TT CME Gateway System Administration Manual - Trading ...

Order and Trade Book
Files
1 TT Gateway and the Exchange
MemberID is sent as the SenderCompID FIX tag and this is also reflected in the
logfile name.
Whenever the Order Router sends or receives a FIX message, it writes the entire
message to the Exchange-flavor_MemberID_Send-Recv_date.log file.
The Order Server uses several files to help manage and track all orders and fills
that pass through the CME Gateway. The Order Server reads these files to
memory and updates them whenever orders or fills are received. The TT Gateway
stores these files in
:\tt\datfiles:
• The Exchange-flavor_SessionIdMemberId_Mode_orders.tbl files
record all orders (i.e., working, filled, deleted, etc.) sent to the CME
Gateway and their status. The rest of this manual refers to these files as
the orders.dat files.
Example:
If you installed a CME-C Gateway in production mode, the file’s name could be
CME-C_PROD_orders.tbl.
• The Exchange-flavor_SessionIdMemberId_mode_fills.tbl file
contains a record of all fills received from the exchange for the specified
session (SessionIdMemberId). The rest of this manual refers to this file as
the fills.tbl file.
Example:
If you installed a CME-C Gateway in production mode, the file’s name is
CME-C_653ABC_PROD_fills.tbl.
• The Exchange-flavor_MemberID_mode.dat file contains FIX messages
and information relevant to that particular order session.
For detailed information on how the CME Gateway uses these files to reconstruct
the Order and Trade Book during disaster recovery, refer to the section
called Single Gateway Failure on page 101.
X_TRADER ® uses the Trade and Order book files to populate its Fill window and
Order Book respectively whenever it connects to the CME Gateway.
22 CME Gateway System Administration Manual
Trading Technologies International, Inc.