CFE Bats Migration Client Impact

What is the X_TRADER® Impact?

 

Can I migrate existing workspaces?

Yes. Since price series keys are not changing, existing workspaces may be used.  

How do I manage working orders during migration?

Prior to migration, traders must cancel all working orders, including GTC, GTD, and GTDate orders entered for CFE  products.  

Will spreads in Autospreader that include CFE products have to be deleted in advance of the migration and rebuilt after migration?

No. Since price series keys are not changing, existing spreads may be used.  

Are Wholesale Orders supported?

No.

What is the impact to X_TRADER® Plug-ins?

 

Is there impact to RTD?

No.  

What is the impact to Trade Tracker or other X_TRADER® Professional Services

None.

What is the X_RISK Impact?

 

Can I migrate existing workspaces?

Yes. Since price series keys are not changing, existing workspaces may be used.  

What if I currently use an X_RISK Historical Fill Server (HFS)?

You can begin recording data from the new CFE Gateway following the migration.  

Will SODs be carried over or do I have to publish via X_RISK?

If installing a new CFE Gateway, TT recommends closing all trader positions on the existing CFE Gateway before migrating to the new CFE Gateway. Users must manually enter SOD records for any outstanding CFE positions.

 

How Do I Migrate Traders in TT User Setup?

Can traders use their existing trader IDs on the new CFE Gateway?

CFE is issuing new sessions to customers for use on the new CFE API. Customers must create new gateway logins using new credentials provided by the exchange.   Customers should create new CFE-specific order sessions. New, CFE-specific order sessions may be added to the CFE Gateway.   Updates to Customer Defaults should be completed following the migration, (e.g., updating Account Types if necessary)  

Single-Broker TTNET Client

Do the following for each of your existing Gateway flavors by using the migration tool in TT User Setup:
  • Advanced Prep - Create new flavors by copying from existing Gateways for the Go-Live weekend.
  • On or after February 23rd - Enable new flavors and disable old flavors. Update the “Connection” values in Customer Defaults if it is used.
  • Post Go-Live - Delete existing (old) flavors from TT User Setup after the exchange announces the final decision for go-live.
  To migrate trader IDs in TT User Setup :
  1. Create new flavors by copying from your existing CFE Gateways prior to the go-live on February 25th:

Prior to the go-live, go to Server Admin | Migrate Users to New Gateway.

Uncheck “Delete Gateway Logins related to source gateway” to leave existing (old) flavors, and use “Set all to unavailable (unchecked)” and “Set all to manual (unchecked)”.

 

For the description of each parameter, refer to https://www.tradingtechnologies.com/help/tt-user-setup/server-administration/migrating-users-to-a-new-gateway/

 

The Source,Target and setting information in the following image are for example purposes only.

  1. Disable old flavors and enable new flavors:

    After the close on February 23rd, disable the old Gateway flavors and enable the new flavors from User Admin | User’s Gateway Login Attributes | Filter on a flavor | Select All Rows | Edit.

     

    Filter on the old gateway flavors and disable them by unchecking “Available to User” “Available to FIX Client” and “Automatically Login”.  When this is complete, click Save.

     

    Filter on the new gateway flavors and enable them by checking “Available to User”,  “Available to FIX Client”, and “Automatically Login”, When this is complete, click Save.

    The step above covers Gateway Login, Gateway Login Product Limits, Account Based Product Limits, and Customer Defaults, except for the “Connection” field in Customer Defaults. The “Connection” field has to be updated manually. To find out if “Connection” is configured, go to User Admin | X_TRADER Customer Defaults, and ensure “Conn Gateway” and other  “Conn xxxx” fields are empty.

  1. Delete existing (old) flavors from TT User Setup after the exchange announces the final decision for go-live.
 

ASP (MultiBroker) Client

The steps are the same as above for Single Broker ASP, except that migration of the existing gateway flavors to the new gateway flavors will be handled by TT.

Summary:
  • After close of trading on February 23rd - Enable new flavors and disable old flavors. Update “Connection” in Customer Defaults if it is used.
  • Post Go-Live - Delete existing (old) flavors from TT User Setup after the exchange announces the final decision for go-live.

For detailed instructions, see the previous section.

 

How do I migrate product limits under Gateway Login?

When you use  the "Migrate Users to New Gateways" procedure, this will migrate all Product Limits copied to the new gateway flavor.  

For adding/editing Product Limit, refer to the following Help. https://www.tradingtechnologies.com/help/tt-user-setup/gateway-login-risk-administration/creating-product-limits-for-gateway-logins/

 

What is the impact to API Applications?

 

Are there changes to various API fields?

The following tags will not be changing, so no major impact are expected for API applications:
  • LongSeriesName
  • Series Key
  • Product Code
  • Expiry
  Customers are encouraged to perform testing prior to the launch to ensure that no other tags have changed which might impact their applications.  

What is the impact to CFE products?

None.  

What is the minimum version of TTAPI/X_TRADER API?

There are no dependencies that are version-specific due to the upgrade to the new CFE platform.

How does this migration impact existing FIX Adapter users?

Prior to migration, traders must cancel all working orders, including GTC, GTD, and GTDate orders entered for CFE products. The exchange will not migrate any working orders to new CFE.   Customers should adjust TTChron on FIX Adapters to correctly handle the new exchange schedule.  

What is the FIX Client Impact?

The following tags will not change, so no major impact is expected for FIX Adapter:
  • LongSeriesName
  • Series Key
  • Product Code
  • Expiry
  Customers are encouraged to perform testing prior to the launch to ensure that no other tags have changed which might impact their applications.  

Is there impact to FIX Adapter logins in TT User Setup?

You must update all FIX Adapter Client and Server Gateway Logins with correct logins as necessary. CFE is issuing all new sessions to customers for use on the new CFE API, so new gateway logins are required.

Can I migrate existing trader positions?

 

How do I handle Position Management during migration?

Customers must delete all working orders prior to the uninstall and reinstall of the CFE 7.18.x gateway. Positions for CFE products will not persist to the new CFE Gateway. TT recommends closing all trader positions on the existing CFE Gateway before migrating to the new CFE Gateway. Users must manually enter SOD records for any outstanding CFE positions.   Note: Pre-migration fills will not be retrieved from the old CFE Gateway. After the migration, new *bof.tbl and *fills.tbl files will be created.  

Can I use Auto-SOD with the CFE Gateway?

If Auto-Calculate-SOD was enabled on the existing CFE Gateway, ensure that it is enabled on new CFE Gateway after installation. As long as the Fill Server rollover times are the same for all products traded on the CFE Gateway, you can use the Auto-Calculate-SOD functionality after the migration.  

Can GTC, GTD, and GTDate orders remain working in the market during the migration?

 

WARNING: As part of the migration, CFE traders must delete all working orders and resubmit them on the newly installed CFE Gateway. This includes all synthetic and native orders submitted for CFE contracts on Synthetic Strategy Engine and Autospreader® Strategy Engine servers.

At the end of the trading session prior to migration, traders must cancel all GTC, GTD, and GTDate orders that were submitted on the old CFE Gateway.

WARNING: The exchange will not migrate any orders to the new platform.

  After the migration is complete, do the following:
  • Start the CFE Gateway prior to the first trading session in order to download settlement prices from the exchange.
  • Have traders connected to the CFE Gateway resubmit their GTC, GTD, and GTDate orders for CFE products.
  • For CFE Gateways connected to Strategy Engines, have traders resubmit their GTC, GTD, and GTDate spread orders to the Autospreader SE and synthetic orders to the Synthetic SE for CFE products.
 

What is the FMDS Impact?

 

What configuration changes are required to FMDS?

None. Neither product names nor series keys are changing as a result of this migration.  

What is the recommended FMDS Version?

TT recommends users upgrade to FMDS Version 7.6.4.5p26 for 32bit, 7.6.4.5p29 for 64bit or higher.

What is the TT Gateway Impact?

 

How do I configure the Order Server:

  The Hostinfo file which needs to be configured with appropriate production credentials to establish the connection for Orders. The file includes the following sections:
  • Exchange credentials such as IP and different IDs as mentioned below. It should not have a password as the authentication is based on the IP address.
  • Account code mapping based on the CTI code and Order capacity. There are separate fields for Account Type (Customer/Firm) and CTI code (1, 2, 3, 4). The mapping is different than the current CFE Gateways.
 

Example - CFE Hostinfo File

 

ExchangeIP=x.x.x.x

ExchangePort=xxxxx <- Provided by the exchange

BackupIP=x.x.x.x

BackupPort=xxxx  <- Provided by the exchange

SenderCompId=TTCH

SenderSubId=0002 <- Provided by the exchange

TargetCompId=CFE

Member=CFE

 

# CBOE AccountCode mapping - can be customized for each configured sessions

##

# CTI Codes are:

# 1 Individual TPH

# 2 Proprietary Account TPH

# 3 Individual

# 4 Other

##

# Valid CBOE supported Order Capacity Codes

# 1 - Firm

# 0 - Customer

# C=0, F=1

##

# CTI / Order Capacity Mapping

A1=11

A2=21

A3=20

A4=31

M1=21

P1=10

P2=30

P3=40

 

The following table shows the mapping of TT Account types with the new CTI code and Order Capacity for CFE Bats. It also provides a reference to the corresponding old CFE Account types.

 
TT Account Type Old- CFE Account Type New- CTI Code New - Order Capacity CFE BATS Derivation (C=0, F=1)
A1 E 1 Firm 11
A2 F 2 Firm 21
A3 O 2 Customer 20
A4 H 3 Firm 31
M1 M 2 Firm 21
P1 D 1 Customer 10
P2 A 3 Customer 30
P3 C 4 Customer 40
U1 L 4 Firm 41
The derivation is the combination of CTI and Order Capacity.
 

The following list summarizes CFE Gateway 7.18 Order Server functionality to support CFE Bats:

  • The Order Server uses the FIX protocol for order entry.
  • The GIVEUP field is used for the CMTA number, which is populated in FIX Tag 439.
  • The FFT3 field is used for the “SubAccount” and is populated in Fix Tag 440.
  • If configured in Hostinfo, FFT4 will be used for “SubAccount” instead of FFT3 for customers. If there is no configuration in Hostinfo, FFT3 will be used to populate the "SubAccount."
  • The FFT2 field is used for OnBehalfOfCompID (EFID) and will populate Fix Tag 115. This a mandatory field for order routing.
  • All CFE order types will be supported by the new CFE platform. The permitted order types in the new CFE platform are:
    • Stop Limit Orders
    • Market/Limit Orders
    • DAY
    • GTC
    • IOC
    • FOK
    • Spread Orders
  • The CFE will reset sequence numbers daily, between 4:00 pm and 4:45 pm Central time.
  • Order Entry Operator ID/ ATS Operator ID (tag 25004) and Manual Order indicator ((Tag 1028) will both be required fields.
    • If Manual order indicator (Tag 1028)=Y, then Use TTUS field Operator ID to populate Tag 25004
    • If Manual order indicator (Tag 1028)=N, then use Exchange-2 field ATS Op ID to populate Tag 25004
  • Matched Trade Prevention instructions will be an order-by-order basis. Tag 7928 will be used to populate the instruction.  The user has to enter one letter for each category (3rd category is optional). For example: NF1, OMa, BF, etc.
    • Match Trade prevention has 3 characters
      • 1st character - MTP Modifier
        • N=Cancel Newest
        • O=Cancel Oldest
        • B=Cancel Both
      • 2nd character - Unique ID level
        • F=Prevent Match at CFE Exchange TPH level
        • M=Prevent Match EFID Level
      • 3rd character - Trading Group Level (optional). (TPH Specified alphanumeric level)
  • Spread order entry will be conforming to standard futures pricing.
  • Cancel-Replace/Order update handling will conform to standard FIX handling where an OrderQty delta is calculated and applied to LeavesQty. This leaves the user in total control of contract quantity exposure when the modification request overlaps partial fills for the order.
  • Bandwidth restrictions (orders per second) will be substantially higher, i.e., 3000 msg/sec.
  • Price limits will be in effect during extended trading hours. Orders to buy above the upper limit or to sell below the lower limit will be rejected when the limits are in effect.
Below is the summary of the above settings for customer defaults fields. The customer defaults need to be set up correctly to satisfy the requirements for the new API.  
X_TRADER Current CFE FIX Tag CFE BATS FIX Tag
Account Account 1 Account 1
GIVEUP Clearing Account 440 CMTA Number 439
FFT2 Executing Broker 76 OnBehalfOfCompID 115
FFT3 Not Used SubAccount 440
FFT4* Not Used SubAccount 440
*If configured in Hostinfo in the field "SubAccountIsFFT4", Sub Account will be populated using FFT4 instead of FFT3
 

For procedures to configure the Order Server and order sessions, refer to: https://www.tradingtechnologies.com/help/cfe-gateway/configuring-order-management/configuring-the-order-server-and-order-routers/

 

How do I configure the Price Server?

 

The Hostinfo file must be configured with appropriate production credentials to establish the connection for market data. The Gap Request Proxy (GRP) port configuration is required to recover missing data and for message retransmission. The SPIN port configuration is required to fetch the current snapshot of the book at that point of time.

Example - Price Server configuration in Hostinfo

 

[PriceServer]

MulticastGroup=UNIT-1

#SPIN creds for retransmission

#Below field Provided by the exchange

unit-1_spin_user_id=<user ID>

#Below field Provided by the exchange

unit-1_spin_user_password=<password>

#Below field Provided by the exchange

unit-1_spin_user_sessionsubid=<session SubID>

#Below field Provided by the exchange

unit-1_spin_server=<ip:port>

 

#GRP creds for retransmission

#Below field provided by the exchange

unit-1_grp_user_id=<user ID>

#Below field provided by the exchange

unit-1_grp_user_password=<password>

#Below field provided by the exchange

unit-1_grp_user_sessionsubid=<session SubID>

#Below field provided by the exchange

unit-1_grp_server=<ip:port>

 

MulticastGroup=UNIT-2

#SPIN creds for retransmission

#Below field Provided by the exchange

unit-2_spin_user_id=<user ID>

#Below field Provided by the exchange

unit-2_spin_user_password=<password>

#Below field Provided by the exchange

unit-2_spin_user_sessionsubid=<session SubID>

#Below field Provided by the exchange

unit-2_spin_server=<ip:port>

 

#GRP creds for retransmission

#Below field provided by the exchange

unit-2_grp_user_id=<user ID>

#Below field provided by the exchange

unit-2_grp_user_password=<password>

#Below field provided by the exchange

unit-2_grp_user_sessionsubid=<session SubID>

#Below field provided by the exchange

unit-2_grp_server=<ip:port>

 

# Unless your Primary NIC is in the exchange network,

# uncomment the applicable line(s) below and

# fill in the NIC IP address(es)

#NetworkInterface=xxx.xxx.xxx.xxx

#NetworkInterfaceFeedA=xxx.xxx.xxx.xxx

#NetworkInterfaceFeedB=xxx.xxx.xxx.xxx

 

Example - Price Server configuration in MulticastGroups configuration file

 

# Do not modify below field. These are Production details for CFE PITCH

[UNIT-1]  

# Do not modify below field

ChannelNumber=0  

# Do not modify below field

Exchange=CFE  

 

# Real Time Multicasts channel for CFE PITCH  

# Do not modify below field

AddressFeedA=224.0.131.132:30001  

# Do not modify below field

AddressFeedB=233.130.124.132:30001  

 

# Gap Multicasts channel for CFE PITCH

# Do not modify below field

GapAddressFeedA=224.0.131.133:30001

# Do not modify below field

GapAddressFeedB=233.130.124.133:30001

 

# Do not modify below field

[UNIT-2]  

# Do not modify below field

ChannelNumber=0  

# Do not modify below field

Exchange=CFE  

 

# Real Time Multicasts channel for CFE PITCH

# Do not modify below field

AddressFeedA=224.0.131.132:30002  

# Do not modify below field

AddressFeedB=233.130.124.132:30002  

 

# Gap Multicasts channel for CFE PITCH

# Do not modify below field

GapAddressFeedA=224.0.131.133:30002

# Do not modify below field

GapAddressFeedB=233.130.124.133:30002

 

Price Server - Multicast PITCH Summary

 
  • CFE’s current data feeds – CSM and CSM Level 2 – will be replaced by the Cboe Multicast TOP and PITCH feed protocols. The PITCH feed is an order-by-order feed, and it replaces CSM Level 2’s aggregated depth feed
  • CFE participants will need to use CFE multicast PITCH to receive real-time depth of the book quotations and execution information from CFE. All versions of Multicast PITCH feed will be WAN-shapes (maximum 100 Mb/s) and will be available from CFE data centers.
  • The CFE Multicast PITCH and TOP Trading Status message type is used to indicate a current trading status of an instrument and will be sent whenever a instrument’s trading status changes.
  • Gap Request Proxy (GRP) message is used to request delivery of the missed sequenced data by establishing TCP connection to a multicast PITCH GRP port.
  • The SPIN server allows participants to connect via TCP and receive a snapshot of inside book and symbols with limited trading conditions on that unit. This is for the purpose of requesting the current CFE book in the middle of the trading session.
  • Settlement prices will be disseminated for each futures product as soon as they are available. There will be no wait until settlement prices for all products are calculated.

What is the Impact to Algo Design Lab (ADL)?

 

What is the impact to existing algo templates?

None.  

How does this affect ‘persisted’ algo templates?

None.

What is the impact to Strategy Engines connected to the new CFE Gateway?

 

What SEs are impacted?

Autospreader® SE, Algo SE, and Synthetic SE servers connected to CFE Gateways in your trading environment are not impacted.  

Do I have to make configuration changes to the SE servers?

No configuration changes for Synthetic SE will be needed unless the gateway flavor will change as a result of the API upgrade.  

What about working orders on SEs for CFE contracts?

Prior to migrating to the new CFE Gateway, traders must delete all working native and synthetic orders submitted for CFE contracts on a Synthetic Strategy Engine, Algo SE, or Autospreader® Strategy Engine server.