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Price Server: Architecture

Overview

TT Gateways and client applications utilize the PFX price delivery architecture. PFX improves the reliability and scalability of delivering prices to the client trading applications. PFX also maximizes price scalability and bandwidth utilization under peak network load while maintaining extremely high performance.

Terms

The following terms are used in this chapter.

  • PFX client: A client trading application that supports the PFX architecture, and is capable of subscribing to the PFX price feeds and consuming market data delivered via PFX wire protocol. A PFX-capable client consumes updates in either CoreAPI or PFX format. No configuration changes are needed to consume PFX or CoreAPI data.
  • PFX-capable TT Gateway: A TT Gateway that supports the PFX architecture, and is capable of delivering price and market data via PFX wire protocol. A PFX-capable TT Gateway can provide prices using either CoreAPI or PFX, and is installed to provide CoreAPI updates by default.
    • PFX-enabled TT Gateway: A PFX-capable TT Gateway that is enabled to deliver price and market data to clients via PFX wire protocol. PFX price delivery is enabled on the TT Gateway by setting the Aconfig parameter PFXEnabled to true.
    • PFX-disabled TT Gateway: A PFX-capable TT Gateway that is broadcasting CoreAPI prices since PFX is disabled. To disable PFX, set the Aconfig parameter PFXEnabled to false.
  • NonPFX client: A client that only supports CoreAPI price delivery.
  • NonPFX-capable TT Gateway: A TT Gateway application built on core version 7.5.0 but not converted to PFX, or built on a core version prior to 7.5.0 that only supports CoreAPI price delivery.

PFX Price Delivery

The TT Gateway receives price and market data from the exchange and partitions the data into the following separate price feeds:

  • Trade Data (TD) feed
  • Non-Trade Data (NTD) feed

Each feed delivers a different set of data to clients. The TD feed delivers actionable data that is immediately relevant to making trading decisions. The TD feed is sent at the highest priority and consists of the following:

  • Inside Market
  • Market, Implied, and Detailed Depth (25 levels maximum)
  • Last Traded Price (LTP) of the most recent trade in the interval
  • Last Traded Quantity (LTQ) of the most recent trade in the intervalTrade StateTotal Traded Quantity (TTQ)

The NTD feed delivers non-actionable trade data that is not as time-critical or immediately relevant to trading decisions. Non-actionable trade data is sent at deferred priority and consists of all data not in the TD feed, such as:

  • Time & Sales
  • LTP of all trades in the interval
  • LTQ of all trades in the interval
  • Settlement Price
  • Open and Close Price
  • Session Status

TT client applications can subscribe to either the TD feed or NTD feed.

Price Delivery Algorithms

The TT Gateway provides two types of coalescing for delivering inside market (IM) and market depth updates:

  • Real time: Maximize the delivery of price data to be as fast as possible under heavy exchange price traffic or high CPU utilization conditions.
  • Time-based: Controlled price delivery using a fixed time interval between price updates. Price delivery is based on algorithms to collect price and market depth updates for a predefined time interval before broadcasting the updates in a single message.

Price Delivery Configuration

Coalescing for the TD feed is determined by Market-Depth.Interval-mSecs.The default value is 0, which configures the TT Gateway to deliver real time prices.

An upgrade does not change your existing coalescing settings. For more information regarding coalescing parameters, refer to Configuring Broadcast Behavior.