TT CME Gateway System Administration Manual - Trading ...

Fill Server Data Flow
5 Configuring Order Management
• The Order Server records the order in its *_mode_orders.tbl file.
• The Order Server sends an ACCEPT/Add message to the trader’s Audit Trail
(in X_TRADER®).
• The Order Server sends the order to the exchange host.
• Upon receipt, the exchange host sends an order confirmation (containing
the TON) back to the Order Server, and the order confirmation is sent (as
an OK/ADD) to the trader’s Audit Trail in X_TRADER®.
• The Order Server updates the Order Book with the TON Number to indicate
that a confirmation was received, and writes it to the *_mode_orders.tbl
file.
Note: Terminology used in the following data flow matches terminology used in the Gateway
System - Logical Architecture diagram. Also, native orders are those orders normally
accepted by the exchange's API.
The Logical Architecture diagram illustrates the following fill flow:
• The CME Group host matches the order.
• The CME Group host sends a fill, with the TON, to the Order Router.
• The Order Router matches the fill to the recorded order in the Order Book
and updates the Order Book according to the type of fill received:
- If the TON for the fill does not match a TON for an order in the order
book, the Order Router notifies the trader’s and supervisory trader’s
Audit Trails that the trader received a fill but that the fill does not
match any of the orders in the Order Book.
- If the fill completes the order, the Order Router removes the order
from the Order Book.
- If the fill does not complete the order (i.e., it is a partial fill), the Order
Router updates the Order Book to reflect the partial fill.
• The Order Router writes order changes to the *_mode_orders.tbl file and
records the fill in its unique fills.tbl file.
Note: The Order Server deletes completed orders from its
*_mode_orders.tbl file only when it restarts.
• Simultaneously, the Order Router:
- Sends a fill response to X_TRADER®. X_TRADER® displays a fill in the
Audit Trail. X_TRADER® updates the relevant files and screens (i.e., if
it is a complete fill, the order is removed from the X_TRADER® Order
Book).
- Sends the fill to the Fill Server.
• The Fill Server records the fill to the bof.tbl file and the FS Log.
• X_TRADER® displays the fill in the Fill window.
92 CME Gateway System Administration Manual
Trading Technologies International, Inc.