Synthetic Strategy Engine Documentation
- Product Description And Architecture
- Installing The Synthetic SE Software
Configuring Synthetic SE
- Types of TT Synthetic SE Deployments for Market Data
- Configuration Files for 7.17.1 or Higher
- Configuration Files for 7.17.0
- Configuration Files for 7.3.X
- Configuring Synthetic SE with Dynamic Connections Enabled
- Determining TT Gateway Login Credentials with Dynamic Connections Disabled
- Configuring the Synthetic SE Fill Server
- Configure: Single-Multicast Network with Only Non-Coalesced Price Servers
- Configure: Single-Multicast Network with Coalesced and Non-Coalesced Price Servers
- Configuring a Multiple-Multicast Network
- Order Staging
Types of TT Synthetic SE Deployments for Market Data
Coalesced Versus Non-Coalesced Prices
For optimal performance, TT strongly recommends that you connect Synthetic SE to non-coalesced price servers. TT does, however, support connecting TT Synthetic SE to coalesced price server.
What If the Network Contains TT Gateways that Provide Coalesced Prices?
If you currently use TT Gateways that coalesce prices and you want to trade on one or more of those TT Gateways, TT recommends that you provide a way for Synthetic SE to access non-coalesced prices. You can use one of the following approaches:
- Disable price coalescing on the existing TT Gateways that Synthetic SE needs to access.
- Add TT Gateways with Price Servers dedicated to disseminating
non-coalesced prices that only Synthetic SE accesses. You can add
Price Servers using this approach in one of two ways:
- Add dedicated TT Gateways to the current network multicast
- Create a new “private” multicast and add dedicated TT Gateways to this multicast
The following sections describe these different alternatives in more detail.
TT recommends that you contact your TT Technical Account manager (TAM) to help you determine the appropriate solution. TT strongly recommends that you contact your TAM to provide an impact assessment before you make any Price Server changes.
Disabling Price Coalescing on Existing TT Gateways
If your current environment contains TT Gateways that support price coalescing, you might be able to convert their Price Servers to deliver non-coalesced prices. You should analyze your environment to determine the impact of turning off price coalescing. For example, if you disable price coalescing for existing TT Gateways, traders could start pulling non-coalesced prices with higher bandwidth streams across their remote connections, WAN routers, and network infrastructure. For this reason, turning off price coalescing is impractical in some environments and could cause other issues unless you conduct adequate research and properly manage reconfigurations.
Your TAM can work with you to assess the feasibility of disabling price coalescing in your existing environment.
For information about configuring this option, refer to Configure: Single-Multicast Network with Only Non-Coalesced Price Servers.
Adding Dedicated TT Gateways to the Existing Multicast
If your network cannot, or if you would rather not, support disabling price coalescing on its existing TT Gateways, you can add dedicated Price Servers. These additional TT Gateways serve as dedicated non-coalesced price feeds for Synthetic SE, while the other trading applications connect to the TT Gateways providing coalesced prices.
This option might work well for smaller TT network environments that currently do not publish high levels of price feed multicast traffic. For example, a firm might choose this deployment when it uses only a couple of TT Gateways and supports remote traders that require a coalesced price feed to stay connected to the network (such as WAN-routed or remote host connections over narrow bandwidth), but where the traffic on the TT Gateway local area network is relatively low.
In this deployment, you would not set up any client applications, such as X_TRADER, X_RISK, and so on, to log into the non-coalesced Price Servers. Instead, you would use a setting in the Synthetic SE configuration to connect Synthetic SE to the Price Server on the dedicated TT Gateway instead of the TT Gateway that traders use for trading.
The non-coalesced and the coalesced TT Gateways should be configured identically with respect to Price Server settings. Exchange Price Channels and/or product inclusion/exclusion lists must match on both Gateways. The only variation should be in the Market-Depth.Interval-mSecs parameter, which must be ‘0’ on the non-coalesced GW and non-zero on the coalesced gateway. For more details about TT Gateway Price Server configuration, refer to the specific TT Gateway System Administration Manual.
For example, suppose traders log into a 50ms price-coalesced CME-A Gateway while Synthetic SE connects to a non-coalesced CME-U Gateway for its prices. The order activity still flows between the Synthetic SE Server and the CME-A Gateway that traders use for trading. The traders access prices through the CME-A coalesced price feed, while the Synthetic SE Server accesses the CME-U non-coalesced feed to which no other applications subscribe.
For information about configuring this option, refer to Configure: Single-Multicast Network with Coalesced and Non-Coalesced Price Servers.
Using Separate Multicasts for Trading Applications and Synthetic SE Servers
For larger networks with high levels of multicast traffic, it might be undesirable to add non-coalesced prices to the existing multicast. In this case, you could add dedicated Price Servers on a different multicast than the one used by the rest of the TT infrastructure. Using this approach prevents TTM WAN Routers, TTM daemons, trader workstations, and even LAN switches on the trading side from seeing this added traffic. Only the Synthetic SE Server would see this additional, non-coalesced price feed.
To implement this deployment, you define a TTM configuration on the Synthetic SE Server that allows you to assign TTM price subjects for non-coalesced Price Servers to a separate multicast address. This approach effectively puts the non-coalesced prices on a separate “channel” dedicated to Synthetic SE.
For information about configuring this option, refer to Configuring a Multiple-Multicast Network.