Date/Time: Sat, 02 Jul 2022 21:30:39 +0000
Post From: Now Released: Upcoming CME / EUREX Direct Routing
Sierra Chart Engineering - Posts: 103558
Update 2021-11-01: The new CME direct order routing which is now called Teton Futures Order Routing has now been released and available. More information:
Sierra Chart Teton Futures Order Routing
This thread is going to be a thread where we will post every couple of days or few days with our progress with CME order routing. Maybe it could be considered like a diary.
We will put down our thoughts about everything related to this.
We also want to talk about the issue that TT had and also provide a little background why we started working again with TT a couple of years ago and had used that for the order routing service. In concept it did make sense, and did work well, aside from account balance limitations and the two significant incidents on the TT side with order routing. Although when they have had this significant second fault that really demonstrated, that we do need to replace that connection as soon as possible.
Very briefly, we started using TT again, when TT came to us about three years ago wanting us to update from their 7.X version, to their new "TT platform" FIX version which was to be used by EDF Man who was also using Sierra Chart at the time.
At that time were working on it, we saw how we could create unified order routing model something that we have been thinking about and we thought it will be good to provide a common solution for users. Similar to what we were doing with CTS but this was going to be much better. And it was/is hugely more successful than what we did with CTS.
One of the problems TT experienced in this most recent incident, was using a low sequence number, probably 1, when connecting to a CME session which then caused a resend request on the TT side to be sent. And then TT reprocessed all the prior order fills they already processed, throwing off positions.
In our testing with the CME, we had a similar scenario and recognized very clearly at that time that it is critical to maintain perfect integrity with sequence numbers upon reconnection and also maintain a list of previously processed order fill identifiers to compare against so no fills are reprocessed. All of already exists with our direct CME routing.
This whole problem really relates to what we have always known and that is the FIX protocol, in the particular way that the CME uses it, which is a traditional way, is seriously fundamentally flawed. The whole concept of the resend request simply makes no sense at all.
The only thing that a client-side would be interested in, is previous fills they missed, and potentially prior and certainly current order states.
Those need to be separate dedicated requests with separate messages, and specific identifiers, like a date-time, and a prior processed identifier which can be an incrementing integer, to identify what needs to be resent. And the response needs to be a dedicated response with its own message type, completely unrelated to the current stream of execution reports.
Trying to contend with sequence numbers, upon connection and sometimes just getting bumped off for using the wrong number, is just plain dumb and having a resend request also resending session messages, or doing gap fills to skip over those session messages is all totally nonsensical.
The use of the FIX protocol at least in the way that is being used, needs to be scrapped.
Anyway we are just putting out some quick thoughts now.
We are going through the CME testing again, and of the whole thing is very agonizing because that test system has issues, way that it behaves, and there is inconsistency between tests. We will elaborate later. This is actually one thing that has taken a such a long time is to get through this whole test process because it is just simply not easy.
Sierra Chart Support - Engineering Level
Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-11-15 00:30:11