual Fills to that Fill Server.

In these cases, you must shut down the application and delete all accumulated *.fill* files. Once completed, you must restart the Fill Server to fully enable the Auto-Calculate-SOD functionality.

Once enabled on TT Gateway 7.16.7 or lower, Auto-Calculate-SOD creates Start of Day records by totaling all buys and sells on a per trader and per contract basis. When enabled on TT Gateway 7.16.8 or higher, SOD records are created based on individual trader Risk Accounts and not aggregated per direct trader ID. For more information about Risk Accounts, refer to Account-Based Risk.

Traders that carry over positions from one trading day to the next are able to see these positions when they begin trading the next day. If a trader has position limits enabled in Guardian, the start of day is included in his/her position limit calculations.

Note

The Fill Server does not include settlement prices when publishing Auto-Calculate-SOD generated records. Client applications must obtain settlement prices directly via the Price API connection.

Auto-Calculate-SOD for LME and BrokerTec

When enabled on BrokerTec Gateway 7.16.8 or higher, Auto-Calculate-SOD includes positions for on-the-run contracts and excludes positions in When-Issued (off-the-run) contracts. Once the maturity date changes on a contract (tenor remains the same), the SOD record is zeroed out. Functionally, this indicates that the new on-the-run contract is now listed and the position is zeroed on the first date of trading in the new contract.When enabled on LME Gateway 7.16.8 or higher, Auto-Calculate-SOD creates positions for rolling contracts based on the prompt date of the contract and not the new contract name that may be created at expiry. Once the contract expires, the SOD record is zeroed out.

To migrate from using Back Office Bridge to using Auto-Calculate-SOD for BrokerTec and LME, do the following:

  1. Manually disable Auto-Calculate-SOD per gateway login in TT User Setup for any gateway logins that should be excluded.
    Note

    All MGTs need to migrate from Back Office Bridge to Auto-Calculate-SOD on the new gateway at the same time.

  2. Disable the Internal Position task for that TT Gateway in Back Office Bridge.
  3. Delete any existing SODs without accounts and then re-enter these SODs with a Risk Account added. Use X_RISK 7.12.2 to manually add a Risk Account to every re-entered SOD record on the TT Gateway.
  4. Enable the Auto-Calculate-SOD parameter using the Aconfig utility on the TT Gateway.

Auto-Calculate-SOD Limitations

The following lists limitations for using Auto-Calculate-SOD on certain TT products:

  • BrokerTec Gateways 7.16.7 or lower: Auto-Calculate-SOD is not supported on TT BrokerTec Gateways since some of their contracts expire daily. On these TT Gateways, ensure that the Auto-Calculate-SOD parameter equals false.
  • LME Gateways 7.16.7 or lower: Auto-Calculate-SOD is not supported on TT LME Gateways since some of their rolling prompt contracts share the same series key for different expiries. On these TT Gateways, ensure that the Auto-Calculate-SOD parameter equals false.
  • FIX Adapter: FIX Adapter does not currently support the TT Gateway Auto-SOD feature. Any TT Gateway to which FIX Adapters connect for order routing should disable this feature, because risk calculations could be affected.

Back Office Bridge

Note

Back Office Bridge will no longer be supported by TT as of June 30, 2013.

You can choose to continue using Back Office Bridge after this date; however, you need to be aware of the following incompatibilities with TT Gateway and Client software versions:

  • Start of Day records (SODs) and Detailed Start of Day records (DSODs) published using Back Office Bridge are incompatible with the account-based risk SODs created on TT Gateway 7.16.8.
  • After TT User Setup 7.17 is installed in your trading environment, you will not be able to use Back Office Bridge to publish direct trader MGT-based SODs and DSODs.
  • Back Office Bridge will be incompatible with the X_TRADER ASP initiative planned for TT Gateway 7.17.
  • Back Office Bridge will not initialize properly with X_TRADER® API 7.17.
  • Margin updates published in Back Office Bridge will be incompatible with all TT Client trading application versions 7.17 or higher.

Back Office BridgeTM offers automated functionality to publish positions at any time for any gateway, product, or trader. You can configure unique tasks within Back Office BridgeTM to:

  • Create SODs/DSODs based on internally calculated positions.
  • Import SODs/DSODs from one of five different back-office file formats or a user-defined custom format.
  • Include/exclude certain traders, products, and/or gateways when capturing and publishing position records.

For more information on TT’s Back Office BridgeTM, refer to the Back Office Bridge System Administration Manual.

Comparing Back Office Bridge and Auto-Calculate-SOD: 7.16.7 and lower

The following table compares Auto-Calculate-SOD and Back Office BridgeTM.

Comparing Back Office Bridge and Auto-Calculate-SOD
FeatureBack Office Bridge Auto-Calculate-SOD

Import external fill data

Yes

No

Calculate cumulative positions

Yes

Yes

Publish SOD records

Yes

Yes

Publish DSOD records

Yes

No

SOD contains settlement price

Yes

No

Interface

Graphic user interface

None

Automation

TTChron

TTChron

Configuration

Requires configuring capture and publish time. Also must configure TTChron to support automation.

Enabled via the Aconfig Utility.

Viewing Status

Task status shown in the Status column

View log files on the Fill Server

Direct Trader Mapping

To avoid potential problems with SOD/DSOD records, if you need to modify the direct trader assignments for a TTORD trader, you must perform either of the following steps:

  • Create a new Member, Group, Trader ID and direct trader mapping for the TTORD trader instead of reusing the older values. This includes updating the universal login, gateway mapping and risk setup.
  • Delete all *_fill*, *_bof*, *_position* files on the TT Gateways (including any failover gateways) and re-enter positions at the next session start.

Failover and Recovery

If the Fill Server goes down, all running Fill Sources continue to cache incoming fills in the *_fills.tbl file. when the Fill Server recovers, all running fill sources re-sync with the Fill Server, preventing loss of data. You can set up a second Fill Server to support failover by ensuring that the Fill Servers share the same exchange ID.

During failover, if one Fill Server goes down, the other Fill Server continues to seamlessly store and deliver all received Fill data.

Note

Start of Day records are NOT stored and synchronized from fillsource to Fill Server. To fully support failover for SOD records, all Fill Servers in a failover group must be up and running at the time of publish. If a Fill Server is not running at the time of an SOD correction publish, then that Fill Server will not receive the SOD correction.

This does not apply to start of day records generated by Auto-Calculate-SOD.