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Date/Time: Sun, 25 Jul 2021 03:02:56 +0000



[Sticky] [Locked] - Upcoming CME / EUREX Direct Routing

[2021-02-24 14:57:17]
Sierra Chart Engineering - Posts: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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: 96917 | 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 with the Sierra Chart direct order routing system, 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: 2021-04-24 20:10:02
[2021-04-19 00:32:16]
Sierra Chart Engineering - Posts: 96917 | 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: 96917 | 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.
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Date Time Of Last Edit: 2021-04-21 09:01:46
[2021-04-24 03:33:37]
Sierra Chart Engineering - Posts: 96917 | Ending Date: 2022-04-10
This project continues to move forward and we do have good news related to the clearing firm side, about moving the project forward. We cannot say more than that at this time.

And there is a reason why we do not mention firms or brokers is at this time because we do not want those who are interested in using the service, switching to a different firm/broker just for this reason. We do not want to disadvantage other firms/brokers.

Most likely we will just have a smaller group of users using the service in the beginning. and we would not charge in the beginning any per contract fees.

We do have a contract with TT until the end of the year where we have to pay a certain minimum amount to them each month. So at some point we do start to have to charge to at least cover that expense but we will keep the fee to a minimum. Probably .05USD per contract. And include a certain number of them in the service packages.
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Date Time Of Last Edit: 2021-04-24 23:26:59
[2021-05-04 09:12:54]
Sierra_Chart Engineering - Posts: 1672 | Ending Date: 2021-09-29
Last week, there was minimal time spent on this project because another priority came up, but we are back at it full-time again.
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[2021-05-08 06:31:59]
Sierra Chart Engineering - Posts: 96917 | Ending Date: 2022-04-10
Quantity Calculations For Risk Management


How the quantity of the existing Position for a particular Trade Account and Symbol and the quantities of working orders are calculated to ensure a preset Position Limit is not exceeded by the trader is explained here. In the code below, this variable is named MaximumPotentialPositionQuantity. When this variable exceeds the Position Limit, then the order is rejected or an order modification increase is rejected.

First the total quantity of all buy working orders (including market orders) is calculated. This is AllWorkingBuyOrdersQuantity. And the quantity of all sell working orders (including market orders) is calculated. This is AllWorkingSellOrdersQuantity.

In the case of where two orders are in an OCO group and these are Attached Orders, then the quantity of only one of them is used, and it is the larger of the two. Since one order will cancel the other.

MaximumPotentialLongPositionQuantity = AllWorkingBuyOrdersQuantity.

MaximumPotentialShortPositionQuantity = AllWorkingSellOrdersQuantity.

if (CurrentPositionQuantity.IsPositive())
{
MaximumPotentialLongPositionQuantity += CurrentPositionQuantity;

MaximumPotentialShortPositionQuantity += std::min(CurrentPositionQuantity, MaximumPotentialShortPositionQuantity.GetAbs());
}
else if (CurrentPositionQuantity.IsNegative())
{
MaximumPotentialShortPositionQuantity += CurrentPositionQuantity;

MaximumPotentialLongPositionQuantity -= std::min(CurrentPositionQuantity.GetAbs(), MaximumPotentialLongPositionQuantity);

}

// MaximumPotentialPositionQuantity will always be positive
MaximumPotentialPositionQuantity = std::max(MaximumPotentialLongPositionQuantity.GetAbs(), MaximumPotentialShortPositionQuantity.GetAbs());

if (MaximumPotentialPositionQuantity < CurrentPositionQuantity.GetAbs())
{
MaximumPotentialPositionQuantity = CurrentPositionQuantity.GetAbs();
}

// MaximumPotentialPositionQuantity will always be positive
MaximumPotentialPositionQuantity = max(MaximumPotentialLongPositionQuantity.GetAbs(), MaximumPotentialShortPositionQuantity.GetAbs());

if (MaximumPotentialPositionQuantity < CurrentPositionQuantity.GetAbs())
{
MaximumPotentialPositionQuantity = CurrentPositionQuantity.GetAbs();
}

Note: The below information has been updated.

Additional information:

Modifying the price of an existing order or reducing the quantity of existing order, are always allowed to pass the margin check even if the trader is under margin. The position limit check is still always enforced, but will allow these changes because there is no increase in quantity.

MaximumPotentialPositionQuantity is also calculated without considering a new submitted order. This is called MaximumPotentialPositionQuantityWithoutNewOrder.

If MaximumPotentialPositionQuantity is not larger than MaximumPotentialPositionQuantityWithoutNewOrder, the order type is a market order type, and the side of the order is opposite the current position quantity (it is reducing the quantity of the position), then this order is allowed to pass the margin check because there is not an increase in risk with this new order. There still is a recalculation of the required margin in this case. The Position Limit check still always applies.
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Date Time Of Last Edit: 2021-05-08 23:23:56
[2021-05-08 21:57:55]
Sierra Chart Engineering - Posts: 96917 | Ending Date: 2022-04-10
In the case of a long position, when a sell market order is submitted and the quantity of all sell working orders (which includes this market order) is less than the current position quantity, then this is allowed to pass the margin check because this is reducing risk. There still is a recalculation of the required margin in this case. Although if the account is under margin, the order is allowed to go through since this reduces risk.

In the case of a short position, when a buy market order is submitted and the quantity of all buy working orders (which includes this market order) is less than the current position quantity (interpreted as an absolute value), then this is allowed to pass the margin check because this is reducing risk. There still is a recalculation of the required margin in this case. Although if the account is under margin, the order is allowed to go through since this reduces risk.

There is an error in this technical explanation. "is less than the current position quantity" is actually is less than or equal to.

However, there is a problem with this logic. It works in simulation but not live because of the delay with canceling orders during a flatten operation with live trading.

We are going to change it to also calculate separately MaximumPotentialPositionQuantity without using the new order. If MaximumPotentialPositionQuantity with the new order is not greater than MaximumPotentialPositionQuantity without the new order, then the margin check will be ignored. However, the position limit still applies.
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[2021-05-09 03:54:56]
Sierra Chart Engineering - Posts: 96917 | Ending Date: 2022-04-10
The change described above has been implemented and released.
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Date Time Of Last Edit: 2021-05-09 03:55:04
[2021-05-09 07:35:43]
Sierra Chart Engineering - Posts: 96917 | Ending Date: 2022-04-10
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.

The explanation has been provided above.


The offer is now out :
https://www.sierrachart.com/SupportBoard.php?PostID=265363#P265363
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Date Time Of Last Edit: 2021-05-09 07:35:58
[2021-05-26 18:56:47]
Sierra_Chart Engineering - Posts: 1672 | Ending Date: 2021-09-29
We have not updated this thread in a while, but we do want to put an update here. This project continues to move forward and we are working with one clearing firm to support the direct CME order routing from Sierra Chart.
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Date Time Of Last Edit: 2021-06-04 03:02:21
[2021-05-30 20:06:22]
Sierra_Chart Engineering - Posts: 1672 | Ending Date: 2021-09-29
This is not related to CME order routing.


We were not aware of this previously but we see the EUREX, does have a standard FIX interface for EUREX order routing:

https://www.eurex.com/resource/blob/2147170/22c8f5bd81db821301ff95a2bbeb56f5/data/T7_FIX_Gateway_Manual_v.9.0.1.pdf



This is good because previous interface we were looking at was rather complex. Similar to the market segment gateway the CME provided. So the FIX interface is a lot easier to work with.

What this does mean is we can get direct order routing for the EUREX out sooner rather than later. Although most likely this would still not be until towards the end of the year because we do have to do some work related to using a common account balance to trade on different exchanges.
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Date Time Of Last Edit: 2021-05-31 04:56:01
[2021-06-07 01:40:49]
Sierra Chart Engineering - Posts: 96917 | Ending Date: 2022-04-10
We are going to be engaging with another clearing firm, regarding using our direct order routing. We had a discussion with them earlier but we will also work with them in parallel with the other firm. So we are going to work with two firms at the same time.

This project will get done. That is definite.

This week we are completing development, for synchronizing balances and positions, to the clearing firm back office accounting.

We will also see if we can release the direct order routing connected to the CME test environment. We will try to get that out in about two weeks. It is a little involved because we also have to set up the corresponding market data support.
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Date Time Of Last Edit: 2021-06-07 01:41:39
[2021-06-18 05:42:44]
Sierra Chart Engineering - Posts: 96917 | Ending Date: 2022-04-10
We decided not to do this because really it is just a waste of time and serves little purpose:
We will also see if we can release the direct order routing connected to the CME test environment. We will try to get that out in about two weeks. It is a little involved because we also have to set up the corresponding market data support.

The best test environment is our own trade simulation system documented here:
https://www.sierrachart.com/index.php?page=doc/SimulatedFuturesTradingService.php


After continued discussion with clearing firms/brokers, we have done or working on the following:

-Implemented check to prevent trading after the last trading date of a futures contract. We also need to implement a global and a product level setting to specify the number of days prior to this date, to prevent trading.

- Order rate limiting. This prevents too many orders, modifications or cancellations from being sent over a particular period of time.

- Calculation of the full margin even when daytrading margin is in effect. And calculation of the margin required for the position only and not including orders.

- Net liquidating value to margin ratio calculation in the Trade Accounts Monitor.

- Ability to set the operator ID, and Sender Location ID, for risk managers independent from the settings on the trading account.



Getting closer. And we perfectly understand why this takes time to get to a point, where this can actually be used for real live trading.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-06-18 05:46:01
[2021-06-20 00:52:01]
Sierra_Chart Engineering - Posts: 1672 | Ending Date: 2021-09-29
Based upon what we read here the new EUREX FIX LF interface for trading will not be available until quarter 3 2021:
https://www.eurex.com/ex-en/find/circulars/circular-2408688

That is what we would want to use because the existing FIX interface is going to be discontinued.

So when it becomes available we will start the programming to it and then we should be able to get EUREX trading support out shortly after. The way this will initially work is that there will need to be a separate account for trading EUREX so you will not be able to use a common account to trade the CME group and EUREX together. But separate accounts.

Support for using a common account and margin for trading multiple exchanges will come later.

This way we can get support out for EUREX as soon as possible.

And this will be a low latency trading connection because we have already have a server in Frankfurt.

It seems clear, that EUREX is really working to simplify their new interfaces. For example EOBI is much much more simplified, and easy to work with interface, rather than the existing FIX/FAST interface (EMDI). Which is horrendously complicated.
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Date Time Of Last Edit: 2021-06-20 00:56:06
[2021-06-21 22:38:53]
Sierra_Chart Engineering - Posts: 1672 | Ending Date: 2021-09-29
From CQG:
https://support.ampglobal.com/hc/en-us/articles/4403013186071-CQG-Margin-Calculation-Issue-Resolved-

Extensive work has been done on our side, related to the maximum potential position quantity calculation to ensure this is accurate and safe. This controls the margin calculation. This also includes additional safety layers, which will detect failures related to this, and prevent order entry and/or raise alerts.

We are now implementing a new position field called Maximum Potential Position Quantity, which users can see on this upcoming order routing system and the trade simulation system.

At every software update, we will ensure that this calculation is correct and the clearing firms, certify to us that this works as expected.
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Date Time Of Last Edit: 2021-06-21 22:43:07
[2021-06-26 08:27:21]
Sierra_Chart Engineering - Posts: 1672 | Ending Date: 2021-09-29
We are continuing to work on the items in post #29.

There is also a request from one firm for the "Peak Margin".

We will include that field in the Trade Accounts Monitor. This would be the highest margin required by the Trading account during the trading day. It resets at the end of the day.

For one firm, the way in which the account balances and positions are obtained from the back-office system at the end of the day, is they put the files for each trading platform on a secure FTP server, and then the trading platform fetches them at the end of the day. So that is the procedure that would be followed for Sierra Chart with that firm.

Once again we cannot give any specific time for release, but obviously there is more work we are doing on our side, and we do need to do testing of the real-time mirroring functionality. and there is some further development required with that, with the trade activity log.

We expect all of this will be finished, by the end of next week.

We cannot give any time estimate because we do not know, when everything goes live with one or more clearing firms. This should not take long, but it is not surprising, we are still months away from the start of this thread. This is a major undertaking in many ways. Although this has been in development for about two years ( the CME specific order routing), at this time we are progressing quite fast with all remaining items.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-06-26 08:28:42
[2021-06-29 00:05:21]
Sierra Chart Engineering - Posts: 96917 | Ending Date: 2022-04-10
One thing we want to point out, with our upcoming direct CME routing, is due to how the Maximum Potential Position Quantity, is determined, these order rejections that occur with CQG, due to margin violations for attached orders would not occur under our direct order routing. We do not know why they occur with CQG because these orders are in an OCO group. And they reduce risk. For these two reasons, it is not making any sense at all.

All of this can be verified, in the trade simulation system:
https://www.sierrachart.com/index.php?page=doc/SimulatedFuturesTradingService.php

Update to the latest release of Sierra Chart:
https://www.sierrachart.com/index.php?page=doc/SoftwareDownload.php#FastUpdate

If you look at Trade >> Trade Positions Window, there is a field called the Maximum Potential Position Quantity. This shows this quantity at all times.
Sierra Chart Support - Engineering Level

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[2021-07-23 02:15:05]
Sierra Chart Engineering - Posts: 96917 | Ending Date: 2022-04-10
Some users are asking why they cannot see the recent posts in this thread. One of the posts, was requested to be hidden by a broker because it contains some information about another order routing gateway, that they did not want made public.

And the last post prior to this one, is about the pricing but we just want to think through that, before we release it.

Progress is still being made, but a little slower these last 10 days or so. We need to finish up documentation, for the trade account and risk management functionality. And finish testing and resolving some minor issues with real-time mirroring for redundancy.
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Date Time Of Last Edit: 2021-07-23 02:15:30

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