Try TT Now

Functions and Features

Product Overview

The TT Synthetic Strategy Engine (Synthetic SE) is a server-class product that provides order type functionality not supported natively at exchanges. Additionally, Synthetic SE provides support for staging orders.

Because of its multi-threaded concurrent architecture, Synthetic SE provides a highly scalable and high performance solution. You can minimize latency by locating the TT Synthetic Strategy Engine in close proximity to Exchanges and TT Gateways.

X_TRADER users can enter all synthetic order types and begin using Synthetic SE with minimal training. Staged orders can also be submitted using the TT FIX Adapter.

TT Gateway Support

The TT Synthetic Strategy Engine supports connectivity and order routing for the following TT Gateways:

  • TT BrokerTec Gateway (7.15 or higher)
  • TT BVMF Gateway (7.15 or higher)
  • TT CFE Gateway (7.15 or higher)
  • TT CBOT Gateway (7.15 or higher)
  • TT CME Gateway (7.15 or higher)
  • TT eCBOT Gateway (7.14.4 or higher)
  • TT Eurex Gateway (7.14.9.7 or higher)
  • TT ICE Gateway (7.14.0.14 or higher)
    Users should set orders as GTC in order to persist and continue working orders when the TT ICE Gateway Order Server is restarted.
  • TT LME Gateway (7.15.1 or higher)
    Users should set orders as GTC in order to persist and continue working orders when the TT LME Gateway Order Server is restarted.
  • TT MEFF Gateway (7.14.0.13 or higher)
  • TT MX Gateway (7.16.1 or higher)
  • TT NYSE_Liffe Gateway (7.15 or higher)
  • TT OSE Gateway (7.14.3 or higher)
  • TT SFE Gateway (7.15 or higher)
  • TT SGX Gateway (7.14.0.18 or higher)
    Users should configure the proper membership with the SGX exchange in order to persist and continue working orders when the SGX Gateway Order Server is disconnected or restarted. This configuration setup occurs independent of the TT SGX Gateway. The behavior of any inactivated orders upon re-connection to the Gateway can be configured on the Gateway through the hostinfo parameter, ResubmitOnStartup. For more information, refer to the TT SGX Gateway help.
  • TT TFX Gateway (7.14 or higher)
  • TT TOCOM Gateway (7.14.0.19 or higher)
  • TTSIM

Because the TT Synthetic Strategy Engine performs credit risk calculations when routing staged order child orders, it must be configured to connect to all TT Gateways to which users can route orders. However, users should not route staged orders for contracts from the TT FIX Gateway.

Note

If the persistent order book file is deleted on a TT Gateway, you must delete all synthetic orders for that TT Gateway. Otherwise, order acknowledgments can report incorrect quantities for these orders.

Restrictions for Multiple Exchange-Flavor Gateways

TT Synthetic Strategy Engine cannot connect to both price servers and price proxies for multiple Exchange-Flavor Gateways, such as CME-A and CME-B. For example, suppose CME-A functions as a Price Server and that CME-B and CME-C have price proxies linked to the Price Server on CME-A. In this case, Synthetic SE can connect to CME-A or to CME-B and CME-C, but it cannot connect to all three or to any other combination.

Hardware Requirements

The TT Synthetic Strategy Engine must be installed on a dedicated TT Server-Class machine with a minimum of eight CPU cores, such as a dual Quad-Core machine. Synthetic SE scales automatically for systems with additional CPU cores. For more information, refer to the TT Trading Systems Hardware and Software Requirements manual, located on the TT Customer Portal.

The server on which Synthetic SE runs must have a minimum of Windows Server 2008, Server Pack 2, 64-bit.

Note

The installation script does not allow you to install the software on a system with fewer than eight CPU cores.

Software Requirements

X_TRADER 7.11.4 includes enhancements necessary to integrate the TT Synthetic Strategy Engine. Thus, clients must use X_TRADER 7.11.4 or later to take advantage of the functionality offered by the TT Synthetic Strategy Engine.

TT User Setup 7.4 or greater is required to configure users to take advantage of with staged order functionality.

If you need to use X_RISK, you must use X_RISK 7.12.2 or greater.

To submit staged orders, traders must use X_TRADER 7.11.4 (or higher) or TT FIX Adapter 7.8.0 (or higher). Claiming and working staged orders is available only to traders using X_TRADER 7.11.4 or higher.

To receive order acknowledgments and fill updates from a TT FIX Adapter for non-staged, synthetic orders sent from a Synthetic SE server, traders must use TT FIX Adapter 7.17.2 or higher.

Synthetic SE Order Types and Attributes

Synthetic SE provides support for the following types of synthetic order types and attributes.

Category Type or Attribute Description
Synthetic Order Types Time Slicer Time Duration An order whose total quantity is sliced into smaller disclosed quantity orders and submitted at fixed time intervals.
Volume Slicer Volume Duration An order whose total quantity is sliced into smaller disclosed quantity orders and submitted at fixed market volume intervals.
Iceberg An order whose total quantity is sliced into smaller disclosed quantity orders and submitted when the prior slice is completely filled.
Stop A conditional order to sell (buy) when the price of a security falls (rises) to a designated level.
If-Touched A conditional order to buy (sell) when the price of a security falls (rises) to a designated level.
Trailing Stop A sell (buy) stop order whose trigger price is continually recalculated as the price of a security rises (falls).
Trailing If-Touched A buy (sell) if touched order whose trigger price is continually recalculated as the price of a security rises (falls).
Trailing Limit A buy (sell) limit order whose price is continually recalculated as the price of a security rises (falls).
Machine Gun A market / limit order which will be continually submitted until accepted by the exchange.

Synthetic Order Attributes

Note: Order attributes can be applied to both native and Synthetic SE orders.

Start Time Used to specify when the execution of an order should begin.
End Time End Time Action Used to specify when the execution of an order should be stopped along with an optional action that should be taken on any unfilled balance.
With A Tick (WAT) When the With a Tick (WAT) parameter is enabled, Synthetic SE monitors the opposite inside market of an order and converts a passive order to an aggressive order when the specified quantity threshold is met.
Relative Price Type (bid, ask, LTP, etc.) Relative Price Offset Used to specify the price of an order as relative to another price.
Market To Limit Used to convert market orders to limit orders priced into the market according to a user specified parameter.
One Cancels Other Used to cancel one child order when another child order is filled. (Supported for only for Synthetic SE 7.17.20 and X_TRADER 7.17.20 or higher)
Other Staged Order An order one trader creates for another trader to execute.

Risk Checking

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 native all child orders to TT Gateways without performing any additional risk checking.

When submitting a staged order to Synthetic SE, neither X_TRADER nor TT FIX Adapter performs any risk checking. Instead, risk checking is performed by Synthetic SE 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.

If you plan to support staged orders, make sure that you correctly configure Synthetic SE credentials. For more information, refer to the section called Determining TT Gateway Login Credentials, on page 28.

Note

For non-slicer synthetic order types, the total order quantity is used for the Max Order Qty risk check. For synthetic slicer order types, the largest potential child order quantity is used for the Max Order Qty risk check. If the CheckMaxOrderSizeForSyntheticOrders configuration is Y, however, Synthetic SE performs the check on the quantity of the parent synthetic order.

Time-In-Force (TIF) support

For staged orders, Synthetic SE supports all TIFs.

For non-staged orders, the TIF selected when the synthetic order is entered will be applied to both the parent synthetic order as well as the child orders submitted to the exchange. Synthetic SE supports the following TIF options:

  • GTC: Synthetic SE works the parent synthetic order until it is fully-filled or canceled.
  • GTD: Synthetic SE works the parent synthetic order until the TT session of the corresponding TT Gateway changes (i.e. until the TT Gateway rolls).

The TT Synthetic Strategy Engine rejects any order it receives with another TIF value.

Failover

Synthetic SE does not support hot failover (e.g., two Synthetic SE servers cannot work in failover mode).

Order and fill timestamps

Synthetic SE provides timestamps for synthetic orders and staged order summary fills in UTC.