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Date/Time: Mon, 24 Feb 2025 03:12:03 +0000



Post From: From TT: We are currently investigating order routing issues for CME

[2021-02-16 09:00:40]
Sierra Chart Engineering - Posts: 104368
This issue is not something that would be isolated to TT FIX. It would have affected X Trader as well. At least the new X trader.

We are going to discuss this matter with AMP and take steps to avoid this in the future.

We also want to put out this comment which we provided to AMP (edited for clarity) :


Also our own CME order routing would never be affected by the problems they (TT) have. I understand exactly where they went wrong. We would never have a problem like that.
For two basic reasons because we manage very well sequence numbers with a high degree of redundancy and safety checks. We maintain a cache rather large cache, of previously received fill identifiers and will never process fills twice.

So much effort and thought has gone into a potential issue like this on our side with our own CME order routing. The only area of concern with incorrect position reporting would be in scenarios involving multi-legged instruments where there is a cancellation or modification of a fill by the exchange. That is a scenario which just should never happen because it is very rare for the exchange to go back and cancel or modify a fill. And even more rare (in combination with the prior scenario) that someone would be trading a multi-legged instrument.

The reason this is a concern for multi-legged instruments, is because when there is a trade cancellation or modification by the exchange it does get rather complex, the chain of order IDs involved. And in our testing, we were doing everything right but seeing an issue. Which we did report to the CME. And their answer seem to indicate, that there was a problem with their test environment in this regard and they were willing to give us a waiver on that particular test.

So we have a function to add a correcting fill to give a clearing firm the ability to make adjustments to a particular position for a particular instrument for a particular trade account in the rare case something goes wrong with position reporting involving multi-legged instruments. Although as we said, this is very rare there should ever be a problem. As a matter practical reality it just will never happen.

Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2021-02-16 09:04:17