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Date/Time: Thu, 17 Jun 2021 17:09:16 +0000

Post From: TT Based Order Routing Service: TT Interruption

[2021-02-19 13:52:07]
Sierra Chart Engineering - Posts: 96589 | Ending Date: 2022-04-10
We heard from CQG regarding pricing for using a common FIX connection for routing orders in the same way we have been using TT with the Sierra Chart Order Routing Service.

The cost from CQG as compared to TT is three times higher.

And AMP is still waiting to hear from TT about the technical problems, and whether they will enable trading on CME through TT. If the answer is satisfactory from TT and they reenable trading that will be the best interim solution until our own direct order routing to the CME is ready.

We may not go ahead with the plan to offer CQG routing on the Sierra Chart Order Routing Service.

There are several basic reasons. The ultimate objective is our own direct routing to the CME. And if later, we support EUREX routing, between EUREX and CME we have covered the two major exchanges.

Inevitably, while the initial work to support CQG is relatively simple, at least we think so, as is always the case, there is always ongoing maintenance and support questions. This will be a distraction, and taking away time from our own direct order routing. We do not want that unnecessary burden and distraction and delays.

So we may just stay with CQG connectivity as it always is since there is no cost benefit to anyone. And being that users can always use our Denali Exchange Data Feed for the best market data in combination with CQG order routing, there really is a just a marginal benefit to supporting CQG on the order routing service.

And actually there is one point of risk with supporting CQG. And that is loss of connectivity. There is a whole redundant set up, that we have with TT which we will not have with CQG. Or take more time and cost to implement.

We also really do not like CQG symbology either. Although this is not a factor. Just mentioning it.

So that is the current situation.

We also do not know about the order routing performance with CQG as compared to TT. If there is a higher latency as compared to TT, which actually certainly will be the case then there is also less incentive to support CQG with the order routing service.

With TT we utilize a internal cross connect in the Aurora data center which reduces latency, and guarantees no loss of connectivity because we also have a backup Internet connection. With CQG we will only be using Internet and initially a single connection.

And that also puts us in an uncomfortable position where we do not have redundancy for OCO and bracket orders.

So thinking through this as we write, tentatively, the plan to support CQG on the order routing service is canceled. We see risks with it. And yes we have seen the problems with TT but that will eventually get phased out.

We do not want the burden with this new configuration with CQG, especially being it is just an interim solution for a few months, while our own order routing service is finished, deployed and proven.

It is definitely an our interest to get our direct order routing to the CME out as soon as possible. which we will do.

We want to give some background thoughts on this direct CME order routing project. When we started it over a year ago we did not know whether we would actually release it for widespread use.

The reason is it puts us in a position we have never been in, where there is a critical function being performed by us rather than by outside providers. For example, CQG, Rithmic, TT, or the full providers like Interactive Brokers or Gain Capital (which uses actually CQG in the background).

However, we now are providing market data feeds . And we have an excellent track record with those, when we are in full control (We are talking about the Denali feed here, and not the SC Exchange Data Feed in combination with Barchart. It is the SC Exchange Data Feed which has caused us a poor impression at times and may get discontinued at the end of 2021 possibly. The Denali feed is fully our own.).

We now provide a EUREX feed directly out of Frankfurt with a direct relationship with Deutsche Borse. We have full confidence in that feed. Although in the first couple of weeks we have had a few minor issues, they have been understood and resolved and that is not out of the ordinary with a brand-new feed and actually is quite impressive that everything is all resolved within the first two weeks and is fully stable thereafter. We think we have achieved that as of today.

And we also have the Sierra Chart order routing service which is a major component of direct CME order routing. And the track record with this, when it comes to the functionality developed by us and within our control, is excellent.

There are several considerations with direct CME routing which we want to talk about:

Order routing connectivity to the exchange (Confident with, as long as we have all the necessary redundancy which we will have)

Account balance tracking (Confident with)

Position tracking (Confident with but there is always some degree of concern, that something can go wrong with this related to fills like what TT had. But we looked at what has gone wrong with TT and we have looked at our safety checks related to these, and enhanced them. So we have confidence in this.)

Risk management (This is an area we have the functionality for, but it needs a proven track record. So obviously this is an area of concern. This functionality actually is being proven in our trading evaluator environment and does work flawlessly. )

Enhanced risk management which would include auto liquidation. (Always a risk something can go wrong in this area. For example, due to faulty pricing. And one broker, actually deep discount trading, considers auto liquidation a dangerous feature. And this feature is not even offered by CQG.)


Now we are very good programmers. And we are quite certain we do need to move forward with our direct the CME order routing project and release it and will but we also probably need some additional help in the area of someone who can help with supervision, and help FCMs with the functionality and education and all of that.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-02-20 05:27:20