TT CME Gateway System Administration Manual - Trading ...

1 TT Gateway and the Exchange
Order and Trade Book
Files
CME Gateway System Administration Manual 25
Trading Technologies International, Inc.
The FIX log files are created in the :\tt\logfiles directory and uses
the naming convention:
Exchange-flavor_mode_MemberID_CME_send_recv_date.log, where
MemberID is the Member ID assigned in the Order Router section in hostinfo.cfg.
For CME Gateway 7.15.0 or higher, the name of the FIX log file shows the mode of
the gateway and the targetCompId FIX tag value of “CME”. The unique
MemberID is sent as FIX Tag senderCompId and is also reflected in the logfile
name.
Example:
CME_A_PROD_P16000_BVMF_send_recv_2011-10-23.log .
Whenever the Order Router sends or receives a FIX message, it writes the entire
message to the Exchangeflavor__mode_MemberID_CME_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_mode_orders.tbl file record all orders (i.e.,
working, filled, deleted, etc.) sent to the CME Gateway and their status. For
CME Gateway Version 7.15.0 or higher, the name of this file has changed
to reflect that one common file is created per Order Server. Refer to the
following example.
Example:
If you installed CME-C Gateway 7.15.0 or higher in production mode, the file’s
name would 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 would be:
CME-C_653ABC_PROD_fills.tbl
• The Exchange-flavor_mode_MemberID_CME_msg.dat file contains
FIX messages and information relevant to that particular order session and
is used in conjunction with the Exchangeflavor_mode_SessionId_CME_idx.dat
file, which the gateway uses to
locate the messages in the *msg.dat file. The Exchangeflavor_mode_SessionId_CME_seqnum.dat
file tracks sequence
numbers of each message sent by the CME Gateway. The gateway syncs
this number with the message sequence tracked by the exchange host.
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.