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Understanding Order Management

Overview

The GMEX Gateway Order Server connects to the GMEX ForumMatch Trading System, which supports a FIX 4.4 interface for submitting orders and receiving execution reports and fills. The GMEX Gateway also connects to the Eurex FIXML Clearing interface to receive Trade Capture reports, approve trades, and receive Trade Confirmations.

For every trade that occurs, Eurex sends a Trade Capture report to the buyer and seller. The buyer and seller’s trading system approves this by sending a Trade Capture report to Eurex Clearing. Eurex acknowledges this request and sends a Trade Capture report through the Trade Confirmation queue. These message flows are logged in the FIXML Listener server logfiles on the GMEX Gateway.

Order Server Data Flow

The GMEX Gateway supports the following order flow:

  • The Order Server connects to GMEX ForumMatch FIX order connections using the parameters configured in the Hostinfo.cfg file.
  • The Order Server queries for all order and fill data from the GMEX.
  • X_TRADER® logs into the GMEX Gateway.
  • X_TRADER® submits an order to the Order Server.
  • The Order Server sends an ACCEPT/ADD message to the trader’s Audit Trail (in X_TRADER®).
  • The Order Server sends the order to the exchange host
  • Upon receipt, the exchange host sends an order confirmation back to the Order Server.
  • The Order Server sends the order confirmation (as an OK/ADD) to the trader’s Audit Trail in X_TRADER®.

Fill Server Data Flow

The GMEX Gateway supports the following fill flow:

  • The exchange host matches the order.
  • The exchange host sends a fill to the Order Server.
  • The Order Server records the fill in the fills.tbl file.
  • Simultaneously, the Order Server:
    • Sends a fill response to X_TRADER®. X_TRADER® displays a fill in the Audit Trail. X_TRADER® updates the relevant files and screens (i.e., if it is a complete fill, the order is removed from the X_TRADER® Order Book).
    • Sends the fill to the Fill Server.
  • The Fill Server updates the .bof file and sends a fill to X_TRADER®.
  • X_TRADER® displays the fill in the Fill Window.
  • For Block trades, the X_TRADER® Audit Trail receives an acknowledgment from the exchange host, but no fills are sent to or recorded by the Fill Server.

Clearing Process Data Flow

The GMEX Gateway supports the following Trade Capture report flow via the Eurex FIXML Clearing Interface:

  • The GMEX exchange host sends a Trade Capture Report to the Eurex Clearing Interface.
  • The Eurex Clearing Interface sends a Trade Capture report to the GMEX Gateway via the gateway’s FIXML session over an SSL connection.
  • The GMEX Gateway confirms/approves the trade for the user and sends the approval in a Trade Capture message to the Eurex Clearing interface via the FIXML session.
  • The Eurex Clearing Interface sends a Trade Confirmation back to the gateway and records the approval on the GMEX exchange host.
  • The FIXML Listener service on the GMEX Gateway receives the Trade Confirmation from the Eurex Clearing Interface and writes the approvals and Trade Confirmations to the FIXML Listener logfiles.

Account Types-CTI/Origin Codes

The GMEX Gateway routes only natively supported Account Codes, and will reject any orders placed with an unsupported account (e.g., U1). The GMEX Gateway supports the following Account Code values which are not configurable:

Account Codes: GMEX Gateway
Account Type CodeAccount TypeActivity

A1-A9

Agent accounts

Clients only

G1

Pre-designated Give Up

Without the member ID of the receiving Clearing Member

G2

Designated Give Up

With the member ID of the receiving Clearing Member

P1, P2

Proprietary

Own account

M1, M2

Market Maker

Quotes

Exchange API Mapping for Order Routing

The following table shows how order session and account information are mapped to the GMEX exchange API when submitting order actions:

GMEX Exchange API Mapping
Exchange API FieldTT FieldDescriptionMandatory for Order Routing?
Tag 49

GatewayCompany

This is the exchange-provided SenderCompID. Configured in hostinfo.cfg on the GMEX Gateway.Yes
Tag 56ExchangeCompanyThis is the exchange-provided TargetCompId. Configured in hostinfo.cfg on the GMEX Gateway.Yes
Tag 1

FFT3

This is the exchange-provided account number submitted in the FFT3 field in X_TRADER®

Note: The TT account number in the Account Number field in X_TRADER® is not mapped to the API and sent to the exchange.

Yes
Tag 20002Account TypeSelected in X_TRADER®.Yes
Tag 20003FFT2Optional, user-defined value entered in X_TRADER®.No
Tag 115Give UpEntered in X_TRADER® for Give Up orders. Yes, for orders placed with Account Type G1/G2, the Give Up field is mandatory for order routing.

Give Up Orders

To submit Give Up orders, traders must populate the Give Up field in X_TRADER® or other client trading application. If the Give Up field is populated through a TT Client application, the GMEX Gateway maps the value to Tag 115. For orders placed with Account Type G1/G2 (Give Up orders), Tag 115 is mandatory.

Order Book Sharing

GMEX Gateways share order book information between traders of the same membership and same group. This represents the default behavior and is similar to other TT Gateways. You can also use TTORDs to divide traders by group, which disables order book sharing across the membership.

When a trader submits an order, that order appears in the order book of every trader who shares the same membership and group. In addition, all traders that share a membership and group can modify and delete each other’s orders.

Order Management

To increase order efficiency, the GMEX Gateway behaves as follows:

  • The GMEX Gateway processes only orders and fills that originate from that GMEX Gateway.
  • The TT Gateway ignores all “foreign” orders that originate elsewhere (i.e., another GMEX Gateway). The GMEX Gateway does not forward foreign orders to the client applications.
  • You can modify orders (i.e., increase/decrease quantity or price) that originate from the GMEX Gateway, including working orders that have been partially filled.
  • The GMEX Gateway supports order book sharing only between traders using the same member ID and group ID and sharing the same GMEX Gateway.

Order Session Identification

TT Gateways 7.16 and higher contain an enhancement that displays the exchange credential used to route all orders and fills through the exchange. This includes all order modifications and exchange rejects but does not include order actions on Hold orders and position reserve orders.

Currently, the order session identifier is available in the following locations:

  • Audit logs: appears in the ExchangeCredentials column
  • Order Server logfile
  • FIX Adapter 7.8: via Tag 18216 (ExchCred)
Note

The exchange credential will be available in future versions of other TT client applications.

For GMEX, the exchange credential equals the Member parameter configured in the [OrderSession_#] section used to route the order. The parameter is configured in Hostinfo.cfg.

Configuring the Order Server Start Parameter

You can configure a start parameter to reset all sequence numbers when starting the Order Server via the Services dialog box. Currently, the GMEX Gateway supports the following parameter:

Order Server Startup Command Line Parameter
ParameterDescription
-r

This parameter enables the Order Server to reset the sequence numbers for all or specific order sessions on the GMEX Gateway.

  • To reset all FIX sessions, use the format: OrderServer.exe -r all
  • To reset a single FIX session, use the format: OrderServer.exe -r <Member>
  • To reset multiple FIX sessions, use the format: OrderServer.exe -r <Member1>;<Member2>

    For multiple order sessions, enter a semi-colon delimiter between each Member ID listed.

NOTE: A space is required between -r and the parameter settings (e.g., -r all)

To configure the Order Server start parameter

  1. Click on the Start menu, select Administrative Tools, and then Services
  2. Right-click the Order Server service and select Properties
  3. In the Start parameters: field, configure the -r parameter.
  4. After configuring the parameter, click Start
  5. Click OK

Sequence Number Reset

GMEX resets FIX message sequence numbers at the end of each trading session when the exchange host shuts down at 17:15 GMT each day. When the exchange host starts up at 5:00 GMT the next day, the message sequence numbers will be reset to 1.