Trading Technologies Trading Platform Service

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Introduction

Sierra Chart fully supports the Trading Technologies (TT) FIX Adapter trading platform service. With this trading platform service you have access to real-time data, historical data and trading in the futures markets from many exchanges around the world.

The Sierra Chart trading features fully support the TT FIX trading platform service. You are able to enter simple and advanced orders from the Charts, Chart DOM, Trading DOM and Trade Window within Sierra Chart. Automated trading is also supported.

The Trading Technologies FIX Adapter trading platform service is supported by many brokers throughout the world.

Trading Technologies has two versions of FIX. What they call 7.X FIX and their current version known as the TT FIX Platform. For proper support for 7.X, it is necessary to use Sierra Chart version 1767 or higher. For proper support for the current TT FIX it is necessary to use 1767 or higher.

What is Included

  • Streaming Real-Time Data: Yes.
  • Historical Intraday Data: Yes. Tick by Tick. Depending upon the particular broker/trading service used, this historical Intraday data may be delayed by 10 minutes. To remove the delay, the Sierra Chart Exchange Data Feed can be used.
  • Historical Daily Data: Provided through the Sierra Chart Historical Daily Data service.
  • Historical BidVolume and AskVolume: Yes. Note: Bid Volume and Ask Volume are inaccurate when using Trading Technologies FIX.
  • Live Trading Services: Yes.
  • Simulated Trading: Yes.
  • Order Types Supported: All.
  • Server Managed OCO (Order Cancels Order): No.
  • Automated Trading (applies to Live or Simulated): Yes.

Setup Instructions

  1. Trading Technologies has two versions of FIX. What they call 7.X FIX and their current version known as the TT FIX Platform. For proper support for 7.X, it is necessary to use Sierra Chart version 1781 or higher. For proper support for the current TT FIX it is necessary to use 1781 or higher.
  2. Your clearing firm will provide you with the necessary TT FIX connection information. You will need that from them before you can proceed.
  3. Go to the Sierra Chart program. Select Global Settings >> Data/Trade Service Settings on the menu.
  4. Click on the Service list box at the top of the window. Select the TT FIX service name from the list for support for the TT FIX Platform. or select the TT FIX 7X service name for support for TT FIX 7X.
  5. You will notice a Price Session and an Orders Session groups of settings. Refer to the example image below. You need to fill in all of the Service Settings required except for Multi-broker ID unless it is given to you by your broker.

    The Sender Comp ID is like the username for your account.
    TT Service Settings
  6. In the Accounts box, enter your trading account identifier. If the FIX Adapter connection details that you have is configured for multiple Trade Accounts, then enter each account identifier separated by a comma character in the Accounts box. You will be able to choose the particular account you want to use through the list of accounts on the Trade Window.

    If your broker did not provide you an account identifier because it is a demo connection, then leave the Accounts box blank.

    If you do not have an actual Trade Account, then you will need to enable Trade >> Trade Simulation Mode On within Sierra Chart to be able to do simulated trading.
  7. Set the Requested Market Depth setting to the number of levels of market depth that you require. Top of Book uses the least amount of network bandwidth. Market Depth data provides the quantities of working buy and sell orders at prices near the current trade price. There are various features in Sierra Chart which use Market Depth data.
  8. Enable the Connect on Program Startup and the Reconnect on failure options.
  9. Set the Time Zone setting to the time zone that you want times displayed in.
  10. Set the Intraday Data Storage Time Unit to what you require.
  11. Press OK to close the Data/Trade Service Settings window.
  12. To connect to the Data and Trading server, select File >> Connect to Data Feed on the menu.
  13. If the Window >> Message Log window opens and displays messages indicating there was an error connecting to data and trading servers, then select File >>Disconnect to prevent further connection attempts. Next, carefully review the setup steps above again. Try connecting to the data and trading servers again by selecting File >> Connect to Data Feed on the menu.

    When you receive this message in the Message Log: Received a logout message from the server. Reason: Cannot find session with matching TargetCompId and SenderCompId, then open the Global Settings >> Data/Trade Service Settings window. Verify the Target Comp ID and Sender Comp ID in both the Price Feed Connection Details and Orders Connection Details, are correct. Contact your Trading service if you are not certain what these settings should be.

    When you receive this message in the Message Log: TT FIX Data: Received a Logout message. Text = Username / Password not recognized, then open the Global Settings >> Data/Trade Service Settings window. Verify the Sender Comp ID and Password in both the Price Feed Connection Details and Orders Connection Details, are correct. Contact your Trading service if you are not certain what these settings should be.

    If there still is an error connecting, then review help topic 1.5.
  14. Open a Historical Chart, Intraday Chart or Trading DOM by selecting File >> Find Symbol on the menu. Find the symbol in the available lists and press the appropriate button.

    If you do not receive any historical data for the symbol, then contact Sierra Chart support and let us know what the symbol is and we will add historical data support for it if possible.
  15. If you are using a Trading Technologies Demo account and not a Live account, then you need to use Sierra Chart Trade Simulation Mode to handle all trading. Make sure there is a checkmark by Trade >> Trade Simulation Mode On. Otherwise, any orders submitted to the server will give an error.
  16. Continue with step number 3 on the Getting Started documentation page.

Symbols

To find the available symbols, you need to select File >> Find Symbol on the menu. If a symbol is not listed, contact Sierra Chart support to have it added.

Exchange Traded Spreads/Strategies

Sierra Chart fully supports trading exchange traded spreads and strategies with the Trading Technologies trading platform service.

Make certain you are connected to the Data and Trade servers by selecting File >> Connect to Data Feed the menu.

Select File >> Find Symbol on the menu. In the list of available symbols, select the particular futures market that you want to get spread/strategy symbols for. You can select any particular futures contract month, it does not matter. Press the Get Spread Symbols button. The symbols will be downloaded from the TT FIX Adapter server. Once the download is complete, they will be listed and the first one will be highlighted. Choose a particular exchange traded spread or strategy that you want to trade, from the list and press Open Trading DOM . You can then enter orders for that symbol on the Trade DOM.

Note: Trading Technologies does not provide current Position data for exchange traded spreads/strategies. However, they do provide the position data for the outright contracts that make up the individual legs of the exchange traded spread/strategy. You will see these individual positions in Trade >> Trade Orders and Positions Window >> Positions.

Sierra Chart is able to calculate the Trade Position Quantity and Average Price for exchange traded spreads and strategies you are trading based upon the order fills for the symbol being traded received both in real-time and downloaded upon connection to the trade server. To have Sierra Chart calculate the current Position from order fills, confirm that Trade >> Open Trade Window for Chart >> Menu >> Use Order Fill Calculated Position , is enabled. It also must be understood, that if there any missing order fills Sierra Chart has in the Trade Activity Log, then the reported position data will be inaccurate.

In order for the Sierra Chart trading functionality to work properly with TT exchange traded spreads and strategies, it is essential that the TT FIX Adapter sends Summary Fills for FIX sessions. FIX Adapter administrators need to refer to the FIX Adapter System Administration Manual for further information.

In the case of exchange traded spreads or strategies, set the Order Quantity on the Trade Window to the exact quantity you want to make a trade for of the spread or strategy.

Price Formatting

To modify the price formatting for Exchange Traded spreads and strategies you will want to adjust the following settings in Chart >> Chart Settings. For complete details, refer to Chart Settings.

  1. Main Settings >> Price Display Format
  2. Main Settings >> Tick Size
  3. Advanced Settings 2 >> Real-Time Price Multiplier

The prices you will use for Order prices will be based upon exactly the prices you see displayed on the Trade DOM.

Average Position Price

In Sierra Chart the Trade Position Average Price can come from two different sources. It may be calculated from the order fills which make up the currently open position or come direct from the Trading Service. For complete information, refer to How Average Price for Positions Is Calculated and Used.

The Trade Position Average Price that comes from the Trading Technologies trading platform service for the currently Open Position uses an averaging method for all of the fills during the trading day. It is not based upon just the fills representing the Open Position. Therefore, this Trade Position Average Price may not always be what you would expect it to be.

You need to be aware of this and if this is the Average Price you are looking at, you need to disregard it.

Account Balance

TT FIX Adapters do not provide account balance data over FIX. Therefore, there will be no account balance information for the accounts displayed on the Trade >> Trade Orders and Positions >> Balance tab.

Common Error Messages

Common Error Messages in the Trade >> Trade Service Log:

  • Trade Order Error - TT order update (Rejected). Info: User [sender comp ID] is not allowed to use account [trade account]. Internal Order ID: [number]. : This means the Trade Account specified through Global Settings >> Data/Trade Service Settings >> Orders >> Trade Accounts, is not a valid account identifier. Or, the FIX Adapter is not properly configured for your account. Contact your broker for help with any of these issues.
  • TT Orders FIX Session: Error in received Position Report message. Failed to get the value for the TotalNumPosReports <16727> field. Field not found. : This message indicates that an unsolicited Position report has been sent by the Server without the Total Number of Position Reports field. Therefore, it cannot be processed. This is a harmless message. We are not sure why the TT FIX adapter sends these as they are not properly formatted according to FIX specifications.
  • Symbol Error - [symbol] is unknown, unavailable, or improperly formatted. FIX message: [message from server describing the specific problem]:

    This means either the symbol is not valid or the gateway to the exchange is down. Make sure you are using the correct and current symbol. You can find the available symbols through File >> Find Symbol.

    We have seen that when the Eurex market is closed and you connect to the data and trade server, you will get a market data reject message for Eurex symbols. You need to reconnect to the server no earlier than one minute before the Eurex market opens to make sure your market data requests are not rejected. Reconnect with File >> Disconnect and File >> Connect to Data Feed.
  • If you receive any of the following messages in the Sierra Chart Message Log:

    TT FIX Trading: Received a FIX message missing required field SenderCompID <49>.
    TT FIX Trading: Received a FIX message missing required field TargetCompID <56>.
    TT FIX Trading: Error in received Position Report message. Failed to get the value for the PosReqID <16710> field. Field not found.


    Then all of these messages are not uncommon to receive from a Trading Technologies FIX adapter and can be safely ignored. They simply indicate missing fields in FIX messages. They should not occur frequently but sometimes they are known to occur. They really should not occur, but why sometimes the fields are missing, we do not know and we have no control over this.

Availability Market Data and Trading Server

The TT FIX adapter server which is provided by the clearing firm you are using, which Sierra Chart connects to for trading and market data, usually is not available over the weekends.

Therefore, Sierra Chart will fail to connect during the weekend. There will be error messages related to this in the Sierra Chart Message Log. Example: Error received in OnConnect while connecting. Windows error code 10061: No connection could be made because the target machine actively refused it..

The server becomes available Sunday evening when the markets reopen for the next trading week.

To prevent connection attempts, select File >> Disconnect. To connect to the server Sunday evening or at any time, select File >> Connect to Data Feed.

How Current Trade Positions Are Determined

The current Trade Position Quantity and Position Average Price for a Symbol and Trade Account being traded on when using the TT FIX adapter is calculated by Sierra Chart from order fills received in real-time and the historical fills downloaded from the trading server.

Order fills are held in the Trade >> Trade Activity Log. You have the ability to Insert and Edit order fills through the Trade >> Trade Activity Log >> Edit menu.

The TT FIX server does not provide the Quantity and Average Price as individual values for Trade Positions you are currently carrying.

However, this limitation is not a problem with Sierra-Chart because the current Position Quantity and Average Price can be reliably determined from the order fills.

The Trade >> Trade Orders and Positions >> Positions tab will not show the current Trade Positions.

You need to refer to the Trade >> Trade Activity Log >> Trade Stats for Charts tab instead for the Open Quantity for each Trade Position for each open chart or Trade DOM. This very same Open Quantity is displayed on the Trade Window of a chart or Trade DOM.

When calculating the current Trade Position Quantity for a Symbol and Trade account from the order fills that Sierra Chart has, this could result in a current Trade Position Quantity which is incorrect. Therefore, in some cases the Trade Position Quantity and Average Price reported by Sierra Chart for a Symbol and Trade Account could be incorrect. There is a simple and reliable solution to this as explained in the next paragraph.

In this case the solution to this is to enter the starting Date-Time for the order fills that make up the current Trade Position for the Symbol and Trade Account, in the Chart >> Chart Settings >> Advanced Settings >> Order Fills Start Date-Time boxes for the chart or Trade DOM you are trading from.

Once this start Date-Time is set correctly and being that Sierra Chart should not miss any order fills because a complete set of fills is held on the server and provided to Sierra Chart when it connects, if there any missing, you should not have to adjust this Date-Time for a while even for new Trade Positions. But you certainly can.

Although you would need to adjust this when order fills are removed from the Trade Activity Log. This happens when Sierra Chart is restarted and is according to the Global Settings >> General Trade Settings >> Number of Days to Save in Trade Activity Log >> Non-Simulated Fills setting.

To ensure that Sierra Chart maintains all of your order fills and does not miss any, make sure that Trade >> General Trade Settings >> Number of Days to Save in Trade Activity Log is set high enough as required.


*Last modified Wednesday, 25th July, 2018.