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Audit File

Overview

When the Order Server receives its first order-related message, the Order Server creates a special audit file named exchange-flavor_DDMMYYYY.cba in <root drive>:ttauditfiles, where DD is the two-digit day, MM is the two-digit month, and YYYY is the four-digit year. The Order Server enters the data from the message as a unique row in exchange‑flavor_DDMMYYYY.cba. The remainder of this manual refers to exchange‑flavor_DDMMYYYY.cba as the audit file.

The Order Server creates the audit file using a raw binary format. Before you can read this file or before submitting it to TT or a third-party, you must convert it into a .csv file. To convert the audit file into a readable copy, use the audit_convert.exe program as described in Audit Convert Tool.

Is the audit file compliant with the exchange rules?

Trading Technologies provides information via a number of different sources that can be used to construct an electronic audit trail. Refer to Contents for further details about those sources.

Whenever possible, TT works with exchanges to make sure the contents of the TT files match the templates provided by exchanges. However, customers are reminded that it is the responsibility of the exchange members themselves to ensure they are compliant with exchange rules.

Exchange auditing and compliance is described here: https://www.tradingtechnologies.com/support/advisories/2014/07/ca043-14/

Description

For each new order, TT Gateways assign a unique site order key. This allows the Audit File to accurately track all modifications, including cancellations, related to an order. In addition, each individual is assigned a unique identifier that is included for each transaction.

For example, TT CME Gateways utilize a unique identifier for each individual user and forwards this value to the exchange as part of FIX Tag 50 (SenderSubID).

The Audit File captures the following types of information:

  • All fields related to order entry
  • A record of any order modification and/or cancellation
  • All fills received by the TT Gateway
  • Accurate and unalterable timestamps for each order action
  • A record of login and logout messages for each user
  • Orders rejected by the TT Gateway
  • Orders rejected by the exchange

File Uses

Because this file tracks each order response, quote, and fill, you can use audit file for the following purposes:

Regulatory Purposes

The Audit File is modeled after the CME’s interpretation of CFTC regulations and therefore should meet and may possibly exceed compliance for many other jurisdictions. The Audit File also allows clearing member firms to account for the state of every electronic communication that passes through the TT Gateway.

Warning

The Audit File does not contain information related to order actions that do not reach the TT Gateway. For example, the Audit Files does not contain order actions that fail risk checking.

The regulatory agencies have specific requirements related to data retention. For example, CFTC regulations currently require that all records are maintained for five (5) years and be readily accessible for the first two (2) years. During initialization, the Order Server only retains the ten (10) most recent audit files, and deletes the rest.

Therefore, users must ensure they have a system in place to backup and store all audit files. TTNET does not provide file retention however, TTNET does provide audit files to customers on a regular basis.

Warning

If you plan to use audit files for regulatory documentation, you must archive your audit files so that the Order Server does not delete them on start up.

Tip

Use TTClean to archive your TT Audit files automatically. For details on using TTClean, refer to TTClean.

Back-Office Reconciliation

Users can utilize X_TRADER’s Give Up and Account# fields to populate identifiers and track orders for post-trade processing. For example, on CME users may populate the codes in the Give Up field to track MultiFirm Give up and Mutual Offset System (MOS) orders. In addition, users may populate special characters in the Account# field for APS, SLEDS, Discretionary and Bunched Account orders. These identifiers appear in the Audit File and allow the opportunity for post trade processing.

Note

The Audit File does not include data provided by exchange clearing feeds (e.g., CME Drop Copy feed). TT Gateway Audit Files only include orders and fills executed via the TT Gateway. Orders that are entered, but not forwarded to the TT Gateway, do not appear in the Audit File.

Debugging and Auditing Purposes

Once converted to the .csv format, users can sort and search through the Audit File to troubleshoot problems and to review all transactions related to specific orders.

Contents

During its operation, the Order Server creates a new, unique row in the audit file whenever it receives:

  • An order-related message from a TT client application
  • An order confirmation, quote response, or fill sent from the exchange

The Order Server writes the following pieces of data to the audit file:

  • TT Gateway timestamp, which is the time at which the TT Gateway creates the audit entry
  • Customer account, as well as the Member ID, Group ID, and Trader ID associated with the order or fill
  • Order information such as quantity, order type, product, expiry
  • Whether the message was received from the exchange or from a TT client application
  • The exchange’s date and time stamp
Warning

The Audit File does not contain information related to order actions that do not reach the TT Gateway. For example, the Audit Files does not contain order actions that fail risk checking.

Field Descriptions

The following table provides a general description of default fields written to the Audit File. In addition, you can suppress a particular field by following the information in the Suppressing column names section above.

Note

The table below shows the most common values contained in the Audit File. However, some TT Gateways may populate the Audit File with values that differ from those listed below.

Audit File Fields
Field Description

Entry Information

RecordNo

Sequentially incremented number assigned to each record written to the audit file.

Date/Time

Equals the server timestamp.

Note

To properly display the contents of this field, set the column’s Date property to mm/dd/yy hh:mm (e.g., 3/14/12 1:30 pm) in the spreadsheet application.

Exch

Equals the TT Gateway’s Exchange-Flavor (e.g., CME-A).

SrsKey

Equals the unique identifier for each contract (e.g., FGBX032012).

Source

Indicates the direction for messages related to fills and orders. The Source field may contain one of the following values:

  • FrmClnt: Indicates a message received from the client application.
  • FrmHst: Indicates a message received from the exchange host
  • ToClnt: Indicates a message forwarded to client application.
  • ToHst: Indicates a message forwarded to the exchange host.

Status

Indicates the status of the current message. The value of the Status field varies based on the message type:

For Login/Logout messages:

  • Login
  • Logout

For Order related messages:

  • Hold
  • New
  • Reject
  • Accept
  • Delete
  • Expire
  • Submit
  • Void
  • OK (also available for fills)

Order and Fill Information

OrderNo

Equals the internal Order number assigned by the TT Gateway.

For TT Gateways 7.16 and higher, this column contains the Quote Request ID for Request for Quotes (RFQs).

ExchOrderId

Equals the order ID assigned by the exchange.

For TT Gateways 7.16 and higher, this column contains the Exchange Quote Request ID for Request for Quotes (RFQs).

Action

Indicates the order action for order related messages. The Action field may contain one of the following values:

  • A: Add
  • C: Change
  • D: Delete
  • H: Hold
  • R: Replace
  • S: Submit
  • Fills (for Fill messages only)

B/S

Indicates whether an order entered the market as a buy or a sell.

OrdQty

Indicates the quantity of the current order.

WrkQty

Indicates the working quantity of the current order.

ExcQty

Indicates the executed quantity for fills and deletes.

Prod

Indicates the product symbol of the current order or fill.

Expiry

Indicates the contract expiry of the current order or fill.

O/C

Indicates whether the order or fill occurs on open or close.

C/P

Indicates whether an options order entered the market as a call or a put.

LimitPrc

Indicates the limit order price.

Stop Price

Indicates the stop order price.

Strike

Indicates the options order strike price.

OrderType

Indicates the type of order or fills. The available values equal:

  • Limit: Limit order
  • Mkt: Market order
  • STOP Limit: Stop limit order
  • STOP Mkt: Stop market order

TT Gateways 7.16 and higher may populate OrderType with the following values for Request for Quotes (RFQs):

  • Cross
  • Tradeable
  • Indicative

OrderRes

Indicates the order restriction applied to an order. The OrderRes field may contain one of the following values:

  • None (indicates a fill message)
  • Day
  • GTD (i.e., Good till Day)
  • FAK/IOC (i.e., Fill and Kill / Immediate or Cancel)
  • GTC (i.e., Good till Cancel)
  • Iceberg
  • Date
Note

If the Action field equals Hold, Cancel, or Delete, then OrderRes field contains the Date the order action occurred.

Trader and Firm Information

ExchMem

For order and fill messages, ExchMem equals the exchange member ID of direct trader.

For login messages, ExchMem equals the login member ID.

ExchGroup

For order and fill messages, ExchGroup equals the exchange group ID of direct trader.

For login messages, ExchGroup equals the login group ID.

ExchTrader

For order and fill messages, ExchTrader equals the exchange trader ID of direct trader.

For login messages, ExchTrader equals the login trader ID.

UserId

Indicates the Universal Login ID.

Member

Equals the exchange member ID for either the Direct Trader or, if present, TTORD trader.

Group

Equals the exchange group ID for either the Direct Trader or, if present, TTORD trader.

Trader

Equals the exchange trader ID for either the Direct Trader or, if present, TTORD trader.

Account

Equals the account type (e.g., A1).

FFT1

Equals the contents of free form text Field 1.

FFT2

Equals the contents of free form text Field 2.

FFT3

Equals the contents of free form text Field 3.

ClrMember

Indicates the clearing member or give up account.

Additional Fields

ExchTime

Indicates the exchange timestamp for Orders and Fills. For login messages, this field may contain the client application’s IP address. For logout messages, this field contains the value 0.0.0.0.

ExchDate

Indicates the exchange date for order and fill messages.

Srvr

For order messages, Srvr equals the client application’s IP address.

For login/logout messages, Srvr equals the login status (e.g., Login accepted, Client logged out). For fills, this field displays N/A.

TxtMsg

Indicates the reason for an order reject. For general gateway messages, the TxtMsg field indicates the order status (e.g., OrderReceived).

For order reject messages, the TxtMsg field may contain one of the following values

  • Cancel reject received for order <>;
  • Group State does not allow this function;
  • Order price is outside the limits

GW Specific

Unused

Remaining fields

(Varies per TT Gateway and may appear in any order)
BrokerIdentifier= Identifies the name of the broker trading on a TT Gateway 7.17 in a X_TRADER ASP environment. This field displays the ID configured in TT User Setup for a particular broker (e.g., for Broker-A, the Remaining fields shows BrokerIdentifier=1 in column AW). The BrokerIdentifier may not be sent for all messages, which varies per TT Gateway.
CompanyIdentifier= Identifies the name of the broker company trading on a TT Gateway 7.17 in a X_TRADER ASP environment. This field displays the ID configured in TT User Setup for a particular broker company (e.g., for Broker-A’s company "Company-A", the Remaining fields shows CompanyIdentifier=1 in column AX). The CompanyIdentifier may not be sent for all messages, which varies per TT Gateway.
StopTrigQty=

Indicates the stop trigger quantity for order related messages.

For fills, this field contains the TT-generated transaction number (TrnId).

SOK=

Indicates the unique site order key for order related messages.

For fills, this field contains the TT-generated record number (RecNo).

Sndr=

Indicates the IP address of the sending client application.

DisclQty=

Indicates the disclosed quantity for Iceberg orders.

ExchOrdId=

Indicates the exchange order ID.

ExchTransNo=

Indicates the exchange transaction number.

OrdNoOld=

Indicates the order number of a previous action when a new order action occurs under the same site order key.

OrderSrc=

Indicates the order source for order messages. This field may contain one of the following values:

  • API: The message originated from X_TRADER®
  • FA Unlicensed: The message originated from Fix Adapter
  • Normal OS: The message originated from the TT Gateway Order Server

OrdKey=

Indicates the order key for order messages.

OrdActOrig=

Inidicates the original order action of a previous action when a new order action occurs under the same site order key.

OrdFlgs=

Indicates the order flag for order messages.

MinQty=

Indicates the minimum quantity for orders.

Contract=

Indicates the contract month for orders.

CTI=

Indicates the CTI code.

Origin=

Indicates the Origin code.

CountryCode=

Indicates the country code of the location where the order action originated.

RegionCode=

Indicates the region code (e.g., the state or province) where the order action originated.

OperatorID=

Indicates the trader identification sent to the Exchange on TT Gateways that support sending an "Operator ID".

Note: The "Operator ID" written in the TT Gateway logfiles indicates which value was sent to the exchange as a trader ID, and is not necessarily the Operator ID configured in TT User Setup.

For a list of TT Gateways that support an Operator ID, as well as a list of what trader ID values are populated in this field per gateway, refer to; Routing the Operator ID to the Exchange .

Remaining Field 18

Indicates the whether the order action was submitted via an automated server such as SSE. A value of 0 means the order was manually submitted while a value of 1 means the order was automatically generated and submitted by a server product (OrderSourceAutomated).

Remaining Field 19 Identifies the session used for submitting order actions (ExchangeCredentials). This value is different per TT Gateway.
Remaining Field 20 Identifies the user connecting to the TT Gateway via FIX Adapter (senderSubId).
Remaining Field 21 Identifies that TT is providing market connectivity to the exchange via the TT Gateway (RoutingGroupID). This value is the same for all TT Gateways.
Remaining Field 22 Indicates the order ID provided by the exchange in FIX tag 37 (OrderID).
Remaining Field 23 Indicates the clearing account code from FIX tag 9195 (ClearingAccountCode).
Remaining Field 24 Distinguishes position reserve orders from native orders. PR=1 for position reserve orders; PR=0 for native orders. Audit logs generated in the exchange specific format do not contain position reserve orders.

ICE Audit Report fields (ICE only)

FIX Tag Shows the FIX Tag number.
ICE Field Name Identifies the FIX Tag message name.
Description Describes the FIX Tag Name for each FIX Tag.
Active Time Shows the time that the ICE Gateway sent the order action, and the time the gateway received the execution report.
MsgType Identifies the name of the message sent to or received by the ICE Gateway.
ExecType Describes the message type (order action or execution report).
Cl Order ID The Client Order ID sent by the ICE Gateway. Unique per trading day.
OrderID The order ID assigned by the exchange.
Transact Time The time of order creation or modification (GMT).
Symbol The ticker symbol (i.e., MarketId) of the product and contract. Note: TT sends/displays the market ID, which represents the ICE commodity name and contract month and year. Two columns are generated to match the ICE audit report template, but the same market ID value is displayed in both columns.
SecurityType Futures/Options Indicator. Absence of this field is interpreted as FUT. Must equal 'OPT' for options.
Strk Prc Strike Price for options.
P/C Put/Call Indicator for options.
Side Buy/Sell Indicator. This field displays either "Bid" or "Offer".
OrderQty Order quantity.
MaxShow For Reserve Quantity Orders, this field displays the maximum quantity within an order to be shown to other customers. Valid only for Limit GTD orders.
OrderType Displays one of the following supported order types: Market, Limit, Stop (with Protection), Stop Limit.
Price The Price at which the order action occurred. Always displayed for Limit orders.
StopPx Stop Price. Always displayed for Stop (with Protection) and Stop Limit orders.
Clearing The customer account number submitted with the order.
Clearing Firm The clearing member ID.
OrderState Displays the state of the order. Valid values are:
  • 0 = Active
  • 1 = Inactive
  • 2 = Withdrawn
  • 3 = Pending
  • 4 = Consummated
  • 5 = PreOpen
  • 6 = Elected
AccountCode Shows either H = House, or C = Customer.
CTI Code Customer Type Indicator. Valid Values:
  • 1 = Floor Broker for his own account, an account which he controls, or an account in which he has a financial interest.
  • 2 = Trade executed for the house or proprietary account of a Clearing Member or other Member Firm.
  • 3 = Broker/trader trading for the account of another Member, an account that the Member controls, or an account in which the Member has an ownership or financial interest.
  • 4 = Trade executed for any other account that does not meet the requirements of a CTI 1, 2, or 3.
Originator The user’s Login ID that is registered at the exchange and used to access the Trader Logon message.
OnBehalf (Member) Routing Member ID. Tag 115 left.
OnBehalf (Authorized) Authorized Member ID. Tag 115 right.
OnBehalf (Trdr ID) Routing Trader ID. Tag 116 left.
OnBehalf (Trdr) Authorized Trader ID. Tag 116 right.
OnBehalf (Grp) Routing Group ID. Tag 144 left.
Time In Force Displays the supported TIF for the order type.

CFE

CFE requires audit files for Orders and Trades. The fields in each report are included in the following tables.

Field Description

Orders

ORDER_ENTRY_DATE

Date when the original order or cancel/replace order was submitted - yyyymmdd

ORDER_ENTRY_TIME Time when the original order or cancel/replace order was submitted –include milliseconds HH:MI:SS:MIL
Note

To properly display the contents of this field, set the column’s Date property to HH:MI:SS:MIL in the spreadsheet application. This format is required by CFE.

PRODUCT_TYPE

Valid Product Types: F - Future; S – Strategy/Complex Order

RECORD_TYPE

Order, Cancel/Replace, O - Order; R - Cancel/Replace Order

EVENT_TYPE

"Order Event Type: N - New, C - Canceled, F – Filled (partial or full), W - Waiting, P - Pending Cancel, R – Cancel Request, T – Too Late to Cancel, D - Done for Day, U – Unexecuted, M – Modify, B - Combo

EVENT_DATE

Date when this event occurred, yyyymmdd

EVENT_TIME

Time when this event occurred – to include milliseconds

CMPLX_SMPL_INDICATOR

Indicates if this is a simple or strategy order: 0 – Simple Order, 1 – Strategy/Complex Order (master and legs)

ORDER_ID

Unique identifier assigned to an order: value before: * power(2,32) +value after:

FIRM_BRANCH_CODE

Branch code of firm submitting the orders

BRANCH_SEQ_NUMBER

A sequence number assigned by the firm for a given branch

TRADER_ACRONYM

Acronym of the trader who submitted the order. For the CFE Gateway, this is the session ID.

USER_ID

Identifier of the user or trader other than the acronym (session ID). For CFE this is OEO.

ACCOUNT_CODE

Code for CFE Sub Account

ACCOUNT_ORIGIN

Exchange origin codes. Examples include: C - Public customer, F - Clearing firm proprietary, M - Exchange Market-Make, etc.

EXECUTING_FIRM_CODE

Clearing firm number of Executing firm used for this order: Futures – OCC #

CMTA_FIRM_CODE

CMTA (giveup) firm that submitted the order via the executing firm. Assigned by the OCC or NSCC.

CORRES_FIRM_CODE

Correspondent firm involved in the order.

ORIG_ORDER_QUANTITY

Original quantity of the submitted order. This is leg quantity when order is leg of a strategy.

BUY_SELL_CODE

Indicates this order as a buy or sell order: B – Buy, S – Sell, D – Debit (for spreads), C – Credit (for spreads;0/Even default to Credit) "

ORDER_PRICE

Limit price of the order. For market orders, this field null. For strategy orders, the price can be negative. For strategy orders with net price of zero, this field is 0.

SYMBOL

Reporting Class symbol. Null for strategy. Legs class symbol for leg of a strategy.
PUT_CALL_CODE

Put/Call indicator: P - Put, C - Call

EXPIRATION_DATE

Date on which the contract expires

TIME_IN_FORCE_INDICATOR Indicates how long the order will remain active. D – Day, G – Good until canceled, T – Good until expire time
CANCELED_QUANTITY Total canceled quantity
REQUESTED_CANCEL_QUANTITY Order quantity that was requested to be canceled
REMAINING_QUANTITY Order quantity remaining
CANCEL_ORDER_ID Order ID of order to be canceled
REPLACE_ORDER_ID For cancel/replace, this is the replace order identifier
CONTINGENCY_TYPE Contingency Type entered on the order.
TRANS_DRCTN Transaction direction. Identifies if this transaction is sent to or from CFE. Valid values: TO, FROM
TRANS_SITE

Transaction site. Identifies if this is transaction is sent to or from the customer or exchange. Valid values: CUST, EXCH

Field Description

Trades

TRADE_DATE

Date Trade occurred
TRADE_TIME

Time at which the trade occurred, including milliseconds

Note

To properly display the contents of this field, set the column’s Date property to HH:MM:SS:MS in the spreadsheet application. Required format: HH:MM:SS:MS

PRODUCT_TYPE

Valid Product Types: E - Equity, F - Future, O – Option, C – Complex (Strategy) Order, U – Options on Futures"

TRADE_TYPE

BLKT - Block trade, EXPH – Exchange future for physical, MAN -Manual Trade, REG - Regular Trade, CPSC - Cross product Cross Trade, CPSL - Cross Product Leg Trade, CASH - Cash Trade, INTSW - Intermarket Sweep, LINK - Linkage Trade, NXTDT - Next Day Trade, TWDT - Two Day Trade

TRADE_ID

Unique identifier assigned to this record of trade: value before: * power(2,32) +value after :"

ACCOUNT_CODE

This field shows the CFE Sub Account

ORDER_ID

References ORDER_ID of the original Order.

ORDER_ENTRY_DATE

Original Order Entry Date

SYMBOL

Futures contract symbol

EXPIRATION_DATE

Date on which the contract expires. Format is YYYYMMDD.

ORIG_ORDER_PRICE

Price at which the original order was entered

ORIG_ORDER_QUANTITY

Equals the account type (e.g., A1).

TRADE_PRICE

Price at which the trade executed

TRADE_QUANTITY

Quantity for this trade record

TRADER_ACRONYM

Acronym of the trader who submitted the order

USER_ID

Identifier of the user or trader when other than the acronym. For CFE this is OEO

FIRM_ID

Unique identifier of the executing firm

CLEAR_FIRM_CODE Clearing firm number used for this trade
BUY_SELL_INDICATOR

Side Indicator: B - Buy, S – Sell

TRANS_DRCTN Transaction direction identifies if this transaction is sent to or from CFE. Valid values: TO/FROM
TRANS_SITE

Transaction site. Identifies if this is transaction is sent to or from the customer or exchange. Valid values: CUST, EXCH

Support for Requests for Quotes

TT Gateways 7.16 and higher include information related to Requests for Quotes (RFQ). When available, the audit file records RFQ actions when the gateway:

  • receives an RFQ from the client application
  • forwards the RFQ to the exchange
  • receives an exchange response (approve or reject)
  • sends the acknowledgement or rejection to the client
    Note

    The above behavior varies based on the specific exchange. For example, the gateway cannot display RFQ acknowledgements if the exchange does not provide responses for RFQs,

If available, the audit file populates the following fields for RFQs:

Request for Quote fields

Content

Audit Field

General Information

Date/Time

Exch: Exchange-Flavor

SrsKey: Series Key

Source: e.g., FrmClient, ToHost, etc.

RFQ Details

B/S: e.g., Buy, Sell

OrderNo: the Quote Request ID

ExchOrderID: the Exchange Quote Request ID

OrdQuantity

Prod: i.e., Product Name

Expiry

C/P: e.g., call, put.

Strike

LimitPrc: RFQ Price

OrderType: RFQ Type (Cross, Tradeable, Indicative)

Trader Information

Member

Group

Trader

UserID

Srvr: i.e., the workstation IP address

Contract: e.g., Exchange Series Name

CountryCode

RegionCode

OrderSourceAutomated

Note

TT Gateways do not populate the ExchMem, ExchGroup, and ExchTrader fields for RFQs.

Exchange Caveats:

NYSE Liffe: since the exchange does not always send a response for RFQs (for example, for successful RFQs), the audit file may not contain ’FrmHst’ entries for those actions.

Frequently Asked Questions (FAQ)

The following provides answers to commonly asked Audit File questions:

1. For the Source field, the exchange provides more options than we display. Why do these options not appear in the Source field?

TT Gateways populate this field based on its own internal values.

2. How do TT Gateways populate the OrderNo field? For TT FIX Gateways, what FIX tag does this field correspond to?

TT Gateways generate the order number shown in the OrderNo field. This value equals FIX Tag 11 (the ClOrdID). TT Gateways generate the order number for each order action.

3. How do TT Gateways populate the ExchOrderId field? For TT FIX Gateways, what FIX tag does this field correspond to?

TT Gateways populate the ExchOrderId field with the base 36 version of the OrderNo. The gateway receives the original value as Tag 11 (ClOrdId). TT Gateways generate the order number for each order action.

4. How can I use order related numbers to trace an order? How does the site order key differ from the order number and the exchange order number?

When a trader enters an order, the TT trading system assigns a unique site order key. Regardless of the subsequent order action, the site order key remains the same until the order completes.

Individual actions to the same order receive new order and exchange order numbers while retaining the same site order key. You can use each order action’s timestamp to trace an order throughout the TT trading system by following actions with the same site order key.