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Order and Fill Server Architecture

Overview

The messaging approach in TT Gateways Version 7.15 and higher significantly improves order and fill server performance by reducing the amount of redundant data transmitted when delivering shared order and fill data across the trading environment.

This new messaging approach leads to a significant reduction in the latency introduced by the TT Gateway software when delivering order and fill messages from the exchange to trading applications.

This is especially true in deployments where traders are sharing an order book, or when an individual trader is using multiple applications. In fact, the bigger the shared order book or the more applications a trader uses, the bigger the performance improvement.

Order book sharing occurs in the following scenarios:

  • Multiple traders that share the same Group ID (e.g., Traders TTORD SIM SAM and TTORD SIM PAM share an order book).
  • A single trader using multiple TT applications with the same login IDs (e.g., TTORD SIM SAM logged into an X_TRADER workstation, Autospreader SE and X_TRADER API at the same time).

Summary of the Enhanced Order/Fill Delivery

The following provides a quick snapshot of the Enhanced Order/Fill Delivery:

  • Automatically enabled: TT Gateways and client applications automatically create TTM subjects required to establish their connections. This does not require the user to change configuration settings.
  • Reverse Compatibility: Updated versions of TT software are fully backwards compatible. Therefore, you may individually upgrade each component in your trading environment without negatively impacting existing products.
    Note

    TT provides backwards compatibility between products that support System Administration Manual and older versions.

    However, to obtain the full performance gains from this enhancement, all products in your environment must be on a version that supports the new functionality.

  • Reduced latency: This enhancement allows TT Gateways to forward each order update once which minimizes the wait time for subsequent updates.
  • Scalability: You can now route a greater number of traders that share an order book through a single TT Gateway without significantly increasing the amount of bandwidth consumption or load on the Order Server.

Message Delivery Comparison

In TT Gateways Version 7.14 and earlier, when an order update occurs, the Order Server forwards duplicate copies of that information to each trader and trading application that requires it.

Updated versions of TT Gateways and client applications use automatically configured TTM subjects to forward a single copy of the order update to all order and fill consumers simultaneously.

This minimizes latency and reduces bandwidth usage within the network.