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Date/Time: Fri, 23 Apr 2021 05:23:04 +0000



[Sticky] [Locked] - Upcoming CME Direct Routing

[2021-02-24 14:57:17]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
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

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Date Time Of Last Edit: 2021-02-27 18:01:10
[2021-02-27 17:51:10]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
We have communicated with our infrastructure provider, the necessary infrastructure additions/changes to support CME order routing.

We should have this completed by the end of next week. The additions/changes are minor.

We will have two servers, in two different data centers, with two Internet service providers, with A and B connectivity links to the CME. So this is a fully redundant set up. Failover initially will be manually controlled.

We consider a failover event extremely unlikely and something that would occur a potentially once over a period of many years. The most likely failure would be a failure with the Internet Service Provider (ISP) providing external connectivity to a particular server. Each server would use a different ISP.

We expect to complete certification with the CME, by March 5 or March 12.

We have developed the functionality for obtaining and calculating margins, for outright futures and for calendar spreads. And we do have an implementation of applying margin controls In our trade simulator.

We have to do work on this to make sure we have a proper margin control system for live trading.

We have prepared these questions which we will discuss with someone in the industry:

Questions related to margin calculations:

1. There is the initial margin requirement and the maintenance margin requirement. Do clearing firms use these two margins. So when a position is first established, an initial margin is required for the first day and then after that day, the maintenance margin. Using both only complicates things. We know that the initial margin is simply 10% higher than the maintenance.

What happens when the position is increased, in a different day? Do we then have to use a combination of the initial margin and maintenance margin.

It would seem easiest just to simply use the maintenance margin.

2. For daytrading margins, is the rule to use a daytrading margin, based upon if the trader does not carry an overnight position? Therefore, at the end of the day if they are long, then the required margin goes to the normal initial/maintenance margin? And if they do not keep the position at the end of the day, then the daytrading margin applies.

Is the daytrading margin set per user account or globally? Is it a percentage of the maintenance margin?

3. When a clearing firm raises margin requirements, do they do this globally or per user account? Do they do this, through their own systems or do they go through systems like CQG, Rithmic, TT and adjust this requirement globally?

What if we have a global setting to raise margins a certain percentage of above or below where they are set for a particular trader account. Would that be what is needed?

4. The next question, is what happens, when there is insufficient margin.

There are many questions about this.

What would be considered insufficient margin, and at what time would it be considered insufficient.

If the margin requirement is 1000USD for a particular contract and the trader has 1000 in their account, they establish a position of quantity 1, and that position begins to lose money and then their cash balance and open profit/loss, currently has a value of 990, should the position then be closed immediately?

Or would it be closed at the end of the trading day. It would seem logical that it could not wait until the end of the day because what happens if the market is moving enough, to take the account negative. And what would be considered the end of the trading day? Would that be at 5 PM US Eastern time?

Is it considered insufficient margin, when there is merely .01 below the required margin at any point in time based on current cash balance and current open profit/loss. If someone is below margin by merely .01 at any time, that would be a reason to close positions?

Or if the trader is below margin by a certain percentage at any time in the day, would then positions be closed? For example if they are below 25% of the required margin would the positions be closed? And this margin could either be day trade margin or the standard margin depending upon the duration of their position.

And what all positions be closed, or just enough to reduce positions until there is sufficient margin for the remaining positions. Of course, there is risk in this, when there are positions which depend upon each other like with spreads. We have heard about this kind of problem.

5. This brings us to another question. Does manual action when it comes to liquidating positions due to insufficient margin, or when risk limits are met, better, or should this be done automatically?

We have heard that doing this automatically simply does not make sense and has significant risks. We have heard this from a competitor of TT, that it makes no sense to be automatically closing positions. We have observed the problem with automatic liquidation. It is well-known that this is a problem.

For us providing order routing services, we prefer, to provide an easy to use monitoring system with audible and visual alerts, that someone can then look at to then manually react to when it comes to closing positions to minimize or eliminate risk.

This would be a window that shows all accounts that are under margin or have reached a daily loss, it would provide in real time, the current value of the account, the current margin requirement and how much they are below margin or how much they are below the daily loss limit.

When a daily loss limit has been met or there is insufficient margin, our order routing system currently, will not allow any new positions to be entered. The trader can only reduce positions. In other words reduce risk.

6. For a position that is held overnight, that does not cause currently the cash balance to change with the profit/loss based on the settlement price. The cash balance only changes when a position is closed. The open profit/loss will reflect that ongoing position since the date of the position origin.

We wonder how this compares with how the clearing firms generate their statements.

7. File format for end of day account balance updates. What exactly does the file contain.


Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-03-03 21:02:01
[2021-02-28 16:32:41]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
All account balance fields that you see on the Trade >> Account Balance Windows will be supported with the direct CME routing and they will update every 10 seconds and we can update them as fast as is needed. They will be accurate and updated.

Also, we will have automatic failover for Internet connectivity. Previously we mentioned manual failover. Manual will be in some some cases, until we develop proper automatic failover method for different scenarios.
Sierra Chart Support - Engineering Level

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[2021-03-07 22:59:36]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
We are starting to see many questions about when the direct CME order routing will be available. We are working on this.

We have given an estimate of about 30 to 60 days. And this was about two weeks ago. Although we are very overwhelmed with support due to the situation with many users being changed to CQG. This has set the project back about 1 to 2 weeks.

Only post on this board when you absolutely have to. Please think twice before posting.

What we hope to finish this week, which we should have finish last week because we were just too busy on this Support Board, is completion of the second round of testing with the CME. We intend to get that done, by the end of this week. This will be a major accomplishment. This testing involves, order entry, and audit trail.

We also intend to get mostly complete, the real time mirroring of trading related data to another server for backup and failover purposes.

And then thereafter, we will do some additional refinements on risk management.

We have full confidence in everything we are doing and this project will get released for sure. Although when it is actually available for end-user use is another question that we cannot answer now.

At this point we think it is best not for us to give a time estimate but instead just simply explain our progress and where we are at.

Most of the work is done and we have full confidence in everything we have done.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-03-07 23:01:16
[2021-03-11 15:20:05]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
From CME:
On January 08, 2021 you successfully completed TestSuite iLink 2.x for the Application System SierraChart - 2218 and passed CME AutoCert+ Certification.

Sierra Chart Support - Engineering Level

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[2021-03-11 21:51:22]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
The next step is the audit trail certification. We are figuring out how to initiate the trading test procedure to get the messages required to generate the necessary audit trail.

Update: We got this worked out.

Update: Actually further testing shows not yet. We have a question into the CME about this.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-03-16 22:00:10
[2021-03-16 21:58:21]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
Regarding all of the questions in post #2, we do have answers to all of those, and the way we have implemented everything is correct. There is only a minor modification needed, to support initial margin. That is already done.

The only outstanding item related to those questions is synchronizing account balances, and how to handle the rollover of positions. We would rather not mark them to the market every day but only when they are actually closed out. We just need to do some more investigation into this.

We will have some comments later about the CQG order routing issue. And we will post in this thread, some other notes about our direct order routing service we have in another thread, and how the architecture is really very stable and simple.

When it comes to handling OCO and bracket orders, we have extensive experience with that, and all of that is something we have done for years now, on our order routing services and that functionality has performed consistently reliably.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-03-16 21:59:35
[2021-03-17 07:20:38]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
Sometimes there are questions about whether this service will be supported by a particular broker or clearing firm.

There is a process of approval and acceptance, and integration which has to be gone through. And none of this is assured. At this point in time, this is not something that we can comment on. The project has to be completed on our side first, and then we take the next step.

And it is also not something you can ask a particular broker or clearing from about and get any definite answer from. They may be aware of the project we are working on, or they may not be. There is really not anything at this point they can answer definitively in regards to this project.
Sierra Chart Support - Engineering Level

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[2021-03-17 09:05:39]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
Previously posted in another thread:
We also want to explain the difference between direct order routing to the CME versus what TT offers.

The direct order routing is to the CME Convenience Gateway, which is very reliable, according to our infrastructure provider, and uses the FIX protocol. Even more reliable, than the market segment gateways. This is what we are told.

We first want to just talk about latency differences.

The convenience gateway, according to the CME has an additional 100 ┬Ás a higher latency as compared to the market segment gateways. We are referring to microseconds here, not milliseconds. This is a much more simplified and reliable way to interface with the CME. And according to our infrastructure provider, almost never has a problem.

Although there is a higher latency with the convenience gateway as compared to market segment gateways, the Sierra Chart order routing is so fast and so direct, that only makes sense, it is still going to be ahead of the time to be routing through a system like the CQG Web API or TT.

So basically we have a server in the Aurora data center and we will be adding another one, and these have a direct link to the CME infrastructure. Each server has two connections. An A and B. So if one fails there is another one. The CME also has a backup server.

So there are numerous levels of redundancy. Two servers. Two connections for each server. And two servers on the CME side. We can also add another ISP as well for further redundancy.

The order routing process is Sierra Chart, which we use now, which has what we call a service client, for the CME FIX protocol using iLink. All of this is a very simple and very straightforward. Really simple and really straightforward.

The risk management controls are also very simple and very reliable and very straightforward. The only thing that is an area of concern, would be automatic liquidation and we would not offer that right away and instead just simply if there is a margin violation, then only a reduction of positions is allowed and not new positions.

And then the clearing from can take the appropriate steps. Yes auto liquidation is something that we do have and can release at some point but we do not want to do this as a first step.

So what we are eliminating by removing TT, is the entire layer of complexity TT has. Instead it is just so simple and direct to the CME, through their highly reliable convenience gateway.

For example as we understand TT uses zookeeper:
https://zookeeper.apache.org/

There is nothing like this at all on the Sierra Chart side. All software is completely developed by us, and the order routing process is Sierra Chart itself using the DTC protocol server with multiple users connected in. So this is a proven and reliable platform all fully under our direct control and with very straightforward and simple architecture.

The fact that we have had zero downtime with the Denali feed, and the order routing would be be running on the very same infrastructure as the Denali feed, is example of the reliability of the direct routing.

And all of our testing so far with CME, we have not had any connectivity issues other than issues involving sequence numbers but all of those details have been worked out and resolved and we have consistently reliable connectivity in testing.

We always opt for simple and traditional.

Regarding the recent issues with CQG, we have not concentrated on all of the details and what exactly went wrong and we do not know the causes of these problems. What we can say, is that the Sierra Chart order routing architecture is very well-designed and very stable and has full redundancy and backup. We would never expect to have a problem like TT or CQG has had.

And also there would be separate order routing for each clearing firm. They would be completely separate from each other using different CME iLink connections.

The more likely issue would be a server problem preventing order routing but in this case, we then just switch to another server where everything is mirrored in real time and we can gracefully switch over.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-03-17 15:22:30
[2021-03-21 01:02:10]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
We continue to make good progress. We should be able to complete the CME audit trail certification this coming week assuming no technical problems.

We are still working on real-time mirroring to a secondary server for redundancy. And the Trade Account settings management including all of the user interfaces (This is the more involved part that will take us some time to complete). Since this is implemented differently as it is now. Instead of this information being held in the Sierra Chart Web server and then copied to the order routing Sierra Chart process, it is all going to be directly managed within Sierra Chart itself.
Sierra Chart Support - Engineering Level

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[2021-03-26 08:09:19]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
From CME regarding audit trail certification:

On March 26, 2021 you successfully completed TestSuite Audit Trail for iLink 2 for the Application System AT_Sierra - 2207 and passed CME AutoCert+ Certification.

On March 26, 2021 Application System AT_Sierra - 2207 successfully completed TestSuite Audit Trail, part one of the audit trail certification, for the functionalities listed in the Certification Interview and passed CME AutoCert+ Certification.

To initiate part two of the audit trail certification, the Trading Firm or Clearing Firm will have 7 days from going live on Globex to submit a production audit trail for review to the Market Regulation Team. The audit trail file must contain all messaging from one trading day and iLink session.

Sierra Chart Support - Engineering Level

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[2021-03-26 21:33:34]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
We want to describe what the intended pricing of this service will be.

There will be no cost to a clearing firm your broker for this service.

And what we would do for users, is include a certain number of fills in our existing Service Packages (Like maybe 100 fills per month). After that there will be a price per fill, with a maximum amount the user would pay in a month.


It will definitely be the lowest cost order routing option around. And be the highest quality.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-03-27 06:56:07
[2021-04-02 18:27:28]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
Very good progress continues to be made. We are currently working on the new implementation of all of the settings and controls related to trading accounts. And the user interfaces for those. Soon you will be able to see the user interfaces the same ones that clearing firms will be using. They will be the same interface that all users will have access to create a simulated trade account on the server. This will all be done within Sierra Chart and has no reliance on any of our web services.

In the very latest version of Sierra Chart you can see the change where there is no longer an account balances file, and there is a new TradeAccountData subfolder which contains all of the related data and settings for a trading account whether this is on the client-side or server-side.

Once this is complete, we then need to get back to how to handle position rollovers assuming we need to do anything. Preferably not.

And synchronization of account balances to the clearing firm balances during the end of day processing.

We should be ready for live testing in a couple of weeks and we will do our best to get a live iLink session from one of the firms and see how that goes. We really do not know what procedure will be involved even obtain that though. Should not be a problem if it is for our own internal use and no other users are on it. Certainly we will work through the process and be successful. We just do not know what is involved at this point.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-04-03 02:58:22
[2021-04-06 21:03:18]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
we will do our best to get a live iLink session from one of the firms and see how that goes.
We are working on this now. And making progress. Once we have this set up, we will begin live testing.

We continue to make good progress with everything related to direct order routing.

The creation and management of trade accounts, is also the same code base used with the server-based trade simulation service, and we will be releasing that we hope in a matter of days. And this will be a major enhancement, to our trade simulation service:
https://www.sierrachart.com/index.php?page=doc/SimulatedFuturesTradingService.php

This will make it so much easier to use and you can easily share accounts with other users, and publicly share your trade statistics (that will come later though). So we are very happy to finally get this out.

If you want to use this simulated futures trading service, just wait until we get the new trade account management functionality out, which is all done within Sierra Chart.

We also need to work on the functionality for synchronizing account balances to the clearing firm balances. This is very simply accomplished by a simple text file, transferred over a secure FTP connection. And at this point, we do have a plan in place for handling overnight positions. We just need to verify our plan, and then we will explain how it works but basically the average price will be maintained based on a FIFO calculation. And we will still ensure that the cash balance is correct at the end of the day to match the users trading account even though the firm would be marking all positions to the market.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-04-06 21:07:13
[2021-04-08 01:11:03]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
We are being asked, as to the timing of the availability of this service. And once again because this requires cooperation with clearing firms that we would be working with, we cannot give a date.

We are having a call with one of them, Thursday morning related to getting the iLink session. we expect this all to go well, but we still have to go through testing (our own testing) and a process of certification with the firm. We need to do things right and carefully and that is why we do not like to give any dates with something like this.
Sierra Chart Support - Engineering Level

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[2021-04-11 17:01:56]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
We did have a discussion with one of the clearing firms, and as expected and obvious, there is an approval process to go through to obtain the iLink session for routing orders for customers with accounts at that firm. Would be the same procedure with any other firm as well. Definite progress continues to be made.

Obviously there is going to be a process of approval, but we have now a clear understanding of what exactly is involved in this. It all centers around risk controls.

Also we do not want to mention clearing firms at this point in time.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-04-11 19:24:19
[2021-04-17 21:01:07]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
One question that has come up, is the obvious danger of an order flowing through to the exchange, without any limitation. No margin check, no position quantity check, no order quantity check.

This cannot happen with the way the order routing is designed but as an extra layer of safety we are going to do the following:

When a new order or order modification reaches what we call the CME trading service client, if it did not pass either a margin check or position quantity check, it will be rejected. At this point, this would be considered a third safety check.

Additional checks to ensure that a Order and Position quantity check is performed.

When a fill is received from the CME gateway for an outright futures contract or a leg of a spread, we will ensure that the position quantity changes. If it does not, this indicates, there is some problem with tracking the position which can then lead to a problem with the position quantity checks effectively not being meaningful. An alert will be generated in this case.

Also for the record, there has not been a known case, where when Sierra Chart is tracking positions fully on its own, that there has been a failure with this.

----

One example of a problem that arises, when there is not a safety check on orders going to the exchange, is what happened when crude oil went negative and on the interactive brokers platform it was possible for someone just to put an unlimited amount of crude oil orders in, with no restriction. Since the margin always evaluated to zero. As we understood, this cost Interactive Brokers 80 million USD.

This cannot happen, because an order will be rejected unless it passes either a margin check which must be a positive value, or a position quantity check with a preset limit by the firm. And actually a position quantity check is required. Orders will not go through without a position limit being set.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-04-17 21:16:35
[2021-04-19 00:32:16]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
What is described in post #17 is now fully implemented.
Sierra Chart Support - Engineering Level

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[2021-04-21 08:59:50]
Sierra Chart Engineering - Posts: 95944 | Ending Date: 2022-04-10
We expect to complete development of everything related to direct order routing by the end of this week except for processing of account balance and position import files from a clearing firm.

This will all be released into our much enhanced trade simulation service. We will try to get this out tomorrow. Therefore everything can be tested and verified. It is primarily just the management interfaces and how trade account settings are stored and used, which has changed. The core order routing functionality still is the same.

We will also explain how the exactly how position limits are calculated. And we will put out an offer, that we will give one year free Sierra Chart to the first user who can work around this position limit functionality. This will be out in version 2251.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2021-04-21 09:01:46

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