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Date/Time: Thu, 27 Feb 2020 04:37:09 +0000



Spread Product Orders not working in live mode

[2020-01-09 14:18:32]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Hi,
We are using Denali and TT Fix. We are attempting to place limit orders on symbol "RBG20-HOG20.RB.RUT.NYMEX"
We are able to place simulated trades against this symbol no problem. However, when we switch to live we get an error and the order never places. Below is the Error.

SC Futures Order Routing/Data order update (Order reject). Info: TT order update (Rejected). Text: Instrument not found by NAME=RBG0-HOG0 symbol=RBG7. Internal Order ID: 4813. Service Order ID: 328425. Symbol: RBG20-HOG20.RB.FUT.NYMEX. Account: AC****** | 2020-01-09 09:10:18.499*

We get this reject message whether we place the order through DTC protocol or manually on the SC Platform.
[2020-01-09 14:53:17]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
Where did you get that symbol from? That is not a correct symbol. To access the proper symbols, refer to:
https://www.sierrachart.com/index.php?page=doc/RealTimeDataFeedsAvailableFromSierraChart.php#ExchangeTradedSpreads
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2020-01-09 14:53:49
[2020-01-09 18:08:22]
User911267 - Posts: 25 | Ending Date: 2020-02-29
I miss typed the symbol in my last message. This is the symbol we are using "RBG20-HOG20.RB.FUT_NYMEX" and we got it using the documentation you sent. We know it's not an incorrect symbol because we get market data for it and simulated orders work for it. However when we try to place a live order, either through DTC Protocol or through the SC Platform the order gets rejected by TT. Just try it, open up a chart for this symbol. You will see the data and the DOM are all being updated but when you try to place an order it will get rejected when it arrives at TT.
[2020-01-09 19:07:09]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
This is an example of a proper spread symbol when using the TT order routing:
RBU21-HOU21.RB.FUT_SPREAD.NYMEX

It is very possible market data can work properly, because that is enough of a match to make market data work but it is not interpreted as a multi-leg security when we are submitting the order to TT.
Sierra Chart Support - Engineering Level

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[2020-01-09 19:41:15]
User911267 - Posts: 25 | Ending Date: 2020-02-29
RBG20-HOG20.RB.FUT_SPREAD.NYMEX

Above is exactly what we used both in DTC and on SC Platform. Again the order is Rejected by TT with the same message I sent above.
Thank you for being patient with me, I am certain we are using the correct symbol because we get it exactly from the find symbol window using your documentation. I've made the mistake of miss keying it in every time I've posted to this support board. On SC with the above symbol, the time and sales window is updating, the DOM is updating, the Level 2 is updating, the Chart is updating and on all of them say "RBG20-HOG20.RB.FUT_SPREAD.NYMEX" for their symbol. Now when we go to place an order we get the Reject from TT order update.

Again, Thanks for your patience, but I am sure there is an issue on your end sending the correct symbol to TT.
Thanks
Date Time Of Last Edit: 2020-01-09 19:48:36
[2020-01-10 15:19:54]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
We need to look into this, we think the problem is with the product code. Since this is an intercommodity spread the product code may not be RB.
Sierra Chart Support - Engineering Level

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[2020-01-10 17:03:13]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Ok,
Let us know when it’s fixed
[2020-01-11 05:38:57]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
The problem is there is not a universal answer to this problem. TT is using a product code which is not even provided by the exchange. The exchange just simply uses RB (Tag 6937) which we use:


35=d5799=00000000980=A779=202001051707250008111180=3821300=80462=16207=XNYM1151=CL6937=RB55=RBG0-HOG048=29702122=8167=FUT461=FMMXSX200=20200215=USD762=IS9779=N1142=F562=11140=2999969=1.0000000009787=0.000100000996=GAL1150=-2688.000000000731=000000105796=202001101143=150.000000000864=2865=51145=20161130223000000000865=71145=202001311930000000001141=21022=GBX264=101022=GBI264=2870=1871=24872=000000000000110000100100000000111234=0555=2602=638283603=8624=1623=1602=49483603=8624=2623=1


So we have to contemplate what would be the solution here.
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Date Time Of Last Edit: 2020-01-11 05:40:12
[2020-01-11 06:19:56]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
We came up with a solution, but it is going to require custom symbol settings for these intercommodity spreads. So we have implemented that for RB-HO spreads but others will need to be done. Just let us know what other intercommodity spreads you need to trade.
Sierra Chart Support - Engineering Level

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[2020-01-11 17:04:34]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Thank you!

For now, the RB-HO spread is the only intercommodity we need.

To confirm, we continue to use "RBG20-HOG20.RB.FUT_SPREAD.NYMEX" for the G contract and you have set up the other RB-HO spreads.
[2020-01-11 18:47:11]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
We are still having a problem with this. We are going to work on it and it will be done before Sunday evening. The spread is still not tradable yet.
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[2020-01-12 23:04:41]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Can we use this now?
[2020-01-12 23:28:24]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
We do have the problem resolved. But we have to do a software update. We want to do additional testing first. We will be working on it this evening.
Sierra Chart Support - Engineering Level

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[2020-01-13 14:36:49]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Can we use this now?
[2020-01-13 19:05:31]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Any luck on this?
[2020-01-13 19:22:42]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
We apologize for the delay. We need more time. This change requires some careful testing. It is not something we can rush. We intend to have this out no later than this evening.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2020-01-13 19:23:00
[2020-01-14 01:53:41]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
Support for RB and HO intercommodity calendar spreads is now released for Server 4.

To use this server select Global Settings >> Data/Trade Service Settings. Set the Service Settings >> Primary Server to Server 4.

And then reconnect to the data feed:
https://www.sierrachart.com/index.php?page=doc/FileMenu.html#ProcedureToReconnect

We do not want to update the other servers until the CME maintenance period tomorrow.


We do apologize for the long delay. If you needed to get the order in quickly, what you could have done is contacted your broker and have them set you up with a TT username through the TT user set up to access the TT Platform where you could have entered the order there.

But this limitation is now resolved. Just let us know what other intercommodity products you want to trade and we can add those quickly.
Sierra Chart Support - Engineering Level

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[2020-01-14 01:55:11]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Thank you!
[2020-01-14 01:57:53]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
What we always like about TT as compared to CQG, is their message fields are consistent with what the exchanges use. But in this particular case, the product code TT is using is RB|HO and the product code we were using which is exactly what the CME has in their security definition is RB.

This is where the problem was. So it required custom mapping.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2020-01-14 01:58:25
[2020-01-14 02:04:26]
User911267 - Posts: 25 | Ending Date: 2020-02-29
I've changed the server to 4 and I exited SC and restarted.

Still getting this error.

SC Futures Order Routing/Data order update (Order reject). Info: TT order update (Rejected). Text: No limits. Internal Order ID: 4480. Service Order ID: 396547. Symbol: RBG20-HOG20.RB.FUT_SPREAD.NYMEX. Account: * | 2020-01-13 21:02:27.201 *
Date Time Of Last Edit: 2020-01-14 02:36:00
[2020-01-14 02:35:39]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
We apologize for the delay. This rejection is different and is an account level rejection. Your clearing firm needs to specify limits for this product. This is what this rejection means:
No limits.
Sierra Chart Support - Engineering Level

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[2020-01-14 02:40:52]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Do we need to do anything on our end?
[2020-01-14 03:11:57]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
No and once again we apologize for the delay. Your clearing firm will take care of this.
Sierra Chart Support - Engineering Level

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[2020-01-14 03:43:36]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
Sorry we might have misunderstood your post #22, you do need to contact your clearing firm about this rejection so they can specify limits for that product. But otherwise there is nothing else you need to do.
Sierra Chart Support - Engineering Level

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[2020-01-14 20:36:49]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Will you notify us when these changes have been implemented on the other servers as well. Thanks
[2020-01-15 11:10:07]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
We should have this done before Friday.
Sierra Chart Support - Engineering Level

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[2020-01-15 18:21:03]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Ok.
What is the difference in latency between server 4 vs server 2 both from an orders standpoint as well as market data? Also where is server 4 located? It appeared our market data is much more delayed on server 4.
Thanks for the support!
[2020-01-15 18:43:26]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
The location is in Naperville.

Latency difference would be less than 5 ms. Probably just 2 or 3 ms. Market data does not come from Server 4. Using Server 4 does not change market data in any way.
Sierra Chart Support - Engineering Level

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[2020-01-15 20:29:49]
User911267 - Posts: 25 | Ending Date: 2020-02-29
Ok thanks.
Let us know when spreads are working on server 2 so we can switch back.
Thanks again
[2020-01-17 17:33:18]
User911267 - Posts: 25 | Ending Date: 2020-02-29
So again another reject today.
We placed and modified several orders on Symbol RBH20-HOH20.RB.FUT_SPREAD.NYMEX. We had no problems all morning. However, after we were filled we and closed our position we attempted to place another order for the same symbol and got this reject text from TT.
"SC Futures Order Routing/Data order update (Order reject). Info: TT order update (Rejected). Text: Instrument not found by NAME=RBH0-HOH0 symbol=RB7"
Under the Symbol column it is identical to the symbol we'd used all morning and the same one we just got filled on.
What is happening here?
We did switch from the G contract to the H contract from yesterday. Could that lead to issues?
Thanks
[2020-01-18 05:44:28]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
We apologize for the delay here. We are not sure why this has happened. We have to run some tests.
Sierra Chart Support - Engineering Level

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[2020-01-18 05:54:27]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
We ran a test and could not reproduce.

We think the problem may have been you were connected to a different server when you submitted the order again. But the problem is the exact content of the error message you are getting would suggest that is not the case.


In any case if it is the case it will be resolved over the weekend when the rest of the servers are updated. We did additional testing and are going to be updating the other servers.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2020-01-18 05:54:57
[2020-01-18 08:43:07]
Sierra Chart Engineering - Posts: 81515 | Ending Date: 2020-06-09
Server 1 and Server 2 are now also updated to handle these spread symbols and also the Flatten functionality from the web-based trading panel.

And server 4 was already updated.
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