TT CME Gateway System Administration Manual - Trading ...

4 Configuring Market Data
Data Flow for Creating a
UDS
TT CME Gateway System Administration Manual 77
Trading Technologies International, Inc.
forwarded the Covered strategy request to the exchange.
• Sending COMBO strategy creation request to globex: The TT Gateway
forwarded the Combo strategy request to the exchange.
• Successfully created UD:U$:CFO: Indicates that the exchange accepted
the creation request. The exchange’s ten-digit identification code appears
at the end of the Successfully created message. However, the actual
strategy is not available to work in the market until the UDS instrument is
created by the price server.
• Create Spread Series ended: Displays when the process completes. If
this occurs before a Successfully created message appears, then the
strategy creation timed out and the exchange did not provide any
additional information.
• Strategy Creation Rejected - Unsupported Strategy Type
- Globex Gateways only support the creation of
Combo and Covered Strategies: Indicates the Order Server rejected an
unsupported strategy type entered by the client trading application.
• Can’t send covered creation request with invalid price delta
x.xx Acceptable price delta range [0.01-1.00{40.00}]: Displays
when an invalid delta value is entered for a futures leg covering an option
outright or spread/strategy.
The following is a sample data flow for creating a Covered or Combo UDS using
X_TRADER ® :
• For a Covered UDS creation request, X_TRADER ® sends a Strategy Type
of Covered and the price and delta entered for each Futures leg to the
Order Server. The Order Server uses the GAL setting defined for a delta
(AConfig.Core.Server.Exchange-Specific.CME.GAL.Vol-Qty-Ratio-
Denom) in aconfig_local.xml to treat the delta as a percentage quantity
of the Futures leg before checking it for validity. A message for the request
is logged in the Audit Trail.
• For a Combo UDS creation request, X_TRADER ® sends a Strategy Type
of “Combo” to the Order Server. A message for the request is logged in the
Audit Trail.
• For each leg of the strategy, the Order Server obtains the Instrument
Group Code and Complete Instrument Code from the FIX/FAST security
definition messages, and includes them in the UDS request sent to the
exchange.
• For a Combo or Covered UDS the Order Server validates the request and
forwards it to the exchange, then sends a message to X_TRADER ®
indicating the request has been sent. If the Order Server denies the
request, it logs a failure message in the Audit Trail in X_TRADER ®
explaining the reason for the rejection.
• The exchange accepts or rejects the UDS creation request and sends the
corresponding message to the Order Server. Some examples of why the
exchange rejects a request are:
- The strategy already exists.
- The content or format of the creation request message was incorrect.
- The underlying products are not available for trading, or the market is
closed.
• The Order Server logs a message in the Audit Trail in X_TRADER ®
indicating whether the Combo or Covered strategy was accepted or
rejected by the exchange.