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 Central Time (CT).

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 CT, 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