Fill Recapper User Manual
Contents
1. 5 9 11105 Theo Qty Act Qty 10 11110 Theo Qty Act Qty 10 Q 11115 Theo Qty Act Qty 0 6 1 1 2 1 1 2 1 B 48 2 4 2 B 48 4 8 5 B 48 4 8 5 C 20 1 1 C 20 2 2 C 20 2 2 D 20 1 1 D 20 2 2 D 20 2 2 Allocation 1 Buy 25 Allocation 2 Sell 25 same as Allocation 1 Lot Lot Acct ot ot A B C D 1 11105 2 B 11105 3 B 3 B 11105 4 C 4 E 11105 5 D 5 D 11105 6 6 11110 7 B 7 B 11110 8 B 8 B 11110 9 B 9 B 11110 10 B 10 B 11110 11 B 11 B 4 11110 12 12 B 11110 13 amp 13 5 11110 14 D 14 D gt 11110 15 D 15 D 11110 16 11115 17 MEE 11115 l 18 B gt 11115 s 19 B 11115 20 B 11115 21 B E 11115 gt 22 5 E 11115 23 6 11115 24 D 11115 25 D 4 11115 11111 25 11111 00 11111 00 Average Price 11110 00 11111 25 11111 00 11111 00 Results same as Allocation 1 1 11105 1 9 11110 1911115 1 11105 1 9 11110 1911115 B 2 11105 5 911110 5Q 11115 B 20 11105 5 11110 5 11115 C 1Q 11105 2911110 2 Q 11115 1Q 11105 2 11110 20 11115 Fill Recapper User Manual 37 Trading Technologies International Inc D 1 11105 2 11110 2 9 11115 D 1 11105 2 11110 2 11112. 40 Fill Recapper User Manual 3 Trading Technologies International Inc Fill Recapper Overview Fill Recapper is an add on application to X_TRADER Pro that can be used to manage fills perform post trade allocations and export fills Fill Recapper combines the X_TRADER Fill Window Trade Book and Order Book functionality The post trade allocation tool allows fills to be allocated to accounts based on a preconfigured percentage for each account in a group or allocated to accounts based on entered quantities The allocation methods use algorithms which ensure fairness for each order and adhere to the guidelines provided by CFTC Fills can be exported either manually or on a scheduled basis and the layout of the export file can be configured by the user Installation 1 Verify that both X TRADER and the X_TRADER API are installed with the appropriate TTM version Verify that X_TRADER Pro is enabled 2 Double click on the installation file i e Fill Recapper Install exe This opens the Fill Recapper installation wizard 3 Click the Next button through all of the screens of the installation wizard making sure to accept the license agreement Change the default User Information and Destination Folder if desired 4 The application will be installed The last screen will display a message stating that Fill Recapper was successfully installed 5 Click the Finish button A Fill Recapper shortcut icon w
3. Pane 4 Allocation Pane Unallocated Mode Allocate To Accounts Name Required Default Definition Allocate To Groups Yes True Allocate the fills to a pre configured group of accounts Allocate To Accounts Yes Allocate the fills to one or more accounts not established as a group Account Number Yes The account number of the accounts to which the fills should be allocated Percent or Quantity Yes Depending on the Allocation Method selected on the Allocation Settings screen either the Percent or Quantity column displays e Percent displays the percentage of the total number of fills which should be allocated to each account e Quantity displays the actual number of fills which should be allocated to each account Allocate Allocates the fills to the accounts in the percentages quantities entered This button will not be enabled until 100 of the total selected quantity is distributed amongst the accounts Selected Qty Displays the total filled quantity of the selected fills in the top pane Total Depending on the Allocation Method selected on the Allocation Settings screen either the Total percent or the Total quantity If allocating in percentages the Total field displays the sum of the Percent values entered for each account It needs to equal 100 Fill Recapper User Manual 12 Trading Technologies International Inc before the Allocate button is enabled If alloc
4. Avg Sell Price Buy Spread Qty Sell Spread Qty Net Spread Qty Buy Spread Price Sell Spread Price _ 5 Alloc Field 1 Text A1 Text B1 Text C1 Text D1 Alloc Field 2 Text A2 Text B2 Text C2 Text D2 Alloc Field 3 Text A3 Text B3 Text C3 Text D3 Percent Allocate Selected Oty 36 Total 100 Remaining 0 Fill Count Fill Recapper Main Window Menu 210 Open TOES File Figure 1 Fill Recapper main window Unallocated Mode Allocate To Group 9 34 08 AM Navigate to select a TOES file in order to read TOES IDs and Descriptions into the fills displayed Print Prints the Trade Pane Aggregate Pane Summary Pane Allocation Pane or All Panes of the Fill Recapper main window Each pane can be individually printed via their respective contact menus Saves the Trade Pane Aggregate Pane Summary Pane Allocation Pane or All Panes of the Fill Recapper main window These panes are saved as csv files in the Fill Recapper Saved Panes folder Each pane can be individually saved via their respective contact menus Exit Exits Fill Recapper Format Font Formats the Font of the Fill Recapper main window Font Size Formats the Font Size Bold Bolds the text Italic Italicizes the text Align Left Left aligns the text in the columns Align Center Center aligns the text in the columns Align Right Right aligns the text in the columns Color Settings Opens a color confi
5. TRADING N TECHNOLOGIES FILL RECAPPER USER MANUAL VERSION 4 1 8 DOCUMENT VERSION 4 1 8 DV1 3 5 14 LEGAL This document and all related computer programs example programs and all TT source code are the exclusive property of Trading Technologies International Inc 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 in 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 limited to service brand names slogans and logos and emblems including but not limited to Trading Technologies the Trading Technologies Logo TT X TRADERG X RISKG MD Trader Autospreader X STUDYG TT TRADERG TT CVD ADL Aut
6. Scheduled Frequency Trigger Time Dates Date Range Times Time Range Export Upon Closing Fill Recapper Output Output Path File Mode Prefix Extension Delimiter Text ID P Projects Fill Recapper src export New File Export csv i None IV Post Export Command C postexport bat Zf Fields Available Fields Selected Fields Move Up Blank 01 Row Number Blank 02 Exchange Move Down Blank 03 B S X Blank 04 Filled Qty Blank 05 Wik Qty Blank 06 Avg Price Blank 07 Currency Blank 08 P F O E Blank 09 Product Trade Grid Layout Blank 10 Expiry vy M Include Header Row Export Fills Apply OK Cancel Figure 14 Export Settings Export Settings Name Required Default Definition Configuration Yes Fill Export Name of this particular export settings configuration Name Export Mode Yes Trade Grid Please refer Table 1 Export Details below Fills Exported Yes All Fills There are three options in this dropdown list e All Fills Export All Fills that are in the Trade Pane e Selected Fills Only export fills that have been selected in the Trade Pane e Visible Fills Only export fills that are visible in the pane that is being exported The Trade Pane can have items that are visible and not selected Fill Recapper User Manual 24 Trading Technologies International Inc but the Aggregate and Allocation panes can only have items that are Visi
7. About Fill Recapper Opens the splash screen with the application version number Save Internal Data Saves internal order and fill data from Fill Recapper to a file Fill Recapper User Manual Trading Technologies International Inc Pane 1 Trade Pane Name Definition Row Numbers Number of the row Generated based on time of the order Selected Indicates whether or not the fill is selected Exchange Exchange at which the order is working or the fill was executed B S X Buy B Sell S Buy Spread Fill XB or Sell Spread Fill XS Filled Qty Filled Quantity Wrk Qty Working Quantity Avg Price Average Price for Full and Partial Fills Currency Currency P F O Partial P Filled F Order O Cancelled order that s been partially filled Cxl or Deleted order Del Product Exchange symbol or product name Displays the Product s Alias if Product Alias is selected in the Preferences menu Expiry Expiration Month Year Account Account number Member Trader s Member ID Group Trader s Group ID Trader Trader s Trader ID Acct Type Account Type Date Order Date of the order Time Order Time of the order Date Exch Exchange Date of the order Time Exch Exchange time of the order Instrument Product symbol plus the expiration month year Order Num Order number assigned by the exchange Qty Order Or
8. FFT2 FFT3 Group Member Product Trader Based On Yes Export Schedule Only enabled if Auto Allocate is selected Different options are e Every Fill once an order is entirely filled or cancelled e Export Schedule immediately prior to each scheduled export e Fill Quantity when the quantity of all unallocated fills surpasses the entered fill quantity threshold Quantity Displayed for automatic allocation only if Based on Fill Quantity is selected in the Based On dropdown box Automatic allocation will occur once all unallocated fills surpass the specified quantity threshold Group Name Yes Name of the group of accounts to be used in the allocation This is populated based on the groups set up in the Edit Allocation Groups window The accounts which display in the right side of the fourth pane are dependent on the group selected Account Name The name of each account in the selected group Account Number Yes The number of each account in the selected allocation group Percent or Quantity Yes Depending on the Allocation Method selected on the Allocation Settings screen either the Percent or Quantity column displays For Percent displays the percentage of the total number of fills which should be allocated to each account For Quantity displays the actual number of fills which should be allocated to each account This value is defaulted based on Fill Re
9. ID supplied by the TT gateway Pane 2 Aggregate Pane Name Definition of Fills Number of partial fills for all of the trades that are selected Exchange Exchange at which the fill was executed Product Exchange symbol or product name Displays the Product s Alias if Product Alias is selected in the Preferences menu Expiry Expiration Month Year of the selected fills B S Buy or Sell Filled Quantity Filled Quantity Price Price of the selected fills Currency Currency Pane 3 Summary Pane Name Definition of Fills Number of fills for all of the trades that are selected Total Buy Qty Total number of lots bought When spreads are selected refers to the qty of the underlying legs that were bought Total Sell Qty Total number of lots sold When spreads are selected refers to the qty of the underlying legs that were sold Net Quantity Total number of lots bought minus sold Avg Buy Price The average price of the lots bought When spreads are selected refers to the average price of the underlying legs that were bought Avg Sell Price The average price of the lots sold When spreads are selected refers to the average price of the underlying legs that were sold Buy Spread Qty If spreads are selected displays the number of spreads bought Sell Spread Qty If spreads are selected displays the number of spreads sold Net Spr
10. TTORDPS 001 001 06 23 2008 3 28 55 AM CME Oct08 18 1271 ps001001 A1 TTORDPS 001 001 06 23 2008 9 28 58 AM CME Oct08 15 1271 ps001001 A1 TTORDPS 001 001 06 23 2008 9 29 07 AM mo NANO 4k 1270 RAMI AT TThDnDc AM nm neci579nno o 0 no AM 2 0 MV n Cn CD N CO Se Seer Exchange B S Filed ty Price Cumency P F Product Expiry Account Member Group Trader Acct Type Date Order Time Order_ Date Exch CME HET 3550 0 USD GE Malo ps001001 TTORDP 001 O01 A1 06 23 2008 9 28 39AM 06 23 2008 CME Ej 4 95500 USD GE Marl ps001001 TTORDP 001 001 Ai 06 23 2008 3 28 38AM 06 23 2008 CME Bia 2 9550 0 USD GE Marl ps001001 TTORDP O01 001 Al 06 23 2008 3 28 38 AM 06 23 2008 CME B 1 95500 USD GE Mado ps001001 TTORDP O01 001 Al 06 23 2008 3 28 38 AM 06 23 2008 SES CME 9549 5 USD GE Marl ps001001 TTORDP 001 001 Al 06 23 2008 9 28 42AM 06 23 2008 gt 61 62 63 64 65 66 B 68 ca lt Ro 1 2 amp 4 5 i of Fills Total Buy Qty Total Sell Qty Net Oty Avg Buy Price Avg Sell Price Buy Spread Qty Sell Spread Qty Net Spread Qty Buy Spread Price Sell Spread Price 5 25 14 9550 9549 5 Allocate to Accounts Groups pz Account Number Percent Allocate Selected Oty 38 Total 10 Remaining 0x Fill Count 210 93532AM Figure 2 Fill Recapper main window Unallocated Mode Allocate To Accounts
11. The default values are red blue dark blue and dark red respectively Working orders that are not partially filled can also be highlighted with a custom back color the default color is white Held and Deleted orders can also be highlighted with a different back color the default back colors are Orange and Light Brown Figure 10 below illustrates the Select Colors windows Fill Recapper User Manual 18 Trading Technologies International Inc 2 Select Colors Please select appropriate color scheme Back Color Order Color C Buy O Buy Spread O Partial Fil 7 Sek NE sese f Spread MAN Exchange B S X Product Expiry Filled Qty Avg Price Account CME 35 114700 USD Ir EUREX 168 5 EUR Cxl eCBOT 112020 USD 21 8 15 Restore Defaults 2X Cancel A Update Figure 10 Select Colors Window Fill Recapper User Manual Trading Technologies International Inc 19 Allocation Settings The Allocation Settings window allows a user to choose the algorithm which should be used for allocation as well as set several other settings used during the allocation process A user can also specify whether to allocate the leg fills for a spread or the spread fill itself This window is used to determine whether the allocation will be done by percentages or by specific quantities This window can also be used to set up the accounts which will require allocations By default all accounts can be allocated However if t
12. also contain a second set of those allocated rows except that the Alloc Action will be Delete A separate file will be created when a previously exported allocation is deleted if the option is enabled on the Allocation Settings window For fills that were allocated with the Average Price and Quantity allocation the Allocation Grid export will be exported without Export Details regardless of whether the Export Details checkbox is selected This is a result of the individual fill details being lost during averaging process All other allocation styles will follow the selected export settings Fill Recapper User Manual 27 Trading Technologies International Inc Allocation Algorithms 1 There are two parts of the fill allocations process 1 Allocating the Quantity of lots to each account in the group and 2 Allocating the Prices of the lots to the accounts While these two steps are dependent on each other the allocation of prices of the lots becomes simpler if the number of lots to be allocated to each account is determined first 2 The allocating of quantity process involves the following 5 steps See Figures 15 17 for examples of this process Note that the tie and rotation tallies cycle on a per account basis This information is stored in the GroupAllocation cfg file located in the Fill Recapper Config folder o Step 1 Multiply the Target Allocation 96 by the Fill Quantity to get the Target Quantity for each Account Al
13. before allocation can proceed this value needs to be 0 before the Allocate button is enabled Below is a second screen shot of the Fill Recapper main window in Unallocated Mode Figure 2 This version is used to allocate to one or more accounts which may not be part of a group The Account Number dropdown is populated with all accounts that are included in any groups as well as any account number which has been entered previously while allocating to accounts The user can also enter up to three additional values for each account s fills The fields and buttons included in this version of the Allocation Information Pane Pane 4 are listed The other panes are the same as Figure 1 Fill Recapper User Manual 11 Trading Technologies International Inc IE Fill Recapper Unallocated Mode FER File Format Views Preferences Allocation Export Help Ewchange B S X Product Expiry Filled Qty Avg Price Account Acct Type Member Group Trader Order Type Date Order Time Order E CME B Marl 31 9550 ps001001 A1 TTORDPS 001 O01 05 23 2008 9 28 33AM L CME Mario 11 9550 ps001001 A1 TTORDPS 001 001 05 23 2008 9 28 39AM L CME Mario 25 9549 5 ps001001 A1 TTORDPS 001 O01 06 23 2008 9 28 42AM L CME Oct08 15 1276 2 ps001001 A1 TTORDPS 001 001 06 23 2008 8 228484M L L L L L 1 CME Oct08 15 1277 ps001001 A1 TTORDPS 001 001 06 23 2008 3 26 48 AM CME Dct08 17 1271 94117 ps001001 A1
14. in Unallocated or Allocated Mode The allocation configuration pane is visible while in the Unallocated Mode The allocation percentages accounts and settings can be made in this pane The allocated grid pane is Fill Recapper User Manual 14 Trading Technologies International Inc visible while in Allocated Mode The Allocations can be viewed by selecting the desired fills from the Trade Pane All fills associated with a selected allocation will also be selected to view the entire allocations fills The Trade Pane columns can be re positioned and resized to any desired location and size Clicking on the column header will sort the fill information by the selected column Allocation Pane Unallocated Mode Functionality 1 10 Group information is saved in a flat file called GroupAllocation cfg and it is located in the Fill Recapper Config directory An Account Number is required for each account in each group Duplicate account numbers cannot be entered within the same group Scrollbars will display in the Group Names and Account Names list boxes if all rows cannot display within the viewing area The user can enter into the Automatic allocation criteria column one or more criteria values it is important to note that the criteria values entered for one group must be unique to that group For example if the automatic allocation is based on Trader one or more Trader Id values Separated by commas can be mapped to each
15. of Fills 5 Allocate to Group Name Default 11 C Accounts Short selling Fund Pensions Global Macro Add Group 25 14 9550 Groups Auto Allocate Account Name Account A Account B Account C Account D 9550 9550 9549 5 1276 2 1277 1271 94117E ps001001 1271 1271 1270 4990 Currency P F Product Expiry P BE GE GE GE GE P P F E 9549 Account Number PS1114 PS111B PS111C PS111D ps001001 ps001001 ps001001 ps001001 ps001001 9 28 334M USD 9 28 394M USD 9 28 42AM USD 9 28 48AM USD 9 28 48AM USD 9 28 554M USD 92858AM USD _ 9 29 07AM USD 9 23 08AM USD MANAN ava tien Al TTORDPS 001 001 L 06 23 2008 A1 TTORDPS 001 001 06 23 2008 A1 TTORDPS 001 001 06 23 2008 Al TTORDPS 001 001 06 23 2008 Al TTORDPS 001 001 06 23 2008 Al TTORDPS 001 001 06 23 2008 A1 TTORDPS 001 001 06 23 2008 A1 TTORDPS 001 00 06 23 2008 Al TTORDPS 00i 00 06 23 2008 aq TTnhnnne AM nos nean non ps001001 ps001001 ps001001 anman ERE Date Exch Ti 06 23 2008 2 06 23 2008 2 06 23 2008 2 06 23 2008 2 06 23 2008 2 Account ps001001 ps001001 ps001001 ps001001 ps001001 Time Order 9 28 39 AM 9 28 39 AM 9 28 39 AM 9 28 39 AM 9 28 42 AM Member Group Trader Acct Type Date Order TTORDP 001 001 Al 06 23 2008 TTORDP 001 001 Al 06 23 2008 TTORDP 001 001 Al 06 23 2008 TTORDP 001 001 Al 06 23 2008 TTORDP 001 001 Al 06 23 2008 Marl Marl Marl Marl Mario
16. the items from the right hand side respectively All of the items on the right hand side will be used as the filter criteria Range filtering is available for numerical fields If the user enables the Select on Click feature visible when the filter is being applied to a column that doesn t filter by a range a filter criteria will be added to the right hand side when the user clicks on the criteria in the left hand column Y Filter Information Filter Criteria Product Selected Product ES FDAX zB lv Select on Click Cancel Figure 6 Filer Fill Information Add View The Add View window enables the user to save the current filter set with a unique name This name will then be added to the list of available Views Selecting this view from the available list of views will filter the data according to the filter set within this view If this value is set to an existing view name the user can choose to overwrite that filter view with the current filter set Fill Recapper User Manual 16 Trading Technologies International Inc Add View Y Add this filter set to your Views list Name FDAX Allocation Cancel Figure 7 Save Filter View Organize Views The Organize Views window allows the user to interact with the saved views The user can select the view in the top pane and the details of that filter are displayed in the second pane View names can be changed through double clicking on the view name Views ca
17. value if selected Order Pane Active Allows the Order Pane to be accessible upon left click if selected Send to Market Confirmation Archive Log Files Displays a confirmation message when an order is sent to market if selected Archives the following files upon shutdown if selected AllocationDetails dat Allocationltems dat ExportedAllocationIDs dat ExportedFills dat ExportedPartialFills dat Allocation No Allocation Unallocated Mode Allocated Mode Select the Allocation mode of the screen Choose either No Allocation Unallocated Mode or Allocated Mode Allocation Settings Opens the Allocation Settings window to specify global allocation settings Export Fills Upon selection immediately exports the fills based on the specified export settings Export Settings Opens the Export Settings window to configure the global export settings See Figure 6 Export TOES Block Order File Notes mapped from This option is only visible while in No Allocation mode Creates a bot file listing all displayed working orders in the TOES bot format and places the file in the Fill Recappern Block Orders folder Before creating the file a pop up window is displayed asking if all displayed working orders should be deleted before exporting them Select the field that will be mapped to the Notes field in the bot file Contents Opens the ReadMe documentation file
18. 5 Figure 22 Traded Average Fill Recapper User Manual 38 Trading Technologies International Inc Fill Recapper Files Fill Recapper has many file used to store settings and manage persistence for allocated and exported items During the process of allocation and exporting Fill Recapper can create numerous files An administrator may wish to archive and remove these files from the system from time to time Files which should not be archived and remove are listed below These files are critical to the reliable functioning of Fill Recapper These files can be found within the Fill Recapper folder installed by default at C TT Prof Serv Fill Recapper The files within the Fill Recapper Data directory with the date time stamp appended to the name can be safely archived and removed as well as any file within the Export directory File Location Fill Recapper Config Example File Name FillRecapper cfg Description Configuration file used to store all of the default settings for the application including column location and width Preference Settings and Color settings Fill Recapper Config ExportSettings cfg Configuration file used to store all of the export configuration details Copying this file to another computers Fill Recapper Config directory will enable sharing of export settings that were saved Fill Recapper Config GroupAllocation cfg Configuration file used to store all of the Allocation conf
19. C 11115 B 11 B 11110 B 12 B 11110 B 13 B 11110 B 14 B 11110 B 15 B 11110 B 16 B 11110 B 17 B 11110 B 18 B 11110 B 19 B B 20 B B B B B Average Price 11105 00 11109 17 11115 00 11115 00 Average Price 11105 00 11109 17 11115 00 11115 00 3 11105 3 11105 B 2 11105 10 11110 B 2 11105 10 911110 e 5 11115 9 5 11115 Fill Recapper User Manual 35 Trading Technologies International Inc D 5 11115 5 11105 Theo Qty 0 6 2 4 1 1 B 48 C 20 D 20 n 10 11110 Theo Qty D 5 11115 Figure 20 Highest Price to Highest Account Number 10 11115 Theo Qty 1 2 1 1 B 48 4 8 5 B 48 5 C 20 2 2 C 20 2 D 20 2 2 D 20 2 Based on the quantities and prices being allocated the calculated mathematical average is 11111 0 Allocation 1 Buy 25 Results 25 12 2 3 Q 11111 0 B 25 48 12Q 111110 C 25 20 5 11111 0 D 25 20 5 11111 0 Allocation 2 Sell 25 Results same as Allocation 1 B 25 48 12Q 111110 C 25 20 5 Q 11111 0 D 25 20 5 9 11111 0 Figure 21 Average Price and Quantity Fill Recapper User Manual 36 Trading Technologies International Inc
20. Ties Account A 12 6 50 0096 13 6 46 1596 Account B 19 10 52 6396 19 10 52 6396 Account C 11 5 45 4596 11 5 45 4596 Account D 10 5 50 0096 11 6 54 5596 Totals 52 26 54 27 Refer to the statistics below for Figures 11 14 Figure 17 Quantity Allocation Process Example 3 Account Total Quantity Quantity 5 10 10 12 Price 11105 11110 11115 11111 00 25 Fill Recapper User Manual 31 Trading Technologies International Inc Allocation 1 Buy 25 Allocation 2 Sell 25 Starting Price Lowest Starting Account A Starting Price Lowest Starting Account B Lot Acct oo NIO O1 Co o UJ U w U U U CO O U U O U U O W UJ Average Price 11106 67 11112 92 11110 00 11110 00 11112 50 11110 00 11110 00 2 11105 1 9 11110 1 11105 2 11110 B 1 11105 3 911110 8 11115 2 9 11105 2 011110 8 11115 1 11105 3 911110 1 9 11115 1 11105 3 911110 1 9 11115 Figure 18 Rotation of Accounts C 1 11105 3 911110 1 9 11115 1 11105 3 911110 1 9 11115 Fill Recapper User Manual 32 Trading Technologies International Inc Allocation 1 Buy 25 Allocation 2 Sell 25 Starting Price Lowest Starting Price Lowest Chance of each account 1 Total Quantity Left Total Quant
21. Unallocated mode Allocated fills can be de allocated In order to de allocate select the appropriate fill s in Allocated Mode and right click in the Allocation Pane A menu will appear with the option to Delete Allocation ID Clicking on that option will remove the allocation information for all fills that were allocated at that time all fills with that Allocation ID See the Export File section for information on how allocated and de allocated fills are displayed in the export file Fill Recapper User Manual 15 Trading Technologies International Inc Filter Information The Fill Recapper has an advanced filtering system similar to X_TRADER Multiple filters can co exist allowing the user to view selected rows in the top Trade pane Double clicking on an individual cell will apply a filter for the column with the filter set to the cell s contents Right clicking on the column headers displays a filtering window enabling the user to select a range or group of items to filter One or many items or a range can be selected to filter against Below is a screen shot of the Filter Fill Information window Figure 6 Clicking on the single forward arrow gt adds the highlighted item to the right hand side Clicking the double forward arrow gt gt will add all of the items to the right hand side Similarly clicking on the single back arrow lt or double back arrow lt lt will remove either the selected item or all of
22. a ExportedPartialFills dat A persistence file used to store the TT Order Keys of the Partial Fills that were exported This file follows the same rules as the Allocationltems dat file Fill Recapper Data ExportedAllocationlDs dat A persistence file used to store the TT Order Keys of the Allocated Items that were exported This file follows the same rules as the Allocationltems dat file Note No files are ever removed by the application including log files and persistence files used to track allocations and exports These may be removed by an administrator periodically and archived if so desired Requirements This application requires e X_TRADER API e X TRADERQ Pro Fill Recapper User Manual 40 Trading Technologies International Inc
23. ating in quantities the Total field displays the sum of the Quantity values entered for each account It needs to equal the Selected Qty before the Allocate button is enabled Remaining If allocating by percentage this value displays a percentage amount that needs to be distributed between the allocation accounts before allocation can proceed this value needs to be 0 before the Allocate button is enabled If allocated by quantity this value displays the number of lots that needs to be distributed between the allocation accounts before allocation can proceed this value needs to be 0 before the Allocate button is enabled Below is a third screen shot of the Fill Recapper main window in Allocated Mode Figure 3 This view is used to inspect the fills which have already been allocated along with specifics about the allocation The fields included in this view of the Allocation Information Pane Pane 4 are listed The other panes are the same as Figure 1 a Fill Recapper Allocated Mode ej File Format Views Preferences Allocation Export Help Exchange B S X Product Expiry Filled Qty Avg Price Account Acct Type Member Group Trader Order Type Date Order Time Order Currer CME B GE Maio 11 9550 ps001001 A1 TTORDPS 001 001 E 05 23 2008 9 28 394M USD CME 5 GE Marlo 25 9549 5 ps001001 A1 TTORDPS 001 001 05 23 2008 9 28 424M USD Exchange B S Filled Qty Price Currency P F Prod
24. ble These items can only become visible if they are selected in the Trade Pane New Fills Only Checked Option to only export fills which are new since the last export If no export occurred since starting the application all fills will be exported Export Details Unchecked Please refer Table 1 Export Details below Scheduled Yes Unchecked If checked fills are exported on a scheduled basis Run on Weekends Unchecked Only enabled if Scheduled is selected If checked the export will run on weekends as well as weekdays Frequency Yes Daily Only enabled if Scheduled is selected There are four options in this dropdown list Daily Hours Minutes Seconds Trigger Time 12 00 00AM Only enabled if Scheduled is selected Only visible if Daily is selected in the Frequency dropdown Specifies the time during the day when fills will be exported based on the settings that have been configured Trigger Rate Only enabled if Scheduled is selected Only visible if Hours Minutes or Seconds is selected in the Frequency dropdown Specifies the time interval at which fills will be exported based on the settings that have been configured Dates Unchecked Only enabled if Scheduled is selected If checked it designates that the export should start and end on the specified dates Date Range Current date Only enabled if Scheduled is selected Specifies the start da
25. capper User Manual 10 Trading Technologies International Inc the Group setup but can be changed for each fill Alloc Field 1 Optional editable free text drop down 1 Alloc Field 2 Optional editable free text drop down 2 Alloc Field 3 Optional editable free text drop down 3 Allocate Allocates the fills to the accounts in the percentages quantities entered This button will not be enabled until 100 of the total selected quantity is distributed amongst the accounts Selected Qty Displays the total filled quantity of the selected fills in the top pane Total Depending on the Allocation Method selected on the Allocation Settings screen either the Total percent or the Total quantity If allocating in percentages the Total field displays the sum of the Percent values entered for each account It needs to equal 100 before the Allocate button is enabled If allocating in quantities the Total field displays the sum of the Quantity values entered for each account It needs to equal the Selected Qty before the Allocate button is enabled Remaining If allocating by percentage this value displays a percentage amount that needs to be distributed between the allocation accounts before allocation can proceed this value needs to be 0 before the Allocate button is enabled If allocated by quantity this value displays the number of lots that needs to be distributed between the allocation accounts
26. cation Show Unchecked Automatically switch the Fill Recapper main window to Allocation Pane Allocated mode after an allocation is complete Export after Unchecked Automatically export after each allocation The export Allocation format will occur based on the export settings specified Select the corresponding Allocation Export mode from the adjacent combo box Show Unchecked Automatically switch the Fill Recapper main window to Unallocated Unallocated mode after an Allocation ID has been de Fill Recapper User Manual 21 Trading Technologies International Inc Pane allocated Run post export Checked Run the post export command for the deleted Allocation command ID if it has been previously exported OK Saves the Allocation Settings and closes the window Cancel Closes the window without saving any modifications made to the Allocation Settings Currently Calendar Spreads are the only officially supported spread type although others may also allocate successfully Allocation Context Menus The Allocation context menus allow for a quick access to either switch modes or modify the characteristics of the Groups Figures 12a 12b and 13 below illustrate these menus where the Allocation Mode set to Percent in figure 10a and to Quantity in figure 10b There are different items available based on the current Allocation Method and Allocation mode B Export Allocat
27. cation Process Example 1 Fill Quantity 25 Target Target Quantity Total Allocated Account A 20 5 Account B 25 6 25 Account C 35 8 75 Account D 20 5 Totals Example 2 100 25 Figure 15 Quantity Allocation Process Example 1 Fill Quantity 32 Target Target Quantity Total Allocated Account A 20 6 4 7 Account B 25 8 8 Account C 35 11 2 11 Account D 20 6 4 6 Totals 100 32 32 Previous Ties Updated Ties after Example 2 Total of Ties of Winning Ties Tie Winning Total of Ties of Winning Ties Tie Winning Account A 11 5 45 4596 12 6 50 00 Account B 19 10 52 63 19 10 52 63 Account C 11 5 45 45 11 5 45 45 Account D 9 5 55 56 10 5 50 00 Totals 50 25 52 26 Figure 16 Quantity Allocation Process Example 2 Fill Recapper User Manual 30 Trading Technologies International Inc Example 3 Fill Quantity Target 96 Target Quantity Total Allocated Account A 2096 0 6 0 Account B 2596 0 75 Account C 3596 1 05 Account D 2096 0 6 Totals 10096 3 Previous Ties Tie Winning Total of Ties of Winning Ties Total of
28. d highest priced lots until each account reaches its allocation quantity Unlike the first two methods the entire quantity for an account is allocated before moving onto the next account Since lower account numbers will reach their allocation quantity last they will receive lower prices Therefore this method is biased against higher accounts when buying and biased in favor of higher accounts when selling See Figure 20 for an example of this method Average Price and Quantity A mathematical average of the price is calculated based on the quantity of fills being allocated and the prices of these fills At this point the lots are distributed based on the percentages or quantities that are supposed to go to each account and the price for each allocated quantity is the mathematical average that was calculated This method uses rounding and tie breaking rules as specified in the Quantity Allocation process See Figure 21 for an example of this method Traded Average Lots are distributed by calculating the theoretical quantity for each account at each price level This method uses quantity rounding and tie breaking rules for each price level as specified in the Quantity Allocation process except when allocating spread legs when this process can be overruled to ensure that spread legs are paired accurately See Figure 22 for an example of this method Fill Recapper User Manual 29 Trading Technologies International Inc Quantity Allo
29. ead Qty If spreads are selected displays the total numbers of spreads bought minus the total number of spreads sold Buy Spread Price If spreads are selected displays the average price at which the spreads were Fill Recapper User Manual 9 Trading Technologies International Inc bought Sell Spread Price If spreads are selected displays the average price at which the spreads were sold The averaging for Fill Recapper in Pane 3 relies on the selected price display format Fill Recapper does not know how every instrument ticks 32nds 64th etc therefore the Ave Buy Price Ave Sell Price for contracts that tick in fractional values some CBOT contracts may not be what is expected when fills at different handles are selected unless the prices are displayed in decimal format with the Display Prices as Decimal menu item selected Pane 4 Allocation Pane Unallocated Mode Allocate To Group Name Required Default Definition Allocate To Groups Yes True Allocate the fills to a pre configured group of accounts Allocate To Accounts Yes Allocate the fills to one or more accounts not established as a group Auto Allocate If checked turns on automatic allocation and enables the fields for mapping fills to the correct allocation group Filter By Yes Account Only enabled if Auto Allocate is selected Different options are Account
30. ed No Allocation Unallocated Mode Allocated Mode Allocation Settings Static Percent Mode Update Group Percents Delete Allocation Group Rename Allocation Group Add Account Row Delete Account Row Figure 12a Unallocated Menu Export Allocated Fill Recapper Main Window No Allocation Unallocated Mode Allocated Mode EP Export Allocated No Allocation E Export Allocated Unallocated Mode Allocated Mode No Allocation Unallocated Mode Allocated Mode Allocation Settings Static Percent Mode Allocation Settings Delete Allocation Group Select All Ckrl A Rename Allocation Group Copy Ctrl C Add Account Row al Save Delete Account Row amp Print Figure 12b Unallocated Menu Figure 13 Allocated Menu Menu Create an export file based on the current Export Settings The possible menu text for this item is Export Fills Export Aggregate or Export Allocated Select the Allocation mode of the screen Choose either No Allocation Unallocated Mode or Allocated Mode Allocation Settings Opens the Allocation Settings window to specify global allocation settings Static Percent Mode When deselected the updates to the account percentages will dynamically update the Group s percentages and remain while moving between Groups or after allocating When selected the updates will only apply for
31. ers textbox as in Figure 14 Then the user created command could automatically replace the export file name for f as parameter 1 if it included the following line of code rename 1 newname csv Export File 1 If an export occurs but no rows will be included in the file based on the specified export settings a file will not be created For example if New Fills Only is checked and no new fills have been received a file will not be created if an export occurs at that time For fills which are not allocated the Export file will contain a single row for each order each TT Order Key exported unless Export Details is checked Selecting this checkbox will cause Fill Recapper to export each partial fill as a separate line item in the file when the Export Mode is Trade Grid For exported fills which are Allocated the file will contain a row for each of the accounts and each of the price levels to which the order is allocated For example if a single order filled at a single price is allocated to three accounts there will be three rows created in the export file If a single order was instead filled at two different prices and allocated to three accounts there could be up to six rows created in the export file All of these rows will have an Alloc Action of Add For exported fills which are Allocated but then De Allocated the file will contain rows for the allocation with an Alloc Action of Add as explained above in 2 The file will
32. group A wildcard no quotes can be used to indicate that if all other filters are not met than to use this allocation group The same Trader Id cannot be mapped to more than one group If Fill Recapper is set up to automatically allocate it is possible to have unallocated fills at the end of the trading session particularly if the Frequency selected is Based on Fill Quantity or Export Schedule Note well that for best results use Frequency of Every Fill Tie breaking information is stored on a per allocation account basis in the GroupAllocation cfg file in the Fill Recapper Config folder when automatically allocating by Every Fill this tie breaking accuracy retains the best distribution results Fills can be allocated based on Percentages or Quantities This is set on the Allocation Settings screen When allocating if the percentages or quantities are changed and the total does not equal 100 or the selected fill quantity the Allocate button will not be enabled The Allocate button is only enabled after all fills have been accounted for The quantity allocated to each account is based on the specified Percentage or the Quantity entered If Percentages are entered the Quantity Allocation Process is run in order to determine the appropriate quantities see Figure 10 If the Allocation Settings are set so that only fills for certain accounts require allocation see Figure 5 then only fills for those accounts will display while in
33. guration page to color code partial fills buys sells and spreads Restore Defaults Restores the format settings back to the default values Fill Recapper User Manual Trading Technologies International Inc Views Add to Views Opens the Add View window to save the current filter and add it to the views list Organize Views Opens the Organize Views window to view rename and reposition the Filter View Preferences All Fills Aggregate by Products Aggregate by Prices Select the display mode for the second pane Choose either All Fills Aggregate by Products or Aggregate by Prices Confirmation Hide Orders Does not display working orders if selected Display Deleted Upon selection when working orders shown in the top Orders pane in No Allocation mode are deleted the row will remain and be highlighted in beige thus creating a blotter like functionality Delete All Displays a confirmation message if selected before orders are deleted when the Delete All Delete All Bids or Delete All Asks buttons are clicked Show SOD Displays Start of Day records if selected Scrolling Automatically scrolls to newly added fills if selected Product Alias Displays the Products Aliases if selected Display Prices as Decimal Displays the prices for products that tick in fractions as a decimalized
34. he user configures certain accounts to be allocated then only fills for those particular accounts will be displayed in the Unallocated mode making that window easier to manage See the Allocation Algorithms section for more information about the four algorithm choices Below is a screen shot of the Allocation Settings window Figure 11 along with the associated fields and buttons Allocation Settings Allocation Options Algorithm Traded Average Spread Allocation Leg Fills Only Allocation Method Percent Y Allocation Account Filter No Account Filter C Filtered Accounts Accounts Filtered for Allocation pscust1 Post Allocation Action Show Allocation Pane IV Export after Allocation Allocation Grid Y Post Delete Allocation Action F Show Unallocated Pane IV Run post export command OK Figure 11 Allocation Settings Fill Recapper User Manual 20 Trading Technologies International Inc Allocation Settings Field Name Required Default Definition Algorithm Yes Highest There are five options in this dropdown list Price to e Rotation of Accounts One lots are distributed Highest rotating through each account in the group until Account each account reaches its allocation quantity Number The starting account is rotated through the group after each allocation e Random Allocation One lots are distributed randomly to each account in the group un
35. heres to the guidelines provided by CFTC Regulation 1 35 5 The five algorithms used to allocate the prices of lots to the accounts are Rotation of Accounts Random Allocation Highest Price to the Highest Account Number Average Price and Quantity and Traded Average Rotation of Accounts One lots are distributed rotating through each account in the group until each account reaches its allocation quantity The starting account is rotated through the group after each allocation If the fills are allocated to accounts as opposed to a group a random number generator will be used to determine which account starts The lowest priced lots are allocated first Since larger accounts will reach their allocation quantity last they will receive more higher prices Therefore this method is biased against larger accounts when Fill Recapper User Manual 28 Trading Technologies International Inc buying and biased in favor of larger accounts when selling See Figure 18 for an example of this method Random Allocation One lots are distributed randomly to each account in the group until each account reaches its allocation quantity The lowest priced lots are allocated first The chance of each account being selected for a single lot is 1 Total Quantity Left Total Quantity Left for Account See Figure 19 for an example of this method Highest Price to Highest Account Number Lots are distributed starting with the highest account number an
36. ially filled and then cancelled will display Double clicking on the data within a cell in the top pane will apply a Filter for that column with the Filter data set to the cell data that was double clicked If filters are active for Pane 1 a Remove All Filters button will display in the menu to indicate that filters are being used as well as provide the ability to easily remove all of the filters The Main Window is broken down into three main panes the Trade Pane Aggregate Pane and Summary Pane The Trade Pane contains all of the filled partially filled and depending on the settings it can also contain the working and or deleted orders There is a selection checkbox enabling the multi select of many fills to combine their details in the Aggregate and Summary Panes The Aggregate Pane enables the partial fills to be viewed in three different modes All Fills Aggregate by Product and Aggregate by Price The All Fills setting will display all of the partials in the pane The Aggregate by Product option will aggregate all of the partial fills by price for each product and side of the trade The Aggregate by Price option will aggregate all of the partial fills by price irrespective of the product enabling multiple products to be merged and aggregated to the same price levels The Summary Pane details the total quantities and average prices for the selected fills in the Trade Pane A fourth pane will be visible on the Main Window if either
37. iginal quantity of the order TT Order Key Unique TT order number Order Type Limit L or Market M Product Type Future Option Spread Energy Bond etc TIF Time in Force of the working or deleted order Trans ID Transaction ID Strike Exercise price of an option C P Call Put FFT2 Free Form Text Field 2 FFT3 Free Form Text Field 3 Clr Member Clearing Member Exch Mbr Direct Exchange Member ID Exch Grp Direct Exchange Group ID Exch Trd Direct Exchange Trader ID Fill Recapper User Manual Trading Technologies International Inc Fee Fee Give Up Give Up Cntr Firm Counter Firm Cntr Mbr Counter Member Order Price Price of the current working order or deleted order TOES ID When used within TOES this provides an identifier for showing fill and order relationships to TOES configurations Description When used within TOES this provides a pass through description as provided by the TOES configuration When the TOES ID field is empty this field is editable once the field is selected Exported Indicates whether or not the fill has been exported Allocated Displays Yes if the fill has been allocated and No if the fill has not been allocated Allocation Id If the fill was allocated the id of the allocation Each time fill s are allocated a new id is generated This id can be used for tracking purposes Username The Universal Login Username for the order or fill Fill Key Fill
38. iguration details Copying this file to another computers Fill Recapper Config directory will enable sharing of Allocation settings that were saved Fill Recapper Data Allocationltems dat A persistence file used to store the allocated TT Order Keys and Allocation IDs that were allocated during the current instance of the application This file is loaded upon launching the application and any previously allocated fills will be flag based on data in this file When Fill Recapper closes this file is updated to contain only the currently allocated items to keep this files size to a minimum If Archive Log Files is selected this file will be renamed prior to this clean up process Fill Recappen Data AllocationDetails dat A persistence file used to store the details for the allocated items The details contain an Allocation ID that is mapped back to the fills based on the Allocationltems dat file When Fill Recapper closes this file is updated to contain only the currently allocated items to keep this files size to a minimum If Archive Log Files is selected this file will be renamed prior to this clean up process Fill Recappen Data ExportedFills dat A persistence file used to store the TT Order Keys of the Fills that were exported This file follows the same rules as the Allocationltems dat file Fill Recapper User Manual 39 Trading Technologies International Inc Fill RecappenDat
39. ill be added to the Desktop The computer does not need to be rebooted Product Features Fill Recapper Basics 1 Fill Recapper can be launched by double clicking the Fill Recapper desktop icon after X TRADER Pro is started Users can also launch Fill Recapper from the Plug ins button off of the X TRADER Control Panel 2 Upon launching Fill Recapper will automatically load up the last saved configuration 3 It is required that Fill Recapper be re started prior to the beginning of a new trading day This can be done manually or through an external scheduler Fill Recapper Main Window The Fill Recapper main window can be used to view and manage fills and orders in three different modes 1 No Allocation 2 Unallocated Mode 3 Allocated Mode The No Allocation mode contains information about all fills for the day The Unallocated Mode contains all fills for the day which have yet to be allocated along with the capability to allocate those fills The Allocated Fill Recapper User Manual 4 Trading Technologies International Inc Mode contains all fills for the day which have already been allocated along with specifics about the allocation This mode can be changed from the Allocation menu The Fill Recapper main window is made up of four different panes The top pane is the Trade Pane the second pane is the Aggregate Pane the third pane is the Summary Pane and the bottom pane is the Allocation Pane The Allocation Pane is not dis
40. ity Left for Account Chance of each account 1 Total Quantity Left Total Quantity Left for Account Lot Acct Lot Acct UJ LL UJ o NIO joys IN IS la IB Oo ITO UJ IwIO IwID U O U U O 11110 83 11111 00 11112 00 11110 83 11111 00 11111 00 1 11105 1 49 11110 1 9 11115 2 9 11110 1 Q9 11115 3 9 11105 4 911110 5 9 11115 3 9 11105 4 11110 5 Q9 11115 1 11105 20911110 2 9 11115 1 11105 2 911110 2 9 11115 3 911110 2 9 11115 1 11105 2 011110 2 11115 Fill Recapper User Manual 33 Trading Technologies International Inc Figure 19 Random Allocation Fill Recapper User Manual 34 Trading Technologies International Inc Allocation 1 Buy 25 Allocation 2 Sell 25 same as Allocation 1 Starting Price Highest Starting Account D Starting Price Highest Starting Account D Biased Against Higher Accounts when Buying Biased In Favor of Higher Accounts when Selling Lot Acct i ot A B C D 1 D 1 D 11115 2 D 2 D 11115 3 D 3 D z 11115 4 D 4 D 11115 5 D 5 D 11115 6 C 6 C 11115 7 C 7 C 11115 8 C 8 C 11115 9 C 9 C 11115 C 10
41. locate the whole number quantities of the Target Quantity to each Account Step 2 If there are still remaining lots to be allocated because of decimal values in the Target Quantity allocate based on the largest decimal value Step 3 If there are still remaining lots to be allocated and there is a tie amongst the largest decimal values of the Target Quantity allocate based on the smallest Tie Winning The Tie Winning is calculated by dividing the total number of ties the particular Account has won by the total number of ties the Account has participated in Step 4 If there are still remaining lots to be allocated and there is a tie amongst the largest decimal values of the Target Quantity and the Tie Winning 96s allocate based on the smallest of Winning Ties Step 5 If there are still remaining lots to be allocated and there is a tie amongst the largest decimal values of the Target Quantity and the Tie Winning 96s and the of Winning Ties allocate to the accounts on a rotating basis 3 On the Allocation Settings screen one of the five algorithms can be selected in order to allocate the appropriately priced lot to each account CFTC regulations state that the procedures for allocation of orders must be consistently applied by a firm therefore it is recommended that this setting not be changed 4 Each of the five algorithms ensures fairness for each order regardless of the targeted percentage allocated to each account and ad
42. mary pane aggregates the total Buys and total Sells for all of the selected fill orders into a single row Pane 4 In Unallocated Fills mode the Allocation pane allows a user to allocate the selected fills to a pre configured group of accounts or individual accounts In Allocated mode the Allocation Information pane allows a user to view the fill quantities and prices that were allocated to each account Below is a screen shot of the Fill Recapper main window in Unallocated Mode Figure 1 along with the associated menu items fields and buttons Fill Recapper User Manual 5 Trading Technologies International Inc IE Fill Recapper Unallocated Mode Eile Format Views Preferences Allocation Export Help 61 62 63 64 65 66 67 68 69 7n s lt L Exchange CME CME CME CME CME CME CME CME CME cur mimmin nicin J CME CME CME CME CME Total Buy Qty Exchange B S Filed ty Price 7 B S X Product Expiry Filled Qty Avg Price FER Account AcctType Member Group Trader Order Type Date Order Time Order Curre A Marl0 Marl0 Marl Dct 8 Oct08 Oct08 Dct 8 Dct 8 Oct08 Ann B GE GE GE yo yo yo yo yo yo va I 11 25 15 15 17 18 15 15 ac I VV CD CD CD CD 0 CB 3550 0 3550 0 3550 0 3550 0 9549 5 USD USD USD USD 1 2 1 25 USD Total Sell Qty Net Qty Avg Buy Price amp
43. n be deleted by right clicking on the desired view and selecting Delete View from the popup menu Views can be rearranged by left clicking and dragging the filter view name to the new desired position within the list of views Organize Views View Name ES Allocation FDAX Allocation Pension Accounts Fund Fund B Fund C Filter Column Filter Data Product ES GE P F O F Cxl Allocated Yes Figure 8 Organize Filter Views Fill Recapper User Manual 17 Trading Technologies International Inc Hide Show Columns The columns in the top Trade pane of Fill Recapper can be hidden or shown to display a custom column layout Right clicking on the top pane and selecting Hide Show columns from the pop up menu will display the Hide Show Columns window as in Figure 9 sm Hide Show Columns Column Name Row Numbers Selected Exchange B S X Filled Qty Wrk Qty Ave Price Select All Clear All Cancel Figure 9 Hide Show Columns Grid Formatting All of the grids can be custom formatted by changing the colors font font characteristics and text justification Partially filled orders can be highlighted in a different back color the default back color is yellow Completely filled orders can be highlighted in a different back color the default color is gray Outright Sell Outright Buy Buy Spread and Sell Spread Fills can be highlighted in a different foreground color code to distinguish between them
44. ngs If checked the first row in the export file will be the field names Immediately exports the fills based on the specified Apply 2 Saves the current export settings but doesn t close the Export Settings window OK Saves the export settings and closes the Export Settings window Cancel Closes the Export Settings window without saving the changes made to the settings Export Details Trade Grid Export Setting Export Details Unchecked Export Details Checked Export All Fills that are in the Trade Pane Export the Partial Fills for all of the Fills that are in the Trade Pane Aggregate Product Export the fills as they appear in the Aggregate Pane while in Aggregate by Product mode Export data broken down by Buys and Sells with the total bought and sold and the average price Allocation Grid Export the Allocation Summary Export the partial fill details that make up the allocated quantities Table 1 Export Details Matrix Fill Recapper User Manual 26 Trading Technologies International Inc Export Functionality 1 The Post Export Command should be entered with the file path followed by the file name In Figure 14 the application which should run is postexport bat and it is located in the root C drive If the export file name should be included as a parameter to the command f should be added in post export command paramet
45. otrader 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 2004 2014 Trading Technologies International Inc All rights reserved TRADING N TECHNOLOGIES Table of Contents Table of 70 18 918 Pn srr rere Te 3 Fill R cappet OVErVICW RE 4 ice I 4 Product ESSI Sas ccated aseo dmien DN Vom M inu DUE VANNS AS OM i o eesee M mu CS AER 4 Fill REC pper US AU unc iticien euo pvp neina seansa oaas Eaa iaa 4 Fill Recapper Main WinCOW as ssessrssrssressrseresressrersrrsressrssrrsrrssrrsrrsrrssr QUAD sr rs Seeder e sr ers r rn ee 4 Filter rre eric uto TR NR 16 PRI M 16 erui M 17 Ite SOW Columns oan ates eae neh eh eed ite bap Mesi t NEN ANN cet tdd ee tuc eu ey 18 Gid Formattin ENS 18 Allocation Setting Serseri 20 Alloc tion Context NI 0US ss s3 sssesssiri dsses nesen isian idia asni 22 EOI m H 23 Allocaton ATO OCULIS ccc oat ia Eben ted etnia ic bito da mendis Mn R ee 28 Fill Recapper ESS ME 39 Regq irements T
46. played when Fill Recapper is in No Allocation mode Pane 1 The Trade pane allows the user to select one or many fills to aggregate together All of the columns that are represented in the X TRADER fill window are displayed here Clicking on the checkboxes selects the fills in order to view their details in the Aggregate and Summary panes as well as selects the fills to be allocated Working orders can also be displayed in the trade pane Left click and dragging the mouse cursor across multiple checkboxes will select the fills for these trades and display their details in the Aggregate and Summary panes Holding down the Control button while left click and dragging the mouse cursor across selected rows will deselect the rows and remove the fill details from the Aggregate and Summary panes Pane 2 The Aggregate pane displays the fills selected from the top pane in one of three different formats All Fills Aggregate Prices or Group Products e All Fills Displays every individual fill that makes up the selected filled orders e Aggregate by Products The Buys and Sells are broken out at each price level for each product e Aggregate by Prices Aggregates the selected items by price irrespective of the product Each fill is not broken out per Buy and Sell but instead all fills are grouped together at each price level With this view the user can visibly see their profit loss based on where they bought and or sold the contracts Pane 3 The Sum
47. ses as it continually increments and remains unique for the install lifetime of the application Group Name The name of the Allocation Group that received the selected fills Account Name s 5 The name of the accounts to which the fills were Fill Recapper User Manual 13 Trading Technologies International Inc allocated Account Number The number of the accounts to which the fills were allocated Quantity The quantity allocated to each account Exchange Exchange at which the fill was executed Product The name of the product Product Type The product type such as FUTURE SPREAD OPTION STRATEGY etc Expiry The expiration month year of the product Instrument Product symbol plus the expiration month year Price The price of fills allocated to each account B S B uy or S ell Alloc Field 1 Free text value 1 Alloc Field 2 Free text value 2 Alloc Field 3 Free text value 3 Exported Indicates whether or not the allocation of the fill has been exported Fill Recapper Main Window Functionality 1 On startup of the application the fills for the day download Once completed they will be displayed in the top pane New fills and working orders will be added automatically to the grid throughout the day When in Unallocated Mode however Partial Fills and Working Orders will not be displayed since they cannot be allocated Orders that were part
48. te and end date for which the export is scheduled Times Unchecked Only enabled if Scheduled is selected If checked it designates that the export should start and end at the specified times Time Range 12 00AM to 11 59 59 Only enabled if Scheduled is selected Specifies the start time and end time for which the export is scheduled Export Upon Closing Fill Recapper Option to export the fills upon shutdown of Fill Recapper based on the specified export settings Output Path Yes Directory where the export file should be saved File Mode New File There are three options in this dropdown list e New File Creates a new export file if the designated file already exists The name of the new file is auto incremented e Append to File Appends the data in the existing export file if it already exists If no file exists a new export file will be created e Replace File Creates a new export file and replaces the existing file if the designated file already exists Prefix Export Prefix of the export file name Extension Yes CSV The extension of the file name which denotes the type of file to be created e g csv or xls Delimiter Yes Delimiter to be used in the text file Values are comma Fill Recapper User Manual 25 Trading Technologies International Inc tab semi colon and pipe Text ID Option to use a
49. text identifier for text values the values are None single quote or double quote Post Export Unchecked If checked indicates that a program should be run each Command time an export occurs Post Export File path and name of the command that should be Command executed upon export Post Export Parameters which should be included when the Command command is run If there are multiple parameters they parameter s should be separated by spaces If f is included as a parameter the export file name will be included as a parameter to the command Available Fields Fields to choose from to be included in the export file gt Moves the selected fields to the right side list box to be included in the export gt gt Moves all fields to the right side list box to be included in the export lt Moves the selected fields from the right side list box to the left list box to no longer be included in the export lt lt Moves all fields from the right side list box to the left list box to no longer be included in the export Include Header Row Export Fills Selected Fields Yes Fields included in the export file Move Up Moves the selected field forward one position in the export Move Down s Moves the selected field back one position in the export Trade Grid Duplicates the existing columns and column order Layout corresponding to the Export Mode export setti
50. the next allocation and will revert back to their original or default values Fill Recapper User Manual 22 Trading Technologies International Inc Update Group Percents Works in conjunction with Static Percent Mode to update the groups default percents when Static Percent Mode is enabled Delete Allocation Group Deletes the selected allocation Group All account configurations and tie breakers for this group will be deleted Dynamic Quantity Mode When selected while in Allocation Quantity Mode and allocating based on groups the selected group s quantity values will update to each accounts percentage of the selected quantity The quantity field will be blue if the value is below red if the value is above and black if it is the same as calculated quantity value Rename Allocation Group Enables the Group name to be renamed Add Account Row Adds a new row to the end of the Accounts Grid Delete Allocation ID Deletes the selected Allocation ID Export The Export window allows the user to set up the timing and format of the exported fills Below is a screen shot of the Export window Figure 14 along with the associated fields and buttons Fill Recapper User Manual 23 Trading Technologies International Inc Export Settings Export Configuration Configuration Name Export Mode Fills Exported New Fills Only Export Details Fill Export Trade Grid All Fills v ivi Export Timing
51. til each account reaches its allocation quantity The lowest priced lots are allocated first e Highest Price to Highest Account Number Lots are distributed starting with the highest account number and highest priced lots until each account reaches its allocation quantity e Average Price and Quantity A mathematical average of the price is calculated based on the quantity of fills being allocated and the prices of these fills e Traded Average Lots are distributed by calculating the theoretical quantity for each account at each price level Spread Yes Leg Fills There are two options in this dropdown list Allocation Only e Spread Fills Allocate a Calendar Spread based on the spread fill and not on the individual legs e Leg Fills Only Allocate the leg fills for a Calendar Spread and not the spread fill Allocation Yes Percent There are two options in this dropdown list Method e Percent Allocation account breakdowns are based on percentages e Quantity Allocation account breakdowns are based on specific quantities for each account No Account Yes True Designates all accounts as requiring allocation Filter Filtered Yes Designates only the accounts specified as requiring Accounts allocation When selected only fills for the entered accounts will be displayed in the Unallocated mode Accounts Yes Only enabled if Filtered Accounts is selected List the Filtered for accounts that are specified as requiring allocation Allo
52. uct Expiry Account Member Group Trader AcctType Date Order CME B 9550 0 USD GE Marl ps001001 TTORDP 001 001 Al 06 23 2008 9 28 39 AM CME B 9550 0 USD GE Marl ps001001 TTORDP 001 001 Al 06 23 2008 9 28 39 AM CME B 9550 0 USD Marl0 ps001001 TTORDP 001 001 Al 06 23 2008 9 28 39 AM CME B 9550 0 USD MarlO ps001001 TTORDP 001 001 Al 06 23 2008 9 28 39 AM CME Ej 95495 USD Marl ps001001 TTORDP 001 001 Al 06 23 2008 9 28 42 AM Total Buy Oty Total Sell Oty Net Qty Avg Buy Pri ice Buy Spread Oy Sell Spread Oty Net Spread Qty Buy Spread Pri Sell Spread Price J 11 25 14 9550 Allocation ID Group Name Account Name Account Number Quantity Exchange Product Product Type Expiry Instrument B S Alloc Field 1 Account Baser PS111D 2 CME GE FUTURE Marl GE Marl Account Base PSTHC 5 CME GE FUTURE Marl GE Marl0 Account Base PS111B 3 CME GE FUTURE Marl GE Marl Account Base PS1114 1 CME GE FUTURE Marl GE Marl Account Base PS111D 4 CME GE FUTURE Marl GE Marl0 Account Base PS111C 13 CME GE FUTURE Marl GE Marl0 Account Base PSTHB 6 CME GE FUTURE Marl GE Marl Account Base PS1114 2 CME GE FUTURE Marl0 GE Marl0 m o o o co co o 05 Fil Count 9 37 58 AM Figure 3 Fill Recapper main window Allocated Mode Pane 4 Allocation Pane Allocated Mode Name Required Default Definition Allocation ID The Id of the Allocation Each time fills are allocated a new id is generated This id can be used for tracking purpo
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