CFE Bats Migration TT Client Impact

HOW DO I MIGRATE TRADERS IN SETUP on TT?

Can accounts use their existing CFE Connections?

CFE is issuing new sessions to customers for use on the new CFE API. Customers must create new connections using new credentials provided by the exchange. This can only be done after the CFE close on Friday, February 23rd.

* Required Fields  
  1. After the close on February 23rd, create the new CFE connections in the CFE exchange (not CFE_Dev).
  2. Assign the new connections to the appropriate accounts (make sure to check the “Include Sub-Accounts” option of the connection should be cascaded).
  3. Filter on “CFE” and “Created Time” to find the old CFE connections. Disable the old CFE connections by unchecking the Connection Enabled checkbox.

  4. Delete any Pre-CFE Bats connections from Setup any time after the exchange announces the final decision for go-live.

What is the impact to user settings?

The new CFE has required and optional fields that were not present in the old CFE user settings.

  • Before CFE close on Friday, February 23rd, these fields can be entered on the User’s CFE_Dev exchange, and will be migrated to the CFE exchange automatically.
 
  • After CFE close on Friday, February 23rd, these fields can be entered on the User’s CFE exchange.
  For market data, leave users with CFE market data enabled for CFE market data.

What is the impact to account settings?

The new CFE has required and optional fields that were not present in the old CFE account settings.

* Required Fields  
  • Before CFE close on Friday, February 23rd, these fields can be entered on the account’s CFE_Dev exchange, and will be migrated to the CFE exchange automatically. Do not enter MiFID fields as these will not be migrated.
 
  • After CFE close on Friday, February 23rd, these fields can be entered on the account’s CFE exchange.

How do I migrate product limits?

As products have not changed, there is no need to change the product limits. The old CFE limits will apply to the new CFE.

What is the impact to CFE products?

None.   Mock Participation February 24 mock participation will be on the CFE market (not CFE_DEV). In order to participate in the mock session on Saturday, February 24, customers MUST NOT use their production accounts. Instead, users should create a new account, to be used only for the mock session, which is not a child of any of their existing parent accounts.   After the mock session, all trade data will be purged.

CAN I MIGRATE EXISTING TRADER POSITIONS?

How do I handle Position Management during migration?

Customers must delete all working orders prior to the close on Friday, February 23rd. Positions for CFE products will not persist to the new CFE Bats platform. TT recommends closing all trader positions on the existing CFE connections before migrating to the new CFE Bats connections.   

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

WARNING: The exchange will not migrate any orders to the new platform. As part of the migration, CFE traders must delete all working orders and resubmit them after the migration to CFE Bats is complete. This includes all synthetic and native orders submitted for CFE contracts on Synthetic Strategy Engine and Autospreader® Strategy Engine. At the end of the trading session prior to migration, traders must cancel all GTC orders that were submitted prior to the close on February 23. After the migration is complete, traders should re-submit their GTC orders for CFE products, including for synthetic orders.   The following list summarizes CFE functionality to support CFE Bats:
  • The Order Server uses the FIX protocol for order entry.
  • New user and account tags as described in the previous section.
  • 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
  • Market orders and Stop Limit orders are not supported for Spread products
  • The CFE will reset sequence numbers daily, between 4:00 pm and 4:45 pm Central time.
  • Matched Trade Prevention instructions will be an order-by-order basis. The Self Match Prevention Field set on accounts (Tag 7928) will be used to populate the instruction.  The administrator has to enter one letter for each category (the 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. The credit Debit designations will not be used.
  • 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.

WHAT IS THE IMPACT TO ALGO DESIGN LAB (ADL)?

None.