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Sierra Chart Futures Order Routing Service With Data

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Introduction

The Sierra Chart Futures Order Routing Service With Data is a new service from Sierra Chart to provide futures contract, futures spreads, and futures options order routing services along with market data.

This service supports a large number of clearing firms (list below) since the order routing in the background is through Trading Technologies (TT). So in other words it is broker/firm neutral.

Supported exchanges are CME, CBOT, NYMEX, COMEX, ICE US, ICE Europe, EUREX, Hong Kong futures, CFE.

It has the following features:

  • Low latency order routing to the exchange. Under 1 milliseconds. You can choose to use our CME Aurora data center order routing server which is colocated with the exchange.
  • Stable and reliable connectivity.
  • Simplified connectivity. There is no other subsequent login required. This eliminates another layer of connectivity issues, various and confusing entitlements from third-party providers, and username or password authentication problems. You will have stable and reliable access to your trading account.
  • Long-term (at least 1 year) order fill history with accurate Position data to ensure complete, reliable, hasslefree, and consistent trade statistics reporting within Sierra Chart like the Daily Profit/Loss, the Trade Activity Log Trade Statistics and Trades Tabs, and the Trade Statistics for Charts (only applies to orders entered from Sierra Chart).
  • Trouble-free and properly managed server-side OCO orders.
  • Trouble-free and properly managed server-side bracket orders.
  • You still have the ability to use client-side managed OCO and Bracket orders. Trailing Stop orders are still always managed locally on the Sierra Chart client side.
  • Reliable market data with extended market depth for CME markets (currently 500 levels).
  • Can use free delayed market data. (With Sierra Chart Advanced package only.)
  • Can trade spreads and options with easy symbol Lookup (only CME markets at this time).
  • Uses TT (Trading Technologies) in the background for order routing and accounts. Therefore, any broker supporting TT can be used. Relies on TT risk management and any risk management controls the clearing firm sets on your TT account.
  • Triple redundancy with order routing. Version 1917 and higher. When one server is not available, there are two other available servers Sierra Chart will immediately connect to. Additionally, if there is any order rejection due to the server not having a connection to TT, which is very unlikely, this will also cause a reconnection to the next available server. TT also maintains full redundancy with backup servers in addition to their primary servers. Sierra Chart servers will automatically be directed to the TT backup server in the event that the TT primary server is not available.
  • Web-based trading panel (upcoming). Will not require your Sierra Chart account to be active or not. But will require a small balance for order submission.
  • Cost is .10 USD per contract for order routing. No order routing fees from your clearing firm will be billed. Current data feed pricing starts at 20 USD per month.
  • Ability to access multiple trading accounts with different clearing firms in a single instance of Sierra Chart.
  • For market data, the high quality and reliable Sierra Chart Exchange Data Feed is used. In the case of authorization for the CME exchanges at the nonprofessional fees which require a funded trading account, when your trading account is linked to your Sierra Chart account this will mean that the CME data is always authorized and can be used independently of this order routing service and also used with the Simulated Futures Trading service. There is no need to connect once a month to your trading account.
  • Order routing is through a server managed by Sierra Chart with a FIX connection to Trading Technologies. Overall latency is well below 1 millisecond to the TT server when using the Sierra Chart server in the CME Aurora data center (Server 2).
  • Order routing through TT FIX servers to the exchange is below 150 ┬Ás (microseconds).
  • Support for multiple simultaneous connections to the trading server. There is no limit on the number of trading connections. Because each connection, however is going to be using one of the Sierra Chart Data Feeds there may be a separate real-time connection fee for additional data connections. For real-time data connection information, refer to Real-Time Exchange Data Feeds Available from Sierra Chart and select the appropriate data feed. If, however, you are using Sierra Chart from the same computer you can use the New Instance feature and use a single connection in multiple instances of Sierra Chart on the same computer.
  • When the Trading connection is lost and there is a reconnection, this does not disrupt or affect the market data feed connection, effective with version 1920 and higher. Likewise, when there is a lost connection with the market data and a reconnection, this does not disrupt or affect the trading connection. Both connections are fully independent of each other. This does not exist with any other supported trading service that Sierra Chart works with and is a major advantage with this order routing service and contributes to the very best rocksolid connectivity.
  • Market Data and Trading are on different socket connections. This contributes to providing the absolute lowest latency for trading. CQG Web API, CTS, Interactive Brokers use the same connection for market data and trading unless you are using the Sierra Chart Exchange Data Feed. When market data and trading are used on the same connection, this can increases the latency for trading, although not necessarily.
  • Order routing and market data servers are available 24 hours a day 7 days a week. There may be short interruptions during times when the markets are closed but in general, there is full availability over the weekend and other times.

This new order routing solution is meant to evolve over time to be the very best and lowest cost futures trading solution for the Sierra Chart user base. It allows us to provide a high level of support and reliability to our customer base. So that you have a consistently and trouble-free and reliable trading experience along with trade statistics reporting.

Over time this is meant to be an alternative or replacement for other supported trading gateways like Rithmic, CQG, CTS, Gain Capital, Interactive Brokers. It is the intent that it will be cost competitive with other services.

It allows Sierra Chart development to focus on one solution and making it the best solution rather than spreading our resources thinly among multiple solutions and each of those other multiple solutions being less than the best. And it also allows Sierra Chart development to focus more on the development of Sierra Chart itself rather than chasing all of these other external services and their problems every single day.

What is Included

  • Streaming Real-Time Data: Provided by one of the Real-Time Exchange Data Feeds Available from Sierra Chart.
  • Historical Intraday Data: Provided by one of the Real-Time Exchange Data Feeds Available from Sierra Chart.
  • Historical Daily Data: Provided through the Sierra Chart Historical Daily Data service.
  • Historical BidVolume and AskVolume: Yes. Accurate.
  • Live Trading Services: Yes.
  • Simulated Trading: Yes.
  • Order Types Supported: All.
  • Server Managed OCO (Order Cancels Order): Yes.
  • Server Managed Bracket Orders: Yes.
  • Automated Trading (applies to Live or Simulated): Yes.
  • Historical Order Fills from Trading Server: Yes. At least 1 Year of order fill history with Position Quantity with each fill.
  • Efficient Market Data with Processing on Background Thread: Yes.

Setup Instructions

  1. This service supports live trading only. For simulated trading you can enable Trade >> Trade Simulation Mode On within Sierra Chart, or use the Simulated Futures Trading Service. However, for simulated trading, in order to take advantage of the lower-priced CME exchange fees, requires that you still have a live trading account anyway.
  2. To be able to use this service, you need to have a live trading account with one of the following clearing firms or one of their Introducing Brokers:
    • ADM Investor Services
    • Advantage Futures
    • AMP Global Clearing
    • Dorman Trading
    • ED&F Man Capital Markets
    • G. H. Financials
    • Stage 5 Trading
    • Wedbush
    • AGN Futures
    • (Any other futures clearing firm supporting Trading Technologies)
  3. Fill out the request form for us to request your clearing firm to add your trading account to the Sierra Chart company TT FIX connection for order routing. All fields are required.
  4. Once the clearing firm adds your trading account to our FIX order routing connection with TT, then we will confirm that and then we will send you an Account Support Ticket asking you to confirm that the TT account identifier is correct.

    Once you confirm that, then at that time we will assign it to your Sierra Chart account and you will see is listed on your Account Control Panel.

    You have the ability to remove the trading account anytime through your Account Control Panel, by clicking the Disable button beside the trading account name/number. Your clearing firm also has the ability to remove the account from our TT FIX order routing connection.
  5. At this point do not continue with the remaining steps until you hear from us in regards to your trading account.
  6. Once the above procedure is fully complete and your trading account has been assigned to your Sierra Chart account, then continue with the remaining steps.
  7. If you only require data from CME, CBOT, NYMEX, and/or COMEX, then activate the new Denali Exchange Data Feed for market data. This is a new data feed providing a lower cost, supporting 2 simultaneous connections and no symbol limits.

    Be sure if you are using the Denali Exchange Data Feed that you are running version 1944 or higher. Update with Help >> Download Prerelease from within Sierra Chart to update to the latest version.

    Otherwise, follow the Sierra Chart Exchange Data Feed Set up Instructions to activate and pay for the Sierra Chart Exchange Data Feed for market data. You will need to activate the exchanges that you require. In the case of CME data, normally you will be activating one of the CME Group exchanges.

    If you need help with this step, start an Account Support Ticket and we will get this set up for you but you are still responsible for adding the necessary funds to your account and completing the market data agreement.
  8. Update Sierra Chart to version 1915 or higher. Refer to the Fast Update instructions.
  9. Select Global Settings >> Data/Trade Service Settings.
  10. Set the Service to SC Futures Order Routing/Data.
  11. Set the Primary Server to one of the following:
    Server Description
    Server 1 Chicago Cermak Equinix data center with routing to TT Chicago. ISP: Verizon.
    Server 2 CME DC3 - CME Aurora data center with routing to TT in same data center. This is the recommended Primary Server to use. ISP: Zayo.
    Server 3 Falkenstein Germany with routing to TT Frankfurt.
    Server 4 Naperville Illinois with routing to TT Aurora. Use only for backup.
    Server 5 Singapore with routing to TT Singapore. Use if you are in Asia. Uses port 443.
    Server 6 London with routing to TT London.


    Set the Backup Server (version 1896 and higher) to what you want. The backup server is used when there is a failed connection to the Primary Server.
  12. Press OK.
  13. Order fills for orders submitted through Sierra Chart, have a .10 USD per contract fee. Make sure your Services Balance has a sufficient credit to cover the cost of these fees. Go to the Make a Payment page to Make a Payment as necessary. If the balance is low, or goes negative you will get an email notification and Sierra Chart support will also contact you to add more credit.
  14. Connect to the data and trading servers by selecting File >> Connect to Data Feed on the menu.
  15. If there is any connection error, it will be displayed in the Sierra Chart Window >> Message Log.

    You will not be able to connect to the service, until your trading account with the clearing firm has been assigned to the Sierra Chart TT FIX order routing connection.

    Select File >> Disconnect to prevent further connection attempts if there is an error connecting. Select File >> Connect to Data Feed, to try connecting again.
  16. If your Sierra Chart Services Balance is negative and you fail to Make a Payment to your Sierra Chart Services Balance, Sierra Chart may deny access to the service but we would first contact you by reliable means in regards to this.
  17. If you want to use server-side OCO and bracket orders, then enable Global Settings >> General Trade Settings >> Use Server-Side OCO Orders and Use Server-side Bracket Orders. The use of server-side OCO and bracket orders is recommended.
  18. It is recommended that you enable Global Settings >> General Trade Settings >> Hold Market Order Until Pending Cancel Orders Are Confirmed so that an order which is used to Flatten the position is held until orders which are pending cancellation have been fully canceled. This avoids any possibility of a rejection of a market order due to Position limits.
  19. To open a Historical chart, Intraday chart or Trading DOM, select File >> Find Symbol on the menu. Select a symbol in the Futures list and press the appropriate button.
  20. If you have existing Chartbooks with futures symbols that match another supported Data or Trading service, then to automatically translate those symbols, open a Chartbook and select Edit >> Translate Symbols to Current Service.
  21. For Live trading be sure to disable Trade >> Trade Simulation Mode On. For trading instructions, refer to Overview of Trading.
  22. Continue with step number 3 on the Getting Started documentation page.

Symbols

The available symbols are listed in File >> Find Symbol. If a market you want to trade there is not listed, let us know.

Spreads

  1. Select File >> Connect to Data Feed if this command is not disabled, to connect to the data feed.
  2. Select File >> Find Symbol >> Futures.
  3. Select the top level of a particular futures market and then press the Get Spreads button to get a list of the available spread contracts. This is only only supported for CME symbols at this time.

Options

  1. Select File >> Connect to Data Feed if this command is not disabled, to connect to the data feed.
  2. Select File >> Find Symbol >> Futures.
  3. Select a particular futures contract for a particular month and year. For a particular given market, any contract month is fine since all option symbols will be returned. Press the Get Options button to get a list of the available option contracts. This is only only supported for CME symbols at this time.

Using Delayed Market Data

Effective with Sierra Chart version 2012, for any CME, CBOT, NYMEX, COMEX symbol that is not receiving real-time data, streaming delayed data will be provided instead. This happens automatically and there is nothing special to do.

Delayed data would be provided in the case where you are not using one of the Sierra Chart provided Exchange Data Feeds or you have not activated the exchange for which the symbol trades on, in order to receive the real-time data.

Frequently Asked Questions

How Does It Work?

Sierra Chart maintains 6 high-performance secure servers which route orders over our Trading Technologies FIX connections. There are multiple servers for redundancy and strategically located for the lowest latency.

You are able to choose the Primary Server and 2 Backup servers in Global Settings >> Data/Trade Service Settings. You can choose what server you want to use.

A trading account that your clearing firm creates, then needs to be added to our FIX connection and your trading account then needs to be assigned to your Sierra Chart account. This then provides fully secure access for you to trade your account through Sierra Chart.

Is There Position Reporting and is it Accurate

Yes, there is accurate Position Quantity reporting.

We have only seen one issue of a Position reporting problem, and this was reported to TT and resolved by TT. Over the years, we have seen many issues with CQG Position reporting, even observed ourselves, as compared to only one incident with TT based order routing. Therefore, it would be reasonable to say, that the TT based order routing would deliver more stable and reliable position reporting as compared to CQG.

Why Do You Charge Per Contract For Order Routing?

Sierra Chart maintains direct FIX connections to Trading Technologies where we are responsible for the per contract order routing fees. The cost for order routing is .10 USD per contract per side.

This is deducted from your Sierra Chart account for each transaction. You will not be billed for order routing through your clearing firm since they are not billed from TT for orders routed through our own connection to TT.

There is no cost for orders entered on your trading account by another means separate from Sierra Chart like through the TT Platform directly. Only orders which originate from Sierra Chart and are directed to the FIX connection connection Sierra Chart maintains with TT, are billed at .10 USD per contract.

You would only be paying for commissions and the fees exchanges charge per contract, to your clearing firm.

Can Other Programs Use the Trading Connection and Data Feed?

Yes, they can use the easy to use DTC Protocol and connect to the DTC Server in Sierra Chart.

Can I have the Billing Done Through my Brokerage Account?

Yes, if the clearing firm is willing to do this. In this case, Sierra Chart will invoice the clearing firm for the services provided.

Is it Secure?

Yes, it is secure for the following reasons:

Order routing is through secure servers over encrypted connections. The FIX connections to TT are encrypted.

Sierra Chart does not store user passwords on our systems. They are one way encrypted. Although there is still further development work we need to do to fully complete this. This is expected to be completed by the end of June 2019. The Sierra Chart desktop program which connects to your trading account also can be set to not save the password and uses a secure connection to the trading server.

At some point we will add a second layer of optional security like two factor authentication.

Reliability

Each Sierra Chart order routing server is fully autonomous, operates independently, and has no external dependency. There is no dependency on any other Sierra Chart systems to be able to connect from Sierra Chart or the web-based trading panel. Your orders are routed straight through to TT with very low latency. There are no restrictions or checks performed with order routing, other than verifying that the account is authorized for the user. The orders just go straight through reliably to TT. The order routing process is Sierra Chart itself configured in a multiuser server mode.

Sierra Chart architecture, is based on best practices, and simplicity. Other than the operating system, there are no external software/library dependencies other than Open SSL for encryption which is statically linked. There is no practical risk of a situation developing due to a failure of software which we do not have control over, creating a situation which is technically challenging and time-consuming to recover from. Hardware failures are automatically handled due to multiple servers providing redundancy.

And the internal design of Sierra Chart itself is maintained as simple as possible and utilizes only the most basic functionality of the operating system and in a way which ensures reliability. For example, there are no complex "databases" being used. Persistent storage is through simple files using simple and reliable file formats.

Are There Any Fees from TT to the Clearing Firm?

There are no fees billed by TT to the clearing firm with this type of arrangement. The type of accounts which are created and assigned to our FIX connection, do not have any fees to the clearing firm.

There is only the per contract fee that Sierra Chart is billed from TT, which can be arranged to be paid by the clearing firm.

Additionally, there is no TT Pro license required. The end user does not utilize any TT API. The SierraChartFIX user a TT account is assigned to, just needs to be a TT standard account. So long as this TT standard account is not being logged into through the TT Platform and only utilizes Sierra Chart, there are no monthly fees.

However, there is a TT MAP fee which does apply and is related to the FIX order routing that the clearing firm will be billed. Although if the firm is already paying 5000 USD a month in MAP fees to TT there is no additional cost to them. As long as the clearing firm has 20 users on the TT Platform or more, they will already be paying that amount in MAP fees.

The clearing firms do not get directly involved in any FIX order routing. That is all handled on the Sierra Chart server-side. The clearing firm is only assigning your trading account to our FIX user through a Company relationship through the TT system.

Orders with Open or Pending Status, not Actually Working

As a general safety rule, this order routing service follows a rule where it will never set the status of an order to Canceled or Error unless expressly indicated by a FIX message from the TT infrastructure. The reason for this is that we never want to have a situation where you have an order that is working but you do not see it as working.

There can be some rare and isolated cases, which would almost always be due to failure of communications on the TT infrastructure side, where the status of an order is not communicated through to one or more of our order routing servers.

This can result in an order which is displayed as Open or some other Pending order status within your local instance of Sierra Chart, but that order is not actually working.

In this particular case you just simply need to follow the standard procedure to cancel these orders and if the orders are not actually working, they will then get canceled. Refer to Canceling Orders.

If these orders are not actually working, your broker will never see them on their side. And they may refer you back to us. In this case, just simply cancel the orders as explained above.

It must also be noted, that we do not have the ability to cancel those orders for you. Only you can do that.

Unsupported Position and Account Balance Fields

The following Trade >> Account Balances Window fields are not supported with this service.

  • Account Value
  • Account Currency
  • Open Positions Profit/Loss
  • Daily Profit/Loss

Additionally, the account balance fields do not update immediately. There can be a delay from 1 to 30 minutes depending upon whether there has been order activity or not on the Trade Account. When there is order activity on the Trade Account, normally the balance fields will update within 1 to 2 minutes. If there is no order activity within a trading day, the balance fields will only update once a day.

The Cash Balance field is obtained from the "balance" field in the TT credit utilization message. If it is not accurate, this is not anything that we can help with. Only TT and your clearing firm would have any answer in regards to this.

We have observed, that the Margin Requirement field may not reflect the actual margin requirement. This is a limitation/issue with TT. This account balance data is simply passed through as it is received from TT. TT does not provide this information in real time. It has to be periodically requested.

The following Trade >> Trade Positions Window fields are not supported with this service.

  • Average Price: Use the Average Price on the Trade Window for this value instead. This value is not used from TT because their calculation method is inconsistent with how Sierra Chart calculates Position Average Price. There are several calculation methods Sierra Chart supports for this value.
  • Open Profit/Loss: Use the Open Profit/Loss on the Trade Window for this instead.
  • Daily Profit/Loss: Use the Daily Profit/Loss on the Trade Window for this instead.
  • Daily P/L Reset DateTime
  • Margin Requirement
  • Service Average Price
  • Currency
  • Entry DateTime

Order Rejections and Account Configuration Issues

If a Trading Technologies User and/or Account is not properly configured by the clearing firm it will result in order rejections.

If you encounter the below order rejections as indicated in the Trade >> Trade Service Log, then your clearing firm needs to make the changes as shown in the screenshots below.

Rejection message: Text: Insufficient permissions : route does not exist for clientCompId LIVE_SIERRA_3, route : 94008 , 7.

Solution:

Rejection message: Text: Trading disabled.

Solution:

Rejection message: Text: Submit forbidden. .

Solution:


*Last modified Sunday, 01st December, 2019.