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Configuring the Price Server

Configuring the Price Session

You can configure the Price Server by defining:

  • The number of most recent price sessions it retains
  • The manner in which the Price Server rolls over to a new trading session (the time defined in aconfig_local.xml or the rollover time as defined by the exchange).
Price Session Parameters

Location: AConfigCoreServerExchange-SpecificExchange-flavorSession

Parameter

Description

TTL-Days

Function: Sets the number of most recent price sessions that the Price Server saves (including the one in which the Price Server runs). The Price Server deletes all older price sessions. Thus, using the default setting, when the Price Server starts a new session, it saves the last six sessions, and deletes all older sessions.

Default setting: 7

UseRollover

Function: Sets when and how the price session rolls over.

  • true: The price session rolls over at the start of the trading day as set in aconfig_local.xml (refer to Time Settings).
  • false: The price session rolls over whenever the exchange tells it to in its messages.

For this parameter’s affect on SOD records, refer to the section called Defining SOD Boundaries.

Default setting: true

Configuring the HPS

You can configure different behaviors of the HPS including:

  • Whether the HPS runs on the TT Gateway
  • The interval in seconds between HPS file updates
  • Basic logging behavior
  • The length of time (in days) that the HPS maintains product subscriptions
  • The number of days of historical data that the HPS maintains in its files
  • The types of product data to which the HPS subscribes
HPS Configuration Parameters

Location: AConfigCoreServerExchange-SpecificExchange-flavorHPS

Parameter

Description

Enabled

Function: Sets whether the HPS runs on the TT Gateway.

  • true: The HPS runs on the TT Gateway.
  • false: The HPS does not run on the TT Gateway

Default setting: true

Note

On TT CME and TT CBOT Gateways, ensure this value equals false.

Checkpoint-Interval-Secs

Function: Sets the wait interval, in seconds, between writes of the configured Historical Prices. Do not set this value smaller than the Coalescing-Interval-Secs (in seconds); doing so causes the HPS to record Historical Prices faster than they change (resulting in degraded performance).

Currently TT Gateways do not use this parameter.

Default setting: 2

Coalescing-Interval-Secs

Function: Sets the wait interval, in seconds, between updates for the data types configured in the parameter PriceIds-To-Store. Between updates, the HPS does not write to its set of HPS files and retains product data in memory.

Default setting: 60

Debug

For function and default setting, refer to Server Component Logging.

Subscription-TTL-Days

Function: Sets the number of days that the HPS records a product’s data after the HPS subscribes to the product. Subscriptions are renewed for any product contract or series that receives a fill. Thus, using the default, if a product receives a fill, HPS renews its subscription for another 5 days.

Default setting: 5

Data-TTL-Days

Function: Sets the number of days’ worth of historical price data (including the current day) that the Price Server retains. The Price Server deletes all older price data at startup. Thus, using the default setting, when the Price Server starts a new session, it retains the last 4 days of price data, and deletes all older data.

Default setting: 5

PriceIds-To-Store

Function: Sets the types of data (PriceIds) that the HPS records for subscribed product contracts and series. Separate multiple PriceIds with a space.

The default configuration stores Settlement, Open, and Close price ids.

Default setting: 10 11 12

Warning: Do not change the value of this parameter without direct TT support.

Configuring Broadcast Behavior

You can configure:

  • Whether to use PFX or CoreAPI price format
  • Price Server coalescing intervals
  • Whether the Price Server sends detailed depth in addition to aggregate depth
  • The interval between Price Server broadcasts of time settings
  • How the Price Server throttles its broadcasts
Price Server Broadcasting Parameters

Parameter

Description

Interval-mSecs

Location: AConfigCoreServerExchange-SpecificExchange-flavorMarket-Depth

Function: Sets the interval, in milliseconds, between price updates in CoreAPI or PFX mode. During this interval, the Price Server in CoreAPI mode:

  • Queues all Market Depth updates
  • Queues all Last Traded Price and Last Traded Quantity messages
  • Caches all other Inside Market updates, retaining only the last update

During this interval, the Price Server in PFX mode:

  • Caches the most recent, full update of Market Depth up to 25 levels
  • Caches the most recent update for Last Traded Price and Last Traded Quantity.
  • Caches the most recent value of Trade State and Total Traded Quantity across all price levels.
  • Caches the most recent value of Inside Market updates.

When the interval expires or the Price Server reaches its internal buffer limit (whichever comes first), the Price Server publishes all updates.

NOTE: Full Time & Sales (every LTP/LTQ) is always available via the NTD feed regardless of the coalescing set by Interval-mSecs.

A setting of 0 turns off all coalescing and configures the TT Gateway to deliver non-coalesced price data.

A setting greater than 0 configures the TT Gateway to coalesce price data. In PFX mode, only data on the TD feed is coalesced using this setting.

Default setting: 0

Update-Expiration-Secs

Location: AConfigCoreServerExchange-SpecificExchange-flavorMarket-Depth

Function: Only TT MISS Gateways use this parameter. Refer to the TT MISS Gateway SAM for a description.

Default setting: 30 on TT MISS Gateways; -1 on all other TT Gateways

NumDepthLevel

Location: AConfigCoreServerExchange-SpecificExchange-flavorMarket-Depth

Function: Sets the number of levels of price depth the Price Server forwards to client applications. You can use any positive integer (i.e., 1 or greater), however using a value greater than 5 can negatively impact both the TT Gateway and the client application that connects to the TT Gateway.

A setting of -1 sets the machine to send all available levels of depth. Certain TT Gateways install with a custom NumDepthLevel setting; refer the the SAM specific to the TT Gateway you use to see whether your TT Gateway installs with a custom setting.

Availability: NumDepthLevel is available in core 7.0.6.621.

Default setting: -1

DetailDepth

Location: AConfigCoreServerExchange-SpecificExchange-flavorMarket-Depth

Function: Sets whether the Price Server forwards detailed depth to client applications. If a TT Gateway or exchange does not support detailed depth, the TT Gateway always behaves as if set to 0.

By using detailed depth (a setting of 1), the Price Server sends double the number of price messages. For every price update, in addition to the normal aggregate update, the Price Server sends a detailed update. This results in increased bandwidth usage and can potentially increase price latency.

Available values include:

  • 0: The Price Server does not forward detailed depth to client applications.
  • 1: The Price Server forwards detailed depth to client applications.

Availability: DetailDepth is available in core 7.0.6.621.

Default setting: 0

Contracts-Per-Message

Location: AConfigCoreServerExchange-SpecificExchange-flavorPrice-Server

Function: Sets the number of contracts that the Price Server includes in each message when it responds to price table or contract download requests from client applications.

This parameter only impacts TT Gateways. For information on enabling similar functionality with Price Proxy, refer to the MPF2 Feature Guide.

Default setting: 4

Warning

Warning: Do not change this parameter from its default value without direct TT support.

ProductHandling

Location: AConfigCoreServerExchange-SpecificExchange-flavorPrice-Server

Function: Sets how the TT Gateways in a failover group handle client requests for product downloads.

Available values include:

  • 0: Sets the active TT Gateway to respond to all product download requests.
  • 1: Sets the backup TT Gateway to respond to all product download requests. If the backup TT Gateway fails, client applications receive no response to their product download requests.
  • 2: Sets the backup TT Gateway to respond to all product download requests. If the backup TT Gateway fails, the active TT Gateway begins responding to all product download requests.

Default setting: 0

PFXEnabled

Location: AConfigCoreServerExchange-SpecificExchange-flavorPrice-Server

Function: Enables the TT Gateway to deliver price and market data to the client applications using PFX wire protocol.

Available values include:

  • True: Configures the TT Gateway to deliver prices only in the PFX wire format; CoreAPI mode is disabled.
  • False: Disables PFX mode and configures the TT Gateway to deliver prices in CoreAPI wire format.

Default setting: False

Note: TT Gateways Version 7.15 and higher support the PFX wire protocol only. The PFXEnabled parameter is deprecated in TT Gateways Version 7.15 and higher.

NTDUpdateInterval

Location: AConfigCoreServerExchange-SpecificExchange-flavorPrice-Server

Function: Sets the coalescing interval, in milliseconds, for the NTD Feed in PFX mode. Updates on the NTD feed are accumulated during the interval. After the interval expires, the accumulated data is delivered in a single message to the clients using PFX wire protocol.

The minimum value allowed is 5.

Default setting: 50

Exchange-Time-Interval

Location: AConfigCoreServerExchange-SpecificExchange-flavorTime

Function: Sets the number of seconds between Price Server broadcasts of exchange and TT Gateway times to subscribed clients. A value of 0 turns off this feature.

Default setting: 60

PacingInterval

Location: AConfigCoreServerExchange-SpecificExchange-flavor SeriesCreation

Function: Certain exchanges, such as LIFFE, can introduce a large number of new contracts at one time. Without throttling the introduction of these new contracts, your network performance can degrade. You use PacingInterval with PacingCount to create a throttling mechanism that regulates the broadcasts of new contracts. PacingInterval sets the expiration interval, in milliseconds, during which the TT Gateway broadcasts the number of newly introduced contracts listed in PacingCount.

For an example of PacingInterval and PacingCount, see the parameter PacingCount below.

Default setting: 100

PacingCount

Location: AConfigCoreServerExchange-SpecificExchange-flavor SeriesCreation

Function: Sets the number of contracts that the TT Gateway broadcasts during a particular PacingInterval. After broadcasting, a TT Gateway waits the remaining number of milliseconds set in PacingInterval before broadcasting additional contracts. The TT Gateway queues any contracts that it cannot immediately broadcast due to the PacingCount restriction.

Default setting: 1

Example:

If PacingInterval=100 and PacingCount=2:

  • When the TT Gateway receives two new contracts, it broadcasts the contracts immediately. 50 milliseconds later, the TT Gateway receives 2 additional contracts. The TT Gateway queues these additional contracts. 50 milliseconds later, the TT Gateway broadcasts the additional contracts.
  • When the TT Gateway receives a new contract, it broadcasts it immediately. 25 milliseconds later, the TT Gateway receives 2 additional contracts. The TT Gateway broadcasts one immediately, and queues the other contract. 75 milliseconds later, the TT Gateway broadcasts the queued contracts.

Configuring Subscription Request

You can use the following parameters to determine the number of outstanding subscription requests a client can make to price servers.

However, TT strongly recommends you do not change these settings from their default values. Doing so may result in frozen markets.

Warning

The following parameters provide information that may assist your TAM in determining a market data issue.

Do not change the value of these parameters from their default settings.

Price Server PFX Subscription Parameters

Parameter

Description

PFX-Subscription-Threshold

Location: AConfigCoreClientAPI-SpecificPrice

Function: Sets the number of outstanding subscription requests a client application can make to price servers operating in PFX mode before queuing up subscriptions so as to not overload the system.

Warning

Do not change this parameter from the default value. Doing so may result in frozen markets.

Server-Subscription-Threshold

Location: AConfigCoreClientAPI-SpecificPrice

Function: Sets the number of outstanding subscription requests a client application can make to price servers operating in CoreAPI mode before queuing up subscriptions so as to not overload the system.

Warning

Do not change this parameter from the default value. Doing so may result in frozen markets.

Configuring Volume at Price (VAP)

You can configure whether and how the Price Server broadcasts Volume at Price (VAP). If you do not broadcast VAP, client applications (such as X_TRADER® and X_STUDY™) cannot display VAP in their GUIs.

TTQAP Parameters

Location: AConfigCoreServerExchange-SpecificExchangenameTTQAP

Parameter

Description

Warning

Do not change the default values for any of the following parameters unless instructed to do so by TT support.

Enabled

Function: Sets whether the VAP function of the Price Server is active.

  • true: VAP is active. If subscribed for VAP, clients will receive VAP.
  • false: VAP is disabled. Client applications will not receive VAP data, even if they subscribe for it.

Default setting: true

Granularity

Function: Sets the granular range of each VAP price level.

Default setting: 1

Rounding-Policy

Function: Sets the rounding policy (up or down) that the VAP logic applies to incoming prices when it quantifies them according to the Granularity parameter. If Granularity is set to 1, VAP does not round prices.

  • round_up: Sets VAP to round incoming prices up.
  • round_down: Sets VAP to round incoming prices down.

Default setting: round_up

Checkpoint-Interval-Seconds

Deprecated Function.

TT Gateways no longer use this parameter.

Coalescing-Interval-mSecs

Function: In milliseconds, sets the length of time between VAP broadcasts.

Default setting: 1000

Debug

For function and default setting, refer to Server Component Logging.

Subscription-TTL-Days

Function: Sets the number of days after a product’s last subscription before the Price Server marks a product as stale. At startup, the Price Server recognizes when a product has gone stale and stops tracking the stale product’s VAP information.

Default setting: 5

Rollover

Function: Previous to TT core version 7.0.11, sets whether the VAP rolls over when the Total Traded Quantity (TTQ) decreases.

As of TT core Version 7.0.11, Rollover sets whether VAP rolls over when the Fill Server rolls over (as set by the parameter exchange-day-start). For further details on exchange-day-start, refer to Time Settings.

  • true: VAP rolls over when TTQ decreases (pre-TT core Version 7.0.11) or when the Fill Server rolls over (TT core Version 7.0.11 and higher).
  • false: VAP does not roll over when TTQ decreases or when the Fill Server rolls over. To determine how the TT Gateway rolls over VAP, refer to the SAM specific to the TT Gateway you use.

Default setting: true except on TT CME Gateways which defaults to false

Note

On TTSIM Gateways that run TT Trainer, you must set this value to false.

MPF2 Settings (MPF2 Environment Only)

For details on using MPF2 architecture, refer to the MPF2 Feature Guide.

When you deploy the MPF2 architecture, you can configure TT machines in the MPF2 architecture to further fine-tune their behavior.

MPF2 Price Server Parameters

Parameter

Description

download-pacing

Location: AConfigCoreServerExchange-Specificexchange-flavor

Function: Sets the delay, in milliseconds, between the Price Server’s multicasts of initial price data snapshots.

Default setting: 20

Warning

Do not configure on a TT machine other than an MPF server in an MPF2 deployment. Do not configure this parameter without direct TT support.

Proxy-Subscription-Threshold

Location: AConfigCoreClientAPI-SpecificPrice

Function: Sets the maximum number of requests that a client application can send to a Price Proxy at a given time.

Only TT client applications use this parameter.

Default setting: 20

Warning

Do not configure this parameter without direct TT support.

Warning

Users should never receive market data from both a Price Proxy and the connected MPF Price Server at the same time.