TT CME Gateway System Administration Manual - Trading ...

4
Understanding the Price Feed
TT CME Gateway System Administration Manual 59
Trading Technologies International, Inc.
Configuring Market Data
Price Server Files During normal operation, the Price Server reads:
• Hostinfo.cfg to determine the subjects (product data) to which it must
subscribe.
• fast.cfg to obtain each subject’s connectivity information (i.e., channel
number, IP addresses, ports, etc.)
Also, at startup and after a product download, the Price Server reads the price
data in Exchange-flavor_Mode_ttqap.dat to include previously traded
contracts when calculating VAP for TTQAP-subscribed products.
TT Gateway Subscription
Process
FIX/FAST Message
Recovery
At startup and during operation, the Price Server reads the hostinfo.cfg file to
determine:
• The various subjects that it must download as specified by the Subject#
parameters.
• The NIC IP addresses (on the local machine) over which the TT CME
Gateway routes the various MDP feeds. In the example above, these feeds
are FeedA and FeedB (as illustrated in the AddressFeed* parameter). For
details on routing MDP feeds, refer to the section called Configuring
Multiple NIC Setup on page 41.
After identifying these subjects, the Price Server refers to the fast.cfg file to
determine the connectivity information on how to obtain the subject data from
CME Group.
The TT CME Gateway order book is updated incrementally with market data per
contract. If message recovery is necessary, the TT CME Gateway subscribes to
snapshot channels to update the entire Order Book. Because the snapshot
updates occur at a high message rate, subscribing to all snapshot channels
simultaneously is not recommended. To help alleviate recovery issues, the Price
Server is configured by default to do the following:
• Use FIX/FAST incremental updates to refresh the Order Book.
• Subscribe to the snapshot channels only when the incremental update has
not refreshed the entire Order Book.
• Dynamically subscribe to no more than two snapshot recovery channels at
one time.
• Only subscribe to snapshot channels for contracts with active price
subscriptions. However, if an order is entered outside the displayed levels
of depth for a contract that missed an inside market price update, the Price
Server will not request a snapshot to refresh the Order Book. If an order is
entered within the levels of depth, the snapshot is requested as needed.
This FIX/FAST recovery behavior is defined by the MaxSnapshotChannels
parameter in hostinfo.cfg. Because the parameter is not present in the
hostinfo.cfg file by default, you’ll have to manually add the
MaxSnapshotChannels parameter if you want to reconfigure the number of
snapshot channels to subscribe to. By default the Price Server functions as if the
parameter is set to 2.