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Pro-rata Matching Support

Overview

TT SIMTM offers Pro-rata matching for specific products. Products that do not support Pro-rata are matched using First-in, First-out (FIFO) time/priority matching. The matching occurs as configured regardless of the matching engine of the underlying market.

Older versions of TT SIM only allow for First-in, First-out (FIFO) time/priority matching.

This enhancement allows users to:

  • run strategies against pro-rata matching.
  • assess trader performance against a pro-rata matching engine.

Types of Pro-rata Matching

Under FIFO matching, large orders may prevent orders with smaller volume from trading in the inside market. Pro-rata matching allows orders of different sizes access to trade in the inside market.

TT SIM supports the following pro-rata matching types:

  • Vanilla (Basic): all orders on a price level get an equal proportion of lots.
  • Priority: The first order which betters the current market obtains priority status. The Priority order is allocated before any other order is allowed to match.

    In addition to basic Priority, you can configure Priority with the following conditions:

    • Priority + Minimum volume: The order must meet the minimum volume threshold to obtain priority status.
    • Priority + Volume Cap: The first order which betters the current market obtains priority status however, this only applies to the volume up to the volume cap. The remaining quantity matches according to the standard vanilla pro-rata matching scheme.
    • Priority + Min Volume and Volume Cap: an order is given priority status only if it meets minimum volume, however, only for the volume specified in the volume cap. The remaining order quantity will be filled by vanilla pro-rata matching.

Configuring Products for Pro-rata Matching

TT SIM includes the TTSimMatchingDefaults.cfg file that determines which products by default use Pro-rata matching. The file is divided into sections based on exchange and asset class.

Example NYSE Liffe and Eurex exchange and asset class sections in TTSimMatchingDefaults.cfg

TT SIM Simulation Parameters File 1.0

SimulationParameters {

ProductProperties {

OrderDelay {

default 50

}

MatchingType {

default fifo

NYSE_Liffe {

FUTURE {

# priority

prorata,0,0 [ I K J L M M2 S K2 EON EO3 USW USO USP O P TWS

]

}

OPTION {

# priority

prorata,0,0 [ R I K J L M M2 S K2 EON EO3 USW USO USP O P TWS

]

}

}

Eurex {

FUTURE {

# vanilla

prorata [ FE01 FEU3 OEU3 OEUH OEUM OEUU OEUZ ]

To configure products for Pro-rata Matching

  1. In a text editor, open <root drive>:ttconfigTTSimMatchingDefaults.cfg
  2. Add/remove products in a section.
  3. Change the pro-rata parameter to change the style of matching as needed.

    The prorata parameter is followed by two values: The first value represents minimum volume and the second represents volume cap.

    Example CME pro-rata configuration for Eurodollar options

    # Eurodollar options (Priority with Minimum Volume)

    prorata,50,0 [ GE GE0 GE2 GE3 GE4 E04 E01

    ]

  4. Save the changes and close the file.
  5. Restart TT SIM from the X_TRADER control panel: Click Settings and select Simulation Settings... then click Restart Simulation

Products and Matching Type

The following tables list the products and type of matching that TT SIM supports by default:

CME Products with Pro-rata Matching
Product Type

Matching Type

Product Symbols

CME Futures

Priority

SEV SDV DFV EJ SFV KEV GLB EB STV KDV OSS GE EED SKV KFV DNV DTV KTV MNY CNY ISM CB WP CSC GNF GDK LE DY DC GF Q02 LBS Q04 CPO Y01 HE Y03 Y02 Y04 Q06 SG1 CCA SG2 REU FLY NXS NXA NBZ ULS HOL 7FT CLS BZS BZL CLL RBL HGT GCT SIT ZM ZL EH XW XC ZC ZO ZW QS5 ZS XK QCW DDG QM2 AW ZR QC3 QO2 SQ2 WQ6 QW2 QC8 QS9 QO6 QC6 QM6 QW3 SQ5 QX5 QC2 QS2 QC4 QW6 S7C ZWC SA 7I ZT ZQ SR Z3N I3 IS MWE IW IH IC IP

Priority with Min Vol and Volume Cap

KE

CME Spreads

Priority

EJ GE GLBGE EB OSS GLB CNY MNY DY CSC GNF DC GDK ISM WP CB LEHE LBS HE GF CSCDC CPO LE REUEAF FLYEAF FLY REUCPL REU CCA REUCRE ULS BZS RBT NGT CLT CLS CLL NBZ RBL HOL PPM PPE BZL HOT ZM EH ZL XC ZO ZW XK ZS ZMZLZS ZR DDG XW ZC AW ZCZW ZQ SR ZT 7I ZB ZF UB I3 Z3N SA ZN IS IC IP IH IW MWE

Pro-Rata (Vanilla)

RME KRW 6Z 6B FXD RMB 6S RMY 6A ILS 6J J7 TRE TRY 6L 6M CZK CJY PLN 6C RP ESK 6R SEK RF SJY ACD PJY NOK 6E PSF EPZ 6N AJY EHF HUF RY E7 EAD ANE ECD ECK ENK

Priority with Min Vol and Volume Cap

YM DD OZQ OZF OZN OZB ZB2 OZC OZS OZW OZM OZL ZC1 ZS4 ZN4 OUB ZC4 UB4 ZB4 ZN1 OZO UB2 ZF1 OZT ZF4 ZT4 ZB1 ZT2 ZT1 ZC2 OMW KE OKE

Priority with Min Vol

Eurodollar Option Spreads: GE GE0 GE2 GE3 GE4 E04 E01

CME Options

Priority

LAX CUS CHI NYM CAO ERO ULO ULE C26 U30 U27 U01 U26 C30 C25 C27 C01 L01 L27 L30 L26

Priority with Min Vol and Volume Cap

MCW ZW1 MC6 OZC OZS OZO ZM1 CZ6 OZL OZR OZM OZW 12S ZL1 ZL2 ZM4 WCM OEH CZM ZS1 CWZ ZS4 ZCW CZC SZ9 ZM2 CZW CZ8 ZC2 ZL4 ZC4 ZC1 CZS ZW2 SZK SZ4 WC6 CZL 12C ZS2 SZ5 ZW4 OC6 SZH 12W SC7 OUB ZN1 ZF4 ZQ1 OZF O7I OZQ ZQ6 OI3 UB4 OZT OZN ZB2 ZT4 ZN4 OSR OSA OZB ZT1 ZF2 ZB4 UB1 ZN2 ZF1 ZT2 ZB1 UB2 OMW OIH OIC OIP OIS OIW OKE

Priority with Min Vol

Eurodollar Options: GE0 GE GE3 E04 GE2 EJ OSS GE4 SPO E03 E01

CME Energy

Priority

PPD PPB PPE NNT PPM

NYSE Liffe Products with Pro-rata Matching

Product Type

Matching Type

Product Symbols

NYSE Liffe Futures

Priority

ED I K J L M M2 S K2 EON EO3 USW USO USP O P TWS

NYSE Liffe Options

Priority

R I K J L M M2 S K2 EON EO3 USW USO USP O P TWS

Eurex Products with Pro-rata Matching

Product Type

Matching Type

Product Symbols

Euex Futures

Pro-rata (Vanilla)

FE01 FEU3 OEU3 OEUH OEUM OEUU OEUZ