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Determining TT Gateway Login Credentials with Dynamic Connections Disabled

Overview

When configured without dynamic connections (EnableDynamicConnections=Y), Synthetic SE logs into each TT Gateway once and acts on behalf of all traders who connect to it. Therefore, the MGTs Synthetic SE uses to log into the TT Gateways must have the authority to act on behalf of all traders using the TT Synthetic SE Gateway. Specifically, the MGTs Synthetic SE uses to log into the TT Gateways must have permissions to view all orders and fills of all traders who will connect to it.

the figure called Sample TT Synthetic Strategy Engine Configuration shows a sample Synthetic SE configuration that demonstrates how Synthetic SE routes orders on behalf of multiple traders.

Sample TT Synthetic Strategy Engine Configuration

Guidelines for Determining TT Gateway Logins

Synthetic SE 7.2.6. introduced support for order staging and the X_TRADER Avoid orders that cross option. Both are disabled by default. To enable them, you must set the RequestUnsolicitedEvents configuration option to Y.

The recommendations for determining which TT Gateway login credentials to use differ depending on which functionality you need to support, as follows:

Style

Required Functionality

Configuration Setting

Type 1

Order staging : No Avoid orders that cross : No

RequestUnsolicitedEvents=N

Type 2

Order staging : No Avoid orders that cross : Yes

RequestUnsolicitedEvents=Y

Type 3

Order staging : Yes Avoid orders that cross : Yes/No

Note: Configuring Synthetic SE for order staging automatically enables the Avoid orders that cross functionality.

RequestUnsolicitedEvents=Y

Logins: Type 1

Before submitting a non-staged synthetic order to Synthetic SE, X_TRADER performs a complete risk check (position, order quantity, and credit). Synthetic SE then routes all child orders to TT Gateways without performing any additional risk checking. Therefore, Synthetic SE does not need to see unsolicited orders and fills.

For this type, TT recommends using TTADM/XXX/MGR as the credentials for all TT Gateways to which Synthetic SE will connect. Under ordinary circumstances, using a high level login would result in a high degree of traffic, as it has visibility to all order and fills for all MGTs. However, when RequestUnsolicitedEvents=N, Synthetic SE listens for only those order and fill updates for orders that it sends. Thus, the performance impact of using a high level login has been mitigated.

Logins: Type 2

If you want to support the X_TRADER Avoid orders that cross functionality, Synthetic SE needs to see all unsolicited orders from the TT Gateways to which orders will be routed. When deciding which MGTs to use for connecting to the TT Gateways, you need to take into account the hierarchical relationships of the order routing credentials associated with each trader who will connect to Synthetic SE.

For example, assume you plan to configure a Synthetic SE to host the following traders that will submit synthetic orders for CME contracts with the X_TRADER Avoid orders that cross option enabled.

TT Universal Login ID

TT Gateway

TT Routing MGT

Exchange MGT

JOE

CME-A

TTORDXY/777/001

DJ99/FFH/111

MIKE

CME-A

TTORDXY/777/002

DJ99/FFH/111

BILL

CME-A

TTORDXY/888/001

DJ99/FFH/111

In this scenario, TT recommends that the administrator configures Synthetic SE with either of the following TT Gateway logins.

TT Gateway

Member ID

Group ID

Trader ID

Member ID

Group ID

Trader ID

CME-A

TTORDXY

XXX

MGR

OR

DJ94

FFH

111

With Synthetic SE configured in this manner, JOE, MIKE, and BILL can route synthetic orders with the X_TRADER Avoid orders that cross option enabled for CME contracts.

Note

Because of the potential impact on performance, TT recommends that you avoid using higher-level logins for TT Gateway logins unless no other solution can meet your business purposes.

Logins: Type 3

When submitting a staged order to Synthetic SE, neither X_TRADER nor TT FIX Adapter performs any risk checking. Instead, Synthetic SE performs risk checking for each child order of the staged order using the position and credit limits of the staged order originator and the maximum order quantity limits of the execution trader. To perform risk-checking, Synthetic SE must see the unsolicited orders and fills of those traders who submit and work staged orders.

When deciding which MGTs to use when connecting to the TT Gateways, you need to take into account the hierarchical relationships of the order routing credentials associated with each trader who will connect to Synthetic SE. You also need to consider the TT Gateways to which they are mapped.

For example, assume you plan to configure a Synthetic SE to host the following traders that will submit staged orders for CME contracts.

TT Universal Login ID

TT Gateway

TT Routing MGT

Exchange MGT

BOB

CME-A

TTORDPM/007/001

DJ94/887/355

Eurex-A

TTORDPM/007/001

EE99/GJM/J8F

PAUL

CME-A

TTORDPM/007/002

DJ94/887/355

Eurex-A

TTORDPM/007/002

EE99/GJM/J8F

PETER

CME-A

TTORDPM/009/001

DJ94/887/355

Eurex-A

TTORDPM/009/001

EE99/GJM/J8F

In this scenario, TT recommends that the administrator configures Synthetic SE with either of the following TT Gateway logins.

TT Gateway

Member ID

Group ID

Trader ID

Member ID

Group ID

Trader ID

CME-A

TTORDPM

XXX

MGR

OR

DJ94

887

355

Eurex-A

TTORDPM

XXX

MGR

EE99

GJM

J8F

Notice that you need to configure Synthetic SE to connect to the TT Eurex-A Gateway even though the users only require the ability to submit staged orders for CME contracts. You must configure both because Synthetic SE needs to see all of these users orders and fills so it can perform the credit risk checking. With Synthetic SE configured in this manner, BOB, PAUL, and PETER will be able to route all synthetic order types offered by Synthetic SE, including staged orders.

Note

Because of the potential impact on performance, TT recommends that you avoid using higher-level logins for TT Gateway logins unless no other solution can meet your business purposes.

If a trader logs into more TT Gateways than the Synthetic SE Gateway does, the trader will be able to route orders for all synthetic order types except for staged orders because Synthetic SE needs a complete picture of a trader’s risk to submit a staged order’s child orders. Likewise, Synthetic SE cannot route a staged order’s child orders for traders who use logins outside the credential hierarchy of the Synthetic SE TT Gateway logins.

For example, assume traders TOM and MARY are configured as follows.

TT Universal Login ID

TT Gateway

Member ID

Group ID

Trader ID

TOM

CME-A

TTORDPM

009

001

Eurex-B

TTORDPM

009

001

MARY

CME-A

TTORDPM

009

001

Eurex-A

TTORDAB

009

001

TOM can route orders for all synthetic order types except for staged orders for contracts listed on the TT CME-A Gateway. Because Synthetic SE is not configured to connect to Eurex-B, it does not have a complete picture of the TOM’s risk. MARY can route orders for all synthetic order types except for staged orders for contracts listed on the TT CME-A Gateway. Because TTORDAB/009/001 is not in the TTORDPM/XXX/MGR hierarchy, Synthetic SE does not have a complete picture of the MARY's risk.

For a comprehensive description of the hierarchical relationship between the order routing credentials, refer to the TT User Setup User Manual.