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FIXAdapter_V7.8.X_SAM - Trading Technologies

1. Section Page What Changed in this Version cxvii Prerequisites HIDDEN Recommended Migration Process cxix Identifying Required TT FIX Adapter Configuration Changes cxxii Correcting Problems Concerning a TT FIX Adapter Name cxxviii Installing FIX Adapter 7 8 and Updating Pre 7 6 Configurations in FACT cxxxii Importing TT FIX Adapter Configuration Files into TT User Setup Cxxxiv Correcting TT FIX Adapter Startup Issues Related to TT User Setup cxxxviii Timeouts TT FIX Adapter System Administration Manual cxvi Trading Technologies International Inc What Changed in this Version A Migrating from Pre 7 6 Versions What Changed in this Version Changes to user administration In TT FIX Adapter 7 6 0 and later all user administration functionality has been moved from the FIX Adapter Configuration Tool FACT to TT User Setup Consequently you must use TT User Setup 7 3 3 or later to perform user administration tasks for TT FIX Adapter Specifically the following data has moved from the TT FIX Adapter configuration file to TT User Setup e List of TT Gateway login credentials MGTs that dictate to which TT Gateways the TT FIX Adapter will connect e List of user credentials that are authorized to connect to the TT FIX Adapter To simplify the upgrade process TT User Setup 7 3 3 allows administrators to import this information from existing TT FIX Adapter XML configuration files For more information refer to Importi
2. Meia If the Log window contains any issues work with the TT FIX Adapter administrator to correct the problems You can also check the messages in the lt root_drive gt tt logfiles UserSetupUtil_date log file TT FIX Adapter System Administration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions Correcting Problems Concerning a TT FIX Adapter Name Correcting Problems Concerning a TT FIX Adapter Name When to use this You should use this procedure only in cases where the TT User Setup Utility procedure identifies a problem regarding the name of a TT FIX Adapter such as a name that is too long or a name that is already defined in TT User Setup What changes you need If the TT User Setup Utility indicates that you need to change the name of a TT to make FIX Adapter you need to make the following changes in your existing TT FIX Adapter version e Rename the existing configuration in FACT e Install a new TT FIX Adapter with the new configuration name e Update the ttchron ini file e Update the FixAdapter txt file How to correct TT FIX Repeat the following procedure for each TT FIX Adapter whose name was flagged Adapter name problems in the TT User Setup Utility report p To correct name problems Start FACT 2 Inthe navigation pane select the TT FIX Adapter whose name needs to be changed The Global Settings pane appears FIX Adapter Configuration Tool FACT
3. WARNING FIX Adapter is not configured to connect to gateway Gateway Trade filter for user RemoteComplId for gateway Gateway will not be added This message indicates that the specified user configured a bad trade filter where the trade filter is using the specified TT Gateway to which TT FIX Adapter is not configured to connect The utility logs the message to indicate that the trade filter was not added to the user s MGT list WARNING MGT lt MGT gt defined in trade filters for user Username is not mapped to gateway Gateway in TT User Setup Trade filter will not be added This message indicates a problem with a trade filter The MGT in the trade filter is not mapped to the gateway in TT User Setup WARNING Gateway MGT mapping was not found for user Username lt MGT gt is not associated with gateway Gateway in Guardian This message occurs when an order routing configuration contains an MGT that is not mapped to the gateway in Guardian WARNING A record for MGT lt MGT gt assigned to user Username was not found in TT User Setup This message indicates that the user is configured with an MGT that doesn t exist in Guardian WARNING Could not find gateway Gateway in tt gateway table This message occurs when importing a TT Gateway that does not exist in the Guardian gateway list WARNING Account Account does not exist in the TTUS database Account default w
4. Table 4 Gateway Settings Continued Additional settings The following figure shows the additional gateway settings TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Additional Gateway Settings Market Names Specifying Gateway Settings Gateway Market Name db Do not change this list unless directed to do so by TT support Cancel OK The following table describes the settings Field name Gateway Description TT Gateway Exchange Flavor name Market Name Alternate name for a market on a TT Gateway This value overrides the market name that TT FIX Adapter delivers and expects in Tag 207 SecurityExchange and Tag 308 UnderlyingSecurityExchange This parameter can be especially useful for TT FIX Gateways whose default market names are FIX FIX A FIX Z If you set this value you must use the same name in the Market field of the following FACT configuration tables e Load Ignore Products Global settings e UTC Time Biases Gateway settings e Price Conversion FIX Session Additional Options Market Data settings Notes e Do not edit this information unless TT Support personnel instruct you to do so e TT plans to deprecate this functionality in a subsequent release of TT FIX Adapter Table 5 Gateway Advanced Settings How to modify TT Gateway settings p To modify the TT Gateway sett
5. Table 9 Additional FIX Session Settings FIX tags Continued Ixvii TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Additional FIX Session Settings Order Routing Responses Business Flows Additional FIX Session Settings Order Routing Responses Business Flows Order Routing The Order Routing Responses Business Flows tab contains options that Responses Business determine which types of business events flows TT FIX Adapter sends to FIX Flows tab clients B Additional FIX Session Settings 3 Help Market Data Order Routing Requests E Order Routing Responses FIX Tags Order Routing Responses Business Flows Send Fill Updates Send Unsolicited Fills V Send Summary Fills Send Unsolicited Orders 7 Send Orders On Reset E Send Staged Order Child Fills 7 Send Price Change Restatements Send Staged Order Child Orders F m Send Unsolicited Rejects Setting descriptions Table 10 describes the business flow options Field name Description Send Fill Updates Whether to forward updated fills to the FIX client On TT FIX Adapter sends updated fills in Execution Report 8 and Position Report UAP messages with Tag 20 ExecTransType 2 Trade Correction a new value in Tag 17 ExecID and the fill s previous Tag 17 ExecID value in Tag 19 ExecRefID e Off TT FIX Adapter sends no fi
6. For more information about potential errors refer to Common validation problems on page cxxii Caution Ignoring any issues at this stage can make importing the data into TT User Setup much more difficult Note If you need to make any changes that affect the FIX client applications TT strongly recommends that you update and test them before proceeding Completing the migration After all of the TT FIX Adapter configurations are validated you can install the TT FIX Adapter 7 8 software and convert the configurations as follows 1 TT FIX Adapter administrator Create backup copies of the validated TT FIX Adapter configuration files TT FIX Adapter administrator Make the saved configuration files available to the TT User Setup administrator TT User Setup administrator On the TT User Setup machine import the validated configuration files into TT User Setup TT User Setup administrator Provide the passwords for all of the TT FIX Adapter Server users you defined in TT User Setup TT FIX Adapter administrator On each TT FIX Adapter system install or update TT FIX Adapter 7 8 specifying the name of the validated configuration TT FIX Adapter administrator In FACT 7 8 a Open the configuration file nameAdapter xml b In the Global Settings pane set the Password for the adapter assigned by the TT User Setup administrator c Save the configuration After migration is complete import the TT FIX
7. If your current FIX Adapter is 32 bit running on a 64 bit operating system and you would like to upgrade to the 64 bit FIX Adapter you must uninstall your existing version and perform a clean install of the 64 bit version Refer to the Uninstalling a TT FIX Adapter and Install Installing the TT FIX Adapter Software sections If you renamed TT FIX Adapters The installation program upgrades existing configurations you created during previous installations However the installation program does not update configurations that you rename after installing them For example if you create a TT FIX Adapter and then later rename it updating the software does not update the renamed adapter How to upgrade a 7 X TT FIX Adapter P To upgrade an existing installation 1 Double click the TT FIX Adapter setup package The Configuration Change dialog appears ie FixAdapter InstallShield Wizard Configuration Change E Please select one of the option and click Next T Api NG NOLOGIES R E Add Fix Adapter Configuration and Update Files C Update files 2 Select Update Files and click Next The following prompt box appears TT FIX Adapter System Administration Manual xxvi Trading Technologies International Inc Upgrading to a New Version of TT FIX Adapter 2 Installing TT FIX Adapter ie FixAdapter InstallShield Wizard InstallShield Wizard Completed The InstallShield Wizard has successfully installed FixAd
8. Required TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Chapter overview This chapter describes the order routing use case It also explains how to create a TT FIX Adapter configuration to support it In this chapter Section Page About the Order Routing Configuration Type xliii Specifying Global Configuration Settings xlvii Configuration Settings Selecting Products l Specifying Gateway Settings liv Specifying Global FIX Session Settings Ivii Additional FIX Session Settings Market Data Ix Market Data Formatting Prices Ixii Additional FIX Session Settings Order Routing Requests Ixiv Additional FIX Session Settings Order Routing Responses FIX Tags Ixv Additional FIX Session Settings Order Routing Responses Business Flows Ixviii xlii TT FIX Adapter System Administration Manual Trading Technologies International Inc About the Order Routing Configuration Type 4 Configure Order Routing About the Order Routing Configuration Type Overview The order routing configuration type allows FIX clients to use all functionality offered by TT FIX Adapter Consequently FIX clients can connect to an order routing TT FIX Adapter to route orders subscribe for market data download security definitions and so on TT FIX Adapter logs into each TT Gateway once and acts on behalf of all FIX
9. TT FIX Adapter System Administration Manual ix Trading Technologies International Inc What s New in TT FIX Adapter 7 8 X Version 7 8 6 FIX Adapter 7 8 6 introduced the following enhancements enhancements Support for the Eris_GovEx Gateway Version 7 8 5 FIX Adapter 7 8 5 introduced the following enhancements enhancements Added C Expired as a new value for Tag 39 OrdStatus and Tag 150 ExecType in Execution Report 8 messages to support the new FACT Send Expired Order Statuses configuration option which allows Order Routing and Drop Copy FIX Adapters to send expired order statuses instead of canceled order statuses when a TT Gateway provides an expired order status This feature requires TT Gateway versions 7 16 9 or later Added a Send Unsolicited Rejects FACT configuration option that determines whether Order Routing and Drop Copy FIX Adapters send Execution Report 8 messages for unsolicited rejects Added support for the product level price reasonability checks that can be configured in TT User Setup 7 4 11 and above TT FIX Adapter 7 8 FIX Adapter 7 8 introduced the following enhancements enhancements Added support for the new Prevent orders that are more than X ticks away from the market price setting for the FIX client user in TT User Setup This only applies to FIX clients of Order Routing FIX Adapters Added support for the new GTC GTDate orders allowed setting for the FIX client us
10. amp FIX Session Settings a g OR1 Gateway Settings FIX Adapter Name DC1 Required FIX Session Settings TT User Setup Password Required FIX Adapter Type Drop Copy Console Logging More Figure 3 FACT interface TT FIX Adapter System Administration Manual Trading Technologies International Inc 3 Creating TT FIX Adapter Configurations About the TT FIX Adapter Configuration Tool FACT The FACT interface comprises the following components Area Name Description 1 Menu bar 2 Navigation pane 3 Settings pane Provides access to common configuration functionality and to context sensitive application help Contains a hierarchical view of the configurations and their respective components Contains the settings for the respective configuration components TT FIX Adapter System Administration Manual Trading Technologies International Inc xxxvi Using the TT FIX Adapter Configuration Tool FACT 3 Creating TT FIX Adapter Configurations Using the TT FIX Adapter Configuration Tool FACT How to Start the TT FIX Adapter Configuration To start the TT FIX Adapter Configuration Tool Tool 1 On the Windows desktop double click the FACT icon Bb or from the Start menu point to Programs then point to Trading Technologies and select FACT The FACT window appears 2 Create or manage configurations as needed How to Stop the TT FIX Adapter Co
11. e When receiving prices from FIX clients TT FIX Adapter multiplies the prices by this factor before sending them to the TT Gateways Table 16 Additional global configuration settings Market Data How to set price conversion rules xci pP To set the rules for converting prices 1 3 If not currently active display the Market Data tab in the Additional FIX Session Settings dialog In the Price Conversion Table section enter values in the fields as needed When you enter a value into any field in the row a new empty row automatically appears similar to the following Price Conversion Table Conversion Market Product Product Type ET CME ES Future CBOT ZB Future Complete as many rows as necessary to define the price conversion ruleset Note You can delete a row by click the row s button and pressing the Derete key 4 When finished click OK TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Market Data Formatting Prices About price data formats TT FIX Adapter delivers and expects all prices in decimal points format TT derives this format using the product information Point Value and Tick Size sent by each exchange In the Price Conversion Table you can specify a decimal value by which TT FIX Adapter will divide all prices for a given product before publishing them to the FIX client s TT FIX Adapter
12. Note Console logging can significantly impact performance Consequently TT strongly recommends that you enable console logging only during the development testing and debugging phases Additional settings The following figure shows the additional global settings used for a drop copy TT FIX Adapter configuration Additional Global Settings System Administration Administrative Port TCP Window Size KB Load Ignore Products Load lgnore Product Load Product Product Type Table 12 describes the additional settings Field name Description Administrative Port Port number over which you can dynamically reset the message sequence number of a specified FIX session Note TT recommends using port 10001 or higher For more information about resetting message sequence numbers refer to Chapter 6 Managing a TT FIX Adapter TCP Window Size KB Size of the TCP window buffer size Caution Do not change this value unless TT Support Personnel instructs you to do so Table 12 Additional global configuration settings Ixxvii TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Field name Description Load Ignore Products List of products to include or exclude when TT FIX Adapter downloads contract data during initialization To specify a product or set of products you supply the followi
13. Users wih TTORD Accounts missing corresponding Customer Defaut Accounts Users with Customer Default Accounts missing from User s TTORDs Accounts improperty shared between unrelated Order Books Users with multiple available to user flags checked for same gateway FIX Adapter client Users configured for gateways that a FIX Adapter is not configured for FIX Adapter Client Users with Gateway Logins that are incompatible with an assigned FIX Adapter FIX Adapter cent Users with multiple available to fix client flags checked for same gateway Order Books with Users with mismatched Gateways Users with Direct Trader Logins that arent fully compatible with some TTORD Order Books Order Books with mismatched Product Permissions Gateway Logins Gateway Logins Order Book Order Book Gateway Logins Gateway Logins Gateway Logins Gateway Logins Gateway Logins Gateway Logins 0 0 0 0 0000000 Gateway Logins K FIX Adapter s FIX Adapter K FIX Adapter Order Book Order Book Order Book D 00 4 From the Configure Diagnostics window check any FIX Adapter related options L M and N and then click OK 5 From the Diagnostics Checks window click the Run Refresh Diagnostic Checks button Any issues will be listed by issue type and will include a summary of the issue For a detailed explanation of an issue type click explain this TT FIX Adapter System Administration Manual cxii Trading Tech
14. click Install Now and skip to Step 9 To install the software in a different directory click Customize TT FIX Adapter System Administration Manual Trading Technologies International Inc 2 Installing TT FIX Adapter Install Installing the TT FIX Adapter Software The Destination Folder dialog box appears ie FixAdapter InstallShield Wizard Destination Folder Click Next to install to this folder or click Change to install to a different folder Program Files un lt Back Next gt Cancel 6 Click Browse The Change Current Destination Folder dialog box appears ie FixAdapter InstallShield Wizard Change Current Destination Folder Browse to the destination folder Folder name Ex Shield Insta 7 Do one of the following e Navigate to and select the desired destination directory e Inthe Folder name field type the full pathname for the installation directory In the Setup Type dialog box click Next Click OK The Enter FIX Adapter Configuration Name dialog box appears im FixAdapter InstallShield Wizard Enter Fix Adapter Configuration Name Please enter information and click Next Enter Adapter Name J lt Back Next gt J Cancel 10 In the Enter Adapter Name field type the name for the TT FIX Adapter then click Next For name restrictions see TT FIX Adapter naming restrictions on page xx TT FIX Adapter System Admin
15. eo TRAD TECH Dinew open i save save a ZXz Gateway ses Global Settings P FX Session Setbngs FA DC Gateway Settings FIX Adapter Name FA OR1 P FX Session Settings TT User Setup Password 12345678 FIX Adapter Type Order Routing Console Logging O More 4 Verify the configurations then close FACT cxxxiii TT FIX Adapter System Administration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions Importing TT FIX Adapter Configuration Files into TT User Setup Importing TT FIX Adapter Configuration Files into TT User Setup Prerequisites Before importing TT FIX Adapter configuration files into TT User Setup the following prerequisites must be met The TT User Setup administrator must install TT User Setup 7 3 3 The TT FIX Adapter administrator must provide the TT User Setup administrator with all of the updated configuration files nameAdapter xml to import Recommended import process TT recommends that the TT FIX Adapter and TT User Setup administrators work together during the following process 1 Make sure that the TT User Setup administrator can access the necessary configuration files Import the configuration in validation mode a final time to ensure that the import can complete successfully Correct any errors and continue re validating until the validation is error free Create a backup of the existing TT User Setup databas
16. Persistence Settings that identify this TT FIX Adapter to the FIX clients for retrieving prices from TT Gateways Valid only when enabled ID to send in Tag 49 SenderCompID for all messages sent from TT FIX Adapter to the FIX client This value is also expected in Tag 56 TargetCompID for all messages received from a FIX client Maximum length 255 characters Default TT PRICE Port through which TT FIX Adapter and the FIX client communicate for the duration of the session Note When not using the default value TT recommends using port 10001 or higher Default 10502 Whether the session maintains a persistent connection to retain sessions state Price sessions always use non persistent connections Table 6 Global FIX Session standard parameters How to set the global FIX session settings To set the global FIX session standard settings 1 In the Configurations Tree Navigation pane select the name of the FIX Session Settings for the desired configuration The Global FIX Session Settings appear in the Settings pane Specify values for each of the fields If you want to access the additional settings do the following Otherwise skip this step e Click More The Additional FIX Session Settings dialog appears See the following sections for explanations of these additional settings e Change the desired values and click OK 4 Click Save TT FIX Adapter System Administration
17. clients Thus the MGTs TT FIX Adapter uses to log into the TT Gateways must have the authority to act on behalf of all FIX clients Specifically the MGTs TT FIX Adapter uses to log into the TT Gateways must have permissions to view all orders and fills of all FIX clients Figure 4 shows a sample TT FIX Adapter configuration that demonstrates how TT FIX Adapter routes orders on behalf of multiple FIX clients TT Gateways FIX Clients i Admin MGT GW1 EC 1 MiGTT4 amp FC 2 MG T7 Ru X FC 5 M G T amp a 1 K GW3 Fc1 MGT FC3 C 4 FC2 MUT ES FC 3 MiG T N N N N N FC 1 FIX Adapter if Admin MGT Figure 4 Order routing configuration Guidelines for creating a TT Universal Login for TT FIX Adapter xliii For each order routing TT FIX Adapter you must create a TT Universal Login ID that matches the FIX Adapter name For more information about this parameter refer to the section called Specifying Global Configuration Settings on page xlvii A TT Universal Login ID for a TT FIX Adapter must be created in TT User Setup When creating this ID the TT User Setup administrator must associate the list of TT Gateways to which the TT FIX Adapter will connect as well as the associated MGTs that the TT FIX Adapter will use for credentials when logging in For more information refer to the 77 User Setup
18. version 7 13 0 or higher BVMF version 7 15 or higher CBOE version 7 13 0 or higher CBOT version 7 13 or higher CFE version 7 16 or higher CME version 7 13 or higher EBS version 7 13 0 or higher eCBOT version 7 13 0 or higher Eurex version 7 13 0 or higher ICE version 7 13 0 or higher LME version or higher MEFF version 7 13 0 or higher MX version 7 16 or higher Montreal version 7 13 0 or higher NYSE Liffe version 7 15 or higher NYSE Liffe US version 7 16 or higher OSE version 7 14 or higher SFE version 7 13 0 or higher SGX version 7 13 0 or higher TFX version 7 14 or higher TT Synthetic Strategy Engine SSE version 7 2 10 or higher TOCOM version 7 13 0 or higher TTSIM version 7 2 or higher Note The TT Xetra Gateway supports trading activity via X TRADER only Customers are advised that serious issues can occur when trading on the TT Xetra Gateway via FIX Adapter or when connecting a Drop Copy FIX Adapter to a TT Xetra Gateway Note The MEFF Gateway does not fully support MEFF options contracts As a result TT FIX Adapter does not support MEFF options contracts Note Connectivity to TT Synthetic Strategy Engine SSE is only supported for staged orders Additionally the FIX Adapter Server user s Gateway Logins must be the same or a subset of those used by the TT Synthetic Strategy Engine SSE Customers that enable order fill multi casting on Synthetic SE must use at least FIX
19. Adapter you must uninstall your existing version and perform a clean install of the 64 bit version machine for testing purposes TT recommends that you install and run one TT FIX Adapter per machine in a production environment Additionally you must use the same version for all TT FIX Adapters installed on the same machine When running multiple instances of TT FIX adapter the hardware requirements listed in the TT Hardware and Software Requirements document apply to each instance Warning Although you can install and run multiple TT FIX Adapters on the same Prerequisites Before installing a TT FIX Adapter you must perform the following tasks e Size your machine s according to the TT Trading Systems Hardware and Software Requirements Version 7 X documentation e Obtain the local Windows Administrator account and password for all machines on which you will install the TT FIX Adapter e Ensure that you completely remove all previously installed TT products as TT FIX Adapter must be the only TT software installed on the machine e Ensure that Microsoft NET Framework 2 0 is installed on the machine e Obtain the appropriate license e Verify that TT User Setup 7 3 3 or greater is installed in the network environment Note If you want to support Product Group Permissions for TT Gateways or to support the CME Mandatory iLink Tag TT User Setup 7 4 0 or later must be installed in the network environment Insta
20. Adapter 7 8 13 Exchange Tag Value Exchange Tag Value Exchange Tag Value Name Name Name BM amp FBOVESPA CME or Euronext NYSE Liffe MEFF MEFF BVMF Brussels BrokerTec BTec Euronext NYSE Liffe Minneapolis CBOT Lisbon Grain Exchange TT FIX Adapter System Administration Manual xvi Trading Technologies International Inc Network Configuration xvii 1 Network Architecture Exchange Tag Value Exchange Tag Value Exchange Tag Value Name Name Name CBOE Futures CBOE or Euronext Paris NYSE Liffe Montreal Montreal Exchange CFE Climate or MX Exchange CCX Chicago ICE IPE European ICE IPE Montreal Montreal Climate Futures Climate Exchange or MX Exchange Exchange CME Group CBOT European ICE IPE NYSE Liffe NYSE Liffe CBOT Energy Exchange CME Group CME ICE Futures ICE IPE NYSE Liffe NYSE Liffe CME Canada US US or eCBOT CME Group CME ICE Futures ICE IPE Osaka OSE NYMEX Europe Security Exchange Dubai CME ICE Futures ICE IPE Singapore SGX Mercantile U S Exchange Exchange SGX EBS EBS Intercontinenta ICE IPE Sydney SFE Exchange Futures ICE Exchange Eurex Eurex Kansas City CBOT Tokyo TOCOM Board of Trade Commodity Exchange TOCOM Euronext NYSE Liffe London Metal LME Tokyo TFX Amsterdam Exchange Financial Exchange Use the value corresponding to the TT Gateway to which TT FIX Adapter connects Some exchanges might list some products on other exchanges For example the Euro
21. Chron and allow it to start the server program per its schedule Start TT Chron desktop icon The Start TT Chron desktop shortcut may not work if User Account Control UAC is enabled unless the user right clicks the icon and selects Run as administrator from the context menu TT FIX Adapter naming A TT FIX Adapter name must adhere to the following restrictions restrictions Contain no more than 11 characters Contain only alpha numeric underscore _ and hyphen characters Should use capital letters for all alphabetic characters Start and end with alpha numeric characters Contain no spaces anywhere in the installation directory path TT FIX Adapter System Administration Manual XX Trading Technologies International Inc Install Installing the TT FIX Adapter Software 2 Installing TT FIX Adapter Install Installing the TT FIX Adapter Software When to use this approach Use this procedure when installing TT FIX Adapter on a machine that contains no TT software How to install TT FIX Adapter on a machine with no TT software xxi pP To install TT FIX Adapter on a clean machine Double click the TT FIX Adapter setup package Note If Microsoft NET Framework 2 0 or later is not installed on the system a prompt box appears reminding you to install it before using FACT to configure the adapter The License Agreement dialog appears ie FixAdapter InstallShield Wizard License Agreement Please r
22. DC1 Gateway Settings A drop copy TT FIX Adapter supports the following global FIX session settings Global FIX Session Settings Order Session Connection LocalCompld TT ORDER Port 10501 Persistent Non Persistent Price Session Connection C The following table describes standard settings Field name Description Order Session Connection LocalCompId Port Persistence Persistent Non Persistent Settings that identify this TT FIX Adapter to the FIX clients ID to send in Tag 49 SenderCompID for all messages sent from TT FIX Adapter to the FIX client This value is also expected in Tag 56 TargetCompID for all messages received from a FIX client Maximum length 255 characters Port through which TT FIX Adapter and the FIX client communicate for the duration of the session Note When not using the default value TT recommends using port 10001 or higher Default 10501 Whether the session maintains a persistent connection to retain sessions state Default Persistent Retain the session state after the FIX client disconnects Do not retain the session state after the FIX client disconnects The FIX client must reset its session message sequence number when the connection to the TT FIX Adapter is reestablished Table 15 Global FIX Session standard parameters Ixxxvii TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Con
23. EBS 02 00 00 ENxFut 01 00 00 ENxtOpt 01 00 00 Standard Time Bias Dayight Sa HH MM SS 05 00 00 05 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 The following table describes the settings Time Start Field name Description Convert Timestamps to Whether TT FIX Adapter should convert order and fill UTC timestamps to Universal Time Codes UTC When enabled TT FIX Adapter converts the timestamp provided in Tag 60 TransactTime of Execution Report 8 messages to UTC using the offsets provided in the UTC Time Biases table Default Enabled Table 13 Gateway Bias Settings TT FIX Adapter System Administration Manual Trading Technologies International Inc Ixxxiv 5 Configure Drop Copy Field name Description UTC Time Biases Standard Time Start Date M W D Standard Time Start Time HH MM SS Standard Start Bias HH MM SS Daylight Savings Time Start Date M W D Daylight Savings Time Start Time HH MM SS Daylight Savings Time Bias HH MM SS Displayed only when Convert Timestamps to UTC is enabled Time biases to use when converting the order and fill timestamps received from exchanges to UTC You can set biases for the following e SOD DSOD Records e Manual Fills e MarketName Start of Day SOD records detailed start of day DSOD records and manual fills can be injected into the TT system through X RISK Back Office Bridge or a cust
24. FIX Adapter System Administration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions Correcting Problems Concerning a TT FIX Adapter Name i9 FixAdapter 7 5 InstallShield Wizard Configuration Change Please select one of the option and dick Next Add Fix Adapter Configuration and Update Files Update Fe ie FixAdapter 7 5 InstallShield Wizard Enter Fix Adapter Configuration Name Please enter information and cick Next Enter Adapter Name The setup utility places a new icon on the desktop with the new name Gee FA OR1 adapter 7 Delete the following files e Desktop icon for the old TT FIX Adapter e lt root_drive gt tt fixadapter o dNameAdapter exe 8 Move the old configuration file lt root_drive gt tt config o dNameAdapter xml out of the lt root_drive gt tt config directory so that the new version of FACT does not try to convert it 9 In Notepad open lt root_drive gt tt config ttchron ini and remove entries for the old TT FIX Adapter similar to the following TT FIX Adapter System Administration Manual CXXX Trading Technologies International Inc Correcting Problems Concerning a TT FIX Adapter Name A Migrating from Pre 7 6 Versions B ttchron ini Notepad File Edit Format View Help updates only shutdown briefly when NO MARKETS ARE ACTIVE to reset it path c tt guardian quardianmfc exe SCHEDULE BG800 03 23 57 7 win32 svc ttmd T
25. Gateway basis all FIX clients of an order routing TT FIX Adapter must be mapped to the same type of login credentials either all TTORDs or all direct trader IDs Additionally FIX clients with administrative logins such as TTADM XXX MGR cannot log into an order routing TT FIX Adapter The TT User Setup administrator must also assign the list of TT FIX Adapters to which a user is allowed to connect A user may be allowed to connect to one or more TT FIX Adapters TT User Setup then validates whether the MGTs assigned to the user are hierarchically below the MGTs assigned to the TT FIX Adapters to which they are assigned In other words TT User Setup ensures that the TT FIX Adapter MGTs have permission to see all orders and fills for all MGTs to which the user is mapped A FIX client will not be allowed to login to any TT FIX Adapter for which this validation fails The following table illustrates how validation works for different TT Universal Login IDs that need to connect to the FA7 TT FIX Adapter defined previously TT Universal TT Gateway Member Group Trader Result Login ID TOM CME A TTORDPM 001 001 Valid because the orders and fills for all FIX client NYSE Liffe C TTORDPM 002 002 MGTs are visible to the TT Eurex A TTORDPM 001 001 FIX Adapter MGTs MARY CME A TTORDPM 001 001 Valid because the orders and fills for all FIX client NYSE Liffe C TTORDPM 001 001 MGTs are visible to the TT EUREX A TTORDPM 002 002 FIX Ad
26. Inc Types of TT FIX Adapter Configurations 3 Creating TT FIX Adapter Configurations Types of TT FIX Adapter Configurations About configuration types The TT FIX Adapter allows you to create the following types of configurations where each is based on a specific business use case e Order routing e Drop copy Order routing The order routing configuration type allows FIX clients to use all functionality offered by TT FIX Adapter such as routing orders subscribing for market data downloading contract definitions and viewing orders and fills Drop copy xxxiii The Drop copy configuration type allows FIX clients to use all of the same functionality except for routing orders TT FIX Adapter System Administration Manual Trading Technologies International Inc 3 Creating TT FIX Adapter Configurations Components of a TT FIX Adapter Configuration Components of a TT FIX Adapter Configuration Overview When you create a TT FIX Adapter configuration you must define the following e Global settings which define the general behavior of the TT FIX Adapter e Bias settings which defines rules for converting timestamps to UTC e FIX sessions which define how a FIX client connects to the TT FIX Adapter and the characteristics of the connection About global settings Each TT FIX Adapter configuration includes a collection of global settings that dictate how the TT FIX Adapter generally operates Some of the se
27. Load entry as follows Load Ignore Products Load lgnore Market Product Product Type ENS Option liii TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Specifying Gateway Settings Specifying Gateway Settings Overview Each TT FIX Adapter configuration contains settings that apply for all TT Gateways to which TT FIX Adapter connects and for all manually entered fills and SOD DSOD records Gateway Settings An order routing configuration supports the following TT Gateway bias settings i FIX Adapter Configuration Tool FACT yp TRADING TECHNOL new open z Save E Save all a sil OR1 Gateway Settings Gateway Setti ngs FIX Session Settings Convert Timestamps to UTC M UTC Time Biases D Help Standard Time Start Bias Settings For Date M W D SOD DSOD Reco Manual Fills BTec CBOE CBOT CME EBS ENxtFut ENxtOpt lt Standard Time Start Time HH MM SS 02 00 00 02 00 00 07 00 00 07 00 00 02 00 00 01 00 00 01 00 00 Standard Time Bias HH MM 55 05 00 00 05 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 Daylight Sav Time Start MWD More The following table describes the settings Field name Description Convert Timestamps to Whether TT FIX Adapter should convert order and fill UTC timestamps to Universal Time Co
28. Loading skeady inserted values to prevent duplicate inserts Extracting Gateway data Import Results Extracting FIX Adapter MGT s INFO TTORDOO1001 already exists in the TT User Setup database Extracting FIX Adapter user Loaded ORT user from XML file Extracting FIX Chents Loaded users from XML file Extracting user Chris Extracting Account Defaults for user Chris WARNING Account defauk for user Chris found with no account typ Validation complete Validation of FIX Adapter configuration is complete Errors 0 W e V Automalicalyy Scroll 7 Click OK to see the Log window Starting H TTUS Pics VOR TAdaptes xml impor Trying to connect to Access Successfully connected to Access SELECT It login server settings Iss indial guardian import done FROM tt logn server settings Determining starting row ids select max user 1d from tt user select max gm id from t gmot select max mgt id from tt mgt select max uxg user omot id from tl user omot select max ugrp group id from tt usec group select max acctd id from t account default select max acct id from tt account Loading already inserted values to prevent duplicate inserts n data INFO Torben User Setup database The import process will not alter the record foe TTORDOO1001 Loaded OR1 user from XML fle Extracting FIX Clients Loaded users from XML fie Vaaa MR Enos 0 Wamings 1 Info 1 lt
29. Manual Trading Technologies International Inc lviii Additional FIX Session Settings 4 Configure Order Routing Additional FIX Session Settings Available Settings The Additional FIX Session Settings dialog contains the following settings e Additional FIX Session Settings Market Data e Additional FIX Session Settings Order Routing Requests e Additional FIX Session Settings Order Routing Responses FIX Tags e Additional FIX Session Settings Order Routing Responses Business Flows Additional FIX Session Settings Y Help Order Routing Responses FIX Tags Order Routing Responses Business Flows Market Data Order Routing Requests Coalescing Rate msec 0 Price Conversion Table lix TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Additional FIX Session Settings Market Data Additional FIX Session Settings Market Data Market Data tab The Market Data tab allows you to configure market data options Additional FIX Session Settings Coalescing Rate msec Price Conversion Table Order Routing Responses FIX Tags Order Routing Responses Business Flows Market Data Order Routing Requests Conversion Product Product Type Fesi Setting descriptions The following table describes the market data parameters Field name Description Coalescing Rate msec
30. TT Gateway is configured For more information refer to the individual TT Gateway System Administration Manuals FACT changes Due to the integration with TT User Setup FACT either changed or removed fields Field Where it was in FACT Where it is now Gateways Gateway Login Global Gateway Connection Parameters Settings or Individual Gateway Connection Settings Rollover Times Individual Gateway Settings TT User Setup FIX Adapter server No longer supported see Changes regarding custom rollover FIX Sessions Session Login Individual FIX Sessions Order Routing Individual FIX Sessions in Order Credentials Routing configurations Account Defaults Individual FIX Sessions in Order Routing configurations Trade Filters Individual FIX Sessions in Drop Copy configurations TT User Setup FIX client TT User Setup FIX client TT User Setup FIX client TT User Setup FIX client see Changes regarding trade filters TT FIX Adapter System Administration Manual Trading Technologies International Inc cxviii Recommended Migration Process A Migrating from Pre 7 6 Versions Recommended Migration Process TT FIX Adapter 7 6 0 substantially changed administration functionality particularly as it relates to TT Gateway and user administration If you currently use an earlier version of TT FIX Adapter TT strongly recommends that you complete the migration process described in this appendix b
31. Timeouts cxxxviii vii TT FIX Adapter Reference Manual Trading Technologies International Inc About this Manual Overview This manual describes the systems architecture configurations installation and deployment for the Trading Technologies TT FIX Adapter product Additionally it discusses network administration plus user and administrative account setup as it relates to the use and deployment of the TT FIX Adapter Assumptions This guide assumes the following The user has been trained in TT software and has at least an intermediate level of technical proficiency Whenever a task requires the user to type that the user presses the ENTER key afterward Whenever the text refers to a general TT Gateway you can substitute a specific gateway For instance if a diagram displays a general TT Gateway due to their similarity this could be any specific TT Gateway interchangeably such as NYSE_Liffe CBOT CME etc Keyboard formats All key names are shown using 9 point capital letters For example the Control key is shown as CTRL Common terms This manual uses the following terminology Exchange This is the trading exchange e g the CBOT CME Eurex to which a TT Gateway connects SAM System Administration Manual TT Trading Technologies TTM Trading Technologies Messaging Conventions This guide uses a set of terms symbols and typographic conventions to categor
32. User Manual For example suppose you create a TT FIX Adapter that you name FAZ The TT User Setup administrator would create a TT Universal Login ID named FA7 and assign it credentials such as TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing About the Order Routing Configuration Type TT Gateway Member Group Trader CME A TTORDPM XXX MGR NYSE_Liffe C TTORDPM XXX MGR Eurex A TTORDPM XXX MGR TT does not recommend using higher level MGTs such as TTADM XXX VIEW for the TT Gateway logins for order routing TT FIX Adapters because of the impact on performance TT FIX Adapter could spend a considerable amount of time processing order and fill updates that FIX clients have neither interest nor permission to see Guidelines for creating a TT Universal Login for FIX clients Once a TT Universal Login ID for a TT FIX Adapter is created a separate TT Universal Login ID must be created for each FIX client When creating TT Universal Login IDs for FIX clients the TT User Setup administrator must associate the list of TT Gateways to which the FIX clients are allowed to route orders and the MGTs to use as the routing credentials TT FIX Adapter allows a FIX client to be mapped to either one direct trader ID or multiple TTORD IDs for each TT Gateway If a user is configured in any other manner TT FIX Adapter will disallow the login attempts Caution On a per TT
33. additional global settings used for an order routing TT FIX Adapter configuration i Additional Global Settings System Administration Administrative Port TCP Window Size KB Load Ignore Products Load lgnore Product Product Type E i Load Table 3 describes the additional settings Field name Description Administrative Port Port number over which you can dynamically reset the message sequence number of a specified FIX session Note TT recommends using port 10001 or higher For more information about resetting message sequence numbers refer to Chapter 6 Managing a TT FIX Adapter TCP Window Size KB Size of the TCP window buffer size Caution Do not change this value unless TT Support Personnel instructs you to do so Load Ignore Products Market List of products to include or exclude when TT FIX Adapter downloads contract data during initialization To specify a product or set of products you supply the following values to create a matching rule Note If you download contract data for SPREAD or STRATEGY product types TT FIX Adapter also downloads all contracts that comprise the legs regardless of the individual leg product settings Name of market on which the product trades as set in Tag 207 SecurityExchange Note If you specified a Market Name in the Gateway Settings Additional Gateway Settings dialog you must use that same valu
34. all persistent FIX session sequence numbers at the end of each week as follows FIXAdapter exe r TT FIX Adapter System Administration Manual Trading Technologies International Inc 6 Managing a TT FIX Adapter Resetting Message Sequence Numbers From a telnet session You can reset the message sequence number of a particular persistent FIX session while the TT FIX Adapter is running by using the sessionreset command through a telnet session Caution Before you reset the message sequence numbers for a FIX client using this method make sure that the FIX client is not logged into TT FIX Adapter To reset the message sequence number using telnet Open a Windows command window 2 Type telnet ipaddress port where e ipaddress is the IP address of the machine that hosts the TT FIX Adapter whose message sequence numbers you want to reset e port is the administrative port number specified in the FACT Administrator Port option for the TT FIX Adapter configuration 3 Type sessionreset local LocalCompId remote RemoteCompId where e LocalCompId equals the LocalCompid of the session to reset e RemoteCompid matches the RemoteCompid of the session to reset You can also reset all FIX sessions through a telnet connection as follows sessionreset local remote TT FIX Adapter System Administration Manual civ Trading Technologies International Inc Understanding TT FIX Adapter Log Files 6 Managing a TT FIX Ad
35. already exists The record will not be altered This message occurs when importing a FIX session if TT User Setup already has a user with that RemoteCompId Username in the database The utility logs the message and does not update the existing user Note If a user connects to multiple TT FIX Adapters and you try to import the configurations to which the user connects TT User Setup adds the FIX Adapter Server but not the FIX client user INFO lt MGT gt already exists in the TT User Setup database The import process will not alter the record for lt MGT gt This message occurs when importing an admin MGT or direct trader that already exists in the database The utility logs an informational message saying that the existing MGT record will not be altered Table 23 Common validation problems TT FIX Adapter System Administration Manual Trading Technologies International Inc cxxiv Identifying Required TT FIX Adapter Configuration Changes A Migrating from Pre 7 6 Versions Log message Notes INFO Server MGT lt MGT gt is not compatible with User MGT lt MGT gt This message occurs when importing an MGT for a TT Gateway that is incompatible with the MGT that TT FIX Adapter is using to login to the gateway To conform to the TT User Setup compatibility rules the utility adds the MGT to the user but turns off the available_to_fix_adapter flag INFO lt MGT gt already exists in the TT User Set
36. are made WARNING FIX Adapter is not configured to connect to gateway Gateway Trade filter for user RemoteComplId for gateway Gateway will not be added This message indicates that the specified user configured a bad trade filter where the trade filter is using the specified TT Gateway to which TT FIX Adapter is not configured to connect The utility logs the message to indicate that the trade filter was not added to the user s MGT list WARNING MGT lt MGT gt defined in trade filters for user Username is not mapped to gateway Gateway in TT User Setup Trade filter will not be added This message indicates a problem with a trade filter The MGT in the trade filter is not mapped to the gateway in TT User Setup WARNING Gateway MGT mapping was not found for user Username lt MGT gt is not associated with gateway Gateway in Guardian This message occurs when an order routing configuration contains an MGT that is not mapped to the gateway in Guardian WARNING A record for MGT lt MGT gt assigned to user Username was not found in TT User Setup This message indicates that the user is configured with an MGT that doesn t exist in Guardian WARNING Could not find gateway Gateway in tt gateway table This message occurs when importing a TT Gateway that does not exist in the Guardian gateway list WARNING Account Account does not exist in the TTUS database Accoun
37. create entries with the same market set to both Load and Ignore TT FIX Adapter gives the Ignore entry precedence Example 1 basic selection Ixxxi Suppose you instruct the TT FIX Adapter to download contract data for the ALE and ALV option products on Eurex by creating the following entries TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Load Ignore Products Load lgnore Market Product Product Type leprae Eurex LE Option Eurex Option Because you listed no other exchanges TT FIX Adapter downloads all products for other exchanges to which it is connected Example 2 unintended The following example shows the unintended consequences of ignoring only an consequences underlying product type In this case you want TT FIX Adapter to download no option products from CME create the following entry to ignore them However because you include no entries for the strategy product type TT FIX Adapter downloads any option products that happen to be included in strategy products Load Ignore Products Load lgnore Market Product Product Type riduci To ensure that TT FIX Adapter does not download contract data for any options add a strategy entry similar to the following Load Ignore Products Load lgnore Product Product Type lerra Option Strategy Example 3 conflicting The following example ill
38. for Autospreader requotes consider turning this setting off to reduce network traffic and disk space usage Send Unsolicited Rejects Whether to send order rejects to the FIX client for all orders visible to the MemberID GroupID TraderID that routes the orders or only for those orders that originated from TT FIX Adapter On TT FIX Adapter sends order rejects for all orders visible to the MemberID GroupID TraderID when sent by the TT Gateway e Off TT FIX Adapter sends order rejects for only those orders that originated from TT FIX Adapter Default Disabled Send Unsolicited Orders Whether to send order updates to the FIX client for all orders visible to the MemberID GroupID TraderID that routes the orders or only for those orders that originated from TT FIX Adapter e On TT FIX Adapter sends order updates for all orders visible to the MemberID GroupID TraderID e Off TT FIX Adapter sends order updates for only those orders that originated from TT FIX Adapter Default Disabled for persistent sessions enabled for non persistent sessions Note For non persistent order sessions working orders become unsolicited orders if TT FIX Adapter restarts If you disable this setting for a non persistent order session FIX clients will not receive the working orders after the restart Table 18 Additional FIX Session global settings Business Flows Continued TT FIX Adapter System Administration Manual Tradin
39. in TT User Setup TT FIX Adapter Client s to a FIX Adapter Server topic in the 77 User Setup User Manual Additionally the TT User Setup administrator must configure several FIX client profile settings that allow or prevent connectivity in specific instances Field When Connection Errors Occur Password never expires The TT FIX Adapter cannot connect to a FIX client with an expired password Because FIX Adapter client users cannot update an expired password using the same procedure as an X_TRADER user TT recommends that you prevent password expiration by leaving the Password never expires option checked Active If the Active option is unchecked the FIX client is considered inactive and therefor cannot log into TT FIX Adapter Force logoff If the Force logoff option is checked the TT FIX Adapter will disconnect the FIX client The FIX client cannot log back in until the Force logoff option is unchecked Table 11 TT User Setup Settings that can cause Connection Errors Ixxv TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Specifying Global Configuration Settings About the global adapter settings Each TT FIX Adapter contains a group of settings that dictates general operational behavior Standard settings The following figure shows the standard global settings used for a drop copy TT FIX Adapter configuration E FIX Adapter Configuratio
40. in Table 20 to customize how the TT FIX Adapter runs command window Doing so suspends the TT FIX Adapter process and can cause a Warning When you run TT FIX Adapter in a command window do not click in the connected client to lose its connection The FIXAdapter command uses the following syntax FIXAdapter exe n name r sessionName SendSeqNum RcvSeqNum 6 Managing a TT FIX Adapter Starting TT FIX Adapter Option Description n name r sessionName SendSeqNum RcvSeqNum Sets the name that you want to assign a TT FIX Adapter for a particular run session You use this option to rename a TT FIX Adapter for as long as it runs when the TT FIX Adapter stops it reverts to its original name Performs the following actions Resets the message sequence numbers of the specified persistent FIX sessions to 1 e Purges all FIX session data for the specified persistent FIX sessions from the TT FIX Adapter cache e If sessionName is not provided also purges the local instrument definition cache This should not be done unless specifically instructed to do so by TT Support Resetting the message sequence number does not purge the ID of a last fill sent to each FIX client The sessionName value has the form LocalCompId RemoteCompId You can also supply a wildcard for either or both Comprds to match any values You can optionally supply new sequence numbers for the incoming and outgoing cou
41. not running when it should be TT Chron starts it Ifa program is running when is not scheduled to do so TT Chron terminates it e Forall Job sections whenever a process is set to run TT Chron starts the process with any associated arguments After starting a process in this manner TT Chron does not monitor or try to stop the process Warnings about TT Chron The ttchron ini file automatically runs each TT FIX Adapter in its own command window run flags CONSOLE When you run TT FIX Adapter in this fashion do not click in the command window Doing so can freeze the TT FIX Adapter process TT Chron and Windows Server 2008 cix When running TT Chron on a Windows Server 2008 R2 operating system be aware of the following e Starting Programs TT Chron may not properly close and or monitor server programs that are started manually Users should first start TT Chron and allow it to start the server program per its schedule e Start TT Chron desktop icon The Start TT Chron desktop shortcut may not work if User Account Control UAC is enabled unless the user right clicks the icon and selects Run as administrator from the context menu TT FIX Adapter System Administration Manual Trading Technologies International Inc 6 Managing a TT FIX Adapter Automating Services with TT Chron Automating TT FIX Adapter run times To automate TT FIX Adapter run times you should configure a Server section in the ttchr
42. on a TT FIX Adapter host machine You must situate the TT FIX Adapter so that it can e Access the network segment that hosts the TT Gateway to which it connects Be accessed by the FIX based client applications that trade through it For optimal performance TT recommends that you use separate TT FIX Adapters for FIX price and order sessions Sample Network TT FIX Adapters can support multiple traders over multiple sessions Thus one Configurations instance of the TT FIX Adapter can connect to one or more TT Gateways and host multiple traders Figure 2 shows how you can deploy a TT FIX Adapter in different network environments S FIX Based Client Application Machines Ethemett mI FIX Adapter TT User Setup Server Server FIX Based Client Application on Same Network G Ethernet i Router 1 N TT Gateways Ethernet FIX Adapter Server j TT User Setup Server FIX Based Client Application on Separate Networks Note In this scenario the FIX Adapter Server can also be located on the network segment that hosts the FIX based client application machines Figure 2 Sample TT FIX Adapter network configurations XV TT FIX Adapter System Administration Manual Trading Technologies International Inc 1 Network Architecture Network Configuration Supported TT Gateways e e TT FIX Adapter supports the following TT Gateways BrokerTec
43. options refer to the TT User Setup User Manual FIX Client to TT FIX Adapter Connectivity A TT User Setup administrator must assign the FIX client to connect to an available TT FIX Adapter Server For detailed instructions refer to the Assigning TT FIX Adapter Client s to a FIX Adapter Server topic in the 77 User Setup User Manual Additionally the TT User Setup administrator must configure several FIX client profile settings that allow or prevent connectivity in specific instances Field When Connection Errors Occur Password never expires The TT FIX Adapter cannot connect to a FIX client with an expired password Because FIX Adapter client users cannot update an expired password using the same procedure as an X TRADER user TT recommends that you prevent password expiration by leaving the Password never expires option checked Active If the Active option is unchecked the FIX client is considered inactive and therefor cannot log into TT FIX Adapter Force logoff If the Force logoff option is checked the TT FIX Adapter will disconnect the FIX client The FIX client cannot log back in until the Force logoff option is unchecked Table 1 TT User Setup Settings That Can Cause Connection Errors TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Order Rejections About the Order Routing Configuration Type The TT User Setup administrator must als
44. p To remove the TT FIX Adapter software the TT FIX Adapter software 1 Access the Microsoft Windows Control Panel The Control Panel appears 2 Double click Add or Remove Programs The Add or Remove Programs dialog box appears 3 Scroll through the Add or Remove Programs dialog box to locate TT FIX Adapter and then select it F Add or Remove Programs vL Xl Currently installed programs Show updates Sort by Name Change or pene et Microsoft NET Compact Framework 2 0 Size 59 27MB 5 Microsoft NET Framework 2 0 Size 88 37MB i9 Microsoft Device Emulator version 1 0 ENU Size 1 38MB Add New 9 Microsoft Document Explorer 2005 Size 26 61MB Programs B Microsoft SQL Server 2005 Mobile ENU Developer Tools Size 66 95MB i9 Microsoft Visual C 2005 Redistributable Size 5 21MB Add Remove Microsoft visual C 2005 Redistributable Sie 5 07MB Windows Components Microsoft Visual Studio 2005 Professional Edition ENU Size 1 790 00MB j MSXML 6 0 Parser Size 1 31MB G li TT Chron 7 5 Sire 7 88MB SetProgram mem nese T TT FixAdapter 7 4 Size 11 50MB Defaults Click here for support information Used rarely To change this program or remove it from your computer click Change or Remove TT Guardian 7 5 46 38MB ll TT Messaging 2 0 12 39MB VMware Tools 5 80MB windows Installer 3 1 KB893803 4 Click Remove 5 Click Next then click Yes in the confirmation prompt box 6 Click Finish to
45. select the TT FIX Adapter to update 2 Update the adapter settings and sessions as explained in the following sections 3 Click the Save icon How to save a configuration p To save a TT FIX Adapter configuration 1 In the Configurations Tree Navigation pane select the TT FIX Adapter to save 2 Verify that all required fields contain valid values 3 In the menu bar click the Save icon How to save all configurations xxxix p To save all TT FIX Adapter configurations TT FIX Adapter System Administration Manual Trading Technologies International Inc 3 Creating TT FIX Adapter Configurations FACT Managing Configurations Verify that each configuration supplies values for all required fields 2 Update the adapter settings gateways and sessions as needed 3 In the menu bar click the Elsse t Save All icon How to clone a configuration p To clone a TT FIX Adapter configuration 1 Inthe Configurations Tree Navigation pane right click the name of the TT FIX Adapter to clone 2 From the context menu select Clone Configuration i FIX Adapter Configuration Tool FACT TENew open F save Gi Save all ESE JD J Delete Configuration Clone Configuration lo bal S etti n g S FIX Adapter Name DC1 Required TT User Setup Password mypassword Required FIX Adapter Type Drop Copy Console Logging More The Clone a FIX Adapt
46. to which the TT FIX Adapter connects or use the TT Back Office Bridge product to roll positions from one trading session to the next For more information see the specific TT Gateway and TT Back Office Bridge documentation TT FIX Adapter System Administration Manual xxviii Trading Technologies International Inc Uninstalling a TT FIX Adapter Uninstalling a TT FIX Adapter 2 Installing TT FIX Adapter What you can uninstall You can uninstall the TT FIX Adapter software from your system or you can uninstall only individual adapters Recommended approach TT recommends that you remove TT FIX Adapter through the Add or Remove Programs entry in the Control Panel How to remove one TT FIX Adapter configuration xxix p To remove one TT FIX Adapter configuration 1 Access the Microsoft Windows Control Panel The Control Panel appears 2 Double click Add or Remove Programs The Add or Remove Programs dialog box appears 3 Scroll through the Add or Remove Programs dialog box to locate TT FIX Adapter and then select it F Add or Remove Programs amp Change or Remove Programs Add New Programs Add Remove Windows Components e Set Program Access and Defaults Currently installed programs Show updates t Microsoft NET Compact Framework 2 0 iB Microsoft NET Framework 2 0 iB Microsoft Device Emulator version 1 0 ENU jJ Microsoft Document Explorer 2005 B Mi
47. will also expect all orders to be submitted in this new format In addition to adjusting the prices TT FIX Adapter divides Tag 16552 TickSize and multiplies Tag 16554 PointValue by the factor Example custom price Suppose CME delivers the following contract specifications for ES futures mes e Point Value 0 5 e Tick Size 25 1 e Tick Value Point Value x Tick Size 12 50 As a result valid prices in the decimal format of points delivered and expected by the CME for this contract look similar to 128175 128200 128225 128250 Adding the following entry to the Price Conversion Table section Price Conversion Table Product Product Type E ES Future y 100 yields the following results e TT FIX Adapter divides all prices by 100 before delivering them to FIX clients as follows 1281 75 1282 00 1282 25 1282 50 e TT FIX Adapter multiplies all prices by 100 for all orders received from FIX clients before sending them to the appropriate TT Gateway For example if a FIX client sends an order to the TT FIX Adapter to buy 1 ES Mar07 1281 75 the TT FIX Adapter sends the order to the TT Gateway as buy 1 ES Mar07 128175 e In the Security Definition d message for each ES contract TT FIX Adapter divides Tag 16552 TickSize by 100 and multiplies Tag 16554 PointValue by 100 as shown Tag Without price conversions With price conversions 16552 25 0 25 16554 0 5 50 TT FIX Adapter System Administration Manu
48. 54 Side as Tag 16624 LegSide e Off TT FIX Adapter attaches strategy security legs only to Security Definition d messages Execution Report 8 and Position Report UAP messages do not include strategy security leg information Default Disabled Send Unsolicited Change As New Send Expired Order Status Whether to represent unsolicited changes as new or replaced orders in an Execution Report 8 message e On Send as a new order where Tag 39 OrdStatus 0 and Tag 150 ExecType D e Off Send as a replaced order where Tag 39 OrdStatus 5 and Tag 150 ExecType D Default Disabled Whether to send expired order statuses tags 39 OrdStatus C Expired and 150 ExecType C Expired to the FIX client for orders from TT Gateways that support providing expired statuses e On TT FIX Adapter sends expired statuses instead of canceled statuses when they are provided by the TT Gateway e Off TT FIX Adapter sends only canceled statuses Default Disabled Note TT Chron schedule changes might be needed to ensure that FIX Adapter is up when the TT Gateway sends expired notifications For more information please consult the appropriate TT Gateway System Administration Manual Table 17 Additional FIX session global settings FIX Tags Continued TT FIX Adapter System Administration Manual Trading Technologies International Inc xcvi 5 Configure Drop Copy Additional FIX Settings O
49. Adapter Configuration files into TT User Setup and run diagnostic checks as needed TT FIX Adapter System Administration Manual cxx Trading Technologies International Inc Recommended Migration Process A Migrating from Pre 7 6 Versions For detailed instructions refer to Importing TT FIX Adapter Configuration Files into TT User Setup on page cxxxiv and Installing FIX Adapter 7 8 and Updating Pre 7 6 Configurations in FACT on page cxxxii cxxi TT FIX Adapter System Administration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions Identifying Required TT FIX Adapter Configuration Changes Identifying Required TT FIX Adapter Configuration Changes Overview The TT User Setup Utility reads a TT FIX Adapter configuration file extracts the user and account information and imports it into the TT User Setup database The utility also provides a validation option that allows TT User Setup administrator to ensure that the data complies with its standards before actually updating the database The administrators can use the validation to work out issues before importing the data into TT User Setup Note TT strongly recommends that the TT FIX Adapter and TT User Setup administrators work through this validation step together For more information about this process refer to the TT User Setup Help Prerequisites Before importing TT FIX Adapter configuration files the following prerequi
50. BIOCK us iis e muii aa eru d ua d aa aaka o9 d Ta d a p a i aaa d ge dude gor dno 216 Random Number BIOER ocean und e en EROS Rm RERO E en E Keds re wed ries SS 218 aps PICK edat REP EIER USERS MESES MERERI UqERUEERNSUqEHEEAL UHR ERE 219 Eog BOCK aeoeaio erg on hom prg e e shou guy eee a y aea 220 lsNumber DIOC us cose sido omes mes tes Peers ERES DN EESE QUE AE SHE 224 Once True Always True Block 225 Ades C ETRATEEESTLTREHETQOL TITO TC TELEOLITLEETLLTTTERETTLLTTETIT 226 Foil MCI 227 uid zaradia a aa a 229 RSE BIOK UT ur aude E aa E aS ET E E R IE S E R 230 Workup State Block eimie i ius m es iadaa madai aka kadadak ahiak ae ete dad t 231 Alert BIOCK q R 232 Math OG a a ot yong aad na aaron hae LN Ren eR wae ee E T Oma 237 Dc dusc HC 242 TT Analytics in ADL e m 242 Advanced CORCED Is 2x 423 424 494 4 EQUI V REEF CUORE E M UR FU LACE COR ed a N EO GR Re 249 Order Of Discrete Event Message Propagation iiil liliis less 249 Grouped Blocks And Library Functionality 2e 251 Rules Of Virtualization isses 261 Jump BlOCKS a qi aac Seg eps r ee WE 262 Safety And Preventive Design With Visual Feedback 0 0 000200055 263 Flip For Sell Orders Functionality iis eise ere emm mem ees 274 Dynamic Data Exchange Link ee 2 5 Leave Orders On Pause Or Cancel 0 00 00 eens 286 Creating and Launching Order Ticket Algorithms OTAs 0 00 00005 287 B
51. FIX Adapters are not started up at the same time TT FIX Adapter System Administration Manual cxxxviii Trading Technologies International Inc Correcting TT FIX Adapter Startup Issues Related to TT User Setup Timeouts A Migrating from Pre 7 6 Versions CXXxix TT FIX Adapter System Administration Manual Trading Technologies International Inc Send Us Your Comments TT FIX Adapter System Administration Manual Version 7 8 5 Trading Technologies welcomes your comments and suggestions on the accuracy and usefulness of this publication Your input is important and valuable in revising our documentation and helps ensure a constantly improving level of quality e Did you find any errors e Is the information clearly presented e Do you need more information If so where e Are the examples correct Do you need more examples e Which features did you find particularly useful e What did you like most about this manual or document If you encounter any errors in this document or would like to share other suggestions you might have for improving this document send comments to documentation dept tradingtechnologies com If possible please indicate the chapter section and page number relevant to your feedback Trading Technologies International Inc Trading Technologies International Inc Symbols DAT files cxi Price Conversion Table section xii xcii A Architecture overview xii Automating services cix C Clone con
52. FIX client TT FIX Adapter will reject any order sent by the FIX client that attempts to use a Gateway Login that the FIX client cannot access TT FIX Adapter will reject any order that exceeds the configured product limits If the Staged order option is unchecked the TT FIX Adapter will reject all staged order submissions from the FIX client If the Direct Market Access option is unchecked the TT FIX Adapter will reject all DMA order submissions from the FIX client If the Restrict user from overriding option is checked TT FIX Adapter will reject orders that do not match the configured account defaults Table 2 TT User Setup Settings That Can Cause Order Rejections TT FIX Adapter System Administration Manual Trading Technologies International Inc xlvi Specifying Global Configuration Settings 4 Configure Order Routing Specifying Global Configuration Settings About the global adapter Each TT FIX Adapter contains a group of settings that dictates general operational settings behavior Standard settings The following figure shows the standard global settings used for an order routing TT FIX Adapter configuration i FIX Adapter Configuration Tool FACT D Help cava sets Global Settings FIX Session Settings FIX Adapter Name Requirea TT User Setup Password Required FIX Adapter Type Order Routing Console Logging More The following table descri
53. Frequency in milliseconds at which TT FIX Adapter coalesces prices for price updates You can enter any non negative integer Default 0 Note This setting appears only if the Price Session Connection is enabled in the Global FIX Session Settings pane Price Conversion Table List of products whose prices you want to convert To specify a product or set of products you supply the following values to create a matching rule Note If you add a rule you must specify values for all fields For more information about converting price data see the section called Market Data Formatting Prices Market Name of market on which the product trades as set in Tag 207 SecurityExchange Note If you specified a Market Name in the Gateway Settings Additional Gateway Settings dialog you must use that same value in this field Product Product symbol as set in Tag 55 Symbol You can also use to match all symbols Table 7 Additional FIX Session Settings Market Data TT FIX Adapter System Administration Manual Trading Technologies International Inc Additional FIX Session Settings Market Data 4 Configure Order Routing Field name Description Product Type Product types to match You can specify any of the following values or to match all product types Bond Energy Forex Future Fxndf Option Spread Stock Strategy Table 7 Additional FIX Session Settings Market Data Ixi
54. IX Adapter Configuration Tool FACT 0000 eee ee eee xxxvii FACT Managing Configurations aaa nn xxxviii Chapter 4 Configure Order Routing llle RI nnn xlii About the Order Routing Configuration Type ens xliii Specifying Global Configuration Settings aasa saa ea a a xlvii Configuration Settings Selecting Products saasaa a a ee l Specifying Gateway Settings llle ee liv Specifying Global FIX Session Settings llle eh Ivii Additional FIX Session Settings 6 aaa lix Additional FIX Session Settings Market Data lees Ix Market Data Formatting Prices 0 ec hrs Ixii Additional FIX Session Settings Order Routing Requests een Ixiv Additional FIX Session Settings Order Routing Responses FIX Tags 00000 ee ees Ixv Additional FIX Session Settings Order Routing Responses Business Flows Ixviii Chapter 5 Configure Drop Copy 2 000 cece eee ence eee eee eee eee eee eens Ixxii About the Drop Copy Configuration Type nns Ixxiii Specifying Global Configuration Settings sslleele ee Ixxvi Configuration Settings Selecting Products lll selle Ixxx Specifying Gateway Settings cc nnn Ixxxiv Specifying Global FIX Session Settings llle Ixxxvii Additional FIX Session Settings sieh hh hh hh hh hon RR Eh a Ixxxix TT FIX Adapter Reference Manual vi Trading Technologies In
55. IX Adapter Servers and FIX Adapter Clients in TT User Setup refer to the TT FIX Adapter Getting Started Guide or to the TT User Setup Help Note After creating or editing TT FIX Adapter Server or FIX Adapter Client profiles in TT User Setup TT recommends that you run TT User Setup diagnostic checks For more information refer to the section called Running the TT User Setup Diagnostic Checks on page cxii Note If the TT FIX Adapter is running while you create or edit accounts create or edit Gateway Logins or change the list of FIX Client users that can connect to a TT FIX Adapter you must restart the TT FIX Adapter before the changes will be applied Additional tools and tasks You can also use the following tools to change operational characteristics of TT FIX Adapter e Automate the TT FIX Adapter using TT Chron and ttchron ini such as starting or stopping TT FIX Adapter resetting sequence numbers and so on e Setup TT Clean and ttclean ini to archive and manage the log and dat files that the TT FIX Adapter generates e Customize debug logging with the Aconfig tool For more information refer to the TT Gateways System Administration Manual TT FIX Adapter rollover behavior TT FIX Adapter uses the rollover times specified by each TT Gateway so it zeros out all positions and P amp L for all contracts on a TT Gateway when it rolls Customers should either enable the Auto SOD feature on the TT Gateway
56. IX Adapter System Administration Manual Trading Technologies International Inc Ixxxviii 5 Configure Drop Copy Additional FIX Session Settings Available Settings The Additional FIX Session Settings dialog contains the following settings e Additional FIX Settings Market Data Additional FIX Settings Order Routing Responses FIX Tags Additional FIX Settings Order Routing Responses Business Flows Additional FIX Session Settings Market Data Order Routing Responses FIX Tags Order Routing Responses Business Flows Coalescing Rate msec 0 s Price Conversion Table Cancel Ixxxix TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Additional FIX Settings Market Data Market Data tab Additional FIX Session Settings The Market Data tab allows you to configure market data options Market Data Order Routing Responses FIX Tags _ Order Routing Responses Business Flows Coalescing Rate msec 0 Price Conversion Table X Conversion Factor v Product Type Setting descriptions The following table describes the market data parameters Field name Description Coalescing Rate msec Frequency in milliseconds at which TT FIX Adapter coalesces prices for price updates You can enter any non negative integer Default 0 Note This setting appears only if the Price Ses
57. IX Adapter returns lt Member ID of terminal user gt lt separator gt lt Group ID of terminal user separator Trader ID of terminal user separator Member ID of direct trader separator Group ID of direct trader separator Trader ID of direct trader For example 50 TTORDCP 001 002 TTSIM TEO 000 Table 9 Additional FIX Session Settings FIX tags Ixv TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Additional FIX Session Settings Order Routing Responses FIX Tags Field name Description Send Account Type As How to send the account type information Possible values include e Tags 47 and 204 Send the TT account type pieces separately in Tag 47 Ru1e80A and Tag 204 CustomerOrFirm as follows First Agent Account A1 Set 47 A and 204 0 Second Agent Account A2 Set 47 A and 204 1 Third Agent Account A3 Set 47 A and 204 2 Fourth Agent Account A4 Set 47 A and 204 3 or set 18205 A4 Fifth Agent Account A5 Set 47 A and 204 4 or set 18205 A5 Sixth Agent Account A6 Set 47zA and 204 5 or set 18205 A6 Seventh Agent Account A7 Set 47 A and 204 6 or set 18205 A7 Eighth Agent Account A8 Set 47 A and 204 7 or set 18205 A8 Ninth Agent Account A9 Set 47 A and 204 8 or set 18205 A9 Pre Designated Give up Trade G1 Set 47 W and 204 0 Designated Give up Trade Automatic Allocat
58. If the machine is a WAN Router it stops the machine from WAN Routing If this machine is currently a primary WAN Router the network is disconnected e Disconnects the machine from the TT system TT Server Admin is not able to see the machine or collect log files Client TT workstations are unable to connect to the TT Gateway TT Chron automates services and computer processes Refer to the TT Gateways SAM Version 7 X for detailed information on how to use TT Chron To start TT Chron double click Start TT Chron TT Chron starts all Start TT Chron services scheduled to run in the root drive gt tt config ttchron ini file TT recommends that you use TT Chron to manage TT FIX Adapter run times including startup and shutdown To start the TT FIX Adapter double click Name Adapter You can edit this shortcut to include additional command line parameters CME B adapter Table 19 TT FIX Adapter desktop icons Key Server requirements To submit orders through the TT FIX Adapter you must run at least one key server on a TT Gateway in your TT Trading System If you do not run a key server the TT FIX Adapter rejects all incoming orders Additionally if the FIX Adapter cannot assign a unique order key to an order i e because the TT FIX Adapter disconnects from the key server it rejects the order Command line options You can run TT FIX Adapter from any directory You can use the command line options described
59. O DO This section resets TT Messaging once a week on Friday night run days 6 start time 0 10 end time 23 55 days in cycles7 win32 TTClean TO DO Configure as appropri a the server time zone Should he deme Delete these lines path c NWINNTNSysJem3 2 cmd ex args c TTCleanfv s chedul e SMTwRre wins2 server MyNameIsMuchTooLongadapter bath c tt fixadapter MynameIsmMuchTooLongadapter exe 5chedule sMTwRF amp 800 15 23 50 un flags CONSOLE win32 MyNamelsMuchTooLongadapterReset bath c tt fixadapter Mynamel sMuchTooLongadapter exe 5 chedule SMTWRFG 23 251 10 Save and close the file 11 In Notepad open C Documents and Settings All Users Application Data Trading Technologies FixAdapter txt remove any lines with an oldNameAdapter then save and close the file B FixAdapter txt Notepad File Edit Format View Help IMyNameIsMuchTooLongadapt er A UR du dpte Re validating the After the TT FIX Adapter administrator updates the necessary configurations the configurations TT User Setup administrator should re validate them with the TT User Setup Utility as described in the section called Identifying Required TT FIX Adapter Configuration Changes on page cxxii cxxxi TT FIX Adapter System Administration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions Installing FIX Adapter 7 8 and Updating Pre 7 6 Configurations in FACT Installing FIX Adapter 7 8 an
60. OCO ORC QC RC RC e Roe e Rom 145 Discrete Bloks iugo pu EDEN SURE Vus ERIS EAC See ALPES an ESTES ORATOR E SOR 147 Generator Block ccc ee ee th ehe 147 Value Extractor Blok uuu amore aa e onu Rae Ra are arp E a da ale 153 ADL User Manual iii Trading Technologies International Inc Table of Contents Value Accumulator Block 2 x ec sae xs ER En AERE RR pas 159 Moving Average Block cose cess ac Cy Soo Or oo ORM C EE eee eR ONE OR ecce 165 Valus Bucket BRIGG cakes gugeedaspudseheseudeehavawd obhes ous kp iai pedes 170 tate BOE MD 177 Branch toe thea an hes a a ene hae A arara a A AEA E a a a ene 181 Order Message Multiplexer Block 2 0 eect ene 186 Funnel BROCK s ike meaai itum doe tad Go dork em bb actam dated od ota ate dod das date ade ese ate hatha rt 188 sequencer DIGCK auem tri hp ewetgesteieigecteieigeseciegd 191 Discrete Mini Max BIOCK ou Lupum essnee HUE es DH Ue VULP RE keek EE SRE Y 192 Value Injector s 0 6 a ne oe ee ee ee eee duat ee ee ETE TT TT 197 Miscellaneous Blocks 6 4 604 65 55544 664 46 NRE KE DEERE HATES KES SE ESOS EKER ORES ERRORS 203 Round BIOEE oa us ccbcdateteeciatetadeieeeieesietetgeeiadeiadetetctasetes 203 Display To Decimal BlOCK ss ovd ex s ERU ERUNT E E eS E UV are FR Ie e x 206 melde MMMCTCR C 207 Average Block tne te tne e teens 212 Stopwatch Block in 5 04420 ay ke C 213 Clock Blocks rs ta eucesecseucgteeaeuraseeseeeghesseuseteseeueeleeeeueeses 215 Note
61. OT and Eurex markets In the Load Ignore Products table you specify the following TT FIX Adapter System Administration Manual l Trading Technologies International Inc Configuration Settings Selecting Products 4 Configure Order Routing Load Ignore Products Load lgnore Product Product Type produet ZB Future Load ZN Future Load E Option Load vv When TT FIX Adapter initializes it downloads contract data for the following e From the CBOT market all ZB and ZN futures e From the CME market all option products e From the Eurex market all products Using only ignore product entries When you include only Ignore entries in the Load Ignore Products table TT FIX Adapter downloads contract data for all products except for the matching products traded on that exchange If the table contains no entries for a market TT FIX Adapter downloads contract data for all products on that market To illustrate assume TT FIX Adapter connects to the CME CBOT and Eurex markets In the Load Ignore Products table you specify the following Load Ignore Products Load lgnore Market Product Product Type Shri CBOT ZB Future Ignore CBOT ZN Future Ignore CME Option Ignore When TT FIX Adapter initializes it downloads contract data for the following e From the CBOT market all products except ZB and ZN futures e From the CME market all non option products e From the Eurex mark
62. TRADING N TECHNOLOGIES FIX Adapter System q Administration Manual S 4 q L AN ud dd e Version 7 8 X Document Version 7 8 X DV1 5 16 2014 96 LEGAL This document and all related computer programs example programs and all TT source code are the exclusive property of Trading Technologies International Inc TT and are protected by licensing agreements copyright law and international treaties Unauthorized possession reproduction duplication or dissemination of this document or any portion of it is illegal and may result in severe civil and criminal penalties Unauthorized reproduction of any TT software or proprietary information may result in severe civil and criminal penalties and will be prosecuted to the maximum extent possible under the law Information in this document is subject to change without notice Companies names and data used in examples herein are fictitious unless otherwise noted No part of this document may be reproduced or transmitted in any form or by any means electronic or mechanical for any purpose without the express written permission of TT All trademarks displayed in this document are subject to the trademark rights of TT or are used under agreement by TT These trademarks include but are not limited to service brand names slogans and logos and emblems including but not limited to Trading Technologies the Trading Technologies Logo TT X TRADERO X RISK MD Tra
63. TRADING TECHNOLOGIES O New open Add Gateway Connection Add FIX Session 5 Gateways Global Settings CME FIX Sessions MyNamelsMuchTooLong FIX Adapter Type Order Routing One TTORD Per FIX Session Console Logging O 3 Change the FIX Adapter Name field to a value that resolves the issue raised by the TT User Setup Utility The TT User Setup administrator typically gives you the name to use TT FIX Adapter System Administration Manual cxxviii Trading Technologies International Inc Correcting Problems Concerning a TT FIX Adapter Name Ei FIX Adapter Configuration Tool FACT new open E Save Di Save al O Add Gateway Connection Add FIX Session 9i FA_OR1 3 Gateways Global Settings CME FIX Sessions amp Mke FIX Adapter Na Cron FX Adapter Type Order Routing One TTORD Per FIX Session Console Logging O 4 In the menu bar click the Save icon B Documents 2 Desktop Save as type XML files xml In the Save As dialog box verify the name and click Save A Migrating from Pre 7 6 Versions Y Help Using the TT FIX Adapter setup program install a new TT FIX Adapter using the name you specified in the FIX Adapter Name field in FACT The following figures highlight the relevant parts of the installation process For complete installation instructions refer to the 77 FIX Adapter System Administration Manual for your current version cxxix TT
64. TT CBOT Gateway you need not download all of the other treasury products However TT FIX Adapter does automatically download products it needs to process any order acknowledgements or fills it receives from TT Gateways For example suppose you exclude a product from a connected TT Gateway such as the ZN products and TT FIX Adapter receives a fill for the excluded product Because TT FIX Adapter needs the product information to process the fill it automatically downloads the contract data from the TT Gateway and delivers the fill to the FIX client even though you excluded the product In other words TT FIX Adapter always ensures that a FIX client receives all of its fills even if you exclude the associated products If you configure a drop copy TT FIX Adapter to exclude all products you can create a TT FIX Adapter that downloads contracts on demand About the Load Ignore Products table Note TT recommends using these parameters when possible as they can significantly improve performance and reduce memory requirements The Load Ignore Products table identifies the products for which TT FIX Adapter downloads contract data during initialization By default TT FIX Adapter downloads contract data for all products from all connected gateways To improve performance or restrict FIX client access you can limit which markets products or product types the TT FIX Adapter accesses You can limit the products tracked by including speci
65. TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Market Data Formatting Prices Market Data Formatting Prices About price data formats TT FIX Adapter delivers and expects all prices in decimal points format TT derives this format using the product information Point Value and Tick Size sent by each exchange In the Price Conversion Table you can specify a decimal value by which TT FIX Adapter will divide all prices for a given product before publishing them to the FIX client s TT FIX Adapter will also expect all orders to be submitted in this new format In addition to adjusting the prices TT FIX Adapter divides Tag 16552 TickSize and multiplies Tag 16554 PointValue by the factor Example custom price Suppose CME delivers the following contract specifications for ES futures mes e Point Value 0 5 e Tick Size 25 1 e Tick Value Point Value x Tick Size 12 50 As a result valid prices in the decimal format of points delivered and expected by the CME for this contract look similar to 128175 128200 128225 128250 Adding the following entry to the Price Conversion Table section Price Conversion Table Product Product Type E ES Future y 100 yields the following results e TT FIX Adapter divides all prices by 100 before delivering them to FIX clients as follows 1281 75 1282 00 1282 25 1282 50 e TT FIX Adapter multiplies all
66. X Adapter Then in the Select New Configuration Type section select the desired type as shown Create New Configuration 3 Help Adapter Name OR1 Select New Configuration Type Order Routing Drop Copy 4 Click OK The FIX Adapter Configuration Tool FACT window displays the new configuration as shown TT FIX Adapter System Administration Manual xxxviii Trading Technologies International Inc FACT Managing Configurations 3 Creating TT FIX Adapter Configurations FIX Adapter Configuration Tool FACT ING NOLOGIES New open z Save Ee Save All ci m Gateway Setings Global Settings FIX Session Settings FIX Adapter Name oR1 Requirea TT User Setup Password Required FIX Adapter Type Order Routing Console Logging More How to open an existing configuration When FACT initializes it automatically opens all of the configurations in the lt root_drive gt tt config directory You can also manually open configurations located in other locations p To open a TT FIX Adapter configuration In the menu bar click the Open icon 2 In the Open dialog box navigate to the appropriate directory select the configuration file and click OK The selected configuration opens with the Global Settings pane visible How to modify a configuration To modify a TT FIX Adapter configuration 1 In the Configurations Tree Navigation pane
67. XXXix xxxvii xxxvii xxxiii XXXV xxxviii Ixxii xlii Ixxiii XXXIV xiii xvi cxi XXXIV xiii Xxiv Xix xxvi ci XV cxlii Index generated M Market depth coalescing rate Message storage N Network configuration overview O Order routing configurations distinct credentials FIX Adapters P Position Report UAP message Prices coalescing rate conversion Product architecture R Requirements hardware software S Save all configurations configurations Scalability Security Definition d message xciii Services automating Software requirements Startup options n r Supported TT Gateways T Tag 16552 ExchTickSize Tag 16554 ExchPointValue Trading tools TT Gateway cxliii cxi Ix xc cxi XV xii xlii xlii xlii Ixvii Ixviii xcvi xcvii Ix xc Ixii xcii xiii xiii xiii xxxix xl XXxix XV Ixii Ixiii Ixvii xcii xcvi cix xiii cii cii xvi Ixii Ixiii xcii xciii Ixii Ixiii xcii xciii xiii connection properties liv Ixxxiv TT Gateways supported xvi TTChron automation cix TTClean cxi U Universal properties Price Conversion Table section Ixii xcii Upgrade xxvi W Windows Server 2008 xix TTM Administration Manual Trading Technologies International Inc
68. ader ID of terminal user separator Member ID of direct trader separator Group ID of direct trader separator Trader ID of direct trader For example 50 TTORDCP 001 002 TTSIM TEO 000 Table 17 Additional FIX session global settings FIX Tags TT FIX Adapter System Administration Manual Trading Technologies International Inc xciv 5 Configure Drop Copy Field name Description Send Account Type As How to send the account type information Possible values include e Tags 47 and 204 Send the TT account type pieces separately in Tag 47 Ru1e80A and Tag 204 CustomerOrFirm as follows First Agent Account A1 Set 47 A and 204 0 Second Agent Account A2 Set 47 A and 204 1 Third Agent Account A3 Set 47 A and 204 2 Fourth Agent Account A4 Set 47 A and 204 23 or set 18205 A4 Fifth Agent Account A5 Set 47 A and 204 4 or set 18205 A5 Sixth Agent Account A6 Set 47 A and 204 5 or set 18205 A6 Seventh Agent Account A7 Set 47 A and 204 6 or set 18205 A7 Eighth Agent Account A8 Set 47 A and 204 7 or set 18205 A8 Ninth Agent Account A9 Set 47 A and 204 8 or set 18205 A9 Pre Designated Give up Trade G1 Set 47 W and 204 0 Designated Give up Trade Automatic Allocation G2 Set 47zW and 204 1 Give up System Allocation G3 Set 47 W and 204 2 First Market Maker Account M1 Set 47 E and 204 0 Second Market Maker Account M2 S
69. al xcii Trading Technologies International Inc 5 Configure Drop Copy Example converting decimals to ticks xciii Suppose the contract specifications delivered by the CBOT for ZB futures are e Point Value 1000 e Tick Size 1 32 0 03125 e Tick Value Point Value x Tick Size 31 25 As a result valid prices in the decimal format of points delivered and expected by the CBOT for this contract look similar to 104 0 104 03125 104 06250 104 09375 You can convert these prices to ticks by creating the following Price Conversion Table entry Price Conversion Table Conversion Factor Future 0 03128 bd Product Product Type With this entry e TT FIX Adapter divides all prices by 0 03125 before delivering them to FIX clients as follows 3329 3330 3331 3332 e TT FIX Adapter multiplies all prices by 0 03125 for all orders received from FIX clients before sending them to the appropriate TT Gateway For example if a FIX client sends an order to the TT FIX Adapter to buy 1 ZB Mar07 3331 the TT FIX Adapter sends the order to the TT Gateway as buy 1 ZB Mar07 104 06250 e Inthe Security Definition d message for each ZB contract TT FIX Adapter divides Tag 16552 TickSize by 0 03125 and multiplies Tag 16554 PointValue by 0 03125 as shown Tag Without price conversions With price conversions 16552 0 03125 1 16554 1000 31 25 TT FIX Adapter System Administration M
70. alCompld TT PRICE 10502 Port Persistent Non Persistent The following table describes standard settings Field name Description Order Session Connection LocalCompId Port Persistence Persistent Settings that identify this TT FIX Adapter to the FIX clients for routing orders ID to send in Tag 49 SenderCompID for all messages sent from TT FIX Adapter to the FIX client This value is also expected in Tag 56 TargetCompID for all messages received from a FIX client Maximum length 255 characters Default TT ORDER Port through which TT FIX Adapter and the FIX client communicate for the duration of the session Note When not using the default value TT recommends using port 10001 or higher Default 10501 Whether the session maintains a persistent connection to retain sessions state Retain the session state after the FIX client disconnects Default Non Persistent Table 6 Global FIX Session standard parameters lvii TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Specifying Global FIX Session Settings Field name Description Non Persistent Do not retain the session state after the FIX client disconnects The FIX client must reset its session message sequence number when the connection to the TT FIX Adapter is reestablished Price Session Connection LocalCompId Port
71. ange local time you must adjust the values shown in the table accordingly Date and time for the beginning of Standard Time ST as follows e For SODs DSODs and manual fills enter date time of the start of Standard Time ST for the time zone of the local machine that injected them e For a given market enter date time of the start of Standard Time ST Enter the date value in the form month week day and the time value in the form HH MM SS UTC offset during Standard Time ST as follows e For SODs DSODs and manual fills enter the UTC offset for the time zone of the local machine that injected them e Fora given market enter the UTC offset during Standard Time ST Enter the value in the form HH MM SS Date and time for the beginning of Daylight Savings Time DST as follows e For SODs DSODs and manual fills enter date time of the start of Daylight Savings Time SDT for the time zone of the local machine that injected them e For a given market enter date time of the start of Daylight Savings Time DST Enter the date value in the form month week day and the time value in the form HH MM SS UTC offset during Daylight Savings Time DST as follows e For SODs DSODs and manual fills enter the UTC offset for the time zone of the local machine that injected them e Fora given market enter the UTC offset during Daylight Savings Time DST Enter the value in the form HH MM SS
72. anual Trading Technologies International Inc 5 Configure Drop Copy Additional FIX Settings Order Routing Responses FIX Tags Order Routing The Order Routing Responses FIX Tags tab contains options that determine Responses FIX Tags tab which FIX tags TT FIX Adapter should include in responses to order requests E Additional FIX Session Settings m 2 Help Market Data Order Routing Responses FIX Tags Order Routing Responses Business Flows MGT Separator Tag 50 Send Account Type As Tags 47 and 204 x Send Security Legs Send Unsolicited Change As New Send Expired Order Status 4 m M Cancel l OK Setting descriptions Table 17 describes the settings for FIX tags used in order routing responses Field name Description MGT Separator Tag 50 Single character to insert between MGT fields returned in Tag 50 SenderSubId of the Execution Report 8 or Position Report UAP message when the corresponding New Order Single D Order Cancel Request F or Order Cancel Replace Request G message does not specify Tag 57 TargetSubId Without this parameter TT FIX Adapter returns lt Member ID of terminal user gt lt Group ID of terminal user gt lt Trader ID of terminal user gt For example 50 TTORDCP001002 If you set this parameter TT FIX Adapter returns lt Member ID of terminal user gt lt separator gt lt Group ID of terminal user separator Tr
73. apter Understanding TT FIX Adapter Log Files Overview TT FIX Adapter continuously writes information to log files recording events as they occur These log files are separated into two types FIX Adapter logs and FIX session logs e FIX Adapter logs record FIX Adapter events You can change what kind of information is logged by changing the log level For more information refer to the section called How TT FIX Adapter uses log severities and the section called How to change the default settings These logs are log files and are located in the tt logfiles directory e FIX session logs record the price session and order session FIX transactions These logs are dat files and are located in the tt datfiles directory Order Session FIX logs are created for each session the Enable debug logging for orders setting in TT User Setup is ignored Caution The order session FIX dat file is used to service FIX client resend requests and historical fill requests Make sure that TT Clean is not configured to delete or archive dat files that are less than three days old or the duration of their FIX session whichever is greater Price Session FIX logs are created for each session but only when the FIX client user s Enable debug logging for prices setting is enabled in TT User Setup FIX Adapter Log File The FIX Adapter log files are named as follows Naming Conventions FIX Adapter Name Adapter lt YYYY MM DD gt 1l
74. apter Click Finish to exit the wizard The setup wizards adds a FACT icon Bh to the desktop xxvii TT FIX Adapter System Administration Manual Trading Technologies International Inc 2 Installing TT FIX Adapter After You Install After You Install Creating a configuration for the adapter As part of the installation process the TT FIX Adapter setup program adds a desktop icon based on the name you provide during installation namely Name adapter where Name matches the value you supplied during installation So for example if you create an adapter named DC1 the desktop contains a ENS i You cannot start the TT FIX Adapter however until you create a matching configuration using the TT FIX Adapter Configuration Tool FACT The TT FIX Adapter installation stores TT FIX Adapter configurations in lt root_drive gt tt config For more information about configurations refer to Chapter 3 Creating TT FIX Adapter Configurations Creating TT FIX Adapter servers and FIX Adapter clients in TT User Setup The TT User Setup Administrator must create user profiles for the TT FIX Adapter Servers and FIX Adapter Clients This allows TT User Setup to manage the list of TT Gateway Login credentials MGTs that determine to which TT gateways the TT FIX Adapter servers can connect as well as the list of users FIX Clients that are authorized to connect to a TT FIX Adapter server For information about creating TT F
75. apter MGTs MIKE CME B TTORDPM 001 001 Invalid because the orders and fills for CME NYSE_Liffe C TTORDPM 001 001 B TTORDPM 001 001 are Eurex A TTORDPM 001 001 not visible to the TT FIX Adapter MGTs TT FIX Adapter System Administration Manual xliv Trading Technologies International Inc About the Order Routing Configuration Type 4 Configure Order Routing TTUniversal TT Gateway Member Group Trader Result Login ID SEAN CME A TTORDPM 001 001 Invalid because the orders and fills for IC IPE NYSE Liffe C TTORDPM 001 001 F TTORDPM 001 001 are EUREX A TTORDPM 001 001 not visible to the TT FIX Adapter MGTs ICE IPE F TTORDPM 001 001 GREG CME A TTORDXY 001 001 Invalid because the orders f and fills for CME NYSE_Liffe C TTORDPM 001 001 A TTORDXY 001 001 are Eurex A TTORDPM 001 001 not visible to the TT FIX Adapter MGTs Note If you add a user to a TT FIX Adapter that is currently running TT FIX Adapter must be restarted to recognize the new user For a comprehensive description of the hierarchical relationship between the order routing credentials refer to the TT User Login and Risk Administration Reference Manual Guidelines for Configuring FIX Client Settings in TT User Setup xlv TT User Setup administrators configure how FIX client users can connect to TT FIX Adapter servers as well as additional conditions that must be met before an order can be processed For more information about TT User Setup
76. ase continues in import mode this error terminates the correct this in the FIX Adapter xml file and then import utility the FIX Adapter data ERROR User name RemoteCompId cannot be the This error indicates that the FIX Adapter name matches same as the FIX Adapter name FIX Adapter Name one of the FIX session names The XML cannot be User RemoteComplId will not be imported into TT imported You must change one of the names in FACT User Setup until one of the names is changed ERROR A database record for user FIX Adapter A user with the same name as the FIX Adapter name Name already exists Cannot import FIX Adapter FIX already exists The XML cannot be imported Adapter Name Please change the FIX Adapter name and retry importing Warning Messages Table 23 Common validation problems TT FIX Adapter System Administration Manual cxxii Trading Technologies International Inc Identifying Required TT FIX Adapter Configuration Changes A Migrating from Pre 7 6 Versions Log message Notes WARNING User RemoteComplId is missing a password In validation mode the utility logs the message and continues in import mode it displays a dialog to enter a password WARNING User Username already has an MGT mapping for Gateway Gateway Mapping for MGT lt MGT gt will not be added The specified user already has data in the TT User Setup database for the TT Gateway No changes
77. ation tables e Load Ignore Products Global settings e UTC Time Biases Gateway settings e Price Conversion FIX Session Additional Options Market Data settings Notes e Do not edit this information unless TT Support personnel instruct you to do so e TT plans to deprecate this functionality in a subsequent release of TT FIX Adapter Table 14 Gateway Bias Settings How to modify TT Gateway settings p To modify the TT Gateway settings 1 Inthe Configurations Tree Navigation pane select Gateway Settings for the desired configuration The Gateway Settings appear in the Settings pane Select the Convert Timestamps to UTC check box if necessary If you need to add a TT Gateway Flavor to the table scroll to the bottom of the table and in the Bias Settings For column type the name of the TT Gateway Flavor defined in TT User Setup 4 If you need to define custom market names with TT Support approval click More and supply the necessary values 5 Update the values as needed TT FIX Adapter System Administration Manual Trading Technologies International Inc Ixxxvi Specifying Global FIX Session Settings 5 Configure Drop Copy About global FIX session parameters All FIX sessions within a single TT FIX Adapter drop copy configuration share the same set of general behavioral characteristics Standard settings E FIX Adapter Configuration Toot FACT Dinew open F save Save s
78. bes the various settings Field name Description FIX Adapter Name Name to identify this TT FIX Adapter configuration This name is used as follows e FACT generates the configuration file based on the name as in NameAdapter xml e TT FIX Adapter uses it to log in to TT User Setup to retrieve its TT Gateway login credentials TT Universal Login The name must adhere to the following rules e Contain only alphanumeric characters hyphens and underscores _ e Cannot exceed 11 characters e Cannot contain the string Adapter e Must match the name specified during installation Note For more information about creating TT FIX Adapter IDs refer to the TT User Setup System Administration Manual FIX Adapter Password Password associated with the FIX Adapter TT Universal Login Required FIX Adapter Type Display only field that identifies the configuration type of this TT FIX Adapter Console Logging Whether to write log messages to the console window in addition to log files xlvii TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Specifying Global Configuration Settings Field name Description Note Console logging can significantly impact performance Consequently TT strongly recommends that you enable console logging only during the development testing and debugging phases Additional settings The following figure shows the
79. connect to one or more TT FIX Adapters The following table illustrates how validation works for different TT Universal Login IDs that need to connect to the FA7 TT FIX Adapter defined previously TT Universal TT Member Group Trader Result Login ID Gateway TOM CME A TTORDPM 001 001 TT FIX Adapter sends the FIX client all of the orders and fills eee TTORDPM 002 002 for all configured MGTs Eurex A TTORDPM 001 001 MARY CME A TTORDPM 001 001 TT FIX Adapter sends the FIX client all of the orders and fills eee TTORDPM 001 001 for all configured MGTs NYSE Liff TTORDPM 002 002 e C NYSE Liff TTORDPM 003 003 e C MIKE CME B TTORDPM 001 001 TT FIX Adapter does not send i the FIX client all of the orders a TIDRDBM 001 001 and fills for all configured MGTs because TT FIX Adapter Eurex A TTORDPM 001 001 is not logged into CME B Note If you add a user to a TT FIX Adapter that is currently running TT FIX Adapter must be restarted to recognize the new user For a comprehensive description of the hierarchical relationship between the order routing credentials refer to the TT User Setup User Manual TT FIX Adapter System Administration Manual Ixxiv Trading Technologies International Inc 5 Configure Drop Copy Guidelines for ATT User Setup administrator must assign the FIX client to connect to an Configuring FIX Client available TT FIX Adapter Server For detailed instructions refer to the Assigning Settings
80. crosoft SQL Server 2005 Mobile ENU Developer Tools iS Microsoft Visual C 2005 Redistributable iB Microsoft visual C 2005 Redistributable Microsoft Visual Studio 2005 Professional Edition ENU j MSXML 6 0 Parser TT Chron 7 5 To change this program or remove it From your computer click Change or Remove TT Guardian 7 5 EG TT Messaging 2 0 VMware Tools windows Installer 3 1 KB893803 4 Click Change The Select the Adapter Configuration you would like to remove dialog box appears i FixAdapter Installation Wizard Select the Adapter Configuration you would like to remove i I T Please select one of the and click Next IDC1adapter IDC2adapter Sort by Name Sie S927MB Size 88 37MB Size 1 38MB Size 26 61MB Size 66 95MB Sie 5 21MB Size 5 07MB Size 1 790 00MB Size 1 31MB Size 7 88MB Size 11 50MB Used rarely Size 46 38MB Size 12 39MB Size 5 80MB 5 Select the adapters to remove and click Next 6 Click Finish to exit the wizard TT FIX Adapter System Administration Manual Trading Technologies International Inc 2 Installing TT FIX Adapter Uninstalling a TT FIX Adapter p To remove the configuration file 1 Open Windows Explorer and navigate to the lt root_drive gt tt config directory 2 Delete the Nameadapter xml file that corresponds to the TT FIX Adapter you just deleted How to remove all TT FIX Adapter instances and
81. d Updating Pre 7 6 Configurations in FACT Upgrading to TT FIX Adapter 7 8 After all of the configurations and FIX client names complete a TT User Setup Utility validation successfully the TT FIX Adapter administrator can upgrade to TT FIX Adapter 7 8 Caution TT strongly recommends that you do not upgrade the TT FIX Adapter software until all of the naming issues are corrected For information about upgrading the software refer to Chapter 2 Installing TT FIX Adapter Important information before opening FACT FACT no longer stores TT Gateway and user login information in configurations TT FIX Adapter retrieves it from TT User Setup Consequently TT FIX Adapter uses a significantly different and smaller configuration file than previous versions When opening a configuration from previous versions FACT overwrites the configuration using the new format The first time you open an existing configuration in FACT after upgrading FACT displays a warning prompt box similar to the following to alert you that you need to add all the TT Gateway and user login information to TT User Setup before proceeding E Upgrade Config File WARNING You are attempting to open C TT Config OR 1 Adapter xml version 75 22 with FACT 7 6 The conversion of this configuration file wall result in data being deleted If you have not already imported your user information into TT User Setup cancel this process and proceed with that task If y
82. der Autospreader X STUDY TT TRADER TT CVD ADL Autotrader TT Trainer Back Office Bridge TTNET All other referenced companies individuals and trademarks retain their rights All trademarks are the property of their respective owners The unauthorized use of any trademark displayed in this document is strictly prohibited Copyright O 2010 Trading Technologies International Inc All rights reserved TABLE OF CONTENTS Fundamental Concepts lt lt 4 0a 44 64 4 64 5655 4 po 6 Held EEE 4x X STEEN ed a ak x nk 5 Getting Started with ADL v qii ee aote aos cop Ron Dee RC A ae by Roo LR 5 B lding Blocks m recen eeaeee aaeoa aenn raene roere e Luna iE 11 Continuous vs Discrete Event Messages eene 13 Mibi iov ore teda RE aU RUE AE Nada Gta fuia i i NAR MA RI ALIE 21 Usei Defined Variable oot is0 6564 3 0a bb H ver ed Oa Sue ee HO aon a Se Peexesdae 27 ADL Designer WindOW ccsec5c20se000c80osecede boveucsdtoassadstovsusdens 30 Basic Blocks 4i o sdb yd oa taire eiee oce A eea aaa a a bus ER 47 Add BO lee nth totes AEA AE EEEN iA d ada MA ED E 47 D ae BIG ic 6 55 04S EOE CA kD GOES HOS DU EW EOLGHOAD EUSEROLOR GUD EURO ER 49 M ltiply BICK ccivvedsitdvvebeddderes didd eyed eiddvvsbhiddbapebeiaenwns oie 52 IVICS Block merd vw ec aaa 02 Ga be ecileetsan densa Bcd eis an tdamen scien 53 Greater That BIoCE sso ace dw Reed e KC eH Re VC X Rc CC OR we Saeed 54 less Thon BUSES wat ass RevswhvREserwavaleusswarboegwaw
83. derID e Off TT FIX Adapter sends fill updates for only those fills that originated from TT FIX Adapter Default Enabled Note For non persistent order sessions working orders become unsolicited orders if TT FIX Adapter restarts and any corresponding fills also become unsolicited If you disable this setting for a non persistent order session FIX clients will not receive fills for the working orders after the restart Table 10 Additional FIX Session Settings Business Flows Continued Ixix TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Additional FIX Session Settings Order Routing Responses Business Flows Field name Description Send Staged Order Child Whether to send fill updates to the FIX client for fills associated Fills with child orders of staged orders On TT FIX Adapter sends fill updates for a staged order s child orders If Send Unsolicited Orders is set to off FIX Adapter will only send fills for child orders of staged orders that were submitted by FIX Adapter e Off TT FIX Adapter does not send fill updates for a staged order s child orders Default Enabled Send Staged Order Child Whether to send order updates to the FIX client for child orders Orders of staged orders On TT FIX Adapter sends order updates for a staged order s child orders If Send Unsolicited Orders is set to off FIX Adapter will only send o
84. des UTC When enabled TT FIX Adapter converts the timestamp provided in Tag 60 TransactTime of Execution Report 8 messages to UTC using the offsets provided in the UTC Time Biases table Default Enabled Table 4 Gateway Settings TT FIX Adapter System Administration Manual Trading Technologies International Inc liv Specifying Gateway Settings 4 Configure Order Routing Field name Description UTC Time Biases Standard Time Start Date M W D Standard Time Start Time HH MM SS Standard Start Bias HH MM SS Daylight Savings Time Start Date M W D Daylight Savings Time Start Time HH MM SS Daylight Savings Time Bias HH MM SS Displayed only when Convert Timestamps to UTC is enabled Time biases to use when converting the order and fill timestamps received from exchanges to UTC You can set biases for the following e SOD DSOD Records e Manual Fills e MarketName Start of Day SOD records detailed start of day DSOD records and manual fills can be injected into the TT system through X RISK Back Office Bridge or a custom X_TRADER API application The timestamps of SOD DSOD records and manual fills use the local time of the machine from which they are injected Note FACT provides default values for each market These values assume your gateway system synchronizes its clock with the corresponding exchange s local time If the gateway clock differs from the exch
85. e Import the configurations into TT User Setup Run TT User Setup Diagnostics checks How to import a TT FIX Adapter configuration The TT User Setup administrator performs this procedure on the system running the TT User Setup Server Caution TT strongly recommends that you do not perform this procedure until all validation issues have been corrected and verified p To import a TT FIX Adapter configuration 1 Double click the TT User Setup Utility desktop icon The TTUserSetupUtil window appears TT User Setup Utility al TT User Setup DB for User Set 1 Create Empty TT User Setup DB a AIEEE A EN RD For example run the scripts that create the database tables 2 Run SQL Script Against TT User Setup DB end load the tables with initial date like countries and the irdial TTSYSTEM user E Use thes window to create or edit the TTUserSetupServer 3 Edit Server Configuration File configuration fle T TUserSetupServer ini ARematively you can edi the file using Notepad Import a FIX Adapter configuration file into the 4 Import FIX Adapter Configuration File TT User Setup database 2 Click Import FIX Adapter Configuration File The Import FIX Adapter Users to TT User Setup DB window appears TT FIX Adapter System Administration Manual CXXxiv Trading Technologies International Inc Importing TT FIX Adapter Configuration Files into TT User Setup A Migrating from Pre 7 6 Versions amp impor
86. e in this field Table 3 Additional global configuration settings TT FIX Adapter System Administration Manual Trading Technologies International Inc xlviii Specifying Global Configuration Settings 4 Configure Order Routing Field name Description Product Product symbol as set in Tag 55 Symbol You can also use to match all symbols Product Type Product types to match You can specify any of the following values or to match all product types e Bond e Energy e Forex e Future e Fxndf Option e Spread e Stock e Strategy Load Ignore Whether to include or exclude the products that match the rule criteria Default Load Table 3 Additional global configuration settings Continued Adapter retrieves during startup all contracts on all TT Gateways to which it connects If you connect to many TT Gateways the amount of data retrieved could cause FIX Adapter to exceed the maximum application memory footprint allowed by the operating system Warning If you instruct FIX Adapter to load all contracts Load FIX How to set the global settings To set the global configuration settings 1 Inthe Configurations Tree Navigation pane select the name of the adapter you want to configure The Global Settings appear in the Settings pane Specify values for each of the fields If you want to access the additional settings do the following Otherwise skip this step e Clic
87. ead the Following license agreement carefully ING NOLOGIES IMPORTANT LEGAL CONTRACT READ CAREFULLY End User License Agreement The TT Software defined below that you are about to install have installed or are using is a proprietary product of Trading Technologies International Inc TT and is protected by copyright trademark patent and other intellectual property rights as well as other laws and agreements The TT Software and Equipment defined below are licensed not sold to you The TT Software and Equipment and your right to use the TT Software and Equipment are subject to the terms and conditions stated herein S Laccept the terms in the license agreement O1 do not accept the terms in the license agreement Read the License Agreement To accept the License Agreement and continue installing the TT FIX Adapter select I accept the terms in the license agreement and click Next The Setup Type dialog box appears i FixAdapter Installation Wizard Setup Type Choose the setup type that best suits your needs Install Now Install FixAdapter at C tt Customize Allow users to choose folders for specific types of Files Cm on From this dialog box you can e Install the TT FIX Adapter software into the default TT software directory C tt e Customize the directory into which you install the TT FIX Adapter software To install the software in the default directory C tt
88. ect with Tag 34 MsgSeqNum equal to 1 because TT FIX Adapter s knowledge of any session state was erased e Be prepared to handle receiving duplicate fills because the TT FIX Adapter s knowledge of the last fill ID sent to any FIX client was erased TT FIX Adapter System Administration Manual Trading Technologies International Inc 6 Managing a TT FIX Adapter Running the TT User Setup Diagnostic Checks Running the TT User Setup Diagnostic Checks Overview After creating or updating TT FIX Adapter Server profiles or FIX Adapter client profiles in TT User Setup use the Diagnostics Check utility to confirm that the data in TT User Setup is consistent and valid Invalid data can cause FIX Adapter Client logins to fail Running the TT User Setup diagnostic checks p To run the diagnostic check 1 Start TT User Setup and log on using an administrative username and password 2 From the TT User Setup Control Panel open the User Admin menu and click Diagnostic Checks The Diagnostic Checks window appears 3 Click Configure diagnostic check The Configure Diagnostics window appears Configure Diagnostics Category v Gateway Logins missing Accounts Missing Product Limits Order Books with mismatched Credit Currency Order Books with mismatched Product Limits TTORDs mapped to invalid Exchange Traders Gateway Logins missing passwords Users with Customer Default Markets missing corresponding Gateway Login Markets
89. efore installing the TT FIX Adapter software Overview With TT User Setup now handling TT Gateway and user administration much of this information is no longer supplied through FACT Information such as individual TT Gateway and individual FIX session settings must be moved from the TT FIX Adapter configuration file to TT User Setup To help ease this transition TT User Setup provides a utility that imports the necessary data from existing TT FIX Adapter configuration files Before running this utility TT recommends that you use the following process to migrate the configurations The migration process involves three distinct roles with different responsibilities e TT FIX Adapter administrator who must update configurations and provide them to TT User Setup administrators e TT User Setup administrator who must import the TT Gateway and FIX client data from the configurations provided by TT FIX Adapter administrators e FIX client application developers who might need to update the clients to support the TT User Setup requirements Before preceding with the migration ensure your FIX Adapter meets the hardware and software requirements listed in the section called Hardware and Software Requirements on page xiii and that your TT Gateways are listed in the section called Supported TT Gateways on page xvi Hardware and software requirements In preparation for the migration of TT FIX Adapter and FIX client data to TT U
90. ent related to that product If a FIX client sends an order routing request for the excluded product TT FIX Adapter rejects the request About the Load Ignore Products table Note TT recommends using these parameters when possible as they can significantly improve performance and reduce memory requirements The Load Ignore Products table identifies the products for which TT FIX Adapter downloads contract data during initialization By default TT FIX Adapter downloads contract data for all products from all connected gateways To improve performance or restrict FIX client access you can limit which markets products or product types the TT FIX Adapter accesses You can limit the products tracked by including specific products excluding a subset of products or using a combination of both For each market you can select e Individual products such as Eurex ALV OPTION e All tradable product types for a symbol as in CBOT ZB e All symbols for a product type such as CME FUTURE Note If the table contains no entries for a market TT FIX Adapter downloads contract data for all products for that market Using only load product When you include only Load entries in the Load Ignore Products table TT entries FIX Adapter downloads contract data only for the matching products traded on that market and ignores all other products for that market To illustrate assume TT FIX Adapter connects to the CME CB
91. er Configuration dialog appears as shown E Clone a FIX Adapter Configuration New Adapter Name Cancel ok 3 In the New Adapter Name field enter a name for the new configuration and click OK TT FIX Adapter System Administration Manual xl Trading Technologies International Inc FACT Managing Configurations i FIX Adapter Configuration Tool FACT TE New open F save Ei Save Alt a si DC1 9 Gateway Settings FIX Session Settings ll o eva 9 Gateway Settings FIX Session Settings FIX Adapter Nai Console Logging 3 Creating TT FIX Adapter Configurations Global Settings me DC2 TT User Setup Password Required Required FIX Adapter Type Drop Copy How to delete a configuration p To delete a TT FIX Adapter configuration configuration to delete In the Configurations Tree Navigation pane right click the name of the 2 From the selected configuration s context menu select Delete Configuration z FIX Adapter Configuration Tool FACT i New open E Save Ei Save all g DC1 Gateway Settings FIX Session Settings i 1D Global Setti Delete Configuration 3 In the Delete Configuration File prompt box click Yes xli I Clone Configuration TT User Setup Password FIX Adapter Type Console Logging More ngs FIX Adapter Name DC2 Drop Copy Required
92. er in TT User Setup This only applies to FIX clients of Order Routing FIX Adapters Added support for TT Synthetic Strategy Engine SSE for staged orders only Added support for staged orders TT FIX Adapter supports submitting staged orders through the TT SSE Gateway FACT added options for children of staged orders and fills Added support for only TT CME Gateway 7 13 or higher and TT CBOT Gateway 7 13 or higher Added the Send Price Change Restatements option to the Order Routing Responses Business Flows tab TT FIX Adapter 7 8 FIX Adapter 7 8 removed the following removed features TT FIX Adapter Reference Manual Trading Technologies International Inc Removed the following FIX tag configuration options from FACT Send Price Feed Status Tag 18210 Send Order Entered Time Tag 6038 Send Transaction ID Tag 10527 Send TT Gateway Name Tag 18203 Sent Clearing Account Tag 440 What s New in TT FIX Adapter 7 8 X Send Expiry Date Tags 864 865 866 repeating group Send TT FFT Data Tags 16102 16103 Send TT Username Tag 10553 Send Currency Tags 15 318 TT FIX Adapter now sends all of these tags whenever they contain data Removed the following FACT configuration options Force Logout TT FIX Adapter now does not allow an already connected user to log in again Stale Order Timeout TT FIX Adapter no longer supports this functionality Max Depth Levels TT FIX Adapter now all
93. er scenarios only FIX clients can send a Logon A message with Tag 34 MsgSeqNum 1 and Tag 141 ResetSeqNumFlag Y e You can issue the FIXAdapter exe r command from a Windows command prompt e You can issue the sessionreset command from a telnet session From a Windows command prompt ciii If the TT FIX Adapter is not running you can use the FIXAdapter exe r command line option to reset the sequence numbers for a particular persistent FIX session To reset the message sequence number from a command prompt 1 Open a Windows command window 2 Type FIXAdapter exe r LocalCompId RemoteCompId num1 num2 where e LocalCompId and RemoteCompIid represent the session IDs to reset e numi and num2 represent the optional new message sequence numbers For example suppose your configuration defines the following session information e LocalComplId FAOrder e RemoteCompID ClientApp If you enter the command FIXadapter exe r FAOrder ClientApp 48 100 the sequence numbers reset as follows e Outgoing Tag 34 MsgSeqNum for session FAOrder ClientApp to 48 e Incoming Tag 34 MsgSeqNum for session FAOrder ClientApp to 100 If you enter the command FIXadapter exe r FAOrder ClientApp it sets both the incoming and outgoing message sequence numbers to 0 Note TT recommends that you do not use the r option without a sessionName parameter unless TT Support instructs you to do so TT also recommends that you reset
94. et all products Mixing load and ignore product entries You can include both types of entries in the configuration to apply different product select rules for different markets You can specify products to load for one market while specifying products to ignore for another To illustrate assume TT FIX Adapter connects to the CME CBOT and Eurex markets In the Load Ignore Products table you specify the following Load Ignore Products Load lgnore Market Product Product Type Ena CBOT zB Future Load CBOT ZN Future Load CME Option Ignore When TT FIX Adapter initializes it downloads contract data for the following e From the CBOT market all ZB and ZN futures TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Configuration Settings Selecting Products e From the CME market all non option products e From the Eurex market all products If you create entries with the same market set to both Load and Ignore TT FIX Adapter gives the Ignore entry precedence Example 1 basic Suppose you instruct the TT FIX Adapter to download contract data for the ALE selection and ALV option products on Eurex by creating the following entries Load Ignore Products Load lgnore Market Product Product Type leprae Eurex ALE Option Eurex ALV Option Because you listed no other exchanges TT FIX Adapter downloads all products for other
95. et 47 E and 204 1 Market Maker Give up or System Allocation M3 Set 47 E and 204 2 First Principal Account P1 Set 47 P and 204 0 Second Principal Account P2 Set 47zP and 204 1 House Give up or System Allocation P3 Set 47zP and 204 2 Unallocated U1 Set 47 0 and 204 0 For orders that have not been allocated to a customer account or where allocation is a middle back office function Unallocated Automatic U2 Set 47z0 and 204 1 Unallocated System U3 Set 47 0 and 204 2 Tag 18205 Send the standard account type string in a single tag Tag 18205 TTAccountType that contains the exact TT account type information For example it sends a First Agent Account as 18205 A1 e Don t Send Send no account type information Default Tags 47 and 204 Table 17 Additional FIX session global settings FIX Tags Continued XCV TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Field name Description Send Security Legs How to send leg information for strategy securities e On TT FIX Adapter sends strategy security leg information for Security Definition d Execution Report 8 and Position Report UAP messages For Security Definition d it sends the strategy security For Execution Report 8 and Position Report UAP it sends the strategy security legs the same as for Security Definition d except that it denotes Tag
96. eway EUREX TT User Setup Server Figure 1 Typical TT FIX Adapter network configuration Technical Components The TT FIX Adapter performs the following tasks Translates FIX based messages received from a FIX client request price updates submit an order etc and passes them to the TT Gateways Translates messages received from TT Gateways price updates order acknowledgements etc to FIX based messages and passes them to FIX clients Receives Gateway Login and user settings from the TT User Setup Server FIX Client connections are authenticated through the TT User Setup Server Hardware and Software To set up an environment that uses the TT FIX Adapter you need Requirements xiii A TT User Setup Server running TT User Setup 7 3 3 or later One or more TT Gateways that connect to the exchanges you want You must install each of these TT Gateways on separate server machines For additional information on TT Gateways refer to the 77 Gateways SAM Version 7 X All connected TT Gateways must include TT Fill Server 7 5 1 or later ATT FIX Adapter server machine that conforms to the server class machine standards as documented in TT Trading Systems Hardware and Software Requirements Version 7 X TT FIX Adapter software package Microsoft NET 2 0 or later TT FIX Adapter System Administration Manual Trading Technologies International Inc 1 Network Architecture Product Architecture Types of Lice
97. exchanges to which it is connected Example 2 unintended The following example shows the unintended consequences of ignoring only an consequences underlying product type In this case you want TT FIX Adapter to download no option products from CME create the following entry to ignore them However because you include no entries for the strategy product type TT FIX Adapter downloads any option products that happen to be included in strategy products Load Ignore Products Load lgnore Product Product Type Eranu Option To ensure that TT FIX Adapter does not download contract data for any options add a strategy entry similar to the following Load Ignore Products Load lgnore Market Product Product Type Product Option Strateav Example 3 conflicting The following example illustrates the situation where a product ALV option logic matches a Load and an Ignore entry In this example TT FIX Adapter does not download Eurex ALV options because the Ignore entry takes precedence TT FIX Adapter System Administration Manual lii Trading Technologies International Inc Configuration Settings Selecting Products 4 Configure Order Routing Load Ignore Products Load lgnore Product Option Ignore Option Ignore Option Load Product Product Type If for the Eurex market you want to download contract data only for ALV options configure the Eurex option
98. exit the wizard Note The uninstall program requires a reboot if any of the following conditions are true e The uninstaller overwrites or removes a file in use e The system path changes e The uninstaller accesses a service locked by another process p To remove the TT FIX Adapter configuration files 1 Open Windows Explorer and navigate to the lt root_drive gt tt config directory 2 Delete all Nameadapter xml files in the directory TT FIX Adapter System Administration Manual XXX Trading Technologies International Inc Uninstalling a TT FIX Adapter 2 Installing TT FIX Adapter xxxi TT FIX Adapter System Administration Manual Trading Technologies International Inc 3 Creating TT FIX Adapter Configurations Chapter overview This chapter provides an overview of the different types of TT FIX Adapter configurations and describes the basic structure of a configuration The chapter also introduces the TT FIX Adapter Configuration Tool FACT which allows you to create configurations through a Windows based interface In this chapter Section Page Types of TT FIX Adapter Configurations xi Components of a TT FIX Adapter Configuration xxxiv About the TT FIX Adapter Configuration Tool FACT XXXV Using the TT FIX Adapter Configuration Tool FACT xxxvii FACT Managing Configurations xxxviii TT FIX Adapter System Administration Manual xxxii Trading Technologies International
99. fic products excluding a subset of products or using a combination of both For each market you can select e Individual products such as Eurex ALV OPTION e All tradable product types for a symbol as in CBOT ZB e All symbols for a product type such as CME FUTURE Note If the table contains no entries for a market TT FIX Adapter downloads contract data for all products for that market Using only load product When you include only Load entries in the Load Ignore Products table TT entries FIX Adapter downloads contract data only for the matching products traded on that market and ignores all other products for that market To illustrate assume TT FIX Adapter connects to the CME CBOT and Eurex markets In the Load Ignore Products table you specify the following Load Ignore Products Load lgnore Product zB Future Load ZN Future Load i Option Load Product Product Type When TT FIX Adapter initializes it downloads contract data for the following TT FIX Adapter System Administration Manual Ixxx Trading Technologies International Inc 5 Configure Drop Copy e From the CBOT market all ZB and ZN futures e From the CME market all option products e From the Eurex market all products Using only ignore product entries When you include only Ignore entries in the Load Ignore Products table TT FIX Adapter downloads contract data for all products except for the matching prod
100. figurations xl Coalescing rate Ix xc Command line options ci n cii r cii Configuration file Price Conversion Table section Ixii xcii Configuration types drop copy Ixxiii Configurations cloning xl components xxxiv creating xxxviii deleting xli drop copy Ixxii FIX sessions xxxiv global configuration settings xxxiv managing xxxviii modifying Xxxix order routing xlii saving XXX X saving all xl types xxxiii Connection properties FIX sessions Xxxiv Connection properties TT Gateway liv Ixxxiv D Delete configurations xli Deployment XV Desktop icons ci Drop Copy configurations Ixxii FIX Adapters Ixxii E Execution Report 8 message Ixvii Ixviii xcvi xcvii TTM Administration Manual Trading Technologies International Inc Index F FACT cloning configurations configuration tasks creating configurations deleting configurations interface modifying configurations overview saving all configurations saving configurations starting stopping FIX Adapter types FIX Adapter Configuration Tool see FACT FIX Adapters creating drop copy order routing distinct types of FIX sessions connection properties FIX trading tools G Gateways supported Generated log files Global configuration settings H Hardware requirements Icons desktop Install additional adapters prerequisites upgrade K Key server L Load balancing Log files xl xxxviii xxxviii xli XXXV XXX X XXXV xxxix xl
101. figure Drop Copy Field name Description Price Session Connection LocalCompId Port Persistence Settings that identify this TT FIX Adapter to the FIX clients for retrieving prices from TT Gateways Valid only when enabled ID to send in Tag 49 SenderCompID for all messages sent from TT FIX Adapter to the FIX client This value is also expected in Tag 56 TargetCompID for all messages received from a FIX client Maximum length 255 characters Default TT PRICE Port through which TT FIX Adapter and the FIX client communicate for the duration of the session Note When not using the default value TT recommends using port 10001 or higher Default 10502 Whether the session maintains a persistent connection to retain sessions state Price sessions always use non persistent connections Table 15 Global FIX Session standard parameters How to set the global FIX session settings To set the global FIX session standard settings 1 In the Configurations Tree Navigation pane select the name of the FIX Session Settings for the desired configuration The Global FIX Session Settings appear in the Settings pane Specify values for each of the fields If you want to access the additional settings do the following Otherwise skip this step e Click More The Additional FIX Session Settings dialog appears e Change the desired values and click OK 4 Click Save TT F
102. g Technologies International Inc xcviii xcix 5 Configure Drop Copy Field name Description Send Unsolicited Fills Whether to send fill updates to the FIX client for all orders visible to the MemberID GroupID TraderID that routes the orders or only for those orders that originated from TT FIX Adapter On TT FIX Adapter sends fill updates for all fills visible to the MemberID GroupID TraderID e Off TT FIX Adapter sends fill updates for only those fills that originated from TT FIX Adapter Default Enabled This option cannot be disabled drop copy FIX sessions Send Staged Order Child Orders Whether to send order updates to the FIX client for child orders of staged orders e On TT FIX Adapter sends order updates for a staged order s child orders If Send Unsolicited Orders is set to o FIX Adapter will only send order updates for child orders of staged orders that were submitted by FIX Adapter e Off TT FIX Adapter does not send order updates for a staged order s child orders Default Enabled Send Staged Order Child Fills Whether to send fill updates to the FIX client for fills associated with child orders of staged orders e On TT FIX Adapter sends fill updates for a staged order s child orders If Send Unsolicited Orders is set to off FIX Adapter will only send fills for child orders of staged orders that were submitted by FIX Adapter e Off TT FIX Adapter does not send fil
103. g files generated and disk space used TT FIX Adapter System Administration Manual Trading Technologies International Inc cvi Understanding TT FIX Adapter Log Files 6 Managing a TT FIX Adapter How to change the default settings for the TT FIX Adapter log files Caution You should change the default logging settings only when TT Support personnel instruct you do so For instructions about changing the default Aconfig settings refer to the 7T Gateways System Administration Manual Log File Abbreviations cvii Certain log messages in the TT FIX Adapter log file such as Order Status messages include abbreviations Refer to Table 22 for abbreviation definitions Abbreviation Description a Order action ac Account type bs Side cm Clearing member id cp Counterparty trader id cq Change quantity ed Expiration date eo Exchange order id eq Executed quantity et Exchange MGT fo Account f1 FFT2 f2 FFT3 fq Filled quantity ia Is Automated iq Intended quantity Ip Limit price mq Minimum quantity oa Original order action oc Open close of Order flags on Order number oon Old order number oq Order quantity or Order restriction S Order status SC Sender country code sm Status Modifier i e triggered sp Stop price sr Sender region code srs Represents any change in the series structure su Sub user id Table 22 TT FIX Adapter Log File Abbreviations TT FIX Adapter System Ad
104. ill not be inserted This message occurs when importing an account default using an account that doesn t exist in the database The utility does not update the database WARNING Market name Market does not exist in the TTUS database Account default will not be inserted This message occurs when importing an account default using a market that doesn t exist in the database The utility does not update the database WARNING Account default for user lt RemoteCompId gt found with no account type Account default will not be inserted because there is no relationship in the tt account type table This message occurs when importing an account default with a missing account type The utility does not update the database WARNING No trade filters extracted for existing user Username This warning indicates that the existing user has no trade filters assigned in FACT WARNING User Username has MGT lt MGT gt assigned to gateway Gateway in TT User Setup and MGT lt MGT gt assigned to gateway Gateway in FACT Cannot update user because of the mismatch If order routing with a single MGT or order routing with an exchange trader we try to verify that any existing MGTs match the MGTs assigned to the user in the XML file If the existing user s MGTs to not match what is in the XML we do not update the user s record Informational Messages INFO A database record for lt RemoteComplId gt
105. information about this parameter refer to the section called Specifying Global Configuration Settings on page Ixxvi A TT Universal Login ID for a TT FIX Adapter must be created in TT User Setup When creating this ID the TT User Setup administrator must associate the list of TT Gateways to which the TT FIX Adapter will connect as well as the associated MGTs that the TT FIX Adapter will use for credentials when logging in For more information refer to the TT User Setup User Manual For example suppose you create a TT FIX Adapter that you name FAZ The TT User Setup administrator would create a TT Universal Login ID named FA7 and assign it the credentials such as TT Gateway Member Group Trader CME A TTORDPM XXX MGR NYSE Liffe C TTORDPM XXX MGR Eurex A TTORDPM XXX MGR TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Guidelines for creating a TT Universal Login for FIX clients Once a TT Universal Login ID for a TT FIX Adapter is created a separate TT Universal Login ID must be created for each FIX client When creating TT Universal Login IDs for FIX clients the TT User Setup administrator must associate the list of TT Gateways to which the FIX clients are allowed to view orders and fills as well as their associated MGTs The TT User Setup administrator must also assign the list of TT FIX Adapters to which a user is allowed to connect A user may be allowed to
106. ings 1 Inthe Configurations Tree Navigation pane select Gateway Settings for the desired configuration The Gateway Settings appear in the Settings pane Select the Convert Timestamps to UTC check box if necessary If you need to add a market to the table scroll to the bottom of the table and in the Bias Settings For column type the name of the TT Gateway Flavor defined in TT User Setup 4 If you need to define custom market names with TT Support approval click More and supply the necessary values 5 Update the values as needed TT FIX Adapter System Administration Manual Trading Technologies International Inc lvi Specifying Global FIX Session Settings Specifying Global FIX Session Settings 4 Configure Order Routing About global FIX session parameters All FIX sessions within a single TT FIX Adapter order routing configuration share the same set of general behavioral characteristics Standard settings settings E FIX Adapter Configuration Tool FACT yp TRADING TECHNOLOGIES new open z Save E Save all a Sil OR1 9 Gateway Settings AFX Session Settings Price Session Connection M An order routing TT FIX Adapter supports the following global FIX session D Help Global FIX Session Settings Order Session Connection LocalCompld TT ORDER Required Pot 10501 Required O Persistent 9 Non Persistent Required Required Loc
107. ion G2 Set 47zW and 204 1 Give up System Allocation G3 Set 47 W and 204 2 First Market Maker Account M1 Set 47 E and 204 0 Second Market Maker Account M2 Set 47 E and 204 1 Market Maker Give up or System Allocation M3 Set 47 E and 204 2 First Principal Account P1 Set 47 P and 204 0 Second Principal Account P2 Set 47 P and 204 1 House Give up or System Allocation P3 Set 47 P and 204 2 Unallocated U1 Set 47 0 and 204 0 For orders that have not been allocated to a customer account or where allocation is a middle back office function Unallocated Automatic U2 Set 47 0 and 204 1 Unallocated System U3 Set 47 0 and 204 2 Tag 18205 Send the standard account type string in a single tag Tag 18205 TTAccountType that contains the exact TT account type information For example it sends a First Agent Account as 18205 Al Don t Send Send no account type information Default Tags 47 and 204 Table 9 Additional FIX Session Settings FIX tags Continued TT FIX Adapter System Administration Manual Trading Technologies International Inc Ixvi Additional FIX Session Settings Order Routing Responses FIX Tags 4 Configure Order Routing Field name Description Send Security Legs How to send leg information for strategy securities e On TT FIX Adapter sends strategy security leg information for Security Definition d Execution Report 8 and Position Re
108. iplies all prices by 0 03125 for all orders received from FIX clients before sending them to the appropriate TT Gateway For example if a FIX client sends an order to the TT FIX Adapter to buy 1 ZB Mar07 3331 the TT FIX Adapter sends the order to the TT Gateway as buy 1 ZB Mar07 104 06250 e Inthe Security Definition d message for each ZB contract TT FIX Adapter divides Tag 16552 TickSize by 0 03125 and multiplies Tag 16554 PointValue by 0 03125 as shown Tag Without price conversions With price conversions 16552 0 03125 1 16554 1000 31 25 TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Additional FIX Session Settings Order Routing Requests Additional FIX Session Settings Order Routing Requests Order Routing Requests The Order Routing Requests tab allows you set rules for handling order tab requests mi Additional FIX Session Settings 3 Help m Order Routing Responses FIX Tags f Order Routing Responses Business Flows Market Data Order Routing Requests New Order Timeout sec E Setting descriptions The following table describes the parameters Field name Description New Order Timeout sec Number of seconds to wait for an order confirmation from the TT Gateway before TT FIX Adapter marks the order as stale and rejects it Default 30 Range 30 86400 Table 8 Additional FIX Ses
109. istration Manual xxii Trading Technologies International Inc Install Installing the TT FIX Adapter Software 2 Installing TT FIX Adapter Note The installation script automatically places two shortcuts on your Windows desktop e nameAdapter exe for the TT FIX Adapter executable e FACT exe for the TT FIX Adapter Configuration Tool Several progress dialogs appear as base TT software is installed Then the following prompt box appears if FixAdapter Installation Wizard Please see the FIX Adapter System Administration Manual SAM for detailed instructions on how to create an appropriate configuration file im FixAdapter InstallShield Wizard You must restart your system for the configuration changes made to FixAdapter to take effect Click Reboot to restart now or Later if you plan to restart later Reboot Later Reboot Now 12 Click Reboot Now or Reboot Later as appropriate xxiii TT FIX Adapter System Administration Manual Trading Technologies International Inc 2 Installing TT FIX Adapter Install Creating Additional Adapters Install Creating Additional Adapters When to use this TT recommends that you only run one TT FIX Adapter per machine However approach should you need to install multiple TT FIX Adapters onto the same machine perform the following procedure Note For hardware and software requirements refer to the TT Hardware and Software Requirements document The listed hard dr
110. ive requirement is per instance not per server How to Install Additional TT FIX Adapters gt To install additional TT FIX Adapters 1 Double click the TT FIX Adapter setup package Note If Microsoft NET Framework 2 0 or later is not installed on the system a prompt box appears reminding you to install it before using FACT to configure the adapter The Configuration Change dialog appears im FixAdapter InstallShield Wizard Configuration Change Please select one of the option and click Next Add Fix Adapter Configuration and Update Files Update files 2 Select Add FIX Adapter Configuration and Update Files and click Next The Enter FIX Adapter Configuration Name dialog box appears ie FixAdapter InstallShield Wizard Enter Fix Adapter Configuration Name Please enter information and click Next Enter Adapter Name oni Back Next gt Cancel 3 In the Enter Adapter Name field type the name of the TT FIX Adapter instance you want to create then click Next For name restrictions see TT FIX Adapter naming restrictions on page xx TT FIX Adapter System Administration Manual xxiv Trading Technologies International Inc Install Creating Additional Adapters 2 Installing TT FIX Adapter Note The installation script automatically places two shortcuts on your Windows desktop e nameAdapter exe for the TT FIX Adapter executable e FACT exe for the TT FIX Adapter Configuration Tool The fo
111. ize specific information Familiarity with these conventions helps you use this documentation more effectively Convention Use Bold Italic Indicates command buttons menu options folder directory names and file names Also used for FIX message names Indicates variables including variable text Variable text is used when dialog boxes or their components are not labeled Variable text is also used for labels that change dynamically based on their current context The wording of variable text does not exactly match what you see on your screen Courier New Sample code arguments properties arguments methods events Text in Courier New is also 1 point size smaller than the surrounding text TT FIX Adapter System Administration Manual viii Trading Technologies International Inc About this Manual Convention Use Courier New Bold FIX tag names or anything that you must type exactly as it appears Text in Courier New is also 1 point size smaller than the surrounding text Indicates a wildcard that signifies any number of variable characters For instance in the case of doc the asterisk is a wildcard and doc signifies any file ending in doc Notes tips and warnings To indicate noteworthy or important text this manual uses the following conventions Convention Description Note Emphasizes important or essential information Presents information that makes procedures easie
112. jected them e For a given market enter date time of the start of Daylight Savings Time DST Enter the date value in the form month week day and the time value in the form HH MM SS UTC offset during Daylight Savings Time DST as follows e For SODs DSODs and manual fills enter the UTC offset for the time zone of the local machine that injected them e Fora given market enter the UTC offset during Daylight Savings Time DST Enter the value in the form HH MM SS Table 13 Gateway Bias Settings Additional settings Ixxxv The following figure shows the additional gateway settings TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Additional Gateway Settings Market Names Gateway Market Name db Do not change this list unless directed to do so by TT support Cancel OK The following table describes the settings Field name Gateway Description TT Gateway Exchange Flavor name Market Name Alternate name for a market on a TT Gateway This value overrides the market name that TT FIX Adapter delivers and expects in Tag 207 SecurityExchange and Tag 308 UnderlyingSecurityExchange This parameter can be especially useful for TT FIX Gateways whose default market names are FIX FIX A FIX Z If you set this value you must use the same name in the Market field of the following FACT configur
113. k More The Additional Global Settings dialog appears e Change the desired values and click OK 4 Click Save xlix TT FIX Adapter System Administration Manual Trading Technologies International Inc 4 Configure Order Routing Configuration Settings Selecting Products Configuration Settings Selecting Products Overview TT FIX Adapter allows you to limit the number of products that it downloads from the TT Gateways to improve performance and reduce unnecessary product downloads For example if you trade only the 30 year treasury futures ZB from the TT CBOT Gateway you need not download all of the other treasury products However TT FIX Adapter does automatically download products it needs to process any order acknowledgements or fills it receives from TT Gateways For example suppose you exclude a product from a connected TT Gateway such as the ZN products and TT FIX Adapter receives a fill for the excluded product Because TT FIX Adapter needs the product information to process the fill it automatically downloads the contract data from the TT Gateway and delivers the fill to the FIX client even though you excluded the product In other words TT FIX Adapter always ensures that a FIX client receives all of its fills even if you exclude the associated products Use caution when excluding products for order routing TT FIX Adapters Suppose you exclude a product and TT FIX Adapter does not receive a fill or order acknowledgem
114. l Inc A Migrating from Pre 7 6 Versions Correcting TT FIX Adapter Startup Issues Related to TT User Setup Timeouts Correcting TT FIX Adapter Startup Issues Related to TT User Setup Timeouts When to use this procedure TT FIX Adapter can experience startup issues related to TT User Setup timeouts when they are assigned a large number of FIX clients particularly when multiple TT FIX Adapters are started at the same time If you experience this issue the TT FIX Adapter and TT User Setup administrators should perform the tasks in the section called How to correct TT FIX Adapter startup issues related to TT User Setup timeouts How to correct TT FIX Adapter startup issues related to TT User Setup timeouts To correct TT FIX Adapter Startup Issues 1 On each TT FIX Adapter machine change the following registry settings from the default value of 30000 milliseconds to 120000 milliseconds or greater HKEY_CURRENT_USER Software Trading Technologies Trade TTUSHub _ QueryTimeoutInMS HKEY_USERS DEFAULT Software TradingTechnologies Trade TTUS Hub QueryTimeoutInMS 2 On each TT User Setup Server machine change the SecondsBeforeMessageIsStale setting in the TTUserSetupServer ini file from the default of 30 seconds to 120 seconds or greater 3 Ifyouare running multiple TT FIX Adapters ensure that their startup times in ttchron ini are staggered such that the various TT
115. l updates for a staged order s child orders Default Enabled Table 18 Additional FIX Session global settings Business Flows Continued TT FIX Adapter System Administration Manual Trading Technologies International Inc 6 Managing a TT FIX Adapter Chapter overview This chapter explains how to start TT FIX Adapter and perform basic maintenance tasks In this chapter Section Page Starting TT FIX Adapter ci Resetting Message Sequence Numbers ciii Understanding TT FIX Adapter Log Files cv Automating Services with TT Chron cix Performing File Maintenance with TT Clean cxi Running the TT User Setup Diagnostic Checks cxii Correcting TT FIX Adapter Startup Issues Related to TT User Setup Timeouts cxiv TT FIX Adapter System Administration Manual c Trading Technologies International Inc Starting TT FIX Adapter Desktop icons The TT FIX Adapter installation script creates the desktop icons shown in Table 19 You use these icons to start various TT applications Icon Description To start Guardian double click Start Guardian When Guardian starts TTM begins broadcasting across the network and the TT Server Admin program can interact with the machine For more information refer to the TT Gateways SAM Version 7 X Start Guardian Use this icon to stop the TT Guardian program Stopping Guardian does the following E Drm Li Stop Guardian e
116. ll updates Default Disabled Send Summary Fills Whether to send spread and strategy summary fill information in addition to leg fills On TT FIX Adapter sends both the strategy or spread summary fill and the leg fills for each fill received for a strategy in both Execution Report 8 and Position Report UAP messages e Off TT FIX Adapter sends only leg fills Default Disabled Table 10 Additional FIX Session Settings Business Flows TT FIX Adapter System Administration Manual Ixviii Trading Technologies International Inc Additional FIX Session Settings Order Routing Responses Business Flows 4 Configure Order Routing Field name Description Send Orders on Reset Sets whether TT FIX Adapter sends Execution Report 8 messages with Tag 150 ExecType D for all open orders after a session reset On After asession reset send an Execution Report 8 message for each open order e Off After a session reset do not send an Execution Report 8 message for each open order Default Disabled Send Price Change Restatements Send Unsolicited Rejects Sets whether TT FIX Adapter sends restatement Execution Report 8 messages when a working order s price is changed Default Enabled Note This option cannot be disabled for order routing FIX sessions TT FIX Adapter sends restatement Execution Report 8 messages when a working order s price is changed Whether to send order rejects
117. lling on Windows TT FIX Adapter supports the Windows Server 2008 R2 operating system with the Server 2008 following caveats and required changes e Migrating to Windows Server 2008 TT does not support upgrading the operating system on an existing TT FIX Adapter server TT strongly suggests that users perform a clean install of the operating system and the TT FIX Adapter server when migrating to Windows Server 2008 e Program Files directory Windows Server 2008 does not allow applications to create files under the Program Files directory If during a command line installation of the TT FIX Adapter you place the install root in the Program Files directory you must select a different location for the tt config tt datfiles and tt logfiles directories by using the installconfig installdata and installlog arguments e Console Windows Due to security changes made by Microsoft FIX Adapter s console window will not be visible on a user s desktop when launched by TT Chron Running the Interactive Services Detection Windows service will allow users to switch over to the Session 0 desktop to view the FIX Adapter console window when launched via TT Chron xix TT FIX Adapter System Administration Manual Trading Technologies International Inc 2 Installing TT FIX Adapter About TT FIX Adapter Installations Starting Programs TT Chron may not properly close and or monitor server programs that are started manually Users should first start TT
118. llowing prompt box appears if FixAdapter Installation Wizard Please see the FIX Adapter System Administration Manual SAM for detailed instructions on how to create an appropriate configuration file InstallShield 4 Click OK The following prompt box appears ie FixAdapter InstallShield Wizard InstallShield Wizard Completed The InstallShield Wizard has successfully installed FixAdapter Click Finish to exit the wizard 5 Click Finish A new TT FIX Adapter icon E 8g appears on the desktop XXV TT FIX Adapter System Administration Manual Trading Technologies International Inc 2 Installing TT FIX Adapter Upgrading to a New Version of TT FIX Adapter Upgrading to a New Version of TT FIX Adapter Before upgrading Beginning with FIX Adapter 7 6 0 TT FIX Adapter uses TT User Setup to determine TT Gateway connections and trader credentials instead of requiring you to configure the information in TT FIX Adapter Consequently you must migrate your existing TT Gateway connections and individual FIX session settings from TT FIX Adapter to TT User Setup For more information about the migration process refer to Appendix A Migrating from Pre 7 6 Versions Caution If you currently use order routing TT FIX Adapters TT strongly recommends that you delete any working orders before upgrading If you are upgrading from the 32 bit version of FIX Adapter to a 64 bit version of FIX Adapter
119. llows FIX clients to use all functionality offered by the TT FIX Adapter except for routing orders Consequently FIX clients can connect to a drop copy TT FIX Adapter to listen for order acknowledgements fills subscribe for market data download security definitions and so on TT FIX Adapter logs into each TT Gateway once and acts on behalf of all FIX clients Thus the MGTs used by the TT FIX Adapter to log into the TT Gateways must have the authority to act on behalf of all FIX clients Specifically the MGTs used by the TT FIX Adapter to log into the TT Gateways must have permissions to view all orders and fills of all FIX clients Figure 5 shows a sample drop copy TT FIX Adapter configuration TT FIX Adapter gets all of the orders and fills visible to the respective administrative MGT logins then sends subsets of them to each FIX client based on their MGTs TT Gateways FIX Clients GW1 Rij MGT ig Filters FIX Adapter Admin Ifo 1 MGT Figure 5 Drop copy configuration When you use this type of configuration you typically use administrative MGTs for logging into TT Gateways A subset of the orders and fills visible to the FIX Adapter are then delivered to each FIX client based on their respective MGT logins Guidelines for creating a TT Universal Login for TT FIX Adapter Ixxiii For each order routing TT FIX Adapter you must create a TT Universal Login ID that matches the FIX Adapter name For more
120. ministration Manual Trading Technologies International Inc 6 Managing a TT FIX Adapter Understanding TT FIX Adapter Log Files Abbreviation Description t TTOrd MGT un Username wq Working quantity xd Exchange date xt Exchange time Table 22 TT FIX Adapter Log File Abbreviations TT FIX Adapter System Administration Manual Trading Technologies International Inc cviii Automating Services with TT Chron 6 Managing a TT FIX Adapter Automating Services with TT Chron About TT Chron The TT FIX Adapter installs with a TT application called TT Chron that you can use to automate and schedule services and computer processes on the TT FIX Adapter machine TT recommends that you use TT Chron to fully automate and schedule your TT FIX Adapter run times If you do not use TT Chron to start the TT FIX Adapter automatically you must start it from either the command line or the desktop icon TT also recommends that you use TT Chron to automate the process of resetting message sequence numbers for persistent FIX sessions TT Chron configuration file The configuration file for TT Chron is located in lt root_drive gt tt config ttchron ini TT Chron monitors all sections in the ttchron ini file as follows e For all Server and Service sections whenever a process Windows service or application is scheduled to run TT Chron starts it Then TT Chron monitors its run state and acts as follows Ifa program is
121. mplId already exists The record will not be altered This message occurs when importing a FIX session if TT User Setup already has a user with that RemoteCompId Username in the database The utility logs the message and does not update the existing user Note If a user connects to multiple TT FIX Adapters and you try to import the configurations to which the user connects TT User Setup adds the FIX Adapter Server but not the FIX client user INFO lt MGT gt already exists in the TT User Setup database The import process will not alter the record for lt MGT gt This message occurs when importing an admin MGT or direct trader that already exists in the database The utility logs an informational message saying that the existing MGT record will not be altered Table 23 Common validation problems TT FIX Adapter System Administration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions Identifying Required TT FIX Adapter Configuration Changes Log message Notes WARNING User RemoteComplId is missing a password In validation mode the utility logs the message and continues in import mode it displays a dialog to enter a password WARNING User Username already has an MGT mapping for Gateway Gateway Mapping for MGT lt MGT gt will not be added The specified user already has data in the TT User Setup database for the TT Gateway No changes are made
122. n Toot FACT om TRADING TECHNOLOGIES ToNew open save Save a sa Gateway S FIX Sessio FXS Global Settings FX Adapter Name DC1 TT User Setup Password FIX Adapter Type Drop Copy Console Logging O More The following table describes the various settings Field name Description FIX Adapter Name Name to identify this TT FIX Adapter configuration This name is used as follows e FACT generates the configuration file based on the name as in NameAdapter xml e TT FIX Adapter uses it to log in to TT User Setup to retrieve its TT Gateway login credentials TT Universal Login The name must adhere to the following rules e Contain only alphanumeric characters hyphens and underscores _ Cannot exceed 11 characters e Cannot contain the string Adapter e Must match the name specified during installation Note For more information about creating TT FIX Adapter IDs refer to the TT User Setup System Administration Manual TT User Setup Password Password associated with the FIX Adapter TT Universal Login Required FIX Adapter Type Display only field that identifies the configuration type of this TT FIX Adapter TT FIX Adapter System Administration Manual Trading Technologies International Inc Ixxvi 5 Configure Drop Copy Field name Description Console Logging Whether to write log messages to the console window in addition to log files
123. nected when a reset occurs For example if a FIX client disconnects at 11 40PM and reconnects at 12 20AM any fills that occurred between 11 40PM and 11 45PM could not be re requested because their sequence numbers are no longer available e Do not schedule both the server and job sections to run the TT FIX Adapter at the same time Assume that the TT FIX Adapter takes a minute to reset the sequence number purge the TT FIX Adapter cache and shut down In any case a FIX client must use a sequence number of 1 when connecting to a TT FIX Adapter that has been reset All subsequent connections should use the appropriate message sequence number TT FIX Adapter System Administration Manual cx Trading Technologies International Inc Performing File Maintenance with TT Clean 6 Managing a TT FIX Adapter Performing File Maintenance with TT Clean About TT Clean The TT FIX Adapter installs with a utility called ttclean exe which you can use to automatically maintain delete or archive files such as the TT FIX Adapter log files The configuration file for TT Clean is located in lt root_drive gt tt config ttclean ini For more details on managing this utility refer to the TT Gateways SAM Version 7 X Generated log files TT FIX Adapter and other TT processes generate log files in the lt root_drive gt tt logfiles directory that record significant events and activities Because these can get quite large TT recommends that yo
124. nfiguration To stop the TT FIX Adapter Configuration Tool Tool 1 Save changes to updated configurations as necessary 2 In the FACT title bar click the Close Window icon Ep xxxvii TT FIX Adapter System Administration Manual Trading Technologies International Inc 3 Creating TT FIX Adapter Configurations FACT Managing Configurations FACT Managing Configurations Overview The TT FIX Adapter Configuration Tool FACT allows you to perform the following tasks for a TT FIX Adapter configuration e Create a configuration e Open an existing configuration e Modify configuration settings e Save changes for a configuration e Save changes for all configurations e Clone a configuration e Delete a configuration How to create a TT FIX When creating a TT FIX Adapter configuration ensure that the name conforms to Adapter configuration the following restrictions e Contain no more than 11 characters e Contain only alpha numeric underscore _ and hyphen characters e Start and end with alpha numeric characters e Contain no spaces anywhere in the installation directory path To create a TT FIX Adapter configuration 1 Start FACT if necessary 2 In the FIX Adapter Configuration Tool menu bar click the New icon The Create New Configuration dialog appears 9 Create New Configuration Adapter Name Order Routing Drop Copy Cancel 3 Inthe Adapter Name field enter a name for the TT FI
125. ng TT FIX Adapter Configuration Files into TT User Setup on page cxxxiv Changes to TT FIX Adapter names and FIX client IDs Due to the integration with TT User Setup TT FIX Adapter imposes the following new restrictions for TT FIX Adapter and FIX client RemoteCompID names e Cannot exceed 11 characters e Should use capital letters for all alphabetic characters e Must be unique within TT User Setup Caution In your current TT FIX Adapter environment if any TT FIX Adapters use the same name or if different TT FIX Adapter configurations include FIX sessions with the same IDs you must ensure that all names and IDs that refer to different entities are unique within your whole environment before proceeding This appendix provides information for identifying and correcting these issues Note If you use lower case letters in these names TT FIX Adapter internally converts them to upper case before sending the name to TT User Setup for authentication The FIX Adapter name displayed in FACT remains unchanged Changes to order routing configurations TT FIX Adapter 7 6 0 no longer distinguishes between different types of order routing configurations Starting with this release you can map any FIX order routing session to either one exchange trader ID or multiple TTORD IDs for each TT Gateway Refer to the TT User Setup 7 3 3 Help for further details Changes regarding custom rollover TT FIX Adapter 7 6 0 no longer s
126. ng values to create a matching rule By default TT FIX Adapter does not download any contract definitions during startup Instead TT FIX Adapter downloads contracts on an as needed basis i e for all contracts for which it receives a fill or order from any TT Gateway to which it is configured to connect TT recommends that you not change the default value unless you subscribe for market data or downloading security definitions Note If you download contract data for SPREAD or STRATEGY product types TT FIX Adapter also downloads all contracts that comprise the legs regardless of the individual leg product settings Market Name of market on which the product trades as set in Tag 207 SecurityExchange Note If you specified a Market Name in the Individual Gateway Connection Settings Additional Options dialog you must use that same value in this field Product Product symbol as set in Tag 55 Symbol You can also use to match all symbols Product Type Product types to match You can specify any of the following values or to match all product types e Bond e Energy e Forex e Future e Fxndf e Option e Spread e Stock e Strategy Load Ignore Whether to include or exclude the products that match the rule criteria Default Ignore Table 12 Additional global configuration settings Adapter retrieves during startup all contracts on all TT Gateways to which it connects If you connect to man
127. ning Error Critical e Info e Audit e Debug All TT applications associate one of these severities to every message they generate so you can use these types to control what TT FIX Adapter writes to its What TT FIX Adapter Logs log files Level Severities 1 Warning Error Critical 2 Level 1 Info 3 Level 2 Audit 4 Level 3 Debug All error or possible error conditions and any abnormalities that occur during normal operation Default level Informational messages that an administrator will need to monitor the system This includes the following FIX messages Logon A Logout 5 Session Level Reject 3 Test Request 1 Business Message Reject j Order Cancel Reject 9 Market Data Request Reject Y Same as Info All gateway communication messages initialization compactions rollover resets and all other FIX messages including Heartbeat 0 Security Definition d Security Status f Market Data Snapshot Full Refresh W Market Data Incremental Refresh X Resend Request 2 Sequence Reset 4 Execution Report 8 New Order Single D Order Cancel Replace Request G Order Cancel Request F Order Status Request H Position Report UAP Request for Position UAN Market Data Request V Gateway Status Request UAR Gateway Status UAT Table 21 TT FIX Adapter log severities Note Increasing the debug log level can significantly increase the size of lo
128. nologies International Inc Running the TT User Setup Diagnostic Checks 6 Managing a TT FIX Adapter Resolve any issues discovered through the diagnostic check 7 Torun other diagnostic checks re open the Configure Diagnostics window and select your typical diagnostic checks or click Sync selection with automatic diagnostics to select only the checks that are configured to run automatically After the diagnostic checks are selected click OK and then click Run Refresh Diagnostic Checks For more information about TT User Setup diagnostics refer to the TT User Setup User Manual cxiii TT FIX Adapter System Administration Manual Trading Technologies International Inc 6 Managing a TT FIX Adapter Correcting TT FIX Adapter Startup Issues Related to TT User Setup Timeouts Correcting TT FIX Adapter Startup Issues Related to TT User Setup Timeouts When to use this TT FIX Adapter can experience startup issues related to TT User Setup timeouts procedure when they are assigned a large number of FIX clients particularly when multiple TT FIX Adapters are started at the same time If you experience this issue the TT FIX Adapter and TT User Setup administrators should perform the tasks in the section called How to correct TT FIX Adapter startup issues related to TT User Setup timeouts How to correct TT FIX Adapter startup issues To correct TT FIX Adapter Startup Issues related to TT User Setup timeouts 1 On each TT FIX Ada
129. not use FACT to generate configurations for previous versions of TT FIX Adapter You can however use FACT from one version to generate configurations for later versions of TT FIX Adapter Consequently e You cannot for example use a configuration file created with a 7 7 version of FACT with a 7 5 version of TT FIX Adapter e You can however use a configuration file created with a 7 5 version of FACT with a 7 7 version of TT FIX Adapter Hence you can upgrade a TT FIX Adapter and still use the 7 5 configuration TT supports this upgrade only for version 7 4 or later About TT FIX Adapter configuration files TT FIX Adapter no longer stores configuration information in the CFG style configuration files used by previous versions of TT FIX Adapter instead it uses XML based files FACT creates and manages these XML based configuration files based on the information you supply in the FACT interface eliminating the need for you to edit the files manually Caution Do not edit the XML files directly Doing so might invalidate the configuration file and prevent TT FIX Adapter from initializing TT provides no support for customers who hand edit configuration files without authorization from TT Customer Support FACT interface XXXV Figure 3 shows the TT FIX Adapter Configuration Tool interface i FIX Adapter Configuration Tool FACT New open F Save EW Save All Qo ssi DC1 Gateway Setings Global Settings
130. nses Your license reflects how you use the TT FIX Adapter as follows e FIX ADAPTER ORDER ROUTING e FIX ADAPTER DROP COPY FIX Client Limitations A single TT FIX Adapter can support a maximum of 500 order and price session connections For example if all FIX clients connecting to a single TT FIX Adapter are only making an order session connection the TT FIX Adapter can support up to 500 FIX clients at a time Alternatively if all FIX clients connecting to a single TT FIX Adapter are making order and price session connections the TT FIX Adapter can support up to 250 FIX clients at a time TT User Setup Integration Administrators use TT User Setup to manage the list of TT Gateway Login credentials MGTs that determine to which TT gateways the TT FIX Adapter servers can connect as well as the list of users FIX Clients that are authorized to connect to a TT FIX Adapter server Administrators can also run diagnostics within TT User Setup to validate FIX Adapter client to TT FIX Adapter configurations TT FIX Adapter System Administration Manual xiv Trading Technologies International Inc Network Configuration 1 Network Architecture Network Configuration Deployment Load Balancing and Scalability TT recommends that you run only one TT FIX Adapter on a machine as each TT FIX Adapter can host multiple traders and connect to multiple markets Do not install any additional TT software or FIX based client software
131. nters SendSeqNum and RcvSeqNum To leave a value unchanged supply 1 Note You must specify sequence numbers separately for each session name If you provide multiple session names and omit numbers the command uses default values for the preceding session name For example e r FA Bob 10 15 FA Sue 20 20 resets the sessions with the specified sequence numbers e r FA Bob 10 15 FA Sue resets FA Bob with sequence numbers 10 and 15 but resets FA Sue with sequence numbers 1 and 1 default values e r FA Bob FA Sue 20 20 resets FA Bob with sequence numbers 1 and 1 default values and FA Sue with sequence numbers 20 and 20 Additionally do not use special characters such as commas or semi colons for different session parameters Note After resetting the sessions the command terminates FIX Adapter Table 20 TT FIX Adapter command line options TT FIX Adapter System Administration Manual Trading Technologies International Inc cii Resetting Message Sequence Numbers 6 Managing a TT FIX Adapter Resetting Message Sequence Numbers Overview TT strongly recommends that persistent FIX sessions be reset weekly Failure to follow this recommendation can lead to abnormally large FIX cache files that can severely impact performance Ways to reset sequence numbers for persistent FIX sessions The following methods can be used to reset the message sequence numbers in a persistent FIX session e During failov
132. o configure several FIX client profile settings that can cause the TT Gateway or TT FIX Adapter to reject orders in specific instances For more information about setting these options refer to the TT User Setup User Manual Field When orders will be rejected GTC GTDate orders allowed Trading allowed Credit Prevent orders that are more than X ticks away from the market price Per TT Gateway prevent more than X orders per second Avail to FIX Client Product Limits Staged order creation allowed Direct Market Access DMA order creation allowed Restrict user from overriding Account Defaults If the GTC GTDate option is unchecked the TT FIX Adapter will reject all GTC and GTDate orders sent by the FIX client If the Trading allowed option is unchecked the TT FIX Adapter will reject all orders from the FIX client TT FIX Adapter will reject all orders sent by the FIX client that exceed the credit limit If the Prevent orders option is checked the TT FIX Adapter will reject any orders that are submitted with a price that is outside the defined price band Additionally it will reject orders if it is unable to successfully establish a price subscription for the instrument If the Per TT Gateway prevent option is checked the TT Gateway will reject all orders that exceed the orders per second limitation If the Avail to FIX Client option is unchecked the Gateway Login is not available to the
133. og Example If the FIX Adapter Name was Company FA then the FIX Adapter log file would be similar to the following Company FAAdapter 2011 05 25 10g FIX Session Log File The FIX session log files are named as follows Naming Conventions lt FIX Adapter Name gt OrderSendRecv Order Session Connection LocalCompId FIX Client Name YYYY MM DD dat lt FIX Adapter Name gt PriceSendRecv Price Session Connection LocalCompId FIX Client Name YYYY MM DD dat Example If the FIX Adapter Name was Company FA the FIX Adapter Order Sessmonaeomme essentiel oni wa WW Ocoee ile IDX Acleysieeic Brlee Session Connection LOCelComole vas IE Pete Memes Client name was Client1 then the FIX session log files would be similar to the following Company FAOrderSendRecv TT Order Client1 2011 05 25 dat Company FAPriceSendRecv IT Price Clientl1 2011 05 25 dat How the TT FIX Adapter You can control the type and amount of information written to the FIX Adapter log logs use log severities files by setting the log severity level AppSpecificLogFiles parameter with the Aconfig utility The following table shows which kind of events and which FIX messages TT FIX Adapter logs for each level cv TT FIX Adapter System Administration Manual Trading Technologies International Inc 6 Managing a TT FIX Adapter Understanding TT FIX Adapter Log Files TT uses the following severities of log messages e War
134. om X_TRADER API application The timestamps of SOD DSOD records and manual fills use the local time of the machine from which they are injected Note FACT provides default values for each market These values assume your gateway system synchronizes its clock with the corresponding exchange s local time If the gateway clock differs from the exchange local time you must adjust the values shown in the table accordingly Note If you specified a Market Name in the Gateway Settings Additional Gateway Settings dialog you must use that same value in this field Date and time for the beginning of Standard Time ST as follows e For SODs DSODs and manual fills enter date time of the start of Standard Time ST for the time zone of the local machine that injected them e For a given market enter date time of the start of Standard Time ST Enter the date value in the form month week day and the time value in the form HH MM SS UTC offset during Standard Time ST as follows e For SODs DSODs and manual fills enter the UTC offset for the time zone of the local machine that injected them e Fora given market enter the UTC offset during Standard Time ST Enter the value in the form HH MM SS Date and time for the beginning of Daylight Savings Time DST as follows e For SODs DSODs and manual fills enter date time of the start of Daylight Savings Time SDT for the time zone of the local machine that in
135. on ini file TT recommends that you configure them to run continuously all week The TT FIX Adapter should start before any exchanges open and stop after all exchanges close When configured in this manner the TT FIX Adapter can run continuously throughout the week as exemplified in the following TT Chron configuration win32 server TESTadapter path C tt fixadapter TESTadapter exe schedule S 17 00 17 00 6 run_flags CONSOLE Caution The TT FIX Adapter startup time should never coincide with the TT Gateway maintenance shutdown time Doing so has been known to cause API licenses to lock and therefore leave TT FIX Adapter in an unrecoverable state Automating message sequence number resets To automate message sequence number resets for persistent FIX sessions you should configure a Job section in the ttchron ini file To ensure that the FIX client always has the ability to re request as many messages as possible using a persistent session TT recommends that you reset the message sequence number only once per week The following is an example of a Job section for a TT FIX Adapter named ABC that resets the message sequence numbers of all persistent FIX sessions on Saturday at 5PM win32 ABCadapterReset path c tt bin ABCadapter exe args r FAorder ClientApp schedule B 17 00 run_flags CONSOLE Cautions The danger in resetting the message sequence number daily is that a FIX client might miss fills if it is not con
136. ou have already done so you may continue Additionally you should verify your FIX Adapter name and set the password that FIX Adapter v ll use to log in to TT User Setup TT User Setup Login Data FIX Adapter Name ORI FIX Adapter Password Do you want to continue How to update a configuration from a previous release To update a configuration from a previous release 1 Start FACT The Upgrade Config File Warning dialog appears for the first configuration file FACT continues to display dialogs for each existing configuration it finds 2 If you are not certain the existing configuration has been converted and validated in TT User Setup click No 3 For each Upgrade Config File dialog FACT displays a Verify the name of the FIX Adapter Name Note If an existing name exceeds 11 characters FACT truncates the name to the first 11 characters TT FIX Adapter System Administration Manual cxxxii Trading Technologies International Inc Installing FIX Adapter 7 8 and Updating Pre 7 6 Configurations in FACT A Migrating from Pre 7 6 Versions b Type the FIX Adapter Password specified for this TT FIX Adapter when the user and TT Gateway data was imported into TT User Setup c Inthe Do you want to continue section click Yes d Goto Step a After displaying the dialog for the last configuration FACT opens and displays all of the configurations you updated similar to the following iF FIX Adapter Coi
137. ows 25 depth levels Wait for Fill Download TT FIX Adapter always waits for the fill download to complete during startup Removed support for importing Load Ignore Products in FACT as they are now configured in TT User Setup This page intentionally left blank for printing purposes xi TT FIX Adapter Reference Manual Trading Technologies International Inc 1 Network Architecture Chapter overview This chapter provides an overview of the TT FIX Adapter architecture and how it fits into a typical networking environment In this chapter Section Page Product Architecture xiii Network Configuration XV TT FIX Adapter System Administration Manual xii Trading Technologies International Inc Product Architecture Product Architecture 1 Network Architecture Overview The TT FIX Adapter is used to bridge third party client applications i e trading tools that communicate via the FIX protocol and any TT Gateway currently supported by TT FIX Adapter refer to the section called Supported TT Gateways Clients must write or supply their own connections to the TT FIX Adapter Once installed and configured properly the TT FIX Adapter enables users to continue using their FIX trading tools while accessing exchanges via TT Gateways as shown in Figure 1 FIX Clients TT Gateways Exchanges G So e TE Environment FIX Pratocal TT Messaging A Fx e TT ICE Gateway a G lt g TT Eurex Gat
138. pean Climate Exchange lists products on ICE IPE For those products you must specify ICE IPE in Tag 207 SecurityExchange Note The BM amp F BOVESPA exchange lists products on both CME and BVMF If you have a TT CME Gateway you must specify CME in Tag 207 SecurityExchange If you have a TT BVMF Gateway you must specify BVMF in Tag 207 SecurityExchange TT FIX Adapter System Administration Manual Trading Technologies International Inc 2 Installing TT FIX Adapter Chapter overview This chapter shows how to install upgrade and remove TT FIX Adapter software and individual TT FIX Adapter configurations In this chapter Section Page About TT FIX Adapter Installations xix Install Installing the TT FIX Adapter Software xxi Install Creating Additional Adapters xxiv Upgrading to a New Version of TT FIX Adapter xxvi After You Install xxviii Uninstalling a TT FIX Adapter xxix xviii TT FIX Adapter System Administration Manual Trading Technologies International Inc About TT FIX Adapter Installations 2 Installing TT FIX Adapter About TT FIX Adapter Installations Overview You can install a TT FIX Adapter in either of the following ways e Install a new TT FIX Adapter onto a clean machine e Upgrade from an existing version of TT FIX Adapter Note If your current FIX Adapter is 32 bit running on a 64 bit operating system and you would like to upgrade to the 64 bit FIX
139. port UAP messages For Security Definition d it sends the strategy security For Execution Report 8 and Position Report UAP it sends the strategy security legs the same as for Security Definition d except that it denotes Tag 54 Side as Tag 16624 LegSide e Off TT FIX Adapter attaches strategy security legs only to Security Definition d messages Execution Report 8 and Position Report UAP messages do not include strategy security leg information Default Disabled Send Unsolicited Change Whether to represent unsolicited changes as new or replaced As New orders in an Execution Report 8 message e On Send as a new order where Tag 39 OrdStatus O and Tag 150 ExecType D e Off Send as a replaced order where Tag 39 OrdStatus 5 and Tag 150 ExecType D Default Disabled Send Expired Order Status Whether to send expired order statuses tags 39 OrdStatus C Expired and 150 ExecType C Expired to the FIX client for orders from TT Gateways that support providing expired statuses On TT FIX Adapter sends expired statuses instead of canceled statuses when they are provided by the TT Gateway e Off TT FIX Adapter sends only canceled statuses Default Disabled Note TT Chron schedule changes might be needed to ensure that FIX Adapter is up when the TT Gateway sends expired notifications For more information please consult the appropriate TT Gateway System Administration Manual
140. prices by 100 for all orders received from FIX clients before sending them to the appropriate TT Gateway For example if a FIX client sends an order to the TT FIX Adapter to buy 1 ES Mar07 1281 75 the TT FIX Adapter sends the order to the TT Gateway as buy 1 ES Mar07 128175 e In the Security Definition d message for each ES contract TT FIX Adapter divides Tag 16552 TickSize by 100 and multiplies Tag 16554 PointValue by 100 as shown Tag Without price conversions With price conversions 16552 25 0 25 16554 0 5 50 TT FIX Adapter System Administration Manual Ixii Trading Technologies International Inc Market Data Formatting Prices 4 Configure Order Routing Example converting decimals to ticks Ixiii Suppose the contract specifications delivered by the CBOT for ZB futures are e Point Value 1000 e Tick Size 1 32 0 03125 e Tick Value Point Value x Tick Size 31 25 As a result valid prices in the decimal format of points delivered and expected by the CBOT for this contract look similar to 104 0 104 03125 104 06250 104 09375 You can convert these prices to ticks by creating the following Price Conversion Table entry Price Conversion Table Conversion Factor Future 0 03128 bd Product Product Type With this entry e TT FIX Adapter divides all prices by 0 03125 before delivering them to FIX clients as follows 3329 3330 3331 3332 e TT FIX Adapter mult
141. pter Client Logins to fail 1 To run the Diagnostic Check Start TT User Setup and log on using an administrative username and password From the TT User Setup Control Panel open the User Admin menu and click Diagnostic Checks The Diagnostic Checks window appears Click Configure diagnostic check The Configure Diagnostics window appears TT FIX Adapter System Administration Manual cxxxvi Trading Technologies International Inc Importing TT FIX Adapter Configuration Files into TT User Setup A Migrating from Pre 7 6 Versions Configure Diagnostics ID Diagnostic Name si Frer A Gateway Logins missing Accounts Missing Product Limits Order Books with mismatched Credit Currency Order Books with mismatched Product Limits TTORDs mapped to invalid Exchange Traders Gateway Logins missing passwords Users with Customer Default Markets missing corresponding Gateway Login Markets Users with TTORD Accounts missing corresponding Customer Defaut Accounts Users with Customer Default Accounts missing from User s TTORDs Accounts improperly shared between unrelated Order Books Users wih multiple available to user flags checked for same gateway FIX Adapter cient Users configured for gateways that a FIX Adapter is not configured for FIX Adapter Client Users with Gateway Logins that are incompatible with an assigned FIX Adapter FIX Adapter cent Users with multiple available to fix client flags checked for same ga
142. pter machine change the following registry settings from the default value of 30000 milliseconds to 120000 milliseconds or greater HKEY_CURRENT_USER Software Trading Technologies Trade TTUSHub _ QueryTimeoutInMS HKEY_USERS DEFAULT Software TradingTechnologies Trade TTUS Hub QueryTimeoutInMS 2 On each TT User Setup Server machine change the SecondsBeforeMessageIsStale setting in the TTUserSetupServer ini file from the default of 30 seconds to 120 seconds or greater 3 Ifyouare running multiple TT FIX Adapters ensure that their startup times in ttchron ini are staggered such that the various TT FIX Adapters are not started up at the same time TT FIX Adapter System Administration Manual cxiv Trading Technologies International Inc Correcting TT FIX Adapter Startup Issues Related to TT User Setup Timeouts 6 Managing a TT FIX Adapter cxv TT FIX Adapter System Administration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions Appendix overview This appendix provides an overview of the process for migrating existing TT FIX Adapter pre 7 6 configurations to TT FIX Adapter 7 8 1 and TT User Setup 7 3 3 Note TT supports this migration process only from TT FIX Adapter 7 4 2 or later If you use an earlier version contact your TT Technical Account Manager for upgrade assistance In this chapter
143. r Setup Database TT User Setup DB C TT DatFiles us70_user_setup_db_tmp mdb FIX Adapter Password Enter Password Confirm Password Run Validation Only 5 Enter the following values In the Source FACT xml File section type the full pathname of the FACT xml File or click Browse to locate the file In the Source Location cfg File section type the full pathname of the location cfg File or click Browse to locate the file In the Target TT User Setup Database section type the full pathname of the TT User Setup DB or click Browse to locate the file In the FIX Adapter Password section type the same value for the TT User Setup password for the FIX Adapter Server in the Enter Password and Confirm Password fields Enable the Run Validation Only check box 6 Click Start Import The Import Results prompt box appears TT FIX Adapter System Administration Manual Trading Technologies International Inc cxxvi Identifying Required TT FIX Adapter Configuration Changes A Migrating from Pre 7 6 Versions Message Starting HNTTUS Pics OR 1Adapter xml impor Trying to connect to Access Successfully connected to Access SELECT tt login server settings lss indial guardian import done FROM tt login server settings select max uxg user gmot id from tt user gmot select max ugrp group 3d from tt user group select max acctd id from tt account delauk select max acct id from tt sccount
144. r or faster but is not essential Tip Indicates user must absolutely follow this instruction to prevent a EN N serious problem such as data loss or program failure Warning Related documentation This manual is part of a comprehensive Trading Technologies set of documentation that includes but is not limited to the following topics and documents Hardware requirements TT Trading Systems Hardware and Software Requirements Installation notes Product Release Notes Installation documents and SAMs specific to the type of product you use As a rule server applications have SAMs while client applications have installation documents User management TT User Setup Help License Files TT Gateways SAM Login information TT Gateways SAM and the SAMs specific to the type of TT Gateway you use Network setup TT Trading Systems Network Administration Manual Product Tables TT Gateways SAM Guardian Help Risk Parameters Guardian Help Software Requirements TT Trading Systems Hardware and Software Requirements Switching Modes TT Gateways SAM System Tuning Recommendations TT Trading Systems Hardware and Software Requirements WAN Routing TT Trading Systems Network Administration Manual Throughout the manual you will encounter references to various TT documents that contain additional information on specific topics For a copy of any of these documents call your TT sales representative or Technical Account Manager
145. rder Routing Responses Business Flows Order Routing Responses Business Flows tab The Order Routing Responses Business Flows tab contains options that determine which types of business events flows TT FIX Adapter sends to FIX clients Market Data Order Routing Responses FIX Tags Order Routing Responses Business Flows Send Fill Updates Send Unsolicited Fills Send Summary Fills Send Unsolicited Orders Send Orders On Reset Staged Order Child Orders 7 Send Staged Order Child Fills Setting descriptions xcvii Table 18 describes the business flow options Field name Description Send Fill Updates Whether to forward updated fills to the FIX client e On TT FIX Adapter sends updated fills in Execution Report 8 and Position Report UAP messages with Tag 20 ExecTransType 2 Trade Correction a new value in Tag 17 ExecID and the fill s previous Tag 17 ExecID value in Tag 19 ExecRefID e Off TT FIX Adapter sends no fill updates Default Disabled Send Summary Fills Whether to send spread and strategy summary fill information in addition to leg fills e On TT FIX Adapter sends both the strategy or spread summary fill and the leg fills for each fill received for a strategy in both Execution Report 8 and Position Report UAP messages e Off TT FIX Adapter sends only leg fills Default Disabled Table 18 Additional FIX Session global settings Business Flows TT FIX Adapter Sy
146. rder updates for child orders of staged orders that were submitted by FIX Adapter e Off TT FIX Adapter does not send order updates for a staged order s child orders Default Enabled Table 10 Additional FIX Session Settings Business Flows Continued TT FIX Adapter System Administration Manual Ixx Trading Technologies International Inc Additional FIX Session Settings Order Routing Responses Business Flows 4 Configure Order Routing Ixxi TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Chapter overview This chapter describes the drop copy use case and explains how to create a TT FIX Adapter configuration to support it In this chapter Section Page About the Drop Copy Configuration Type Ixxiii Specifying Global Configuration Settings Ixxiii Configuration Settings Selecting Products Ixxx Specifying Gateway Settings Ixxxiv Specifying Global FIX Session Settings Ixxxvii Additional FIX Settings Market Data xc Market Data Formatting Prices xcii Additional FIX Settings Order Routing Responses FIX Tags xciv Additional FIX Settings Order Routing Responses Business Flows xcvii Ixxii TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy About the Drop Copy Configuration Type Overview The drop copy configuration type a
147. reakpoint Functionality s ac a acto obra Rr CR ERU SEI CR n S AUR OCURRE al 293 Algorithm Behavior At Market Close sss 295 Exporting Block Quiput Values lt lt is 24ibacressdeaseeedhbaseessienseesdser gs 301 iv ADL User Manual Trading Technologies International Inc 1 Table of Contents ADL User Manual Trading Technologies International Inc Table of Contents About this Manual 00 ee viii What s New in TT FIX Adapter 7 8 X uueueeeeeeeeeeeeeee nnn X Chapter 1 Network Architecture 000 c cece eee eee xii Product Architect re i beac x wake ee we PEG eR eR DE eee eee EDAD a xiii Network Configuration s aasia sesana hida eee XV Chapter 2 Installing TT FIX Adapter 0 0002 e cece ee eee eee eee xviii About TT FIX Adapter Installations aaa nnn xix Install Installing the TT FIX Adapter Software aaa ee xxi Install Creating Additional Adapters llle eh xxiv Upgrading to a New Version of TT FIX Adapter aasa aaa a ns xxvi After You Install e aswaa RR eene PER EES DRE X EE AG RE E dh RACE EER Ee e xxviii Uninstalling a TT FIX Adapter 1 0 XXix Chapter 3 Creating TT FIX Adapter Configurations 000 ee eee eee eee xxxii Types of TT FIX Adapter Configurations aa xxxiii Components of a TT FIX Adapter Configuration lle XXXiv About the TT FIX Adapter Configuration Tool FACT eee XXXV Using the TT F
148. sdesawAVORA RR VDE RE 58 Greater Than Or Equal Block 20 00 teen eee 61 Less Than Or Equal Block aeo tied stan EROR ete Whee hee kena eee eta 64 Ang ag aaceaedc danas acer sede wore s ook heres ae oe deka ee eben ues 67 Or Block sae decd mre dese ceed mim tare tab rotor hate ck aka hve gto aa doce de Di pesca doe ached ancien Aan dct boa 69 Eguals BICC cin caus odo aus taani qUUR SUUS eee SEU AUR ident UU VE UR dus 71 Br dm Als NY TEIIEITTEITCIL C T TETTE TITLE 73 Number BI MP NCETTCTTEETTTCFTEETRTTORTTTREERCTTERTTTRTCTTRETTETCHREEEEERT 76 Boolean Block oos et REN cU ER oed EN docu Rd er 78 Trading BIOORS Load d d REA OR ERE LACER GE eoa a E ee re M acd op dr dade ee er de 81 eS UO s n MERE ER EE DATEI TII I ETT C LT T T LIT DL EIL 81 riesen Field Blocks urb auaenzdehszaehCaebk ehUsesrmehWae baAeszi4en mBeaes 84 Market State Block 2 0 les 92 Order BIOK uu ases ec as Re SCR e RC OC Cn Re NES SC XR ORNA Rea CR e 95 ASE Order Bio as soe bec XXzwwarcuakkzwwwRisAR wrllackiwgakrl XEweucirirwk kds 105 Discrete Order Block 0 0 0 cee eee ee t eee eben ene 118 Single Order Container and Multiplexer Combination 0 00 00055 129 Tine And Salles Bleck za deux str EE GROSS REOS E eve HO as Ga E exer 133 Existing Order BOE sie ss airea 53 exqeque du qug bh qedqws vni du geg i edes et 134 Spread Fill Generator BIOCK uses s ea dove ceed ab d AE qub E EAE E YS 141 Fill Accumulator Block og ihc ek ad nce Rok e m OE TR CC CR
149. ser Setup you need to determine the type of each existing TT FIX Adapter configuration based on the following criteria Determining the method to use for importing data into TT User Setup Type Description Migration Path cxix Primary TT FIX Adapter for all of its FIX clients All specified FIX clients are allowed to connect to only this TT FIX Adapter You can import each configuration into TT User Setup using the TT User Setup Utility Backup TT FIX Adapter for all of its FIX clients All specified FIX clients are allowed to connect to two identically configured TT FIX Adapters primary and backup You import the primary TT FIX Adapter configuration into TT User Setup using the TT User Setup Utility Then use TT User Setup to clone the primary FIX Adapter Server User to create the backup Do not import the backup configuration See the section called Adding a backup TT FIX Adapter Server User on page cxxxv for complete details Mixed environment where the TT FIX Adapter is the primary server for some of its FIX clients and the backup server for other of its FIX clients At least one of the specified FIX clients is allowed to connect to two or more TT FIX Adapters You can import the TT FIX Adapters and make note of all the duplicate ID warnings Then in TT User Setup manually add the FIX client IDs to each of the appropriate FIX Adapter Server Users TT FIX Adapter System Admini
150. sion Connection is enabled in the Global FIX Session Settings pane Price Conversion Table Market Product List of products whose prices you want to convert To specify a product or set of products you supply the following values to create a matching rule Note If you add a rule you must specify values for all fields For more information about converting price data see the section called Market Data Formatting Prices on page xcii Name of market on which the product trades as set in Tag 207 SecurityExchange Note If you specified a Market Name in the Individual Gateway Connection Settings Additional Options dialog you must use that same value in this field Product symbol as set in Tag 55 Symbo1 You can also use to match all symbols Table 16 Additional global configuration settings Market Data TT FIX Adapter System Administration Manual Trading Technologies International Inc XC 5 Configure Drop Copy Field name Description Product Type Product types to match You can specify any of the following values or to match all product types e Bond e Energy e Forex e Future e Fxndf e Option e Spread e Stock e Strategy Conversion Factor Factor that TT FIX Adapter should use to adjust prices between TT Gateways and FIX clients e When receiving prices from TT Gateways TT FIX Adapter divides the prices by this factor before sending them to the FIX clients
151. sion Settings Order Routing Requests TT FIX Adapter System Administration Manual Ixiv Trading Technologies International Inc Additional FIX Session Settings Order Routing Responses FIX Tags 4 Configure Order Routing Additional FIX Session Settings Order Routing Responses FIX Tags Order Routing The Order Routing Responses FIX Tags tab contains options that determine Responses FIX Tags tab which FIX tags TT FIX Adapter should include in responses to order requests i Additional FIX Session Settings 2 Help Market Data Order Routing Requests Order Routing Responses FIX Tags Order Routing Responses Business Flows MGT Separator Tag 50 Send Account Type AS Tags 47 and 204 Send Security Legs O Send Unsolicited Change As New O Setting descriptions Table 9 describes the settings for FIX tags used in order routing responses Field name Description MGT Separator Tag 50 Single character to insert between MGT fields returned in Tag 50 SenderSubId of the Execution Report 8 or Position Report UAP message when the corresponding New Order Single D Order Cancel Request F or Order Cancel Replace Request G message does not specify Tag 57 TargetSubId Without this parameter TT FIX Adapter returns lt Member ID of terminal user gt lt Group ID of terminal user gt lt Trader ID of terminal user gt For example 50 TTORDCP001002 If you set this parameter TT F
152. sites must be met e The TT User Setup administrator must install TT User Setup 7 3 3 e The TT FIX Adapter administrator must provide the TT User Setup administrator with the configuration file nameAdapter xml to import e The TT FIX Adapter administrator must provide the TT User Setup administrator with a copy of the lt root_drive gt tt config location cfg file from the TT FIX Adapter system Note During validation the TT User Setup Utility can identify any IDs in a configuration that are not unique because they already exist in the TT User Setup database However it cannot identify whether FIX Adapter names and FIX client IDs are unique between your different TT FIX Adapter configurations TT strongly recommends that you ensure that all names and IDs are unique across all of your configurations before using the TT User Setup Utility Common validation The following table lists some common problems that can occur when validating a problems pre 7 6 configuration file It lists the message displayed in the Log window and describes its meaning and effect on the import It also stores the messages in the lt root_drive gt tt logfiles UserSetupUtil_date log file Log message Notes Error Messages ERROR exceptionMessage Some unexpected error occurred the utility stops ERROR User name lt FIX Adapter Name In validation mode the utility logs the error and RemoteCompId is longer than 11 characters Ple
153. stem Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Field name Description Send Orders on Reset Sets whether TT FIX Adapter sends Execution Report 8 messages with Tag 150 ExecType D for all open orders after a session reset e On After a session reset send an Execution Report 8 message for each open order e Off After a session reset do not send an Execution Report 8 message for each open order Default Disabled Send Price Change Restatements Sets whether TT FIX Adapter sends restatement Execution Report 8 messages when a working order s price has changed This setting is only valid when Send Unsolicited Orders is enabled When Send Unsolicited Orders is disabled the TT FIX Adapter behaves as if Send Price Change Restatements is off On TT FIX Adapter sends restatement Execution Report 8 messages when a working order s price is changed e Off TT FIX Adapter does not send restatement Execution Report 8 messages when only a working order s price is changed The TT FIX Adapter does not write the price change restatements to any dat files or other log files Default Enabled Note Many FIX Clients require TT FIX Adapter to send the restatement Execution Report 8 messages for every order action including changes only to the price If you do not require restatement Execution Report 8 messages when only the price has changed for example
154. stration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions Recommended Migration Process Validating and updating TT strongly recommends that the TT FIX Adapter administrator works with the TT TT FIX Adapter User Setup administrator and FIX client developers to complete the following configurations and FIX steps well in advance of installing TT FIX Adapter 7 8 This process identifies clients problems with configurations and clients that must be fixed before the configuration can successfully be imported into TT User Setup For each TT FIX Adapter configuration perform the following tasks 1 TT User Setup administrator Collect the existing TT FIX Adapter configuration file from the TT FIX Adapter administrator TT User Setup administrator Run the TT User Setup Utility in Validation Only mode to confirm that all configuration data conforms to TT standards and requirements The utility generates a report that lists all of the problems it encountered For detailed instructions refer to Identifying Required TT FIX Adapter Configuration Changes on page cxxii TT FIX Adapter administrator In the existing production version of FACT make any necessary changes to address the issues indicated in the report For more information refer to Correcting Problems Concerning a TT FIX Adapter Name on page cxxviii Repeat steps 1 through 3 until the TT User Setup Utility reports no issues
155. t FIX Adapter Users to TT User Setup DB Source FACT xml File FACT el File Source Location cfg File Location chg File Target TT User Setup Database TT User Setup DB FIX Adapter Password Enter Password Corfam Password Run Validation Only C 3 Enter the following values e Inthe Source FACT xml File section type the full pathname of the FACT xml File or click Browse to locate the file e Inthe Source Location cfg File section type the full pathname of the location cfg File or click Browse to locate the file e Inthe Target TT User Setup Database section type the full pathname of the TT User Setup DB or click Browse to locate the file e Inthe FIX Adapter Password section type the same value for the Enter Password and Confirm Password fields e Disable the Run Validation Only check box 4 Click Start Import The Log window appears 5 Correct any errors that might appear Exit the TT User Setup Utility Adding a backup TT FIX If you need to import multiple configurations that define identical sets of FIX Adapter Server User clients you can use the copy user functionality in TT User Setup to create new FIX Adapter Users with the same FIX client associations p To import identical configurations with identical sets of FIX clients Using the TT User Setup Utility import any one of the identical configurations Start TT User Setup For each of the remaining identical configurations e Copy
156. t default will not be inserted This message occurs when importing an account default using an account that doesn t exist in the database The utility does not update the database WARNING Market name Market does not exist in the TTUS database Account default will not be inserted This message occurs when importing an account default using a market that doesn t exist in the database The utility does not update the database WARNING Account default for user lt RemoteCompId gt found with no account type Account default will not be inserted because there is no relationship in the tt account type table This message occurs when importing an account default with a missing account type The utility does not update the database WARNING No trade filters extracted for existing user Username This warning indicates that the existing user has no trade filters assigned in FACT WARNING User Username has MGT lt MGT gt assigned to gateway Gateway in TT User Setup and MGT lt MGT gt assigned to gateway Gateway in FACT Cannot update user because of the mismatch If order routing with a single MGT or order routing with an exchange trader we try to verify that any existing MGTs match the MGTs assigned to the user in the XML file If the existing user s MGTs to not match what is in the XML we do not update the user s record Informational Messages INFO A database record for RemoteCo
157. ternational Inc Table of Contents Additional FIX Settings Market Data aaa XC Market Data Formatting Prices sas csreswrinreseru ered krana hrs xcii Additional FIX Settings Order Routing Responses FIX Tags seen xciv Additional FIX Settings Order Routing Responses Business Flows xcvii Chapter 6 Managing a TT FIX Adapter 0000 cece eee eee eee eee eee eee c Starting TT FIX Adapter osica cach wa ea Rex Baw bee eae O AR Bae RR E E GRA a RR ci Resetting Message Sequence Numbers 0c hh nnns ciii Understanding TT FIX Adapter Log Files 1 0 ces cv Automating Services with TT Chron sasaaa aaa ns cix Performing File Maintenance with TT Clean sasaaa cxi Running the TT User Setup Diagnostic Checks aaa rA cxii Correcting TT FIX Adapter Startup Issues Related to TT User Setup Timeouts CXiv Appendix A Migrating from Pre 7 6 Versions leeeseeeeee ne cxvi What Changed in this Version sellers cxvii Recommended Migration Process eaaa nnn cxix Identifying Required TT FIX Adapter Configuration Changes lille cxxii Correcting Problems Concerning a TT FIX Adapter Name llle cxxviii Installing FIX Adapter 7 8 and Updating Pre 7 6 Configurations in FACT cxxxii Importing TT FIX Adapter Configuration Files into TT User Setup llle CXXXiV Correcting TT FIX Adapter Startup Issues Related to TT User Setup
158. teway Order Books with Users with mismatched Gateways Users wih Direct Trader Logins that arent fully compatible with some TTORD Order Books Order Books with mismatched Product Permissions Gateway Logins Ex Gateway Logins Order Book Order Book Gateway Logins Gateway Logins Gateway Logins Gateway Logins Gateway Logins Gateway Logins Gateway Logins O CJ DJ 0 Dj 0000000 FIX Adapter FIX Adapter si FIX Adapter Order Book Order Book 0 o0 8 Order Book 4 From the Configure Diagnostics window check any FIX Adapter related options L M and N and then click OK 5 From the Diagnostics Checks window click the Run Refresh Diagnostic Checks button Any issues will be listed by issue type and will include a summary of the issue For a detailed explanation of an issue type click explain this Resolve any issues discovered through the diagnostic check To run other diagnostic checks re open the Configure Diagnostics window and select your typical diagnostic checks or click Sync selection with automatic diagnostics to select only the checks that are configured to run automatically After the diagnostic checks are selected click OK and then click Run Refresh Diagnostic Checks For more information about TT User Setup diagnostics refer to the TT User Setup User Manual cxxxvii TT FIX Adapter System Administration Manual Trading Technologies Internationa
159. the FIX Adapter Server User created from importing the first configuration e Change the name of the copied FIX Adapter Server User For more information about copying users refer to the TT User Setup Help CXXXV TT FIX Adapter System Administration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions Importing TT FIX Adapter Configuration Files into TT User Setup FIX client IDs to a FIX If you need to import multiple configurations that define different sets of FIX Adapter Server User clients you can import each of the configurations and then manually associate each of the duplicate IDs with the appropriate FIX Adapter User 1 To import configurations with different sets of FIX clients Using the TT User Setup Utility import each of the configurations making note of all duplicate IDs the utility encounters Start TT User Setup Do either of the following e For each FIX Adapter Server user add the appropriate FIX client users to the list of authorized users e For each FIX client user add the appropriate FIX Adapter Server users to the list of authorized adapters For more information about adding users refer to the TT User Setup Help Running the TT User Use the Diagnostics Check utility after importing TT FIX Adapter configuration files Setup diagnostic checks into TT User Setup to confirm that the data in TT User Setup is consistent and valid Invalid data can cause FIX Ada
160. to the FIX client for all orders visible to the MemberID GroupID TraderID that routes the orders or only for those orders that originated from TT FIX Adapter e On TT FIX Adapter sends order rejects for all orders visible to the MemberID GroupID TraderID when sent by the TT Gateway e Off TT FIX Adapter sends order rejects for only those orders that originated from TT FIX Adapter Default Disabled Send Unsolicited Orders Whether to send order updates to the FIX client for all orders visible to the MemberID GroupID TraderID that routes the orders or only for those orders that originated from TT FIX Adapter e On TT FIX Adapter sends order updates for all orders visible to the MemberID GroupID TraderID e Off TT FIX Adapter sends order updates for only those orders that originated from TT FIX Adapter Default Disabled for persistent sessions enabled for non persistent sessions Note For non persistent order sessions working orders become unsolicited orders if TT FIX Adapter restarts If you disable this setting for a non persistent order session FIX clients will not receive the working orders after the restart Send Unsolicited Fills Whether to send fill updates to the FIX client for all orders visible to the MemberID GroupID TraderID that routes the orders or only for those orders that originated from TT FIX Adapter On TT FIX Adapter sends fill updates for all fills visible to the MemberID GroupID Tra
161. ttings common to all types of configurations include e Name and purpose of the configuration e Logging behavior e Administrative access e Contract definitions to pre load About bias settings The bias settings specify whether TT FIX Adapter needs to convert order and fill timestamps to universal time codes UTC If so it displays the conversion rules for each TT Gateway and allows you to specify the biases for start of day SOD DSOD records and for manual fills About FIX sessions settings While TT Gateway connections determine how a TT FIX Adapter communicates with the various TT Gateways FIX sessions determine how a TT FIX Adapter communicates with FIX clients Based on the type of TT FIX Adapter you want to use you configure a subset of the following e Session persistence e Price session information e Order session information TT FIX Adapter System Administration Manual xxxiv Trading Technologies International Inc About the TT FIX Adapter Configuration Tool FACT 3 Creating TT FIX Adapter Configurations About the TT FIX Adapter Configuration Tool FACT About the TT FIX Adapter Configuration Tool TT FIX Adapter provides a Windows based interface to help you create and manage TT FIX Adapter configurations The TT FIX Adapter Configuration Tool FACT allows you to choose a type of configuration then presents you only with the settings that apply to that type of configuration Note You can
162. u delete or archive all log files in this directory that are more than ten days old TT FIX Adapter message storage cxi To manage order fill price and fix message storage the TT FIX Adapter uses the following dat files located in the tt datfiles directory You should delete DAT files only if TT personnel instruct you to do so e FIX Adapter Dat Files which are named Nameadapter dat where Name is the name you assigned the TT FIX Adapter and is an integer between one and four e Order Session FIX logs which are named FIX Adapter Name OrderSendRecv Order Session Connection LocalCompId FIX Client Name YYYY MM DD dat These logs are created for each session the Enable debug logging for orders setting in TT User Setup is ignored Caution The order session FIX dat file is used to service FIX client resend requests and historical fill requests Make sure that TT Clean is not configured to delete or archive dat files that are less than three days old or the duration of their FIX session whichever is greater e Price Session FIX logs which are named FIX Adapter Name PriceSendRecv Price Session Connection LocalCompId FIX Client Name YYYY MM DD dat These logs are created for each session but only when the FIX client user s Enable debug logging for prices setting is enabled in TT User Setup When TT FIX Adapter restarts after deleting the DAT files FIX clients must e Reconn
163. ucts traded on that exchange If the table contains no entries for a market TT FIX Adapter downloads contract data for all products on that market To illustrate assume TT FIX Adapter connects to the CME CBOT and Eurex markets In the Load Ignore Products table you specify the following Load Ignore Products Load lgnore Product Ignore Ignore Ignore Market Product Product Type CBOT ZB Future CBOT ZN Future CME Option When TT FIX Adapter initializes it downloads contract data for the following e From the CBOT market all products except ZB and ZN futures e From the CME market all non option products e From the Eurex market all products Mixing load and ignore product entries You can include both types of entries in the configuration to apply different product select rules for different markets You can specify products to load for one market while specifying products to ignore for another To illustrate assume TT FIX Adapter connects to the CME CBOT and Eurex markets In the Load Ignore Products table you specify the following Load Ignore Products Load lgnore Product CBOT Future Load CBOT Future Market Product Product Type CME Option When TT FIX Adapter initializes it downloads contract data for the following e From the CBOT market all ZB and ZN futures e From the CME market all non option products e From the Eurex market all products If you
164. up database The import process will not alter the record for lt MGT gt This message occurs when importing an admin MGT or direct trader that already exists in the database The utility logs an informational message saying that the existing MGT record will not be altered INFO User data for User Username will not be updated in validation mode This message occurs only in validation mode as a reminder that the database is not updated INFO Associating User lt userName gt price session logging to lt price session logging setting gt order session logging to lt order session logging setting gt account defaults lock to lt account defaults lock setting gt and making the user a FIX Adapter client This message indicates that the existing TT User Setup FIX Adapter User settings are updated with these new values INFO Associating User lt Username gt with MGT lt MGT gt on Gateway lt Gateway gt This message indicates the user s record is mapped to the specified TT Gateway and MGT INFO Removing any existing account defaults for User lt Username gt This message indicates that any existing account defaults settings for the user are replaced by the imported account defaults values Table 23 Common validation problems How to validate a TT FIX Adapter configuration The TT User Setup administrator performs this procedure on the system running the TT User Setup Server Note During
165. upports custom rollover so you can no longer set custom rollover times for each TT Gateway in the FIX Adapter Configuration Tool FACT TT FIX Adapter uses the rollover time specified by each TT Gateway If you currently use custom rollover times you should make any necessary operational updates to ensure that positions are accurately reflected For more information refer to TT FIX Adapter rollover behavior on page xxviii Changes regarding trade filters cxvii TT FIX Adapter 7 6 0 changed the mechanism by which it determines whether a FIX client is authorized to view a fill for Drop Copy configurations In previous versions TT FIX Adapter allowed an administrator to define trade filters for each client In FIX Adapter 7 6 0 and later TT FIX Adapter uses the list of MGTs associated with the user in TT User Setup TT FIX Adapter System Administration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions What Changed in this Version Potential FIX client In prior versions TT FIX Adapter did not include the TT Username in TT orders impacts from TT User also called Username in other TT applications Beginning with FIX Adapter 7 6 0 Setup integration TT FIX Adapter always populates the TT Username field which allows customers to identify the user origin of orders and fills As a result the unique trader ID provided to exchanges by some TT Gateways such as CME might change based on how the
166. ustrates the situation where a product ALV option logic matches a Load and an Ignore entry In this example TT FIX Adapter does not download Eurex ALV options because the Ignore entry takes precedence Load Ignore Products Load lgnore Product Option Ignore Option Ignore Market Product Type Option Load If for the Eurex market you want to download contract data only for ALV options configure the Eurex option Load entry as follows TT FIX Adapter System Administration Manual Ixxxii Trading Technologies International Inc 5 Configure Drop Copy Load Ignore Products Load lgnore Product Market Product Product Type Option Option Load Ixxxiii TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Specifying Gateway Settings Overview Each TT FIX Adapter configuration contains bias settings that apply to all TT Gateways to which TT FIX Adapter connects Gateway Bias Settings A drop copy TT FIX Adapter configuration provides the following bias settings S FIX Adapter Configuration Tool FACT ToNew open E Save Save an s s DC1 ommen Gateway Settings FIX Session Setbngs Convert Timestamps to UTC E UTC Time Biases dard Time Start Standard Time Star Bias Settings For Date MWD Start Time HH MM SS Manual Fills BTec 02 00 00 CBOE 02 00 00 CBOT 07 0000 CME 07 00 00
167. validation TT User Setup Utility does not make changes to its database To validate a TT FIX Adapter configuration 1 Ensure that the necessary pre 7 6 configuration files can be accessed from the system running the TT User Setup Utility Stop the TT User Setup server Double click the TT User Setup Utility desktop icon The TTUserSetupUtil window appears TT User Setup Utility 1 Create Empty TT User Setup DB 2 Run SQL Script Against TT User Setup DB Create an empty TT User Setup DB for User Setup For example run the scripts that create the database tables nd load the tables with imtis data like counties and the intial TTSYSTEM user Use this window to create or edit the TTUserSetupServer configuration fle TTUserSetupServer ira Akematively you cen edit the file using Notepad Notepad Notepad Import a FIX Adapter configuration file into the TT User Setup database 3 Edit Server Configuration File 4 import FIX Adapter Configuration File 4 Click Import FIX Adapter Configuration File CXXV TT FIX Adapter System Administration Manual Trading Technologies International Inc A Migrating from Pre 7 6 Versions Identifying Required TT FIX Adapter Configuration Changes The Import FIX Adapter Users to TT User Setup DB window appears Import FIX Adapter Users to TT User Setup DB Source FACT xml File FACT xml File Source Location cfg File Location cfg File Target TT Use
168. y TT Gateways the amount of data retrieved could cause FIX Adapter to exceed the maximum application memory footprint allowed by the operating system Warning If you instruct FIX Adapter to load all contracts Load FIX How to set the global settings To set the global configuration settings 1 Inthe Configurations Tree Navigation pane select the name of the adapter you want to configure The Global Settings appear in the Settings pane Specify values for each of the fields If you want to access the additional settings do the following Otherwise skip this step TT FIX Adapter System Administration Manual xxviii Trading Technologies International Inc 5 Configure Drop Copy e Click More The Additional Global Settings dialog appears e Change the desired values and click OK 4 Click Save T Additional Global Settings System Administration Administrative Port TCP Window Size KB a2 i Loadllgnore Products Load lgnore Product Load aj Market Product Product Type Ixxix TT FIX Adapter System Administration Manual Trading Technologies International Inc 5 Configure Drop Copy Configuration Settings Selecting Products Overview TT FIX Adapter allows you to limit the number of products that it downloads from the TT Gateways to improve performance and reduce unnecessary product downloads For example if you trade only the 30 year treasury futures ZB from the

FIXAdapter_V7.8.X_SAM - Trading Technologies

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