TT SIM Feature Guide - TT Customer Portal
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1. TT SIM Feature Guide Version 7 16 Document Version 7 16 2 DV1 2 20 2013 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 Alltrademarks 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 limited to service brand names slogans and logos and emblems including but not limited to Trading Technologies the Trading Technologies Logo TT X_TRADER X_RISK MD Trader Autospr2. _mode_PriceServer_Date log The productfilter cfg file contains a list of all subscribed products You can use the productfilter cfg file as a first step to verify whether a product is properly configured for trading in simulation mode The TTSimParams cfg file provides a centralized location for most simulation options including those controlled by X_TRADER This file contains the user configurable order delay parameter OrderDelay that can be used to simulate certain market conditions The default value is 50 ms The Environment cfg file lists all values related to the Guardian multicast connection for receiving prices You can use the Environment cfg file to verify whether TT SIM points to the correct environment for prices For 7 16 1 or lower the TTSIM ZOrderServer cfg file contains a user configurable delay that can be used to simulate certain market conditions For example a user can increase the delay value to increase the amount of legging that occurs in the simulation market For 7 16 2 or higher the OrderServer cfg no longer specifies the default order delay This file can still specify delay filters based on Member Group Trader ID but not by product Product delays can be configured through tt config sim TTSimParams cfg TT SIM creates and updates its own fill order and price server logfiles Unlike TT Gateways these files contain actions for all simulated exchanges You can use this file to tro
3. ZM1 CZ6 OZL OZR OZM OZW 12S ZL1 ZL2 ZM4 WCM OEH CZM ZS1 CWZ ZS4 ZCW CZC SZ9 ZM2 CZW CZ8 ZC2 ZL4 ZC4 ZC1 CZS ZW2 SZK SZ4 WC6 CZL 12C ZS2 SZ5 ZW4 OC6 SZH 12W SC7 OUB ZN1 ZF4 ZQ1 OZF 071 OZQ ZQ6 OI3 UB4 OZT OZN ZB2 ZT4 ZN4 OSR OSA OZB ZT1 ZF2 ZB4 UB1 ZN2 ZF1 ZT2 ZB1 UB2 OMW OIH OIC OIP OIS OIW OKE Eurodollar Options GEO GE GE3 E04 GE2 EJ OSS GE4 SPO E03 E01 PPD PPB PPE NNT PPM Table 5 CME Products with Pro rata Matching Product Symbols ED I KJ L M M2 S K2 EON EO3 USW USO USP O P TWS Product Type NYSE Liffe Futures Matching Type Priority NYSE Liffe Options RIKJLMM2S K2 EON EO3 USW USO USP O P TWS Table 6 NYSE Liffe Products with Pro rata Matching Priority Matching Type Product Symbols FEO1 FEU3 OEU3 OEUH OEUM OEUU OEUZ Product Type Euex Futures Pro rata Vanilla Table 7 Eurex Products with Pro rata Matching TT SIM Feature Guide 16 Trading Technologies International Inc Proprietary and Confidential Information Trading with TT SIM 2 TT SIM Functionality X_TRADER When in simulation mode traders have access to all X_TRADER Pro functionality even if they do not have a production X_TRADER Pro license Also all X_TRADER workspaces are portable between simulation and production If a workspace is created and saved when connected to TT SIM it will load and subscribe to prices for all products when opened in production If a workspace is created and saved in producti
4. a Be 24 Functionality oo sa PO ER ea eR OE ae eR ee A ee AAA 26 TT SIM Feature Guide iii Trading Technologies International Inc Proprietary and Confidential Information About This Manual TT SIM Overview This manual describes the installation and configuration for the Trading Technologies TT SIM Common Terms and This manual uses the following terminology convention throughout Abbreviations e Exchange This is the trading exchange e g the SGX CME ICE to which the TT Gateway connects e Exchange Flavor This is the name of the TT Gateway as selected during its installation Chapter Overviews This manual includes the following chapters Chapter Description Chapter 1 Discusses the general features and installation of TT SIM Chapter 2 Discusses all functionality unique to TT SIM M TTSIM Feature Guide 4 Trading Technologies International Inc Proprietary and Confidential Information About this Manual Additional Considerations Related Documentation This manual is part of a comprehensive set of documentation that includes but is not limited to the following topics and documents e TT Gateway Architecture System Administration Manual Version 7 X e X_TRADER User Manual Version 7 X e TT User Setup System Administration Manual Version 7 X For copies of these documents visit the TT Customer Portal Text Formatting Conventions This guide uses a set of t
5. will not be performed The matching engine reconciles the bid and offer quantities working in the production market with the activity of the TT SIM trader However in certain scenarios the matching engine may not exactly mimic the results the trader would experience in a production market For example TT SIM does not match orders when the production markets are the following states e Pre Open e Pre Trading e Price Discovery SFE However TT SIM M will match orders when the production market are in all other states For information on configuring pro rata matching in TT SIM 7 16 1 and higher refer to the section called Pro rata Matching Support on page 13 Matching Behavior TT SIM Feature Guide The TT SIM matching engine acts as the exchange that the Order Server and Price Server connect to The following describes the behavior of the TT SIM matching engine e At start up the matching engine will connect to the TT User Setup production server and download the products that the trader who has logged in is permissioned to trade in TT SIM mode e The full product and contract information for these products is then downloaded from the Gateways in the environment e The product and contract information is then sent to the Price Server which enables the Price Server to process product and contract download request from client applications on the workstation e Atthis time trader risk limits are downlo
6. ER workstation when operating in simulation mode Synthetic orders provide functionality that is not natively supported by the exchange allowing users to reduce market impact and improve the timing of conditional execution TT SIM supports the following synthetic order types individually and in combinations e Timed Start Date Time End Date Time e Triggered Stops If Touched e Trailing Stops If Touched Limit e Sliced Iceberg Time Sliced Volume Sliced Time Duration Volume Duration e Retry Machine Gun e Stop If Touched Trailing Stop Trailing If Touched and Iceberg orders are native on some exchanges The Override Native checkbox found in the Order Pane allows users to send natively supported order types to the Synthetic Strategy Engine Synthetic SE instead of directly to the exchange Note TT SIM 7 16 2 or higher supports the Synthetic Strategy Engine s staged orders functionality X_STUDY TT SIM Feature Guide When in simulation mode X_STUDY users can continue to view updated charts All TT SIM trades and activity will be reflected in X_STUDY until the user switches back to production mode Switching back to production mode clears all trades and data generated in simulation and allows X_STUDY to provide an accurate view of production market activity Note X_STUDY requires access to a production version of the Financial Market Data Server FMDS 18 Trading Technologies I
7. T SIM Description and Initial Setup Y Simulation Settings General V Delete simulation orders and fills on restart Restart Simulation Figure 3 Simulation Settings Window You can use the Restart Simulation button to reset the current simulation trading environment Use the Delete simulation orders and fills on restart option to control market behavior on restart Option Description Delete simulation orders and fills on Sets whether the user enters simulation with a restart clear order book Traders should use this option to reset all orders and fills when approaching their simulation credit limits Table 4 TT SIM Configuration TT SIM Feature Guide 9 Trading Technologies International Inc Proprietary and Confidential Information 2 TT SIM Behavior TT SIM Functionality Market Updates TT SIM continues to update based on snapshots from the production price feeds When trading in simulation mode TT SIM combines production trading activity with all trades entered by the user into the simulated market Therefore trades entered into simulation directly reflects in all market data e g updates High Low LastPrc Volume etc The market reflects the trader s simulated working orders When a simulation trader s orders fill against production prices the production prices will reflect the lower quantity until the next snapshot of market activity is received from production Order Types Th
8. Unknown Unknown Note The Open state is not available in the Market State Block in ADL for this Block the Trading state is used instead Table 5 Product State Mapping 12 Trading Technologies International Inc Proprietary and Confidential Information 2 TT SIM Functionality Pro rata Matching Support Overview TT SIM 7 16 1 and higher offer Pro rata matching for specific products Products that do not support Pro rata are matched using First in First out FIFO time priority matching The matching occurs as configured regardless of the matching engine of the underlying market Older versions of TT SIM only allow for First in First out FIFO time priority matching This enhancement allows users to e run strategies against pro rata matching e assess trader performance against a pro rata matching engine Types of Pro rata Matching TT SIM Feature Guide Under FIFO matching large orders may prevent orders with smaller volume from trading in the inside market Pro rata matching allows orders of different sizes access to trade in the inside market TT SIM 7 16 1 and higher supports the following pro rata matching types e Vanilla Basic all orders on a price level get an equal proportion of lots e Priority The first order which betters the current market obtains priority status The Priority order is allocated before any other order is allowed to match In addition to basic Priority you can con
9. aded from the production TT User Setup database e The trader risk limits are sent to the Price Server to service logins from client applications The matching engine is now active While active the matching engine performs the following tasks e Subscribe to prices for all contracts for which it will perform matching e Forward price updates from the production Price Server to the TT SIMTM Price Server e Wait for orders submitted by the trader to be forwarded to the matching engine from the TT SIM Order Server Upon receiving an order the matching engine will e Determine if the order should match against any prices received from either the production Price Server or any orders currently working in the 11 Trading Technologies International Inc Proprietary and Confidential Information 2 TT SIM Functionality matching engine e If the matching engine determines that this is the case it will generate a fill and send it to the Order Server then send a Last Traded Price Quantity update to the Price Server e Ifthe matching engine determined that the order should not match against any prices received from either the production Price Server or any orders currently working in the matching engine it will send a bid offer market data update to the Price Server that includes this new order e When updates are received from the production Price Server the TT SIM matching engine will determine if they should be matched agai
10. antity e g 100 300 200 67 Any unfilled quantity e g 100 67 33 remains working in the market Pro rata Matching The following figure shows an example of Priority Pro rata matching Example 2 Priority Market Order Book O Time StampOrder Sell Bu 2 Order Price 92 05 92 05 Incoming Sell Order Sell Buy 92 05 Fill Book 00 a2 MORON 50 200 100 25 9 00 03 A3 Partial 150 200 100 75 92 05 In this figure 1 Three Buy orders are entered for a total quantity of 300 2 An incoming Sell order is entered for a quantity of 200 3 The first Buy order that betters the market gets priority and is filled In this example Order A1 appears first at 9 00 01 and a full quantity of 100 is filled 4 The filled quantity of 100 is subtracted from the Sell quantity of 200 leaving a Sell quantity of 100 remaining Buy orders for the remaining Sell quantity are partially filled using Pro rata matching Any unfilled quantities remain working in the market TT SIM Feature Guide 14 Trading Technologies International Inc Proprietary and Confidential Information 2 TT SIM Functionality Configuring Products for TT SIM 7 16 1 and higher includes the TTSimMatchingDefaults cfg file that Pro rata Matching determines which products by default use Pro rata matching The file is divided into sections based on exchange and asset class Example NYSE Liffe and Eurex exchange and asset cla
11. ation Controls all TT SIM components Note You must first disable TT SIM Manager before you can stop any other TT SIM related service Manages all matching that occurs in the simulated environment Determines which exchange products are available for trading in the simulated environment Performs all Guardian functionality in simulation mode Simulates the behavior of each TT Gateway component Simulation version of the TT AlgoSE Simulation version of the TT Synthetic Strategy Engine 22 2 TT SIM Functionality Files At startup TT SIM copies the production aconfig xml and aconfig_local xml from the tt config directory to tt config sim TT SIM reads the aconfig values to determine much of the simulated environment s behavior TT SIM creates simulation specific configuration and log files These appear in their own sim subfolder as tt config sim and tt logfiles sim directories Note TT SIM 7 16 1 or lower uses TTSIM Z as the exchange flavor for filenames e g TTSIM ZOrderServer cfg TT SIM creates or copies additional files that should not be altered by the user The table below lists the several key files that users may update or use for troubleshooting Filename Description Location tt config sim ProductFilter cfg TTSimParams cfg 7 16 2 or higher Environment cfg OrderServer cfg Location tt logfiles sim _mode_FillServer_Date log _mode_OrderServer_Date log
12. create a TT SIM Only product limit TT User Setup will use the existing product limit settings for the instrument For more information on setting limits refer to the 77 User Setup User Manual 20 Trading Technologies International Inc Proprietary and Confidential Information 2 TT SIM Functionality TT Gateways TT SIM leverages the TT Gateways that already exist in your trading environment for access to their production price feed Therefore you may only trade products that are available on your existing TT Gateways Also if configured for coalesced prices in production mode you will automatically receive coalesced prices in simulation mode To reduce load on the production environment TT SIM can only access gateway product types that do not allow access to all products For example Member A819 in Figure 4 allows access to all MEFF Futures products Therefore those traders will not have access to MEFF Futures products while in simulation mode In addition the MEFF Gateway will not appear in the simulation Guardian Note In simulation mode all TT Gateways appear with the same IP address as the local workstation when viewed in Guardian Since TT SIM simply consumes production market data it supports basic trading on all existing and future TT Gateways At this time TT SIM does not support exchange specific functionality Guardian TT Gateways do not appear in the simulated Guardian if they are confi
13. e following order types are supported on TT SIM e Limit e Market e Fillor Kill e Immediate or Cancel e Minimum Volume e Stop Limit e Stop Market e Timed Start Date Time End Date Time e Triggered Stops If Touched e Trailing Stops If Touched Limit e Sliced Iceberg Time Sliced Volume Sliced Time Duration Volume Duration e Retry Machine Gun Unsupported TT SIM will not initially provide support for the following functionality Functionality TT SIM Feature Guide e Detailed Depth e Strategy Creation e Wholesale Block Trades e Request for Quote RFQ e Recording replaying market data e Exchange specific order types e g Market to Limit orders on OSE 10 Trading Technologies International Inc Proprietary and Confidential Information 2 TT SIM Functionality Matching and Product States Matching Algorithm TT SIM 7 16 1 and higher offer a configuration file that determines which products use Pro rata matching Users may add remove products to configure matching for specific products Products that are not configured for Pro rata are matched using First in First out FIFO time priority matching The matching occurs as configured regardless of the matching engine of the underlying market Previous versions of TT SIM will only perform First in First out FIFO time priority matching regardless of the matching engine of the underlying market Specific market behavior e g BrokerTec Workup orders
14. eader X_STUDY TT SIM TT_TRADER TT CVD ADL Autotrader TT Trainer Back Office Bridge TTNET 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 O 2010 2013 Trading Technologies International Inc All rights reserved Trading Technologies International Inc Table of Contents About This Manual 000 42 4m wwe en e DAT a ws eas 4 TESIM varita a ae a AE ee E A ewe a a ee a A a Wea re 4 Additional Considerations oa ae oe a a E oa a e a a e e e d e e a a 5 Chapter 1 TT SIM Description and Initial Setup 222222220 nenn es 6 OVERVIEWE a a a ee ee eee ew ee eee ee G 6 Installation is cies 223 3 He ada an aa Re AER Bw ee eS BES 7 Post Installati n sec ceca cca ede rea ee a eee pee ede Pee Ce a EA eee ae 8 Chapter 2 TT SIM Functionality 0 un 00 a A ewe eee ee ee 10 TF SIM Behavior sw si er oa eR AAA AAA ee 10 Matching and Product States eria mie ee a wia Eok EEE a a 11 Pro r ta Matching SUPPO 4 wa an na nn a aa A we 13 Trading with TE SIM 44 34284 be ee ae ne ea hae eae eo hal dea Ae he 17 Administrating TESIM vad oria wk ea a AAA eee ee ee eee ee 20 Chapter 3 Frequently Asked Questions 000 eee eee 24 REGUIFEMENUS za war ah i oe a E A wee ae Ge a ere
15. eflects transactions that are specific to TT TT SIM Feature Guide SIM TT SIM generates a separate simulation version of the auditlog_date mdb in the tt logfiles sim 17 Trading Technologies International Inc Proprietary and Confidential Information 2 TT SIM Functionality Algo Strategy Engine TT SIM installs with a free local version of the Algo Strategy Engine The local Algo Strategy Engine runs on the trader s workstation and is only accessible in simulation mode This allows traders to fully test ADL strategies even if they do not have access to a licensed network Algo Strategy Engine Note In Guardian the local Algo Strategy Engine and all sim available TT Gateways appear with the same IP address of the local workstation When launching strategies traders will need to select the local Algo Strategy Engine in the Algo Dashboard window To allow easy access to the same strategies in both simulation and production mode traders should store all strategies in the same folder Strategies that are designed and launched in Algo Strategy Engine in TT SIM mode can be edited and launched in production Conversely strategies that are edited and launched in production mode may be edited and launched in TT SIM mode Both of these scenarios do not require additional changes to be performed Synthetic Strategy Engine TT SIM includes a simulated Synthetic SE server which runs locally on the X_TRAD
16. erms symbols and typographic conventions to categorize specific information Familiarity with these conventions will help you use this manual more effectively Convention Description ALL CAPITALS Indicates operating system commands and acronyms Courier New Indicates examples and anything that you must type exactly as it appears For example if asked to Type show version you would type the characters formatted in Courier New Bold show version exactly as they appear Courier New Bold Bold Indicates command buttons manual section names menu options folder directory names and file names Italic Indicates variables including variable text Variable text is used for labels that change dynamically based on their current context The wording of variable text does not exactly match what you see on your screen The title of books official documents articles and papers are also formatted in italics A wildcard The asterisk signifies any number of variable characters For instance in the case of doc the asterisk is a wildcard and doc signifies any file ending in doc Date Unless otherwise described Date is DDMMYYYY where DD is the two digit day MM is the two digit month and YYYY is the four digit year Table 1 Text Formatting Conventions TTSIM Feature Guide Trading Technologies International Inc Proprietary and Confidential Information 1 TT SIM Description and Initial Setup Overview Produc
17. exchanges when the computer wakes up Installing the TT SIM Software TT SIM Feature Guide Currently users must download and install the TT SIM as a separate installation Future versions of TT SIM will be available as part of the X_TRADER installation Note Prior to installing TT SIM ensure that the minimum client applications are installed The TT SIM components Order Server Price Server Fill Server Product Server and Matching Engine may be upgraded or uninstalled separately from X_TRADER Likewise TT SIM components will not be uninstalled in the event that X_TRADER is uninstalled TT SIM installs with free local versions of Algo Strategy Engine and Synthetic Strategy Engine in addition to the other TT SIM components The local Strategy Engines run on the trader s workstation and are only accessible in simulation mode Warning TT requires that users do not use a scheduling service like TTChron on A the same workstation as TT SIM Trading Technologies International Inc Proprietary and Confidential Information 1 TT SIM Description and Initial Setup Post Installation Overview When starting X_TRADER you simply select simulation or production mode in the Universal Login window Use the radio buttons to select whether X_TRADER starts in production mode LIVE or simulation mode TT SIM Username TRADER Password COTA O TT sIM 9 j Use of this
18. figure Priority with the following conditions Priority Minimum volume The order must meet the minimum volume threshold to obtain priority status Priority Volume Cap The first order which betters the current market obtains priority status however this only applies to the volume up to the volume cap The remaining quantity matches according to the standard vanilla pro rata matching scheme Priority Min Volume and Volume Cap an order is given priority status only if it meets minimum volume however only for the volume specified in the volume cap The remaining order quantity will be filled by vanilla pro rata matching 13 Trading Technologies International Inc Proprietary and Confidential Information 2 TT SIM Functionality Pro rata Matching The following figure shows an example of Vanilla Pro rata matching Example 1 Vanilla Market Order Book Time StampOrder Sell Buy anti Order Price Fill Book Fill Type Executed Qi JAN Order Price 9 00 01 Partial 100 300 2007 92 05 ar 9 00 02 a2 MERA so 3oo 20b433 a3 In this figure Partial 150 300 200 100 9205 1 Three Buy orders are entered at the same price for a total quantity of 300 2 An incoming Sell order is entered for a quantity of 200 3 Each Buy order at the same price level gets filled based on their proportion to the total Buy quantity e g 100 300 and the same incoming Sell qu
19. gured without product limits i e all products on that gateway use the asterisk wildcard to access all products You can add these Gateways by creating specific product limits in TT User Setup Regardless of your trading mode sim or prod using the Collect Logfiles functionality retrieves both simulation and production files All production logfiles appear in the tt logfiles directory while simulation logfiles appear in tt logfiles sim Coalescing Intervals TT SIM Feature Guide The price output from TT SIM is automatically coalesced However usage scenarios differ depending on the hardware and habits of TT SIM users so you can configure the trade data and non trade data coalescing intervals to simulate your production environment Trade data is immediately relevant to making trading decisions and consists of the following e Inside Market e Market Depth e Last Traded Price LTP of the most recent trade in the interval e Last Traded Quantity LTQ of the most recent trade in the interval e Trade State e Total Traded Quantity TTQ Non trade data is non actionable and not as time critical or immediately relevant to trading decisions and includes e Time amp Sales e LTP of all trades in the interval e LTQ of all trades in the interval e Settlement prices e Open and Close prices e Session Status In the tt config TTSimParams cfg file you can configure TradeDataUpdateInterval and NonTradeDataUpdateInterval
20. ies International Inc Proprietary and Confidential Information 18 18 17 10 21 22 20 19 18 10 23 23 23 23 10 18 21 10 10 10 10 Last Traded Price Leg Prices Licenses Limit Logfiles Logging In M Machine Gun Market Matching Algorithm Matching Engine Minimum Version Minimum Volume O Order Types P Product Access Product Limits Product Overview Product Server R Restart Simulation Retry RFQ Risk Checking Risk Limits S Scope Services SIM Guardian SIM Manager Simulated Exchange Simulation Bar Simulation Settings Sliced Spreads Stop Limit Stop Market Strategies Strategy Creation Switching Modes T Index 29 10 17 24 10 21 10 10 11 11 10 10 20 22 10 10 20 22 22 22 22 17 10 17 10 10 17 10 Index Text formatting conventions Timed Trailing Triggered TT Product Access TT SIM Components U Underlying Legs Universal Login V Version W Wholesale Trades X X_STUDY X_TRADER Workspaces 30 10 10 10 10 18 17 TT SIM Feature Guide Trading Technologies International Inc Proprietary and Confidential Information
21. isk Checking TT User Setup rather than Guardian is used for risk checking in TT SIM The risk limits set up in TT User Setup are controlled by your administrator By default TT SIM will impose the trader s production risk limits Note It is possible to obtain separate risk limits for production and simulation trading Adding or modifying risk limits intraday will not require a restart For more information contact your System Administrator or refer to the TT User Setup System Administration Manual Credit and Product Limits TT SIM Feature Guide TT User Setup supports TT SIM mode trading using existing gateway logins and user profiles Gateway logins and user profiles are configured as usual with the following exceptions e If you want the credit limit to be higher or lower for TT SIM trading you can set a different TT SIM credit limit for gateway logins and user profiles If you do not set a TT SIM credit limit then non TT SIM credit limits are used e If your existing product limits are configured with wildcards you must configure a new product limit that has a specific product type and product Users trading in TT SIM mode will not be able to see instruments with product limits that are configured with wildcards e If you want the product limits to be different for TT SIM mode trading you can create a new product limit and specify that it only applies to TT SIM trading If you do not
22. n A Warning TT strongly recommends that users do not place the workstation into If this occurs users may use the Restart Simulation functionality to reconnect the simulated exchanges Trading Technologies International Inc Proprietary and Confidential Information Installation 1 TT SIM Description and Initial Setup Pre Installation Tasks Users must ensure that the minimum client applications required for TT SIM are installed TT SIM allows administrators to establish custom trader setups for simulation using TT User Setup To enable custom values for simulation trading please contact your System Administrator to discuss the following e Custom simulation risk limits via TT User Setup e Access to new products in simulation mode via TT User Setup Note If a trader is configured to access all products for a particular market administrators must create a custom trader setup for the simulation environment For more information refer to the section called Trader Setup on page 20 Workstation Power Settings TT SIM requires a consistent connection to maintain functionality To avoid issues users must ensure that the computer that hosts TT SIM does not enter the Sleep Hibernate state TT strongly recommends setting the Windows Put the Computer to Sleep option to Never in the power options Failure to do so may result in missing market data and Guardian displaying as Price Feed Down for the simulated
23. nformation Send Us Your Comments TT SIM Feature Guide Version 7 15 Trading Technologies welcomes your comments and suggestions on the accuracy and usefulness of this publication Your input is important and valuable in revising our documentation and helps ensure a constantly improving level of quality e Did you find any errors e Is the information clearly presented e Do you need more information If so where e Are the examples correct Do you need more examples e Which features did you find particularly useful e What did you like most about this manual or document If you encounter any errors in this document or would like to share other suggestions you might have for improving this document send comments to documentation dept tradingtechnologies com If possible please indicate the chapter section and page number relevant to your feedback Trading Technologies International Inc Proprietary and Confidential Information Trading Technologies International Inc Proprietary and Confidential Information A Algo SE Algo Strategy Engine Audit Trail B Block Trades C Collecting Logfiles Components Configuration Credit Limits Custom Markets D Dashboard Detailed Depth E Environment cfg F Files Environment cfg OrderServer cfg Fill or Kill FMDS G Guardian H High Low Prices Iceberg If Touched Immediate or Cancel Installation L TT SIM Feature Guide Trading Technolog
24. nst any working orders the trader has submitted If so a fill and LTP update will be generated Matching in SIM vs Prod The TT SIM matching engine incorporates production price updates with simulated prices generated by synthetic orders Position in queue is maintained in a conservative fashion A simulated order can trade against a production price update only if the Traded Volume from production has increased This guarantees that position in queue can advance possibly generating a simulated trade only if production orders with a higher priority traded out Simple reductions in quoting quantity or even increases not accompanied by a change in Volume do not result in trades as the production orders could merely have had their quantities reduced maintaining position ahead of simulated orders In this way conservatively interpreting production price updates TT SIM maintains a simulated order s position in queue in as realistic a way as it is able Product States TT SIM Feature Guide TT SIM utilizes a smaller subset of product states than those found in production trading TT SIM maps the various product states as listed in the table below Product State in Simulation Product State in Production Pre Trading Pre Open Pre Trading Price Discovery Open Trading Fast Market Auction Open Auction Close Auction Reserve Leveling Closed Closed Post trading Freeze Expired Circuit breaker Not Tradeable Not Tradeable
25. nternational Inc Proprietary and Confidential Information 2 TT SIM Functionality Creating Custom Markets TT SIM Feature Guide Following a market close TT SIM continues to display market data based on the last snapshot received from the exchange In addition TT SIM responds to orders entered by the user By leveraging multiple customer accounts users can create custom markets after the market close Note Users may disable this functionality by using the Avoid orders that cross setting in TT User Setup AR 1 3 12 Per PCR 168858 To create a custom market 1 Leave X_TRADER in simulation mode and connected to the exchange through the market close Note The Price Server must be active and subscribed to the products while the contracts are available 2 Create multiple unique customers in the Customer Defaults window Each should use a unique account number 3 In MD Trader open the product s you would like to create a custom market X_TRADER displays the most recent snapshot of market activity 4 Right click the MD Trader window and enable the View My Orders Only and Filter by Customer Account options 5 Right click the MD Trader window and select Clone A second MD Trader window appears 6 Select a different account in each MD Trader window You may now enter separate orders and launch different algos in each window and monitor the effect in the custom market 7 You may enter addi
26. on it will load and subscribe to prices for all products when opened in simulation Once in simulation most X_TRADER windows display a gold Simulation Bar across the top Burma OOOO Fie Settings Window Help i zz A o Da 2ri 04 448977 Baw The following windows do not contain the Simulation Bar e Market Explorer e Create Strategies e Autospreader Manager e Alerts Manager e Plug ins e Properties e ADL window Strategies At this time TT SIM does not support strategy creation However you may access and trade all strategies that exist in the production markets Market data for the strategies themselves will appear correctly in TT SIM However since TT SIM includes your trades that have entered the simulated market you may see different prices on the leg fills than are actually being traded in production Spreads You must observe the following when trading spreads with TT SIM e Only calendar spreads are supported e TT SIM uses the following hierarchy when determining which market data to use for calculating the underlying leg prices 1 Inside market 2 Last traded price 3 Settlement price Implieds TT SIM now merges exchange provided implieds with the direct prices The exchange provided implieds are forwarded to the TT SIM matching engine and appear merged with the direct prices in the TT SIM price feed but do not appear in the Implieds column in X_TRADER Audit Trail When in simulation the Audit Trail only r
27. parameters to change the default coalescing interval in TT SIM For example you can configure 21 Trading Technologies International Inc Proprietary and Confidential Information 2 TT SIM Functionality these parameters to reduce coalescing of TT SIM s price output to more closely match that of a non coalesced production feed The TTSIMSimulatedExchange log file TTSIM ZSimulatedExchange in 7 16 1 or lower shows which parameters are copied from aconfig xml and aconfig_local xml files to TTSimParams cfg The following table shows the default values copied from the production files for the TT SIM coalescing parameters Aconfig TTSimParams cfg Default Value ms AConfig Core Server Exchange NonTradeDataUpdatelnterval 20 Specific lt exch gt Price Server NTDUpdateInterval AConfig Core Server Exchange TradeDataUpdateInterval 20 Specific lt exch gt Market Depth Interval mSecs Table 5 TT SIM Coalescing Parameters Components and All TT SIM components operate as separate Windows Services The following Services table lists all of the TT SIM components Component Service Name Description TT SIM Manager TT SIM Simulated Exchange TT SIM Product Server TT SIM Guardian and TT SIM GuardServer TT SIM Order Price Fill and Key Servers TT SIM AlgoSE TT SIM SSE Table 6 TT SIM Components Services TT SIM Feature Guide Trading Technologies International Inc Proprietary and Confidential Inform
28. software and related services and documentation is governed by a software licensing agreement View license agreement For additional questions please contact your Clearing Firm Figure 2 TT SIM in Production Mode To switch between modes simply exit and re launch X_TRADER Then select the mode you would like to start from the Universal Login window Trader Login To log in to TT SIM traders can use their Universal Login ID and password Traders do not need a separate login ID or password for simulation and production mode After the trader has entered their login information TT SIM will connect to the production TT User Setup database and download product and risk information associated with that login For more information regarding product and risk information for TT SIM please contact your System Administrator or refer to the TT User Setup System Administration Manual Note X_TRADER and all other TT applications on the client workstation can only operate in one mode simulation or production at a time Configuring the System All configuration for TT SIM is handled in the Simulation Settings window in X_TRADER On the Settings menu select Simulation Settings to access the Simulation Settings window Note You can only access the Simulation Settings while in simulation mode TT SIM Feature Guide 8 Trading Technologies International Inc Proprietary and Confidential Information 1 T
29. ss sections in TTSimMatchingDefaults cfg TT SIM Simulation Parameters File 1 0 SimulationParameters ProductProperties OrderDelay default 50 MatchingType default fifo NYSE Liffe FUTURE priority prorata 0 0 Mm ke cy ih Wl IMMA Ss 12 IMOIN TOS WISIN IWISIO WISI e 12 SARS OPTION priority prorata 0 0 RI RS LMM S ko EON EOS USW USC USP O P TWS Eurex FUTURE vanilla prorata FE01 FEU3 OEU3 OEUH OEUM OEUU OEUZ Pp To configure products for Pro rata Matching 1 Ina text editor open lt root drive gt tt config TTSimMatchingDefaults cfg Add remove products in a section Change the pro rata parameter to change the style of matching as needed The prorata parameter is followed by two values The first value represents minimum volume and the second represents volume cap Example CME pro rata configuration for Eurodollar options Eurodollar options Priority with Minimum Volume prorata 50 0 GE GEO GE2 GE3 GE4 E04 E01 Save the changes and close the file 5 Restart TT SIM from the X_TRADER control panel Click Settings and select Simulation Settings then click Restart Simulation TT SIM Feature Guide 15 Trading Technologies International Inc Proprietary and Confidential Information 2 TT SIM Functionality Products and Matching Type The following tables list the products and type of matching that TT SIM supports by default Product Type CME Fut
30. t Overview TT SIM is a real time simulated trading solution that operates with X_TRADER 7 11 2 and above This solution runs on the local workstation and offers a myriad of uses testing out new trading strategies training for traders API solution testing etc This product differs from Trading Technologies previous simulation solution the TT SIM Gateway and TT Trainer as it does not require a separate server or hosting Rather the new TT SIM is deployed locally on the X_TRADER workstation Once the trader wishes to switch from running in production mode they can simply switch via a button in the X_TRADER login screen to simulation mode While running in simulation mode the trader will have free access to X_TRADER Pro ADL Algo Strategy Engine Synthetic Strategy Engine X_TRADER API and TT API regardless of whether licenses exist for those TT products For more information on running TT SIM via X_TRADER please refer to the X_TRADER User Manual Hardware and Software Requirements TT SIM Feature Guide To run TT SIM the following minimum client application versions must be installed e TT User Setup 7 4 2 e X_TRADER 7 11 2 To utilize X_TRADER API applications TT SIM requires a minimum of X_TRADER API 7 7 3 Sleep or Hibernate mode when using TT SIM Entering Sleep or Hibernate mode may prevent the user from receiving market data and cause Guardian to display as Price Feed Dow
31. tional MD Trader window with separate customer accounts to create a larger market 19 Trading Technologies International Inc Proprietary and Confidential Information Administrating TT SIM 2 TT SIM Functionality Trader Setup By default TT SIM leverages existing TT User Setup trader configurations to determine available products and trader risk limits This allows traders to experience their production trading environment in simulation without additional configuration TT SIM does not support trader configurations that allow access to all products for a particular product type These configurations populate an asterisk in the Product column in the TT User Setup Product Limits window If a particular product type is configured to access all products in production administrators must create separate trader setups for simulation Product 7 TT Sih fritter y Prod Type 48 Member amp 2 Group 43 Trader 4 Gateway 45 filter y filter y i Iter y A819 SIM 352 MEFF B123 ADI 000 CME B er Figure 4 TT SIM and Product Limits Note In the image above Member B123 has product limits assigned for Futures Member B123 does not require a custom setup for simulation but may optionally create one Member A819 is configured for all Future products Therefore the administrator must create a custom TT SIM only setup and assign specific Futures products for that Member R
32. tructure Simulated data will not leave the client machine thus sharing is not possible What TT Gateways does TT SIM work with TT SIM underlying architecture is designed to work with all TT Gateways including those currently released and future releases At this time TT SIM does not support exchange specific functionality e g BrokerTec Workup Do need additional hardware Users can switch between production and simulation on the same workstation Therefore TT SIM does not require additional hardware You may require an additional hardware if you want to trade simulation and production at the same time 24 Trading Technologies International Inc Proprietary and Confidential Information 3 TT SIM Functionality Dependencies Will be able to use an old X_TRADER on the new Simulation Solution or do need to upgrade my X_TRADER You must upgrade to at least X_TRADER 7 11 in order to use the Simulation Solution Besides X_TRADER what other clients are supported amp what version do I need to be on Initially only X_TRADER will be supported Future versions of the simulation solution will support FIX Adapter and the other API products TT SIM Feature Guide 25 Trading Technologies International Inc Proprietary and Confidential Information Functionality 3 TT SIM Functionality Market Data Will there be a price delay in the Simulation solution No TT SIM receives real time li
33. ubleshoot issues and errors related to specific TT SIM components Table 7 TT SIM Files TT SIM Feature Guide Trading Technologies International Inc Proprietary and Confidential Information 23 3 Requirements Frequently Asked Questions Licensing Billing How will customers be charged for TT SIM TT SIM will be included for free with X_TRADER licenses To use TT SIM what licenses are required Does TT SIM consume an X_TRADER license To use TT SIM users must have access to X_TRADER However TT SIM does not consume an X_TRADER license Also because the solution depends on live market data users must have production TT Gateway licenses to access the instruments they wish to trade lam not an X_TRADER Pro user Will I have access to TT SIM X_TRADER users will have full access to the TT SIM solution When in simulation mode all X_TRADER users will have access to X_TRADER Pro features even if they do not have an X_TRADER Pro license Network Environment TT SIM Feature Guide Does the market need to be open in order to use the Simulation Solution Yes because all of the market data and instrument definitions come from the live market In addition their TT Gateway must be connected to the exchange Do I need to run the simulation infrastructure on my own workstation or can take advantage of someone else s installation Each trader must run their own simulation infras
34. ures CME Spreads CME Options CME Energy Matching Type Priority Priority with Min Vol and Volume Cap Priority Pro Rata Vanilla Priority with Min Vol and Volume Cap Priority with Min Vol Priority Priority with Min Vol and Volume Cap Priority with Min Vol Priority Product Symbols SEV SDV DFV EJ SFV KEV GLB EB STV KDV OSS GE EED SKV KFV DNV DTV KTV MNY CNY ISM CB WP CSC GNF GDK LE DY DC GF Q02 LBS 004 CPO YO1 HE YO3 YO2 Y04 Q06 SG1 CCA SG2 REU FLY NXS NXA NBZ ULS HOL 7FT CLS BZS BZL CLL RBL HGT GCT SIT ZM ZL EH XW XC ZC ZO ZW QS5 ZS XK QCW DDG QM2 AW ZR QC3 QO2 SQ2 WQ6 QW2 QC8 QS9 QO6 QC6 QM6 QW3 SQ5 QX5 QC2 QS2 QC4 QW6 S7C ZWC SA 71 ZT ZQ SR Z3N 13 IS MWE IW IH IC IP KE EJ GE GLBGE EB OSS GLB CNY MNY DY CSC GNF DC GDK ISM WP CB LEHE LBS HE GF CSCDC CPO LE REUEAF FLYEAF FLY REUCPL REU CCA REUCRE ULS BZS RBT NGT CLT CLS CLL NBZ RBL HOL PPM PPE BZL HOT ZM EH ZL XC ZO ZW XK ZS ZMZLZS ZR DDG XW ZC AW ZCZW ZQ SR ZT 71 ZB ZF UB 13 Z3N SA ZN IS IC IP IH IW MWE RME KRW 6Z 6B FXD RMB 6S RMY 6A ILS 6J J7 TRE TRY 6L 6M CZK CJY PLN 6C RP ESK 6R SEK RF SJY ACD PJY NOK 6E PSF EPZ 6N AJY EHF HUF RY E7 EAD ANE ECD ECK ENK YM DD OZQ OZF OZN OZB ZB2 OZC OZS OZW OZM OZL ZC1 ZS4 ZN4 OUB ZC4 UB4 ZB4 ZN1 OZO UB2 ZF1 OZT ZF4 ZT4 ZB1 ZT2 ZT1 ZC2 OMW KE OKE Eurodollar Option Spreads GE GEO GE2 GE3 GE4 E04 E01 LAX CUS CHI NYM CAO ERO ULO ULE C26 U30 U27 U01 U26 C30 C25 C27 C01 LO1 L27 L30 L26 MCW ZW1 MC6 OZC OZS OZO
35. ve data from the production TT Gateways TT SIM does offer a user configurable delay that can be used to simulate certain market conditions How many instruments can I simulate with the new simulation solution TT SIM s overall performance is directly related to the workstation specifications TT SIM has shown remarkable stability when connected to dozens of TT Gateways providing access to hundreds of instruments The quality of the simulated trading experience increases as the workstation s specifications increase Will it be possible for 2 traders sitting right next to each other to see different simulated market data Yes The amount of simulated orders and the amount of liquidity in the contract may result in different market data for different traders Order Entry TT SIM Feature Guide Can I trade both Simulation and Production at the same time from the same workstation No at any given time a user may be logged into the TT System in Production Mode or Simulation Mode but not both Can I trade products in simulation that I can t trade in production Yes The administrator will have the ability to enable products for trading in simulation only Is Pro Rata matching supported Yes Pro Rata matching is supported in 7 16 1 and higher for certain products Older versions of TT SIM support First in first out FIFO matching only 26 Trading Technologies International Inc Proprietary and Confidential I
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