TT CME Gateway System Administration Manual - Trading ...

Prices- FIX/FAST
Messages
4 Configuring Market Data
Note: A value of “0 “ is allowed and indicates that the Price Server only uses incremental
updates to refresh the Order Book (no snapshot channels are opened).
If a restart or mid-week startup is necessary, the TT CME Gateway is configured
by default to do the following:
• Dynamically subscribe to no more than two instrument definition channels
at one time.
• Perform incremental price updates to the Order Book only after instrument
definition updates are complete.
This default TT CME Gateway behavior is defined by the MaxInstrumentChannels
parameter in hostinfo.cfg. Because the parameter is not present in the
hostinfo.cfg file by default, you’ll have to manually add the
MaxInstrumentChannels parameter if you want to configure the number of
instrument definition channels to subscribe to. If you manually configure this
parameter, the number of instrument definition channels should not exceed the
number of price feed channels configured on the Price Server.
Refer to the section called Section: [price_session] on page 120 for more
details about these parameters.
Note: If there is missing price data for a product and a snapshot is requested, the Price
Server clears the existing Order Book before refreshing it with the snapshot. This is by design
and not the result of the client application (e.g., Autospreader ® ) deleting data from the
Order Book prior to a snapshot. The occurrence of frequent snapshots may be an indication
of capacity or performance issues within the network.
The TT CME Gateway continually receives market data snapshots from the
exchange via FIX/FAST. If you subscribe to additional channels from the price
feed, you must use the -products command line parameter to restart the Price
Server and download the additional information.
For more information on FIX/FAST, refer to the section called FIX/FAST
Behavior on page 64.
Price Server Data Flow The following is a description of the price feed connection process from the Price
Server to the exchange.
• The Price Server on the TT CME Gateway starts and reads hostinfo.cfg to
determine which subjects to subscribe to.
• The Price Server reads fast.cfg to determine connectivity data for each of
the subjects specified in hostinfo.cfg.The TT CME Gateway connects to
the exchange via a UDP multicast, and subscribes to the products listed in
hostinfo.cfg.
• The CME Group sends the requested price information to the Price Server.
Every price message from the CME Group has a sequence number.
Note: Currently, the price sequence number starts at 1 on Sunday and increases by
one for each price message received throughout the week. The sequence number
resets back to 1 on Sunday.
• Each subject maintains its own sequence number.
• The Price Server begins broadcasting Market Depth and price updates
using the multicast group as set in Guardian.
• In real time, the Price Server records the price structure for each contract
held in RAM on the TT CME Gateway.
60 TT CME Gateway System Administration Manual
Trading Technologies International, Inc.