Fills

Fills

Fill and Audit Trail Service

Overview

Trading Technologies provides a Fill and Audit Trail Service that periodically collects your TT fill or audit trail data in a CSV file, and makes each file available for retrieval via a secure portal known as Enhanced File Transfer (EFT). When the service is activated for a company, TT downloads the fill and audit trail files in secure, customer-specific repositories on the EFT site, and provides each customer with unique credentials to allow access to this data.

To activate the Fill and Audit Trail Service, please contact TT Onboarding (onboarding@trade.tt). When contacted, a TT Onboarding Manager will activate the service for your company in TT, and notify you when the files are available for retrieval.

Fill and Audit Trail filenames

Files downloaded to the EFT site have the following naming convention:

Fills filename: TTFills_{ddmmyy}.csv. For example: TTFills_220618.csv

Audit Trail filename: TTAudit_{hhddmmyy}.csv. For example: TTAudit_15251119.csv

Fill and Audit Trail file format

Each fill or audit trail download is provided as a single CSV file as shown.

Accessing your Fill or Audit Trail files

Your files can be retrieved via an EFT server, which can be remotely accessed via a SSH / SFTP client or web browser (HTTPS). Both methods are encrypted and each client has their own unique user ID. Authorized users will be given a username and password to access the EFT service. Please contact TT Onboarding (onboarding@trade.tt) to request a username and password.

To connect via SFTP: https://eft.tradingtechnologies.com

  • Default port: 22
  • Input supplied credentials

To connect via a web Browser: https://eft.tradingtechnologies.com

  • Default port: 443
  • Login using your unique user credentials and double-click on each archive that you would like to download.

The following figure shows a sample file hierarchy on the server.

Fill and Audit Trail file availability

When activated, the Fill download is delivered to the EFT site every 15 minutes. Audit Trail files are delivered on a daily basis and are available by 2:00AM for the preceding day's activity. Audit Trail files are placed in a folder named by date using the "DDMMYY" naming convention (e.g., 021219).

Automating file collection

It is highly recommended that you automate the daily collection of your compliance data, leveraging the SFTP protocol by creating a simple script or batch. EFT also supports the use of encrypted SSH keys which can be generated upon request. Using SSH key authentication rather than a standard password entry can help with automation, and ensure the whole process remains non-interactive.

If you would like to leverage connectivity via secure SSH keys, please contact TT Onboarding (onboarding@trade.tt) for further assistance.

Fill column descriptions

Refer to the following table for a description of each Fill column included in your fills CSV file.

Setting Description
Account

Account number associated with the transaction.

AcctType

Account type code that defines the trader's relationship with a clearing house

AlgoName

For TT synthetic and algorithm orders, the name of the algorithm controlling the order.

Broker

The broker ID that is associated with the order.

B/S

Whether the transaction represents a Buy or Sell order

C.D.I.

Commodity Derivative Indicator. Indication of whether the order is for hedging purposes to reduce risk.

Client

Client. Identification of the customer (Short Code).

ClOrderID

Unique identifier for the order assigned by the client and sent to the exchange.

Confirmed

Contains the Confirm button used for confirming fills.

ConnectionID

ID of the connection used to route the order or fill.

Contract

The name and contract expiry for the instrument or strategy.

Counterparty

Shows the Participant ID and account number of the counterparty that you submit the order on behalf of.

CurrentUser

TT user name of the trader associated with the transaction or owns a staged order.

Date

Date the transaction occurred or the message was sent.

  • Order Book: Date the order was submitted.
  • Fills: Date the fill was received.
  • Audit Trail: Date the message was sent or received.
  • Blocktrader: The date that the block trade was submitted on TT.
DealDate

The date manually set by the user in the Deal Time field prior to sending the block trade to the exchange.

DealTime

The time manually set by the user in the Deal Time field prior to sending the block trade to the exchange.

D.E.A.

Direct Electronic Access. Shows whether or not the order is sent from direct/sponsored access, or from another source.

Exchange

Name of the exchange. Note: For parent TT order type orders, an asterisk "*" is appended to the exchange name in this column (e.g., CME *) to indicate the intended destination of the submitted parent order. No asterisk appears in the Exch column for the related child orders sent to the exchange.

ExchOrderID

ID of the order, supplied by the exchange.

ExchTransID

The transaction ID generated by and received from the Exchange.

ExchAcct

Account ID assigned the user by the exchange.

ExchDate

The date the trading host received/sent the message. The date is displayed based on the timezone of the user's workstation.

ExchTime

The time at which a fill is received by the exchange host or exchange gateway, depending on the practice of the exchange. The time is displayed based on the timezone of the user's workstation.

ExecDec

Execution Decision. A Short Code as an indication of who or what algo submitted the order.

Exch Trd

The exchange trader ID part of the user's MGT gateway login on the X_TRADER platform.

FillQty

The quantity filled in the order.

Fill Type

Indicates whether fill corresponds to an outright, a spread, a spread leg, or a synthetic fill.

GiveUp

Account of the give-up party

InvestDec

Investment Decision. A Short Code as an indication of who made the trading decision.

LiqProv

Liquidity Provision. Indication of market making.

ManualFill Whether the fill is a result of a:
  • (blank): Normal fill
  • Manual: Manual fill
  • Transfer: AOTC position transfer fill
Modifier

The modifier applied to the order.

Example: Stop, If Touched, Trailing Stop, Trailing IT, Trailing Limit, Machine Gun

O/C

Type of position you are establishing with the order.

OMAOrderID

ID that uniquely identifies the OMA (Order Management Algo) order associated with the transaction.

Originator

TT User ID of the person who submitted the order or staged order

OriginalDate

The original date the order was sent.

OriginalTime

The original time the order was sent.

P/A

Whether a Brokertec order is passive (PA) or agressive (AA).

P/F

Fill indicator: P = partial fill, F = full fill. Note: Not all exchanges provide partial fill indicators.

ParentID

TT-generated ID that uniquely identifies a parent order. The ID is also associated with all of its child orders.

For example, if you submit a TT Iceberg order, the ParentID of each child order will contain the TTOrderID of the parent Iceberg order.

P/C

Indicates whether an options contract is a Put (P) or a Call (C).

Price

Price of the order or fill.

ProdType

Type of product (e.g. Futures, Options).

Product

Name of the product being traded.

Route

Indicates whether the fill was received from the exchange (Direct) or generated by internal matching due to position transfer (Indirect).

Strike

Displays the strike price of the options contract.

TextA

Displays an optional, user-defined text value from the Setup app or entered in the TextA free-form text field in the Order Ticket. This value remains on the order in the TT system. If accepted or required by an exchange, the value in this column may be routed to the exchange for clearing and back office purposes.

TextB

Displays an optional, user-defined text value from the Setup app or entered in the TextB free-form text field in the Order Ticket. This value remains on the order in the TT system. If accepted or required by an exchange, the value in this column may be routed to the exchange for clearing and back office purposes.

TextC

Displays a read-only, customer-defined text value set by FIX client applications. The value is not sent to the exchange.

TextTT

Displays an optional, user-defined text value from the Setup app or entered in the TextTT free-form text field in the Order Ticket. The value displayed in this column remains on submitted orders for tracking purposes in the TT system, but is not routed to the exchange.

You can show or hide the Text TT text box for a selected working order in the Order Toolbar. You can add or modify the text that displays in the TextTT column for the selected order.

Note: For Autospreader orders submitted by an ADL algo, the value is populated with the order tag of the parent algo order.

Time

Time the transaction occurred.

  • Order Book: Date the order was submitted.
  • Fills: Date the fill was received.
  • Audit Trail: Date the message was sent or received.
  • Options Chain: The time of the last trade for a Call or Put Option.
TimeSent

The time, in nanoseconds, the Order Connector routed the message in the TT system (UTC).

TrdgCap

Trading Capacity. Indication of a user dealing on own account, trading in a matched principal trading capacity, or trading in any other trading capacity.

Trd Grp

The group portion of the user's MGT gateway login on the X_TRADER platform.

Trd Mbr

The member portion of the user's MGT gateway login on the X_TRADER platform.

TTOrderID

TT-generated ID that uniquely identifies the order associated with the transaction.

Type

Type of order associated with this transaction (e.g. Limit or Market).

WorkQty

Working quantity of the order

Audit Trail column descriptions

Refer to the following table for a description of each Audit Trail column included in your audit trail CSV file.

Column Description
Account

Account number associated with the transaction.

AcctType

Account type code that defines the trader's relationship with a clearing house

AlgoName

For TT synthetic and algorithm orders, the name of the algorithm controlling the order.

Broker

The broker ID that is associated with the order.

B/S

Whether the transaction represents a Buy or Sell order

C.D.I.

Commodity Derivative Indicator. Indication of whether the order is for hedging purposes to reduce risk.

Client

Client. Identification of the customer (Short Code).

ClOrderID

Unique identifier for the order assigned by the client and sent to the exchange.

ConnectionID

ID of the connection used to route the order or fill.

Contract

The name and contract expiry for the instrument or strategy.

Confirmed Indicates whether a Fill is confirmed (true) or unconfirmed (false).
Counterparty

Shows the Participant ID and account number of the counterparty that you submit the order on behalf of.

Current User

TT user name of the trader associated with the transaction or owns a staged order.

Date

Date the transaction occurred or the message was sent.

  • Order Book: Date the order was submitted.
  • Fills: Date the fill was received.
  • Audit Trail: Date the message was sent or received.
  • Blocktrader: The date that the block trade was submitted on TT.
D.E.A.

Direct Electronic Access. Shows whether or not the order is sent from direct/sponsored access, or from another source.

DealDate

The date manually set by the user in the Deal Time field prior to sending the block trade to the exchange.

DealTime

The time manually set by the user in the Deal Time field prior to sending the block trade to the exchange.

Exch

Name of the exchange. Note: For parent TT order type orders, an asterisk "*" is appended to the exchange name in this column (e.g., CME *) to indicate the intended destination of the submitted parent order. No asterisk appears in the Exch column for the related child orders sent to the exchange.

ExchAcct

Account ID assigned the user by the exchange.

ExchLatency

Number of microseconds a message was in transit between TT and an exchange.

Note: Valid only in a Live environment.

ExchOrderID

ID of the order, supplied by the exchange.

ExchTime

The time at which a fill is received by the exchange host or exchange gateway, depending on the practice of the exchange. The time may be shown in the time zone where the exchange is located.

ExchTransID

The transaction ID generated by and received from the Exchange.

ExecDec

Execution Decision. A Short Code as an indication of who or what algo submitted the order.

ExeQty

Executed quantity (sum of fills) of an order

ExecType

Identifies the purpose of the execution report (when Message Type is ExecutionReport)

Exch Trd

The exchange trader ID part of the user's MGT gateway login on the X_TRADER platform.

Fill Qty

The quantity filled in the order.

Fill Type

Indicates whether fill corresponds to an outright, a spread, a spread leg, or a synthetic fill.

Give Up

Account of the give-up party

InvestDec

Investment Decision. A Short Code as an indication of who made the trading decision.

LiqProv

Liquidity Provision. Indication of market making.

Manual Fill

Type of manual fill: O (Open), C (Close), S (SOD), M (Manual fill), A (Admin fill)

Message

Message received from the exchange, if sent

Message Type

Type of message sent to or received from the exchange

Modifier

The modifier applied to the order.

Example: Stop, If Touched, Trailing Stop, Trailing IT, Trailing Limit, Machine Gun

O/C

Type of position you are establishing with the order.

OMAOrderID

ID that uniquely identifies the OMA (Order Management Algo) order associated with the transaction.

OrdQty

Total order quantity

OriginalDate

Date the order was originally submitted.

Originator

TT User ID of the person who submitted the order or staged order

OriginalTime

Time the order was originally submitted.

P/A

Whether a Brokertec order is passive (PA) or agressive (AA).

Parent ID

TT-generated ID that uniquely identifies a parent order. The ID is also associated with all of its child orders.

For example, if you submit a TT Iceberg order, the ParentID of each child order will contain the TTOrderID of the parent Iceberg order.

P/C

Indicates whether an options contract is a Put (P) or a Call (C).

P/F

Fill indicator: P = partial fill, F = full fill. Note: Not all exchanges provide partial fill indicators.

Price

Price of the order or fill.

Product

Name of the product being traded.

ProductType

Type of product (e.g. Futures, Options).

QtyType Displays the unit of measure for a Block trade (e.g., contracts, bushels, etc.), but is only populated by trade capture reports (TCRs) on CME Clearport.
Route

Routing destination for the order, such as TT SIM or Algo SE.

Status

The status of the contract (e.g., Pre-Open, Open, Clsd, Auction).

Strike

Displays the strike price of the options contract.

SynthStatus

The status of the parent synthetic order.

TextA

Displays an optional, user-defined text value from the Setup app or entered in the TextA free-form text field in the Order Ticket. This value remains on the order in the TT system. If accepted or required by an exchange, the value in this column may be routed to the exchange for clearing and back office purposes.

TextB

Displays an optional, user-defined text value from the Setup app or entered in the TextB free-form text field in the Order Ticket. This value remains on the order in the TT system. If accepted or required by an exchange, the value in this column may be routed to the exchange for clearing and back office purposes.

TextC

Displays a read-only, customer-defined text value set by FIX client applications. The value is not sent to the exchange.

TextTT

Displays an optional, user-defined text value from the Setup app or entered in the TextTT free-form text field in the Order Ticket. The value displayed in this column remains on submitted orders for tracking purposes in the TT system, but is not routed to the exchange.

You can show or hide the Text TT text box for a selected working order in the Order Toolbar. You can add or modify the text that displays in the TextTT column for the selected order.

Note: For Autospreader orders submitted by an ADL algo, the value is populated with the order tag of the parent algo order.

TIF

Time In Force for the order.

TTLatency

Number of microseconds TT took to respond to a quote or fill.

Note: Valid only in a Live environment.

TTOrderID

TT-generated ID that uniquely identifies the order associated with the transaction.

Time

Time the transaction occurred.

  • Order Book: Date the order was submitted.
  • Fills: Date the fill was received.
  • Audit Trail: Date the message was sent or received.
  • Options Chain: The time of the last trade for a Call or Put Option.
TimeSent

The time, in nanoseconds, the Order Connector routed the message in the TT system (UTC).

TrdgCap

Trading Capacity. Indication of a user dealing on own account, trading in a matched principal trading capacity, or trading in any other trading capacity.

Trd Grp

The group portion of the user's MGT gateway login on the X_TRADER platform.

Trd Mbr

The member portion of the user's MGT gateway login on the X_TRADER platform.

TrigPrice

Price at which to enter an order (Shown only when an order has an associated Trigger price, such as a TT Stop or TT If-Touched order)

Type

Type of order associated with this transaction (e.g. Limit or Market).

UndQty

Undisclosed quantity of a disclosed quantity order (e.g. Iceberg. TT Iceberg, Time Sliced)

WorkQty

Working quantity of the order