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  • Incorporates new portfolio margin eligible products Eris SOFR-based swap futures, scheduled for production go-live November 22, 2021.
    • List of Eris SOFR-based swap futures Globex/Clearing Codes: YIA, YIB, YIC, YIT, YIW, YIY, YIL, YID, YII, YIO, YIE.
      • See all eligible products here.
    • These products are eligible to transfer to OTC accounts to achieve risk offsets.
    • This build of Optimizer will generate futures transfers in the above products and consider them during Optimization.
    • Users who do not include Eris SOFR-based Swap futures in the positions.csv file today should add these contracts to achieve optimal results.
  • Incorporates support for Bloomberg Short-Term Bank Yield Index (BSBY) – based USD interest rate swaps, scheduled for production go-live November 15, 2021.
  • Incorporates support for Singapore Overnight Rate Average (SORA) – based SGD interest rate swaps, scheduled for product go-live November 15, 2021.
  • Supports limited forwards-compatibility for future Optimizer releases by introducing a multi-version support inside Optimizer's  interpretation of compatible market data sets.
    • This change is internal only and should not impact firm workflows.
  • Reduced installation footprint:
    • Installer file (MSI) approx. 75 MB
    • Installation folder (post-installation) approx. 450 MB
    • Note that the sample market data has been significantly reduced and only supports a limited set of contracts. If you require a full market data set to facilitate testing prior to NR launch dates, then please reach out to for further information.


  • Optimizer version 17 adds validation logic for invalid dates in the position.csv input file TradeDate field. Prior Optimizer versions defaulted transfer output to an un-tradable 1/1/0001 date when an improper TradeDate format was supplied. The TradeDate field is now expected to be in date format: yyyymmdd, mm/dd/yyyy, or m/d/yyyy. Optimizer version 17 produces an error at the portfolio level if the TradeDate field is not in these formats. The new expected error is:

    Invalid trade date format detected: '<<invalid format>>'. Expected yyyyMMdd or MM/dd/yyyy or M/d/yyyy

Configuration Changes

  • Due to firm feedback on preferred default trade exclusions, Optimizer version 17 incorporates updates the default configurations in the EventExclusions section of the configuration.json file. Please note these configurations are suggestions only and firms can update exclusion configurations to meet their use cases. To better understand exclusion configurations please refer to the User Guide here.
    • For treasury products:
      • Changes the BeginEventType exclusion attribute to be first position/intent date (enum = 17).
      • This was previously first notice date. Delivery for treasuries can begin as early as First Intent Day, one day before first notice day.
      • Example updated config: