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CBOE Streaming Market (CSM) Support

CSM Migration Overview

CFE Gateway 7.16.16 and higher, as well as 7.17.20 and higher, support the CBOE Futures Exchange (CFE) new CBOE Streaming Market (CSM) multicast price feed, which has replaced the CFE’s discontinued market data portion of its Financial Information eXchange (FIX) protocol feed. The FIX market data feed will be decommissioned on 31 January 2014.

CFE will upgrade its CSM feed to version 1.4 on 13 January 2014. All customers connecting to the CSM Feed need to upgrade to CFE Gateway 7.16.16 or 7.17.20 prior to 13 January 2014.

These TT Gateways also support the extended CBOE Volatility Index® (VIX®) futures trading hours. Configuration changes to support the extended trading hours are also provided in this topic. As a reminder, customers should review the release notes to understand the functional impact when migrating from the FIX-based market data feed to the CSM feed.

Configuring the Gateway After an Upgrade

First time gateway installations contain the proper settings to support CSM.

After an upgrade, you need to make the following configuration changes:

To configure the gateway after an upgrade

  1. Update the Aconfig time settings:
    • Launch the AconfigUtil icon from the desktop.
    • Navigate to the Aconfig.Core.Server.Exchange-Specific.[EXCHANGE_FLAVOR]. Time.Zone section.
    • Change the Standard.Bias and Daylight.Bias settings as shown below.
      • AConfig.Core.Server.Exchange-Specific.[EXCHANGE_FLAVOR].Time.Zone.Standard.Bias = 6:00:00
      • AConfig.Core.Server.Exchange-Specific.[EXCHANGE_FLAVOR].Time.Zone.Daylight.Bias = 5:00:00
  2. Add the following parameters to the [PriceServer] section of the hostinfo.cfg with the provided values:
    • MulticastGroup=CFE_STANDARD
    • MulticastGroup=CFE_STRATEGIES
    Note

    A new file, MulticastGroups.cfg, has been added that contains all the Multicast channels. This file is added by default after an upgrade or new installation and should not be modified by the user.

  3. Add the IsWeeklySessionReset=True parameter to all [OrderServerSession_#] sections.
  4. In cfe_rollover_schedule.ini, set the time for each day to 15:20:00,15:20:00.
  5. Make the following changes to TTChron.ini
    • Price Servers/Price Proxies should run Monday 1:00am through Friday 4:30pm with a daily restart between 3:21pm and 3:23pm. The current TTChron entries are as follows:

      schedule=M@01:00-15:21;MTW@15:23-15:21;R@15:23-16:30/2

    • Order and Fill Servers should start after the Price Server has fully initialized. The current TTChron entries are as follows:

      schedule=M@01:10-23:45;TWR@00:15-23:45;F@00:15-15:21

  6. Migrate positions for Account-Based Risk. Starting with 7.16.9 Gateways, all Start of Day (SOD) records generated by the Fill Server will contain an account number. SOD records that exist prior to upgrading to 7.16.9 will continue to exist, and will continue to be included in MGT based risk. These SOD records will not contain an account number, and as a result will not be included in the account based risk checks.

    In order to include these positions in SOD calculations after the upgrade, you must delete the existing SODs and re-add them with the appropriate account number specified.

Settlement Prices

Also, for standardization purposes, the "close" column is no longer populated in X_TRADER. CFE gateway 7.16.16 and 7.17.20 and higher populate the "settle" column with the settlement price.

Currently, due to an exchange limitation, the settlement price for spread products is not available in the CSM feed. As a result, there will be no net change displayed in X_TRADER®.

As a workaround, customers can publish settlement prices via X_RISK®. To update settlement prices, follow the steps outlined in the X_RISK Online Help.

Known Issues

In the months leading up to the discontinuation of the FIX price feed, TT has released software that connects to the CFE Enhanced CSM Price Feed. We have also released software to support the extended CBOE Volatility Index® (VIX®) futures trading hours.

Customers have experienced several issues with both TT software and these events. Some of these issues have been resolved, while others may still be outstanding. For more details, please refer to Customer Advisory CA064-13 https://www.tradingtechnologies.com/en/support/advisories/2013/11/CA064-13/ .