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Configuring the Fill Server

Responding to Requests for Fills

You can configure:

  • Set the number of days of fill records that the Fill Server stores in *fills.tbl
  • Configure the number of fills that the Fill Server includes in its packets when responding to a request for fill download
Fill Request Parameters

Parameter

Description

Use-Historical This parameter is deprecated in all currently released TT Gateways.

Location: AConfigCoreServerExchange-SpecificExchange-flavorFill-Server

Function: Sets whether the Fill Server ignores the historical flag on the client’s request for fills.

  • true: Client applications receive historical fills ONLY IF they specifically request them. For example, if the client application requests fills today and its historical flag is set to true, the client application receives all fills since today's first, regardless of a date/time stamp. If the same request is made when the client’s historical flag is set to false, the client application receives all fills since today's first, but only if they have a date/time stamp that denotes the current session.
  • false: Fill Server sends historical fills in response to any request. Thus, whenever a client application requests fills, the Fill Server sends all fills since today's first, regardless of their date/time stamp. This behavior is independent of the client’s historical flag setting.

Default setting: true

Warning

Downloading fills from previous days can cause heavy network traffic. TT recommends that you set the Use-Historical parameter to false only when troubleshooting fill activity or when you need to see historical fills.

Trim-File-Interval

Location: AConfigCoreServerExchange-SpecificExchange-flavor

Function: Sets the number of days worth of fills that the Fill Server retains in *bof.tbl to support requests for historical fills. For further details on how the TT Gateway uses *bof.tbl, refer to the SAM specific to that TT Gateway. On start up, the Fill Server trims the excess data and reads the rest into memory.

A low value minimizes the amount of memory that the Fill Server consumes and improves Fill Server performance. However, enough days of data must remain in the Fill Server so that it can respond for historical fill downloads by X_RISK® and other third-party applications.

Default setting: 4

Fills-Per-Packet

Location: AConfigCoreServerExchange-SpecificExchange-flavorFill-Server

Function: Sets the maximum number of fills that the Fill Server sends in its messages in response to a fill download request.

Default setting: 20

Warning

Do not change the default value of this parameter unless instructed to do so by TT support.

Responding to Request for Positions

You can configure how many days worth of SOD data the Fill Server retains.

Position Request Parameters

Location: AConfigCoreServerExchange-SpecificExchange-flavorFill-Server

Parameter

Description

Position-Cleanup-Interval

Function: Sets the number of days worth of SOD data to retain to support requests for historical downloads.

A low value minimizes the amount of memory that the Fill Server consumes and can improve Fill Server performance. However, you must retain enough days’ worth of data so that it supports historical SOD downloads by X_RISK® and other third-party applications.

Default setting: 5

Managing Fill Records

You can manage your fill records by setting the number of fills the Fill Server retains in memory.

Fill Record Parameters

Parameter

Description

Cache-Size

Location: AConfigCoreServerExchange-SpecificExchange-flavorFill-Server

Function: Sets the number of fills that the Fill Server keeps in memory. To maximize performance, set Cache-Size to a size large enough to contain all historical and current fills.

Default setting: 80000

Note

Trim-File-Interval also affects the number of fills that the Fill Server retains. The Fill Server stores all historical fills from the current session fills and all fill records from the number of days set by the Trim-File-Interval.

Configuring SOD Behavior

You use the following parameters to configure the manner in which the Fill Server generates its SOD records, as well as the quantity of SOD records it must maintain for purposes of historical fill downloads.

SOD Parameters

Location: AConfigCoreServerExchange-SpecificExchange-flavorFill-Server

Parameter

Description

Auto-Calculate-SOD

Function: Sets whether the Fill Server uses the current positions at the time of a session change (i.e., session rollover) to generate Start of Day (SOD) records automatically.

  • true: The Fill Server generates SOD records automatically using traders’ current positions.
  • false: The Fill Server does not generate SOD records automatically. Instead, the client (i.e., risk administrator) must create and publish SOD records when the session rolls over.

For additional information refer to Defining SOD Boundaries.

Default setting: true

Position-Cleanup-Interval

You use this parameter to help manage the quantity of SOD records that the Fill Server maintains. For details on this parameter, refer to Responding to Requests for Fills.

Time Settings

The Fill Server uses time settings to determine how to time-stamp and store fills. If you edit any of these time settings, TT recommends that you test the Fill Server startup to verify the accuracy of your setup. For details on how to test the Fill Server startup, refer to Testing Fill Server Startup.

Time Setting Parameters

Locations: Standard Time Settings: AConfigCoreServerExchange-SpecificExchange-flavorTimeZoneStandard Daylight Savings Time Settings: AConfigCoreServerExchange-SpecificExchange-flavorTimeZoneDaylight

Parameter

Description

Exchange-Day-Start

Function: In the exchange's time zone, sets the time in military format (including seconds) at which the exchange starts a new trading day for the associated time observance in whose section the value resides. After a roll-over, the Fill Server stores all fills received prior to this time with those of the previous day’s date, while all fills received after this time are filed as the present day’s fills. X_TRADER® continues to display fills from the previous day until it is closed and then restarted. At this time, it displays only those fills that were received on the current trading day.

Warning

If you change this value on particular TT Gateways (i.e., CME), you must restart the Order, Price, and Fill Servers. Refer to the SAM specific to the TT Gateway that you run to determine whether this is the case.

Start

Function: Sets the start date for the associated time observance in whose section the value resides. Thus, when in the Daylight section, it sets the date at which Daylight time begins, whereas when it is in the Standard section, it sets the date at which Standard time begins.

The format is two-digit Month (MM), Week (1 – 5), Day (0 – 6 for Sunday – Saturday), and military time (including seconds). When designating the week, the use of 5 indicates the last occurrence of the day in the particular month if there are fewer than five weeks.

In the example below, the Fill Server is set to recognize standard time in October (10) on the fifth or last Sunday (0) at 2 AM (2:00:00).

Example parameter in the Standard section:

10,5,0,2:00:00

Bias

Function: For the time observance in whose section it is listed, sets the time difference in military format between GMT and the time zone in which the exchange runs.

This entry can be entered as a positive number or as a negative number. Positive numbers indicate that the time is behind GMT (e.g., USA time would be entered as positive), and negative numbers indicate that the time is ahead of GMT (e.g., France would have a negative number). Technically, biases are not in military time because the number entered must be in the range of -15:59:59 to 15:59:59.

Defining SOD Boundaries

You use the following AConfigUtil parameters to determine the manner in which the Fill Server handles SOD records:

  • AConfigCoreServerExchange-SpecificExchange-FlavorFill-ServerAuto-Calculate-SOD
  • AConfigCoreServerExchange-SpecificExchange-FlavorSessionUseRollover
Note

Regardless of how you configure these parameters, risk administrators can publish a new set of SOD records at anytime to override the current set of SOD records.

The following table illustrates the varying combinations of these two parameters and the resulting effect on how the TT Gateway handles SOD records:

SOD-Related Parameter Combinations
UseRollover SettingAuto-Calculate SettingSOD Behavior
falsefalse

The Price Server signals rollover for each product-series. The Risk Administrator must publish SODs after each session change.

Note

This configuration is unsupported. TT requires configuring the Price Server to roll over all series once a day. For all TT Gateways, ensure that UseRollover=true.

falsetrue

The Price Server signals rollover for each product-series. At session rollover, the Fill Server uses traders’ current positions to generate SOD records.

Note

This configuration is unsupported. TT requires configuring the Price Server to roll over all series once a day. For all TT Gateways, ensure that UseRollover=true.

truefalse

The Price Server rolls over all series once a day, at the exchange start time as set in AConfigUtil (refer to Time Settings). The Risk Administrator must publish SODs after the roll over.

truetrue

The Price Server rolls over all series once a day, at the exchange start time as set in AConfigUtill (refer to Time Settings). At session rollover, the Fill Server uses traders’ current positions to generate SOD records.