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Modifying Fills

Overview

TT Gateways 7.16 and higher contain an enhancement that persists post-trade updates on the following fields:

  • Free-form Text Field 2 (FFT2)
  • Free-form Text Field 3 (FFT3)
  • User Tag
  • Order Tag
  • Account Number
    Note

    Only direct traders may perform post-trade updates on the Account Number field.

    TTORD traders cannot modify the Account Number field.

You may perform multiple updates to each of the fields.

This enhancement works with X_TRADER’s “Confirm a Fill” functionality and allows the user to change identifying information assigned to a fill and “confirm” the changes. The values are then updated and forwarded to all traders that share an order book.

Note

The ability to forward and view post-trade modifications is dependent on the version of the trader’s client application.

Client Applications that Support Fill Modifications

TT is currently developing client applications to fully support fill modification. These applications will also update fill quantities and positions when they receive busted or reversed fills from the TT Gateway.

Client applications that fully support this feature will forward fill modifications to all traders that share the same order book. Older versions will only display a trader’s fill modification in their local order book.

TT is currently developing versions of the following applications to fully support fill modifications:

  • X_TRADER
  • X_TRADER API
  • FIX Adapter
  • X_RISK
  • SSE

In addition, Historical Fill Server 7.5.0 provides support for fill modifications.

Exchange Behavior

Each exchange handles fill modifications differently. However, the following describes the general behavior when fills are modified:

  • The client application only downloads the original (unmodified) version of the fill, only displays modifications that occurred locally, and does not persist the new values.
  • Modifications from newer clients will not display in older clients.
  • Confirming a fill in X_TRADER 7.11 will only affect the trader’s local order book.

TT is currently developing client applications to offer expanded support for fill modifications.

SFE Gateways

SFE allows post-trade fill modifications. The following list represents the current behavior related to fill modifications on SFE:

  • Account: modifications to the Account field are forwarded to the exchange via a Trade Update Request (Tag 1) if FFT3 is not populated with a value.
  • FFT2: modifications to the FFT2 field are forwarded to the exchange via Comment/Text (Tag 58).
  • FFT3: modifications are forwarded to the exchange via a Trade Update Request (Tag 1) when this field contains a value.
    Note

    Currently, exchange rejects for fill modifications are only forwarded to the Audit Trail of the trader that attempted the modification.

  • User Data and Order Data: modifications are not forwarded to the exchange.
    Note

    Currently, exchange rejects for fill modifications are only forwarded to the Audit Trail of the trader that attempted the modification.

TOCOM Gateways

For TOCOM Gateways

  • Account, FFT2, User Data and Order Data: modifications are not forwarded to the exchange.
  • FFT3: modifications to the FFT3 field are forwarded to the exchange via Rectify Trade Request (CD28) and modify the account_id_s field in the exchange API.
    Note

    Currently, exchange rejects for fill modifications are only forwarded to the Audit Trail of the trader that attempted the modification.

Verifying Client Support

You can use the TT Gateway’s Order Server logfile to determine if a connected client application supports fill modification. When the client application connects, the Order Server writes message 10101334 which lists whether the client supports fill modification (i.e., FillMod-capable).

Example Fill Modification log message

The following message shows that the TTADM user can perform post-trade fill modifications (i.e., FillMod-capable):

17.02.2015 02:34:31.531 | 1736 | INFO | 10101334 | server::ServerRoutingTable (ORDER SERVER CME-G): Adding Routing Identity ID(1) TTADMXXX 0-AppID|filtering off|FS-capable|FillMod-capable.

In comparison, the following TTORD trader cannot modify fills (i.e., FillMod-incapable):

17.02.2015 02:34:38.593 | 1736 | INFO | 10101334 | server::ServerRoutingTable (ORDER SERVER CME-G): Adding Routing Identity ID(3) TTORDTR001 0-AppID|filtering off|FS-incapable|FillMod-incapable.

Limitations

Users cannot modify/confirm the following types of fills:

  • Incomplete Fills
  • Administrator Fills
  • Start of Day (SOD)/ Detailed Start of Day (DSOD) Records*
    Note

    Start of Day (SOD) records may be modified when X_RISK sends an SOD correction.