CME Optimizer Software User Guide

Plugin Configuration

--configuration

-c

Optional. Sets the file path of the configuration.json that is used to configure the plugin.

File path can be fully qualified or relative. Note that relative paths are relative to the Optimizer 19 plugin folder.

If not specified, the plugin will attempt to locate the configuration.json file in the program folder.

It is recommended that you create a configuration.json outside of the plugin folder. For more information this and the Optimizer 19 configuration file, please refer to the Optimizer 19 Configuration File section.

.\OptimizerHost.exe --configuration “FILE PATH”

.\OptimizerHost.exe -c “FILE PATH”

Log Verbosity

--verbosity

-v

Optional. Sets the logging verbosity. Default: Normal.

Applicable values:

·         Off

·         Minimal   -or-   M

·         Normal   -or-   N

·         Diagnostic   -or-   D

.\OptimizerHost.exe --verbosity Off

.\OptimizerHost.exe -v N

Disable Parallel Execution

--No-Parallel

Optional. Disables parallelization. Default: Not specified

Parallelization is enabled by default and it is recommended that parallelization is not disabled as execution times may be increased significantly.

This option is useful if Optimizer 19 is installed alongside other production applications or troubleshooting purposes.

Pause Before Exit

--No-Exit

Optional. When the program completes, execution is paused before exiting. Default: Program does not pause.

This switch is useful when running interactive sessions or when running the samples. Note that this switch should not be used in automated environments.

Description

(Optional) Recommended that you set a description that describes the Optimizer task and when it is scheduled to execute.

User account

User Account: NT AUTHORITY\LOCAL SYSTEM

Note that user accounts and/or gMSA (Global Managed Services Accounts) can be used to execute a scheduled task – additional security policy and/or directory security settings may be required and is beyond the scope of this document.

Ensure that the selected account has read/write permissions to the configured inputs/outputs folder paths.

Run with highest privileges

Yes

Triggers

Date/time triggers can be configured as per your firm’s requirements e.g. Once daily between Mon-Fri at 17:45 PM CST.

Actions

Program/script: OptimizerHost.exe

Add arguments: --configuration “<<FILE PATH TO CONFIGURATION FILE>>”

Start in: C:\Program Files\CME Group\CME Optimizer 19\Program

Defaults

TransfersByPbAccount

Boolean

true

Indicates if transfers files are broken out by PB Account.

True: Breaks out FIXML and CSV transfers into individual PB Account sub folders within the outputs directory.

False: FIXML and CSV transfers are not broken out.

ShowTransferOrigin

Boolean

true

Describes the transfer reason i.e. Optimizer or Netting.

True: Adds an additional column to the CSV transfer called “Transfer Origin” which indicates if the transfer originated from “Optimizer” or “Netting”.

False: The column is not shown.

Property deprecated with Version 17

ShowTotalSavings

Boolean

true

Indicates if Optimizer should calculate the total savings realized by Portfolio Margining for each portfolio.

True: Optimizer will calculate total savings and output a total savings report file.

False: Optimizer will not perform any additional logic.

Property deprecated with Version 17

BreakOnException

Boolean

false

Indicates if the program should stop if any position/portfolio errors are encountered.

True: Program will exit.

False: Program will discard erroneous portfolios and continue.

MoveDecision

String

LIFO

Transfer Allocation Method. This parameter will determine how to build transfer messages to reach optimal Futures allocation.

LIFO: Last in First Out

FIFO: First in First Out

SNT (single net transfer): Optimizer creates one transfer per contract with today’s trade date and trade price. This should be used for portfolios expressed as net position only (not trade-level).

ExclusionMoveDecision

String

LIFO

The transfer allocation method for transfers that are created when a given position has been excluded e.g. global product exclusion or treasury roll flags.

LIFO: Last in First Out

FIFO: First in First Out

SNT (single net transfer): Optimizer creates one transfer per contract with today’s trade date and trade price. This should be used for portfolios expressed as net position only (not trade-level).

NettingMoveDecision

Please note this should be the same as MoveDecision when used for transfers generated due to netting.

String

LIFO

The transfer allocation method for transfers that are created when a given portfolio is enabled for netting.

LIFO: Last in First Out

FIFO: First in First Out

SNT (single net transfer): Optimizer creates one transfer per contract with today’s trade date and trade price. This should be used for portfolios expressed as net position only (not trade-level).

MaxNumberOfIterations

Number

500

This setting should not be modified without proper evaluation.

Property deprecated with Version 17

Culture

String

en-US

Sets the culture for the program. This setting should not be modified without proper evaluation.

TimeZone

String

Central Standard Time

Governs the date/time zone used when creating transfers.

As FEC requires all trade dates to be in CST, this setting should not be modified without proper evaluation.

FloorSpanForFinalMarginCheck

Boolean

true

Controls net option value capping/SPAN flooring in the Optimizer solution decision.

Inputs

InputDirectory

String

..\\..\\Inputs

Sets the directory path containing all inputs including positions, market data and configuration files. The path can be fully qualified or relative.

Note that relative paths must be relative to the Optimizer 19 plugin directory path.

Note that in JSON format, the backslash character “\” must be escaped e.g. “\\” otherwise the file will be invalid.

PositionsFilename

String

Positions

Indicates the filename prefix for the positions file. Note that the underlying file extension must be “.CSV”

IrsGammaLadderFilename

String

IRSGammaLadder_

Indicates the filename prefix for the IRS Gamma Ladder file. Note that the underlying file extension must be “.CSV”

Property deprecated with Version 17

IrsPnlFilename

String

IRSPNL_

Indicates the filename prefix for the IRS PNL file. Note that the underlying file extension must be “.CSV”

IrsSkewSensitivityFilename

String

IRSSkewSensitivity_

Indicates the filename prefix for the IRS Skew Sensitivity file. Note that the underlying file extension must be “.CSV”

Property deprecated with Version 17

IrsTimeValueFilename

String

IRSTimeValue_

Indicates the filename prefix for the IRS Time Value file. Note that the underlying file extension must be “.CSV”

Property deprecated with Version 17

IrsVegaLadderFilename

String

IRSVegaLadder_

Indicates the filename prefix for the IRS Vega Ladder file. Note that the underlying file extension must be “.CSV”

Property deprecated with Version 17

IrsDeltaLadderFilename

String

IRSDL_

Indicates the filename prefix for the IRS DL file. Note that the underlying file extension must be “.CSV”

SpanIniFilesFolder

String

..\\

Sets the directory path containing the span.ini and orgmast.xml files. Note that these files can be placed within the inputs directory. The path can be fully qualified or relative.

Note that relative paths must be relative to the Optimizer 17 plugin directory path.

Note that in JSON format, the backslash character “\” must be escaped e.g. “\\” otherwise the file will be invalid.

Property deprecated with Version 17

SpanFileNameSuffix

String

cust.spn

Indicates the suffix of the span data file e.g. cust.spn

RiskManagerConfigIsEncoded

Boolean

true

Indicates if the ZIP file is encoded or not.

Property deprecated with Version 17

MarketDataArchiveFilename

String

cme_optimizer_marketdata_*.zip

Defines the filename pattern for the CME Optimizer market data archive (ZIP file)

UseSpanFileInArchive

String

false

Indicates if the SPAN file included within the market data archive should be used.

If true, the SPAN file will be extracted and written to the file system (process will require write privileges).

If false, the program will expect the SPAN file to be on the file system (generally 'Inputs' directory_ prior to execution.

Outputs

OutputDirectory

String

..\\..\\Outputs

Sets the directory path to write all logs, reports and transfers to. The path can be fully qualified or relative.

Note that relative paths must be relative to the Optimizer 19 plugin directory path.

Note that in JSON format, the backslash character “\” must be escaped e.g. “\\” otherwise the file will be invalid.

CsvTransfersFilename

String

csvTransfers.csv

Sets the filename for CSV transfers.

TotalSavingsFilename

String

Total Savings Estimate.csv

Sets the filename for the total savings report.

FundingImpactsFileName

String

FundingImpact.csv

Sets the filename for the funding impact report, which shows the incremental savings pre / post optimization runs.

MarginSummaryFileName

String

MarginSummary.csv

Sets the filename for the margin summary report, which breaks out all margin numbers when optimizer is ran.

FixmlOutputFilename

String

fixmlTransfers.txt

Fixml

FixmlMsgEvtSrc

String

API

Transfer Message Source. Input to the transfer message.

FixmlClOrdIdStatic

String

0

Increment Option for Clearing Order ID.

FixmlClOrdIdStaticId

String

PM001

Static Clearing Order ID tag. If using a static clearing order ID, this tag will be used for each transfer message.

Option to have a static Order ID or an Order ID that gets incremented by 1 for each transfer message created.

0: Use a static value for all transfers vs 1: increment by 1 for each transfer created

SingleSidedReport

Boolean

true

Transfer message format. Indicates if the Optimizer will output Single Sided transfer messages (post FEC+ migration) or Dual Sided transfer messages.

True: Single Sided messages

False: Use PNL Dual Sided messages

FICC*

Enabled

Boolean

false

Determines if RBOE optimization is enabled or not. Default false implies RBOE optimization is not enabled, must be updated by user to enable.

Execution Mode

Enum

BeforeIrsOptimization

Determines where the RBOE optimization occurs within the Optimizer pipeline.

OptimizeMoveDecision

Enum

LIFO

Determines the order of offsets and transfers when optimizing RBOE positions.

Must match MoveDecision in Defaults above if using Optimizer for both RBOE and IRS Optimization.

LIFO: Last in First Out

FIFO: First in First Out

SNT (single net transfer): Optimizer creates one transfer per contract with today’s trade date and trade price. This should be used for portfolios expressed as net position only (not trade-level).

UseBackMonthContracts

Boolean

true

Allows Optimizer to select positions from back month in same contract if target future allocation cannot be met by front month contract.

FiccPositionsFilename

String

FICCPositions_

Filename prefix for the FICC positions file. Default filename is recommended to ensure that it is not misinterpreted with the standard positions filename prefix i.e. "Positions_"

FiccEquivalentPositionsFilename

String

*XMFICCPOSN_*.csv

Filename pattern for the Equivalent positions files. Note that the filename in NR may be prefixed with "NR_".

Exclusions

IncludeBaselineInOptimalState

Boolean

false

Allows user to define whether the 'baseline' margin case will be used during Optimizer's solution decision. Baseline margin can be impacted by exclusions for FICC processing and may become less meaningful. This config is false by default to capture this edge condition.

Early Exercise

Section

see below

Defines if early exercise exclusions are enabled. See exclusions for more information.

PBAccount

Section

see below

Defines if PBAccount-based exclusions are enabled. See exclusions for more information.

FiccPbAccount

Section 

see below

Defines if FiccPbAccount-based exclusions are enabled. See exclusions for more information.

Exchange

Section

see below

Defines if Exchange-based exclusions are enabled. See exclusions for more information.

Product

Section

see below

Defines if Product-based exclusions are enabled. See exclusions for more information.

TradeEvents (please see in more detail below)

Section

see below

Defined if Trade Life-cycle Events-based exclusions are enabled. See exclusions below for more information.

PBAccount

-

-

No

-

Allows firms to exclude one or more Performance Bond Accounts (aka PB Account or PBA).

If the section is not specified, Optimizer will assume there are no PBA-based exclusions to be applied.

Enabled

Boolean

No

false

Controls if PBA exclusions are enabled. Useful if firm wants to temporarily prevent such exclusions, without removing configuration. Supersedes "PBAccountExclusion," see type definition below.

Exclusions

Array of PBAccountExclusion

No

Empty

Refer to "PBAccountExclusion" below for type definition.

Exchange

-

-

No

-

Allows firms to exclude one, more or all products under a specified exchange.

If section is not specified, Optimizer will assume there are no exchange exclusions to be applied.

Enabled

Boolean

No

false

Controls if exchange exclusions are enabled. Useful if firm wants to temporarily prevent such exclusions, without removing configuration. Supersedes "ExchangeExclusion," see type definition below.

Exclusions

Array of ExchangeExclusion

No

Refer to "ExchangeExclusion" below for type definition.

Product

-

-

No

-

Allows firms to exclude one, more or all products given a specified product type/exchange pairing.

If section is not specified, Optimizer will assume there are no product exclusions to be applied.

Enabled

Boolean

No

false

Controls if product exclusions are enabled. Useful if firm wants to temporarily prevent such exclusions, without removing configuration. Supersedes "ProductExclusion," see type definition below.

Exclusions

Array of ProductExclusion

No

Empty

Refer to "ProductExclusion" below for type definition

EarlyExercise

-

-

No

-

Allows firms to exclude based upon contracts that appear within the daily POS699 file (option exception summary report).

If section is not specified, Optimizer will assume there are no early exercise exclusions to be applied.

Note section is provided for future enhancements.

Enabled

Boolean

No

false

Controls if early exercise exclusions are enabled. Useful if firm wants to temporarily prevent such exclusions, without removing configuration.

TradeEvents

-

-

No

-

Allows firms to exclude one or more products based upon trade events.

If section is not specified, Optimizer will assume there are no trade event-based exclusions to be applied.

Enabled

Boolean

No

false

Controls if trade event-based exclusions are enabled. Useful if firm wants to temporarily prevent such exclusions, without removing configuration. Supersedes "TradeEventExclusion," see type definition below.

Events

Array of TradeEventExclusion

No

Empty

Refer to "TradeEventExclusion" below for type definition

PBAccount

(type definition)

Type

String

Yes

-

Defines product type e.g. FUT, OOF, etc.

Expected use: OOF only.

Enabled

Boolean

No

true

Controls if PBAccountExclusion exclusion(s) are enabled. Useful if firm wants to temporarily prevent such exclusions, without removing configuration. Implicit from the "PBAccount" enabled property if not included at this level.

Accounts

Array of String

Yes

Empty

Defines a PB Account identifier. Must match account ID as defined in the positions.csv input file (PBAccount ID field).

FICCPBAccount

(type definition)

Type

String

Yes

-

Defines product type e.g. FUT, OOF, etc.

Expected use: FUT only.

Enabled

Boolean

No

true

Controls if FiccPbAccountExclusion exclusion(s) are enabled. Useful if firm wants to temporarily prevent such exclusions, without removing configuration. Implicit from the "PBAccount" enabled property if not included at this level.

Accounts

Array of String

Yes

Empty

Defines a FICC PB Account identifier. Must match account ID as defined in the FICCPositions.csv input file (FiccPbAccountId field).

Exchange

(type definition)

Type

String

Yes

-

Defines product type e.g. FUT, OOF, etc.

Enabled

Boolean

No

true

Controls if ExchangeExclusion exclusion(s) are enabled. Useful if firm wants to temporarily prevent such exclusions, without removing configuration. Implicit from "Exchange" enabled property if not included at this level.

Exchange

String

Yes

-

Defines exchange e.g. CME, CBT, etc.

Product

(type definition)

Type

String

Yes

-

Defines product type e.g. FUT, OOF, etc.

Enabled

Boolean

No

true

Controls if ProductExclusion exclusion(s) are enabled. Useful if firm wants to temporarily prevent such exclusions, without removing configuration. Implicit from "Product" enabled property if not included at this level.

Exchange

String

Yes

-

Defines exchange e.g. CME, CBT, etc.

Codes

Array of String

Yes

Empty

Defines product codes related to the type/exchange.

If an empty array is provided, then all products for the type/exchange pairing will be excluded.

TradeEventExclusion

(type definition)

Name

String

Yes

-

Friendly name for the event e.g. Treasury Rolls, My Events etc.

Must be unique

Enabled

Boolean

No

true

Controls if TradeEventExclusion exclusion(s) are enabled. Useful if firm wants to temporarily prevent such exclusions, without removing configuration. Implicit from "TradeEvents" enabled property if not included at this level.

Type

String

Yes

-

Defines product type

Exchange

String

Yes

-

Defines exchange

Codes

Array of String

No

Empty

Defines product codes related to the type/exchange.

If an empty array is provided, then all products for the type/exchange pairing will be excluded.

BeginEventType

EventTyp

Yes

See example above

Defines the start date for the event. This is based upon CME's product reference data files, specifically the FIXML EventTyp enumeration type.

Enumeration values:

5 = Activation or First Day of Trading
7 = Last Eligible Trade Date
19 = Position Removal Date
15 = Initial Inventory Due Date
18 = Last Intent Date
13 = First Delivery Date
14 = Last Delivery Date
17 = First Intent Date
16 = Final Inventory Due Date
19 = Position Removal Date

23 = First Notice Date

24 = Last Notice Date

999 = Option Expiration Date

EndEventType

EventTyp

No

See example above

Defines the end date for the event. This is based upon CME's product reference data files, specifically the FIXML EventTyp enumeration type.

Enumeration values:

5 = Activation or First Day of Trading
7 = Last Eligible Trade Date
19 = Position Removal Date
15 = Initial Inventory Due Date
18 = Last Intent Date
13 = First Delivery Date
14 = Last Delivery Date
17 = First Intent Date
16 = Final Inventory Due Date
19 = Position Removal Date

23 = First Notice Date

24 = Last Notice Date

999 = Option Expiration Date

DaysBefore

Integer

No

See example above

Defines how many days to offset the event start date into the past i.e. Start Date - Offset.

Note that the USNY calendar and weekends will be taken into account when offsetting.

Non-negative integer

DaysAfter

Integer

No

See example above

Defines how many days to offset the event end date into the future i.e. End Date + Offset.

Note that the USNY calendar and weekends will be taken into account when offsetting.

Non-negative integer

Failed to run

Failure to initialize

If configuration.json is not present in specified location, optimizer will not initiate, no error log is produced

Fail

Review configuration file location, rerun

Missing Input files

Could not find one or more required input files: File not found: (local install location)\ABCFILE

Input file missing from the input directory

Fail

Review Input files to ensure completeness, rerun

Issues inside supplied input data

[Files listed here] detected a header row only in [files listed as specified in config *.csv].

Input file passed as empty

Success: Swaptions input files (IRSVega, IRSGamma, IRSkew, IRSTimeValue)
Fail: all other files

Review Input files to ensure completeness, rerun

The following portfolios are not found in the IRS DL file and have been removed: XXX, XXXX 

Positions file contains PBA that is not present in IRS input files file

Fail for impacted account(s)
Success unless all accounts impacted

N/A

[Files listed here] detected a header row only in [files listed as specified in config *.csv].

Input file passed as empty

Success: Swaptions input files (IRSVega, IRSGamma, IRSkew, IRSTimeValue)
Fail: all other files

Review Input files to ensure completeness, rerun

Unexpected error calculator initialization (global): Could not initialize global calc: RL minor version(XX) does not match RL config minor version(XX).
Optimizer.Optimization.Abstractions.CalculationException: Could not initialize global calc: RL minor version(XX) does not match RL config minor version(XX).

Optimizer market data incompatible with Optimizer software version

Fail

Please see CME about compatible CME market data

Exception occurred whilst parsing line * Line does not contain any data
Removing invalid positions from portfolio: [account listed here]

Position row contains too few columns

Fail for impacted account(s)
Success unless all accounts impacted

Review positions file for required info, rerun

Exception occurred whilst parsing line * Line contains too many columns
Removing invalid positions from portfolio: [account listed here]

Position row contains too many columns

Fail for impacted account(s)
Success unless all accounts impacted

Review positions file for required info, rerun

Found Portfolio with invalid mix of Origin
Removing invalid positions from portfolio: [account listed here]

Position file contains an origin mismatch within the same account

Fail for impacted account(s)
Success unless all accounts impacted

Review positions file for required info, rerun

Found Portfolio with invalid mix of AccountTypes (SEG/NSEG).
Removing invalid positions from portfolio: [account listed here]

Position file contains an account  type mismatch within the same account

Fail for impacted account(s)
Success unless all accounts impacted

Review positions file for required info, rerun

Handling parsing exception for portfolio 'ABC' on line #X: System.Exception: By-passing line #X: ineligible future expiration "" detected
Removing invalid positions from portfolio: [account listed here]

Positions file contains invalid future period code 

Fail for impacted account(s)
Success unless all accounts impacted

Review positions file for required info, rerun

Handling parsing exception for portfolio 'ABC' on line #X: System.Exception: By-passing line #X: ineligible option expiration "" detected
Removing invalid positions from portfolio: [account listed here]

Positions file contains invalid options period code 

Fail for impacted account(s)
Success unless all accounts impacted

Review positions file for required info, rerun

Handling parsing exception for portfolio 'ABC' on line #X: System.Exception: By-passing line #X: ineligible call/put "" detected
Removing invalid positions from portfolio: [account listed here]

Positions file contains invalid options put/call indicator

Fail for impacted account(s)
Success unless all accounts impacted

Review positions file for required info, rerun

Handling parsing exception for portfolio 'ABC' on line #X: System.Exception: By-passing line #X: ineligible contract detected: XX|XXX|XXX|XXXXX||
Removing invalid positions from portfolio: [account listed here]

Positions file contains invalid product code, product type or ineligible contract in PM account

Fail for impacted account(s)
Fail (if invalid contracts in PM account)
Success (if invalid contract in SEG/NSEG account)
Success unless all accounts impacted

Review positions file for required info, rerun

Exception occurred whilst parsing (invalid line dexcribed): Invalid trade date format detected: '<invalid>'. Expected 'yyyyMMdd or MM/dd/yyyy or M/d/yyyy'

Positions file TradeDate field in improper date format. Formats expected: yyyymmdd, mm/dd/yyyy, or m/d/yyyy

Fail for impacted account(s)
Success unless all accounts impacted

Review positions file for required info, rerun

Issues with configuration.json file

Unexpected error executing exclusion operation

Errors found in exclusion section of configuration.json file

Success
Optimizer bypasses exclusion logic

Review exclusions section of config file and rerun

Post-processing Errors

Optimizer has encountered an error has occurred and will exit. There are no portfolios to optimize.

Optimizer experienced issues in processing (see above errors) and there were no valid porfolios to optimize

Fail

Review above errors, turn log verbosity to -v (verbose) if necessary to produce additional errors