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Date/Time: Wed, 07 Dec 2022 07:37:37 +0000



[Sticky] [Locked] - Now Released: Upcoming CME / EUREX Direct Routing

View Count: 43047

[2021-05-09 07:35:43]
Sierra Chart Engineering - Posts: 104293
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
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-05-09 07:35:58
[2021-05-26 18:56:47]
Sierra_Chart Engineering - Posts: 5517
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.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-06-04 03:02:21
[2021-05-30 20:06:22]
Sierra_Chart Engineering - Posts: 5517
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.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-05-31 04:56:01
[2021-06-07 01:40:49]
Sierra Chart Engineering - Posts: 104293
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.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-06-07 01:41:39
[2021-06-18 05:42:44]
Sierra Chart Engineering - Posts: 104293
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:
Simulated Futures Trading Service


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

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-06-18 05:46:01
[2021-06-20 00:52:01]
Sierra_Chart Engineering - Posts: 5517
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.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-06-20 00:56:06
[2021-06-21 22:38:53]
Sierra_Chart Engineering - Posts: 5517
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.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-06-21 22:43:07
[2021-06-26 08:27:21]
Sierra_Chart Engineering - Posts: 5517
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

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

For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-06-26 08:28:42
[2021-06-29 00:05:21]
Sierra Chart Engineering - Posts: 104293
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:
Simulated Futures Trading Service

Update to the latest release of Sierra Chart:
Software Download: Fast Update

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

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-07-23 02:15:05]
Sierra Chart Engineering - Posts: 104293
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.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-07-23 02:15:30
[2021-07-27 05:56:01]
Sierra Chart Engineering - Posts: 104293
There are some questions here related to this service and the answers are listed below:
https://www.sierrachart.com/SupportBoard.php?ThreadID=65937

1. Not initially but later on we can develop this.

It will not be difficult.

2. Do you mean a negative offset for a stop-limit order? We would have to see about that later on. That is not managed server-side currently.

3.
or has figured out a way to exploit your system that people can and will try and take advantage of it.
This is not possible.

And the technology that we have compared to others is very simple by comparison. It would not be fair to compare what we have, to CQG or TT.

someone algo is sending massive orders somehow due to a bug and you end up with a KNIGHT losing 400 million in an hour situation.
There are numerous safeguards to prevent a problem like this.

want to be assured that no one or 2 entities with an errant algo could bring down the whole ship!
This will not happen.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-07-27 06:01:47]
Sierra Chart Engineering - Posts: 104293
The documentation for this service from the perspective brokers and clearing firms and risk management, is here:

Trade Account and Risk Management

This is still being currently worked on.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-08-06 16:40:28]
Sierra Chart Engineering - Posts: 104293
The project continues to move forward with approval from one particular clearing firm. Additional things we need to do relates to additional levels of authorization for the clearing firm controls, and daily exporting of the CME audit log for the clearing firm. These items will be completed next week.

Previously we said this:
"We do have a contract with TT until the end of the year" (This is no longer relevant and the contract does not exist any longer)
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-08-06 16:40:54
[2021-08-22 11:31:00]
Sierra Chart Engineering - Posts: 104293
We are in the final stages, setting up the direct order routing with one clearing firm. We will be obtaining the iLink connection soon. However, the use of this is going to be limited, to our own account for internal testing.

There are many remaining procedures involved in this project. including obtaining end of day balance and position files from the clearing firm, uploading audit logs, providing CME market regulation with audit trail files for verification. And support procedures. Good progress is being made.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-08-22 11:32:01
[2021-08-30 07:54:52]
Sierra Chart Engineering - Posts: 104293
We have this question:
At this time, are you able to state the clearing firms you are currently working with and if AMP is one of them? If you are still not able to comment on this, when will information become available? Thank you.

We do not want to say quite yet. But that information will come in we expect in about two weeks.

We are in the final stages. We do have the CME iLink from one firm and we are going to begin actual live testing.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
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For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-08-30 07:55:08
[2021-09-02 16:45:29]
Sierra Chart Engineering - Posts: 104293
We have good news, we put the first order through the iLink and everything went successfully the first try, and we were able to measure latency.

The approximate latency, from close to the time the order was received, and then acknowledged by the exchange, is estimated to be at about 350 microseconds. This includes all of the pretrade risk checks.

We compared this to the TT based order routing, and that came in close to 1000 microseconds. Which is not very good. We have seen better but this is what we are seeing now just looking at one order today from one of the traders.

And we have been told the TT based order routing is already very fast and faster than other supported services. So the direct order routing is coming in considerably faster.

And this is using the Convenience Gateway from the CME. Not the market segment gateway. We have said many times, that using the convenience gateway, is not going to create any noticeable impact, and our order routing is already so much faster than what else is out there, that the actual little overhead on the convenience gateway, is going to be more than offset, with the superfast processing on the Sierra Chart side.

Update: Additional review shows that processing and transmission time to the CME and execution of a market order, is around 300 ┬Ás.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
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For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-09-12 02:22:36
[2021-09-12 02:18:31]
Sierra Chart Engineering - Posts: 104293
We have completed our testing of the direct CME routing on the Live iLink session. All tests have passed successfully.

The risk management works very well. There is proper calculation of the required margin, and the maximum potential position quantity which has proper consideration of orders that reduce risk, and orders in OCO groups. So this means that orders to close out positions that get normally rejected on systems like CQG and Transact, and other systems, will not get rejected with the Sierra Chart direct CME routing.

At this point we are going to do some trades held across the CME maintenance time from 5 PM to 6 PM US Eastern time. We are going to be testing the functionality to synchronize with the clearing firm account balances and positions files.

We expect the service will become available in October 2021 for general use. And at that time we will describe what clearing firms, and what introducing brokers are supporting it.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-09-12 03:11:43
[2021-09-16 13:07:02]
Sierra Chart Engineering - Posts: 104293
We do see an issue, with synchronizing with the clearing from account balances that we need to work out.

This is a description of the problem:


Current account balance is 1000 USD.

A position is put on at 13:00 central time. This is held across the CME maintenance time from 4 PM to 5 PM central time.

After the close, the current profit of this position is 100 USD according to the received official settlement. So the account marked to market has a balance of 1100 USD.

Two hours later after the market reopens, at 7 PM central time the position is closed and has a profit of 200 USD. So at that point the balance is 1200 USD.

We then get the money file from the firm at 9 PM central and they give a balance of 1100 USD and therefore we remove 100 USD from the account to set the balance to be the same. However, this is wrong. The balance should remain at 1200.

I do have a solution to this. I just need to remember the account value marked to market when we have the settlement prices, for each trading account, between 4 PM to 5 PM and then compare against that field of remembered data, to the firm money file.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-09-17 16:45:09
[2021-09-17 16:49:10]
Sierra Chart Engineering - Posts: 104293
Post above is updated.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
[2021-09-27 18:46:40]
Sierra Chart Engineering - Posts: 104293
We are ready for the initial release of this direct Sierra Chart Order Routing to the CME Group effective the week of October 2, 2021.

This is initially going to be released through Advantage and the introducing broker Stage 5:
https://www.stage5trading.com

To get started, you need to contact Stage 5 trading.

We want to offer a major thank you Anthony Giacomin with Stage 5.

Anthony provided a tremendous amount of guidance and help for our questions related to risk management and exactly how risk management should work down to the finest detail.

Anthony worked hard with clearing firms like Advantage to be able to support our direct order routing service. We do not know what would have happened without Anthony's help in this regard.

Anthony worked with us very closely on all of the Simulated and Live testing. And provided detailed feedback during the entire process.

Clearly Anthony has a tremendous amount of experience in the futures industry, and has a lot of contacts among clearing firms and exchanges which really helped the process along.

We also want to provide a major thank you to Dorman Trading. We have had discussions with them during this process, and we expect they will be supporting the direct CME order routing service soon. They provided a lot of feedback and guidance related to issues that can arise with order routing and the potential serious consequence of these issues. It was for this reason that we have implemented many safety features to address these issues.

Update:

We also had discussions with Phillip Capital and AMP for support of this order routing service and we expect the service will be supported with them.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-09-28 14:08:39
[2021-09-30 15:41:00]
Sierra Chart Engineering - Posts: 104293
There may be a delay of a few days with the release of the direct order routing service. We are changing how Symbol mapping works and also mapping to the clearing code used for margin data.

There is a symbol mapping involved because we do have to map between two digit years to a single digit years required by the exchange. This has always been done programmatically, but it had relied upon a configuration pattern in the symbol settings file which we will be removing. We want to remove any possibility of any error with this due to a misconfiguration.

And we also want to use a file from the CME FTP server, which maps between Globex codes and clearing codes. This whole clearing code thing must date back to the 1980s because it is such absolute nonsense, that there is actually a different code for clearing for many futures products as compared to the Globex code.

Here is an example:
<PRODUCT>

<ProductDescription>30 YR U.S. TREASURY BOND FUTURES</ProductDescription>
<GlobexProductCode>ZB</GlobexProductCode>
<FloorProductCode>US</FloorProductCode>
<ClearingProductCode>17</ClearingProductCode>
</PRODUCT>

Notice how the clearing code is 17. That clearing code of 17 is necessary to get margin data and it is also necessary when we synchronize at the end of the day to the clearing firm positions. This really is crazy.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-09-30 15:42:20
[2021-10-06 13:46:12]
Sierra_Chart Engineering - Posts: 5517
Looks like the release is going to be towards the week ending 2021-10-8. There is still one final approval step needed.

We also needed to add one additional item related to risk management to control the allowed products by the clearing firm. This is done but we have to go through testing again.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-10-06 13:50:45
[2021-10-06 13:59:40]
Sierra_Chart Engineering - Posts: 5517
We we also want to clarify one thing mentioned previously comparing the CME convenience gateway (CGW) to the market segment gateway (MSGW).

Although trading platforms like CQG or TT support the market segment gateway, the decision whether the market segment gateway or the convenience gateway is used is made by the clearing firm.

We have thought that in the case of TT they have iLinks directly from the exchange and they use iLink route through functionality to route orders from multiple clearing firms.

Based upon what we are told, it is the clearing firm who provides the iLink to the infrastructure providers like TT or CQG and it is the firm who decides whether they provide a link for the convenience gateway or the market segment gateway.

In most cases, the convenience gateway is what is provided for accounts for retail traders. It is the convenience gateway which is used in most cases.
Sierra Chart Support - Engineering Level

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

For the most reliable, advanced, and zero cost futures order routing, use the Teton service:
Sierra Chart Teton Futures Order Routing
Date Time Of Last Edit: 2021-10-06 15:58:28

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