eCBOT to NYSE Liffe U.S. Migration Guide
Contents
1. How do I configure trader logins The administrator sets up and determines the Member ID Group ID and Trader ID When assigning these values the administrator must consider which direct traders will share order books and ensure that they share the same Member and Group IDs Note NYSE Liffe U S Gateways do not use the ITM as part of the direct trader login This implementation differs from TT eCBOT Gateways which used the ITM as the Trader ID The mapping between the ITM and Member ID occurs in the hostinfo cfg file as listed below On NYSE Liffe U S Gateways you must use an Individual Trader Mnemonic ITM as the value of the ITM parameter in each OrderServerSession_xX section in the hostinfo cfg file In addition you must populate the Member parameter for each OrderServerSession_X section with a Member ID You must complete the following fields in TT User Setup to map a TTORD proxy trader to a direct trader e Exchange the TT Gateway exchange flavor e g NYSE_Liffe_US A e Member must equal TTORD e Group a three character variable defined by the firm e Trader a multi character variable defined by the firm How are traders uniquely identified The exchange requires that each trader is uniquely identified via the Trader Card Reference TraderCardRef field in the exchange API When a trader submits a new order or modifies deletes an order the NYSE Liffe U S Gateway uses the hierarchy listed below2. eCBOT to NYSE Liffe U S M Migration Guide Version 7 16 1 Document Version 7 16 1 DV5 10 1 12 Trading Technologies International TRADING TECHNOLOGIES Legal Notices This document and all related computer programs example programs and all Trading Technologies International Inc TT source code are the exclusive property of TT and are protected by licensing agreements copyright law and international treaties Unauthorized possession reproduction duplication or dissemination of this document or any portion of it is illegal and may result in severe civil and criminal penalties Unauthorized reproduction of any TT software or proprietary information may result in severe civil and criminal penalties and will be prosecuted to the maximum extent possible under the law Information in this document is subject to change without notice Companies names and data used as examples herein are fictitious unless otherwise noted No part of this document may be reproduced or transmitted in any form or by any means electronic or mechanical for any purpose without the express written permission of TT All trademarks displayed in this document are subject to the trademark rights of TT or are used under agreement by TT These trademarks include but are not amten to service brand names slogans and logos and emblems etding but not iras to Trading Technologies ge Trading Technologies Logo TT X_ TRADER TT SIM X_RI
3. bof tbl fills tbl and Exchangename_OrderFile_Mode_orders tbl position files are deleted prior to starting the newly installed NYSE Liffe U S Gateway e For the first trading day after the migration manually enter your SOD records using X_RISK Refer to the X_RISK User Manual for the procedure to manually enter SOD records e NYSE Liffe U S Gateways support the Auto Calculate SOD functionality If Auto Calculate SOD is enabled in aconfig xml an SOD record will be accumulated for the next session based on the positions accumulated What about Back Office Bridge Impact Note If you are using Back Office Bridge to publish positions to TT eCBOT Gateways please contact your TAM for migration instructions specific to your trading environment The following are general guidelines for Back Office Bridge customers currently connecting to TT eCBOT Gateways e If using an Internal Position rollover on a TT eCBOT Gateway you need to capture positions on the last trading day before migration and publish them on the NYSE Liffe U S Gateway on its first trading day You will have to manually change all instances of eCBOT to NYSE_Liffe_US in the capture file e Create gateway logins for the newly installed NYSE Liffe U S Gateways in your environment e Change tasks publishing positions to the TT eCBOT Gateway to now publish to the NYSE Liffe U S Gateway by changing the task s Gateways filter Also en
4. or NYSE_Liffe_US as the SecurityExchange 207 in Market Data Request V New Order Single D and Order Cancel Replace Request G messages sent to TT FIX Adapter in order to route the message to the eCBOT Gateway or NYSE Liffe U S Gateway respectively An exception to this is in Security Definition Request c messages where SecurityExchange 207 is optional When the SecurityExchange 207 is not provided in a Security Definition Request c message in a mixed environment where a product exists on both a eCBOT and a NYSE Liffe U S Gateway multiple Security Definition d messages will be provided for the separate CBOT and NYSE_Liffe_US SecurityExchange 207 values TT NYSE Liffe Gateway Getting Started Guide 19 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US Can I Migrate Existing Trader Positions Can Migrate Existing Trader Positions How do I handle Position Management during migration Existing positions will not automatically be carried over so you must manually enter your SOD records TT Recommends closing all trader positions on the eCBOT Gateway before migrating to NYSE Liffe U S Gateway 7 16 1 To ensure your positions are correct on the NYSE Liffe U S Gateway do the following e If there are any open positions on the eCBOT Gateway prior to migration publish them using Back Office Bridge for the first trading day after the migration e Ensure all
5. Adapter Impact By default there is no impact on TT FIX Adapter itself However several optional configuration parameters could require changes when products are migrated from an eCBOT Gateway to a NYSE Liffe U S Gateway Warning The TT FIX Adapter does not need to connect to a NYSE Liffe U S Gateway to be affected by this change Adding a NYSE Liffe U S Gateway into the trading environment automatically changes the SecurityExchange 207 tag for that environment Note Users who have previously updated the market name for existing TT LIFFE CONNECT Gateways will not be affected by this installation TT NYSE Liffe Gateway Getting Started Guide 18 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US How Does This Migration Impact Existing FIX Adapter Users How do I migrate an existing FIX Adapter from eCBOT to NYSE LIFFE US TT FIX Adapter customers may need to modify their FACT and or TT User Setup configurations by renaming CBOT references to NYSE_Liffe_US if you are using certain functionality This may include the following items e Gateway Names e Load Ignore Product Sections e Account Defaults e UTC Time Biases e Price Conversion e Custom rollover times for pre 7 16 0 versions Can I use an existing FIX Adapter in a mixed environment Yes but you must be mindful of how you utilize the market name For example FIX Clients must specify either CBOT
6. Europe Growth Index MGE MSCI Europe Value Index MPU Precious Metals 100 oz Gold Futures ZG 100 oz Gold Futures Options OZG 5000 troy oz Silver Futures ZI 5000 oz Silver Futures Option OZI Mini sized New York Gold Futures YG Mini Sized New York Gold Options OYG Mini sized New York Silver Futures YI Mini Sized New York Silver Options OYI Table 3 Products with Updated Price Formats TT NYSE Liffe Gateway Getting Started Guide 13 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US How Do I Migrate Traders in TT User Setup How Do Migrate Traders in TT User Setup Can eCBOT traders use their existing trader IDs on the new NYSE Liffe U S Gateway Yes the Member value of the MemberGroupTrader concatenation must match the Member parameter value specified in the OrderServerSession section of the hostinfo cfg file How do I migrate existing logins to the NYSE Liffe U S Gateway You can migrate risk customer defaults gateway logins etc for eCBOT Exchange Member IDs MGTs in TT User Setup However after adding the new NYSE Liffe U S Exchange Member IDs you need to move any TTORDs to the new Exchange Member IDs and reassign these to the impacted users Note Before you begin install the NYSE Liffe U S Gateway and restart the TT User Setup Master Server this allows TT User Setup to parse aconfig xmil file on the NYSE Liffe U S Gateway and add the gatew
7. and complete over the course of the subsequent weekend Check Item Task Prepare server machines for installation Can I upgrade an existing eCBOT Gateway Prepare X_TRADER for migration What is the X_TRADER Impact Prepare X_STUDY for use with the NYSE Liffe U S Gateway What is the Impact to X_ STUDY Prepare trader logins for migration How Do I Migrate Traders in TT User Setup Prepare trader positions Can I Migrate Existing Trader Positions Prepare FIX Adapter for migration How Does This Migration Impact Existing FIX Adapter Users Prepare FMDS for migration What is the FMDS Impact Prepare X_RISK for use with the NYSE Liffe U S Gateway What is the X_RISK Impact If reusing existing server machines uninstall all TT software Create a csv list of working GTC and GTDate orders Delete all working orders from the exchange Create new NYSE Liffe U S workspaces Update the X_STUDY exe config file Convert Direct Trader IDs Migrate TTORD Trader IDs Add any new additional Trader IDs Enter existing trader positions Enable the Auto Calculate SOD functionality Rename all eCBOT references to NYSE_Liffe_US Apply new Trade Calendar Files Edit the fmds cfg file to record market data for new NYSE Liffe U S products Rename eCBOT contracts in the database to NYSE_Liffe_US Add NYSE Liffe U S Gateway logins Update the Historical Fill Server database Ta
8. need to be manually re entered into the NYSE Liffe U S Gateway TT NYSE Liffe Gateway Getting Started Guide 10 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US What is the Impact to X_TRADER Plug ins What is the Impact to X_TRADER Plug ins Is there impact to X_TRADER API Customers who have written X_TRADER API applications in which a eCBOT Gateway name has been hardcoded need to re compile their applications to reference the new NYSE Liffe U S Gateway name No other changes to XTAPI applications are needed to work with the new NYSE Liffe U S Gateway strongly recommends testing XTAPI with the new gateway prior to use in a Warning Due to differences between TT eCBOT and NYSE Liffe U S Gateways TT production environment Customers must ensure that all X_TRADER API workstations have been upgraded to version 7 7 3 and higher which is contained in X_TRADER version 7 9 4 Is there impact to RTD Links to RTD spreadsheets need to be updated so that any references to the eCBOT Gateway are changed to reference the new NYSE Liffe U S Gateway For more information regarding entering RTD formulas refer to the XTAPI RTD Tutorial What is the impact to Trade Tracker Trade Tracker relies on a combination of series key gateway Exchange flavor and Expiry date to create a unique Instrument ID Therefore Trade Tracker treats contracts traded on TT eCBOT Gateways as diffe
9. 0 31 16 2 SMETKARI1 2009 02 11 1 Click User Admin and select Users to verify the changes Repeat for each new trader ID to Publish all changes to Guardian gt To move a TTORD from a eCBOT Exchange Trader to an NYSE Liffe US Exchange Trader 1 At the bottom of the Gateway Logins window check Expanded Gateway Exchange Trader View and uncheck Hide TTORDs Filter by Gateway Filter Member by TTORD and Exch Member Group and Trader by the direct trader MGT you are replacing WN 4 Select all rows Ctrl A and click Add Gateways Exchange Traders This allows you to add a new Exchange Trader to the selected TTORDs In this case you ll be replacing the existing Exchange Traders 5 Click the first radio button option in the Add Gateways Exchange Traders to TTORDs window and then click Continue T amp E Add Gateways Exchange Traders to TTORDs want to either create a new exchange trader or choose an existing one to assign to the entire selection of TTORDs The selected TTORDs are already assigned to the corect exchange traders but want to add a new gateway In the next step let me choose the new gateway and let me choose the existing gateway that has the exchange traders ld like to reuse Continue Cancel 6 Inthe Map Exchange Traders to TTORDs window select the new Exchange Trader from the Available Exchange Traders pane or choose Create if the MGT doesn t exist Click Done TT N
10. BOT data must be converted to match the new ticking format in NYSE Liffe U S This is done by using a new FMDSFileMonkey command found only in FMDS 7 5 6 or higher 2 Convert Contract Names The contract information that has been stored in the FMDS database as eCBOT must be renamed to NYSE Liffe U S Contracts are renamed in the FMDS Database using the FMDSFileMonkey command line tool Refer to the How do I convert an existing FMDS database section for procedures regarding how to rename contracts in the fmds cfg file and how to update the FMDS Database How do I convert an Due to changes in ticking for certain products users must perform the following existing FMDS database conversion to map existing data to the new format and avoid any potential data loss Prior to performing the conversion users must observe the following e Only FMDS 7 5 6 and higher support converting existing data to the new format e Prior to beginning this procedure you must obtain a copy of the Change_eCBOT_Prices script from the Misc section of the TT Customer Portal e You must shut down TTFeed and TTResponder prior to installing the NYSE Liffe U S Gateway Note Depending on the amount of historical data the conversion process may take several hours to complete and should be performed outside of normal trading hours To convert existing FMDS databases to NYSE Liffe US 1 Open the FMDS Management Console window 2 On the
11. Connection tab in the Service Control section click the blue stop TT NYSE Liffe Gateway Getting Started Guide 22 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US What is the FMDS Impact buttons next to the TTFMDSFeed and the TTFMDSResp fields to shut down the FMDS feed and responder To convert all data flush the current database using the following command lt root drive gt tt fmds bin fmdsfilemonkey exe archiveWarm Backup your current database Refer to the FMDS User Manual Perform the NYSE Liffe U S Gateway installation Modify the fmds cfg file to switch the subscriptions for products instruments from eCBOT Gateways to the NYSE Liffe U S Gateway e g eCBOT YG becomes NYSE_Liffe_US YG NYSE Liffe U S Gateways use the same naming convention for all products Verify there are no eCBOT subscriptions remaining anywhere in fmds cfg Add the Change_eCBOT_Prices script to the following location on the FMDS server machine lt root drive gt misc Open the command prompt and enter the following command to use FMDS FileMonkey to update the tick values for existing eCBOT data lt root drive gt tt fmds bin fmdsfilemonkey lt root drive gt misc Change _eCBOT prices txt changeprices Where lt root drive gt is the letter of the drive that contains your FMDS installation contracts as listed in the following step a Warning You must run the change prices script befo
12. However TT recommends that you perform this migration during non trading hours Ideally you should begin these steps following the close of the last trading day prior to migration and complete them over the course of the subsequent weekend TT NYSE Liffe Gateway Getting Started Guide 3 Trading Technologies International Inc 1 Migrating from eCBOT to NYSE Liffe US Overview Do need to order lines or change my connectivity options No additional lines need to be ordered you can use the same lines for the NYSE Liffe U S Gateway that you are currently using to connect the eCBOT Gateway What are the differences between the eCBOT and NYSE Liffe US Gateways The NYSE Liffe U S Gateway contains architectural and performance improvements that will not be added to the eCBOT Gateway Additionally the NYSE Liffe U S Gateway supports some of the exchange s newest treasury products including the Ultrabond Other notable differences between the eCBOT and NYSE Liffe U S Gateways e exchange IDs e market names e trader IDs MGTs TT NYSE Liffe Gateway Getting Started Guide 4 Trading Technologies International Inc 1 Migrating from eCBOT to NYSE Liffe US How do I prepare my TT Trading Environment How do I prepare my TT Trading Environment Can l upgrade an existing eCBOT Gateway You can reuse existing hardware to host a NYSE Liffe U S Gateway however you cannot upgrade eCBOT Gateway software to the new NY
13. International Inc 2 Migrating from eCBOT to NYSE Liffe US What is the Impact to Strategy Engines SEs Connected to the eCBOT Gateway What is the Impact to Strategy Engines SEs Connected to the eCBOT Gateway Which Strategy Engines Autospreader Strategy Engine Algo Strategy Engine and Synthetic Strategy are impacted Engine servers connected to eCBOT Gateways in your trading environment are impacted Do I have to make Yes configuration changes are needed to the Autospreader SE and Synthetic SE configuration changes to tt_ ini files where is ase or sse to allow users to logon from the new the Strategy Engine gateway servers After uninstalling the eCBOT Gateway then installing the NYSE Liffe U S Gateway on the same server class machine you need to change the market name Exchange Flavor e g NYSE_Liffe_US A and MemberGroupTrader concatenation on the SE server for the new NYSE Liffe U S Gateway and NYSE Liffe U S trader ID For configuration details refer to the corresponding Autospreader SE Algo SE or Synthetic SE System Administration Manual What about working Prior to migrating to the NYSE Liffe U S Gateway traders have to delete all orders on Strategy working native and synthetic orders submitted for eCBOT contracts on a Synthetic Engines for CBOE Strategy Engine Algo Strategy Engine or Autospreader Strategy Engine servers contracts TT NYSE Liffe Gateway Getting Started Guide 25 Tradin
14. SE Liffe U S Gateway As part of the migration you must completely uninstall the eCBOT Gateway prior to installing the NYSE Liffe U S Gateway Note Upgrades from a eCBOT Gateway to a NYSE Liffe U S Gateway are not supported Users may also run eCBOT and NYSE Liffe U S Gateways in parallel via two separate servers TT recommends using this method to help facilitate user migration What version of the NYSE Liffe U S Gateway should I use All users should migrate to NYSE Liffe U S Gateway Version 7 16 1 0 Package 20 which is currently available through your TAM For information on installing and configuring a NYSE Liffe U S Gateway refer to the NYSE Liffe U S Gateway System Administration Manual What are the minimum supported versions of TT Client applications The following client application versions are required in order to support the NYSE Liffe U S Gateway e X_TRADER 7 11 4 and higher fully supports trading via the NYSE Liffe U S Gateway This includes calculating implied prices e X_TRADER 7 9 4 supports basic trading functionality Note By default X_TRADER versions prior to 7 11 4 do not support Implied In calculations for NYSE Liffe U S However customers can obtain an ImpliedConfig cfg file from their TAMs that will enable Implied In calculations for NYSE Liffe U S in X_TRADER e X_TRADER API 7 7 3 e TT User Setup 7 4 2 e FIX Adapter 7 7 4 In addition to these client versi
15. SK MD Trader Autospreader xX STUDY TT_ TRADER TT CVD ADL Autotrader TT Trainer i Back Office Bridge TINET All other referenced companies individuals and trademarks retain their rights All trademarks are the property of their respective owners The unauthorized use of any trademark displayed in this document is strictly prohibited Copyright 2004 2012 Trading Technologies International Inc All rights reserved Trading Technologies International Inc 1 Migrating from eCBOT to NYSE Liffe US Overview Before You Begin Use this document to plan a migration of an eCBOT Gateway to a NYSE Liffe U S Gateway 7 16 1 or higher using the same server class machine Any issues that need to be addressed while switching over to a newly installed NYSE Liffe U S Gateway on a separate server will also be noted but the primary focus of the document is to address the migration of the gateway using the same machine and its impact on the trading environment Before proceeding contact your Technical Account Manager TAM regarding your plans to migrate eCBOT Gateways and coordinate any migration issues that are unique to your trading environment What are the benefits of migrating to the NYSE Liffe US Gateway The NYSE Liffe U S Gateway 7 16 1 includes the following architectural and performance improvements e Enhanced Order Fill Delivery significantly improves order and fill server performance by
16. YSE Liffe Gateway Getting Started Guide 16 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US How Do I Migrate Traders in TT User Setup 7 Click Yes in the following dialog box that appears cted with a different Exchange Trader MGT do you want to change the TTORD to use the new Exchange Trader MGT This moves the TTORD from the old eCBOT Exchange Trader MGT to the new NYSE Liffe US Exchange Trader MGT Click User Admin and select Users to verify the changes 9 Repeat for other Exchange Traders 10 Verify that the TTORD user s setup looks correct 11 Publish all changes to Guardian TT NYSE Liffe Gateway Getting Started Guide 17 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US How Does This Migration Impact Existing FIX Adapter Users How Does This Migration Impact Existing FIX Adapter Users What is the FIX Client Impact Prior to making any changes to your existing trading environment you should thoroughly review the impact of changes to the SecurityExchange 207 by any downstream FIX Client applications SecurityExchange 207 values can change for this release and administrators must determine how that change will affect their FIX clients and whether or not market rename functionality is needed to lessen the impact For most setups TT suggests renaming all old TT eCBOT Gateways to NYSE_Liffe_US using the F A C T FIX Adapter Configurati
17. YSE Liffe U S Gateway 7 16 1 Note This includes all synthetic and native orders submitted for eCBOT contracts on Synthetic Strategy Engine and Autospreader Strategy Engine servers TT NYSE Liffe Gateway Getting Started Guide 21 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US What is the FMDS Impact What is the FMDS Impact What configuration The eCBOT to NYSE Liffe U S Gateway migration impacts FMDS customers changes are required to currently connecting to eCBOT Gateways in the following manner migrate FMDS e All FMDS customers will be required to apply new Trade Calendar Files to accommodate the name change and ensure the most current trading schedules for all products Updated Trade Calendars are available on the TT Customer Portal e All FMDS customers are required to make manual configuration changes to their lt root drive gt tt config fmds cfg file in order to record market data for NYSE Liffe U S contracts after the migration This requires you to change all eCBOT contract names to NYSE Liffe US Example Changing eCBOT Contract Names in fmds cfg Existing contract name eCBOT MCE Oct12 Future Contract name changed to NYSE Liffe US NYSE _Liffe US MCE Oct12 Future e Customers must also convert their existing FMDS databases in the following order if they wish to reference historical eCBOT contract data following the migration 1 Convert Price Formats The eC
18. ay to the Master Server database if needed You also need to back up the Master Server database before migrating users gt To migrate eCBOT users in TT User Setup 1 On the menu bar click Server Admin and select Migrate Users to New Gateway TT User Setup TISYSTEM File SB lt i Ee User Admin Server Admin Reports Help System Settings version Rules Collect Log Files Reset Exchange Tree Currency Exchange Rates Add Remove Currencies Product Margins License Setup Migrate Users to New Gateway 2 Select the options shown below in the Migrate Users to New Gateway TT NYSE Liffe Gateway Getting Started Guide 14 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US How Do I Migrate Traders in TT User Setup window that appears and click Start Update I Migrate Users to New Gateway Use this tool to migrate users to a new gateway based on how they are configured for a current gateway For example you may have users configured to log into a CME A gateway but you might like to install a CME B gateway as a backup This tool can be used to configure existing CME 4 users for the CME B gateway It will copy their gateway logins customer defaults product limits etc This tool can also be used if a gateway is rebranded For example you may have a CBOT A gateway that will be taken down and brought up as a CME A gateway You can use this to copy users configurat
19. aylight saving time offsets for NYSE Liffe U S lt add key NYSE_Liffe_US value 0 60 gt 3 Save and exit the X_STUDY exe config file Note TT recommends verifying these changes following any X_TRADER upgrade TT NYSE Liffe Gateway Getting Started Guide 12 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US What is the Impact to X_TRADER Plug ins What is the Impact to To consistently display prices for all products NYSE Liffe U S Gateways use an Autospreader updated price ticking format for the products listed in Table 3 The new format allows all products to tick in the same format For example products that ticked in increments of tens e g 510 520 530 on eCBOT Gateways now tick as decimals e g 5 10 5 20 5 30 on NYSE Liffe U S Gateways Autospreader configurations that include one or more of the products listed below can display spread prices with the updated price format in the legs Customers must determine if changes are needed in these Autospreader configurations to accommodate the new ticking Product Type Product Name Symbol MSCI Indices MSCI EAFE Index MFS MSCI Emerging Markets Index MME MSCI USA Index MUN MSCI USA Value Index MCU MSCI USA Growth Index MRG MSCI Net Total Return NTR EAFE Index MFU MSCI Net Total Return NTR Emerging Markets Index MMN MSCI Euro Index MEU MSCI Pan Euro Index MPP MSCI Europe Index MCE MSCI
20. ble 2 Migration Checklist TT NYSE Liffe Gateway Getting Started Guide Trading Technologies International Inc 2 Client Impacts What is the X_TRADER Impact What version of X_TRADER should use To access basic trading functionality via the NYSE Liffe U S Gateway TT requires X_TRADER 7 9 4 or higher X_TRADER 7 11 4 and higher supports calculating up to two 2 generations of implied prices Note By default X_TRADER versions prior to 7 11 4 do not support Implied In calculations for NYSE Liffe US However customers can obtain an ImpliedConfig cfg file from their TAMs that will enable Implied In calculations for NYSE Liffe U S in X_TRADER How do manage working orders during migration Currently there is not a mechanism for automatically migrating orders from the eCBOT Gateway to the NYSE Liffe U S Gateway Prior to migration traders must cancel all working orders Warning Prior to migration traders must cancel all working orders Traders can optionally use the Export Data functionality in X_TRADER to produce a csv file to aid with re entering orders following the migration To generate a summary of working orders in X_TRADER Right click in the X_TRADER Order Book and select Export All Rows 2 Select the desired location for the exported csv file The default location is lt root drive gt tt datfiles export 3 Utilize this csv file as a reference for orders which
21. button In the MGT Information window complete the following fields e Gateway Set this equal to the Exchange Flavor of the NYSE Liffe U S Gateway e g NYSE_Liffe_US A e Member Set this equal to Member ID of the direct trader s e Group Set this equal to the Group ID of the direct trader e Trader Set this equal to the Trader ID of the direct trader e Password Set this equal to the login Password of the direct trader e Confirm Password Re enter the login Password of the direct trader 4 Click Save Note You may create a gateway login using the universal login username and password created in TT User Setup instead of a direct trader login For more information on configuring the Historical Fill Server refer to the TT Historical Fill Server System Administration Manual TT NYSE Liffe Gateway Getting Started Guide 26 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US What is the X_RISK Impact How do merge fills from eCBOT with NYSE Liffe U S After decommissioning your TT eCBOT Gateway you can update your database to convert and merge existing TT eCBOT Gateway fills with ones recorded from the NYSE Liffe U S Gateway by following the procedure below Warning Users should only execute the following procedure once Merging fills more than once may result in duplicate fills To merge eCBOT and NYSE Liffe U S Historical Fills 1 Allow the TT eCBOT Gateway t
22. e TT Gateway Impact What is the TT Gateway Impact Can I run the new gateway in parallel with my existing eCBOT gateways You can install NYSE Liffe U S Gateways on separate server class machines to run in parallel with the existing eCBOT Gateways in your trading environment then gradually move traders to the new gateway Separate IDs are required for the Price and Order Servers How do I migrate a eCBOT Gateway toa NYSE Liffe U S Gateway on the same machine If you use the same server class machine for the new gateway you have to first uninstall the eCBOT Gateway before you install NYSE Liffe U S Gateway Version 7 16 1 0 Package 20 Before you perform the tasks described in the Preparing to Install chapter of the NYSE Liffe Gateway Getting Started Guide you must first do the following e Refer to the the section called How do I manage working orders during migration regarding working orders at the exchange prior to the migration e Uninstall the eCBOT Gateway Stop all TT services running on the eCBOT Gateway Move lt root drive gt tt to lt root drive gt tt_backup Uninstall all gateway child components TTChron TT Guardian TT Messaging Delete lt root drive gt tt e Refer to the NYSE Liffe U S Gateway Getting Started Guide to complete the installation and initial configuration of the NYSE Liffe U S Gateway TT NYSE Liffe Gateway Getting Started Guide 24 Trading Technologies
23. g Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US What is the X_RISK Impact What is the X_RISK Impact What if currently use an The Historical Fill Server creates a separate record for each TT Gateway This X_RISK Historical Fill allows users to maintain an existing record for TT eCBOT Gateways and create a Server HFS new entry for NYSE Liffe U S Gateways Although you may record eCBOT and NYSE Liffe U S fills simultaneously TT does not recommend merging both sets until you have decommissioned your TT eCBOT Gateway Caution The Historical Fill Server relies on access to the TT eCBOT Gateway to receive historical fills for the gateway Prior to deprecating their existing gateways users should allow their TT eCBOT Gateway to run until the HFS has received all fills from the gateway After decommissioning your TT eCBOT Gateway you can update your database to convert and merge existing TT eCBOT Gateway fills with ones recorded from the NYSE Liffe U S Gateway by following the procedure in the section called How do I merge fills from eCBOT with NYSE Liffe U S How do I use X_RISK X_RISK customers with the Historical Fill Server HFS component must add a Historical Fill Server NYSE Liffe U S Gateway login using the procedure below HFS to record a NYSE Liffe U S Gateway p To add a NYSE Liffe U S Gateway login MGT Double click the HFS Configuration Client icon Click the Add MGT
24. ions for CBOT amp over to CME A Source Gateway eCBOT m Target Gateway NYSE Liffe US R Delete Gateway Logins related to source gateway Available to User FIX Client Copy source settings to target Set all to available checked Set all to unavailable unchecked Automatically Login Copy source settings to target Set all to auto checked Set all to manual unchecked Mandatory Login Copy source settings to target Set all to mandatory checked Set all to optional unchecked En Ready 3 To assign the new NYSE Liffe U S trader IDs to eCBOT direct traders i e exchange members click User Admin and select Gateway Logins 4 Filter by new Gateway e g NYSE_Liffe_US B highlight a member ID MGT and select Copy 5 Edit the copied MGT and change the Member Group and Trader fields as needed and click Save 6 Click Assign to Users on the Gateway Logins window to un assign the user from the old eCBOT MGT and reassign the user to the new NYSE Liffe U S TT NYSE Liffe Gateway Getting Started Guide 15 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US How Do I Migrate Traders in TT User Setup MGT Add Gateways Exchange Traders Last Changed Last Changed By Created Date filter filter v 2011 11 28 12 5 TTSYSTEM 2011 11 28 1 2011 11 28 13 1 TTSYSTEM 2011 11 28 1 2011 1
25. nerated licenses e increase the count by i for multi market licenses e g change a 2 Market license to a 3 Market license e Retain an eCBOT market license for the following If you have traders in your environment connecting to both eCBOT and NYSE Liffe U S Gateways If you plan to keep an eCBOT Gateway for disaster recovery purposes Billing Server Impact There is no impact on the TT Transaction Billing Server After the migration fills and billing packets will continue to be recorded and transferred daily to the TT Licensing Department Accounting and Billing System but will contain the Exchange ID of the newly installed NYSE Liffe U S Gateway instead of the eCBOT Gateway The TT Licensing and Accounting Department will be notified by your TAM that the new gateway is installed and the exchange IDs have changed TT NYSE Liffe Gateway Getting Started Guide 7 Trading Technologies International Inc 1 Migrating from eCBOT to NYSE Liffe US Migration Checklist Migration Checklist Overview The following checklists reflect the chronological steps for a successful migration to the NYSE Liffe U S Gateway Pre Migration Checklist You should complete the items below to prepare for migrating to the NYSE Liffe U S Gateway Check Item Task Obtain required TT Software licenses What is the Licensing and Billing Impact Upgrade all client applications What are the minimum supported versi
26. o run until the HFS has received all fills from the gateway 2 Use an SQL Update statement to update the Fill table by replacing the exchange flavors and corresponding gateway IDs in the example below Remember to repeat this step for each TT eCBOT Gateway exchange flavor e g eCBOT A eCBOT B Example Updating the Fill Table UPDATE TT_CENTRAL_DB RiskAdmin FILL SET GATEWAY_NAME NYSE_Liffe_US A GATEWAY_ID 1082 WHERE GATEWAY_NAME eCBOT B AND GATEWAY_ID 17 3 Use an SQL Update statement to update the Series table as shown below Example Updating the Series Table UPDATE TT_CENTRAL_DB RiskAdmin SERIES SET MARKET_NAME NYSE_Liffe_US WHERE MARKET_NAME eCBOT TT NYSE Liffe Gateway Getting Started Guide 27 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US What is the X_RISK Impact TT NYSE Liffe Gateway Getting Started Guide 28 Trading Technologies International Inc
27. on Tool In addition TT recommends utilizing the new market name NYSE_Liffe_US for all NYSE Liffe U S Gateways What is the Impact of the updated Price Formats To consistently display prices for all products NYSE Liffe U S Gateways use an updated price display format for the products listed in Table 3 on page 13 To reflect the new price formatting FIX clients that download Security Definitions 35 d from FIX Adapter will see changes in the ExchTickSize 16552 and ExchPointValue 16554 fields In addition the new price formatting affects the value of all price fields This includes the Price 44 StopPx 99 LastPx 31 AvgPx 6 and StrikePrice 202 fields The table below illustrates the difference in price formats for these fields Gateway Market ExchTickSize ExchPointValue Price 44 StopPx 99 16552 16654 LastPx 31 AvgPx 6 StrikePrice 202 eCBOT 10 10 510 NYSE Liffe U S 0 1 100 5 10 Table 4 Difference in Price Formats FIX clients that do not download securities from FIX Adapter must verify their system can handle the updated price formats Clients can utilize Fix Adapter s Price Conversion Table to deliver prices in the old format Gateway Market Product Product Type Conversion Factor NYSE Liffe U S MMN Future 0 01 Table 5 Price Conversion Table For more information on price formatting and conversion refer to the FIX Adapter System Administration Manual What is the FIX
28. ons you must also upgrade to the following minimum TT Client versions to support the PFX wire format used by the NYSE Liffe U S Gateway which runs in PFX mode only e FMDS 7 5 3 Note Existing users that want to merge existing eCBOT Gateway data with contracts from the TT NYSE Liffe Gateway must use FMDS 7 5 6 or higher and perform the procedure listed in the section How do I convert an existing FMDS database Autospreader SE 7 0 0 e X_RISK 7 4 1 X_STUDY 7 3 0 e TT Trainer 7 3 1 TT NYSE Liffe Gateway Getting Started Guide 5 Trading Technologies International Inc 1 Migrating from eCBOT to NYSE Liffe US What is the Impact to Trader Identification What is the Impact to Trader Identification Can I use my existing ITMs on the NYSE Liffe US Gateway Users may reuse existing ITMs on the new gateway However NYSE Liffe U S Gateways do not use the ITM as the trader ID in the trader s Member Group Trader ID login In addition NYSE Liffe U S Gateways do not offer an ITM Config Tool Instead NYSE Liffe U S Gateways map the Member IDs to ITMs in the hostinfo cfg file For more information refer to the NYSE Liffe U S Gateway System Administration Manual Can traders use existing MGTs on the NYSE Liffe US Gateway TT eCBOT Gateway MGT configuration can be migrated to the NYSE Liffe U S Gateway Additionally risk must be migrated and or reassigned to users in TT User Setup 7 4 2 or higher
29. ons of TT Client applications Obtain new NYSE Liffe U S Gateway licenses for each new gateway NYSE Liffe U S Gateways require the following versions X_TRADER 7 11 4 fully supports trading via the NYSE Liffe U S Gateway This includes calculating implied prices X_TRADER 7 9 4 supports basic trading functionality Note By default X_TRADER versions prior to 7 11 4 do not support Implied In calculations for NYSE Liffe US However customers can obtain an ImpliedConfig cfg file from their TAMs that will enable Implied In calculations for NYSE Liffe U S in X_TRADER X_TRADER API 7 7 3 TT User Setup 7 4 2 FIX Adapter 7 7 4 In addition to these client versions you must also upgrade to the following minimum TT Client versions to support the PFX wire format used by the NYSE Liffe U S Gateway which runs in PFX mode only FMDS 7 4 3 Autospreader SE 7 0 0 X_RISK 7 4 1 X_STUDY 7 3 0 TT Trainer 7 3 1 For a complete list of recommended and required minimum versions refer to the NYSE Liffe U S Gateway System Administration Manual Table 1 Pre Migration Checklist TT NYSE Liffe Gateway Getting Started Guide Trading Technologies International Inc 1 Migrating from eCBOT to NYSE Liffe US Migration Checklist Migration Checklist The following steps should occur outside of trading hours Ideally you should begin these steps following the close of the last trading day prior to migration
30. rader or TTADM login TT NYSE Liffe Gateway Getting Started Guide 11 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US What is the Impact to X_TRADER Plug ins Example Updated Trade Tracker ini file In this example the Trade Tracker ini file contains a new entry for a TT NYSE Liffe A Gateway To record all trades that occur on the NYSE Liffe U S Gateway this example uses a TTADM administrator login Gateway gateway NYSE_Liffe_US A gwmember TTADM gwgroup GRP gwtrader TRD Password supersecret Add a new entry for each unique NYSE Liffe U S Gateway Exchange Flavor in your environment From the File menu select Save Close the Trade Tracker ini file and restart Trade Tracker Note Once complete Trade Tracker will continue to record activity for TT eCcBOT Gateways that were previously added to its database In addition customers should remove the TT eCBOT Gateway logins from trade tracker ini following the migration to the NYSE Liffe U S Gateway What is the Impact to Perform the following procedure to enable X_STUDY to work with NYSE Liffe X_STUDY U S Fill Indicators To configure X_STUDY for use with the TT EBS Gateway 1 Usea text editor such as Notepad to open the X_STUDY exe config file This file is located in the lt root drive gt tt x_study directory 2 Under the lt appSettings gt section add the following value to provide the correct exchange fill and d
31. re attempting to rename 10 In the command prompt enter the following command to use FMDS FileMonkey to update FMDS lt root drive gt tt fmds bin fmdsfilemonkey rename c eCBOT new contract NYSE Liffe US Where lt root drive gt is the letter of the drive that contains your FMDS installation you must verify that the new gateway name matches the second argument Warning The commands above are case sensitive To successfully update FMDS including case 11 12 13 Open the FMDS Management Console window On the Connection tab in the Service Control section click the blue start buttons next to the TTFMDSFeed and the TTFMDSResp fields to restart the FMDS feed and responder Verify that the expected NYSE Liffe U S products and instruments are subscribed to 14 Verify that the eCBOT Gateways are not connected to FMDS What is the Existing users that want to merge existing eCBOT Gateway data with contracts recommended FMDS from the NYSE Liffe U S Gateway must use FMDS 7 5 6 or higher and perform the Version procedure listed in the section How do I convert an existing FMDS database TT recommends new NYSE Liffe U S Gateway users who do not require historical data from an existing eCBOT Gateway to upgrade to FMDS Version 7 5 3 or higher TT NYSE Liffe Gateway Getting Started Guide 23 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US What is th
32. reducing the amount of redundant data transmitted when delivering shared order and fill data across the trading environment e Integrated Message Acceleration TT s integrated multithreaded approach leads to large reductions in latency and variability when delivering prices orders and fills from the exchange to trading applications e New Treasury Products supports some of the exchange s newest treasury products including the Ultrabond e Round Robin Order Routing allows users to load balance orders across multiple order sessions Users can easily increase gateway throughput by mapping multiple Order Sessions to multiple Individual Trader Mnemonics ITMs e Compliance Features In response to recently issued European Securities and Markets Authority guidelines the gateways will allow an administrator to configure the number of orders per second that a trader may send to a NYSE Liffe U S Gateway When should I migrate The NYSE Liffe U S Gateway currently supports the exchange s Liffe CONNECT API so there is no exchange API upgrade or other exchange event that requires a mandatory upgrade to your current Gateways However the benefits listed above will only be available on the NYSE Liffe U S Gateway After the exchange retires the Liffe CONNECT API TT will only support the NYSE Liffe U S Gateway Note The migration is done once and it should be done at a time that is best for your particular trading environment
33. rent instruments than those traded through NYSE Liffe U S Gateways Following migration users may see up to two different Instrument IDs for the same contract 1 The current Instrument ID from the contract on the existing TT eCBOT Gateway 2 A second Instrument ID will be generated when the same contract gets traded on a NYSE Liffe U S Gateway To enable Trade Tracker to record activity through the NYSE Liffe U S Gateway you must update the Trade Tracker ini file as described in the procedure below gt To add NYSE Liffe U S Gateways to Trade Tracker Navigate to the lt root drive gt tt Prof Serv Trade Tracker directory Using a text editor such as Notepad open the Trade Tracker ini file Under the Gateway section header add an entry for the newly installed NYSE Liffe U S Gateway by adding the following parameters and related values e gateway Set this equal to the Exchange Flavor of the NYSE Liffe U S Gateway e g NYSE_Liffe_US A e gwmember Set this equal to Member ID of the direct trader s login To record trades across all Order Sessions on the NYSE Liffe U S Gateway it is recommended that you set gwmember equal to an administrator s ID e g TTADM e gwgroup Set this equal to the Group ID of either the direct trader or TTADM login e gwtrader Set this equal to the Trader ID of either the direct trader or TTADM login e Password Set this equal to the login Password of either the direct t
34. sure that any product filters for those tasks are changed from TT eCOT Gateways to NYSE Liffe U S Gateways e If publishing positions from a back office file map the eCBOT back office codes to the NYSE Liffe U S Gateway and its products Procedures for creating logins modifying filters creating tasks and mapping back office codes are in the Back Office Bridge System Administration Manual TT NYSE Liffe Gateway Getting Started Guide 20 Trading Technologies International Inc 2 Migrating from eCBOT to NYSE Liffe US Can I Migrate Existing Trader Positions Can GTC GTD and Contact the exchange at the end of the trading session prior to migration and GTDate orders remain request that all GTC GTD and GTDate orders be cancelled After the migration is working in the market complete do the following during the migration Start the NYSE Liffe U S Gateway prior to the first trading session in order to download settlement prices from the exchange Have traders connected to the NYSE Liffe U S Gateway resubmit their GTC GTD and GTDate orders For NYSE Liffe U S Gateways connected to Strategy Engines have traders resubmit their GTC GTD and GTDate native spread orders to the Autospreader SE and synthetic orders to the Synthetic SE Warning As part of migrating to the NYSE Liffe U S Gateway traders must delete all working orders prior to uninstalling your eCBOT Gateway and resubmit the orders on the newly installed N
35. to determine which value uniquely identifies that trader e SenderSubID value as populated by FIX Adapter or the X_TRADER API e Username as configured in TT User Setup e TTORD Trader ID e Direct Trader ID TT NYSE Liffe Gateway Getting Started Guide 6 Trading Technologies International Inc 1 Migrating from eCBOT to NYSE Liffe US What is the Licensing and Billing Impact What is the Licensing and Billing Impact Can reuse my current The NYSE Liffe U S Gateway 7 16 1 uses a market based license that allows you eCBOT Gateway to connect to multiple gateways with the same license You will have to obtain licenses these new market based licenses to replace your current licenses For a description of TT licensing refer to the TT Gateway Architecture System Administration Manual Version 7 X X_TRADER and X_TRADER and X_RISK licenses are market based As part of the migration X RISK Licenses eCBOT Gateway customers are required to add the NYSE Liffe U S market to their X_TRADER and X_RISK licenses in order to log in to the NYSE Liffe U S Gateway Currently users are able to connect to both a CBOT and eCBOT Gateway using a single license However you must obtain an additional market license to connect to the NYSE Liffe U S Gateway As part of the migration do the following e Determine the Exchange Flavor of the NYSE Liffe U S Gateway that will be installed e Add the NYSE Liffe U S market to your rege
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