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Market Data Broadcasts

Overview

BrokerTec Gateways Version 7.12 and higher can subscribe to the following Exchange price feeds for market data broadcasts:

  • BO14: The Exchange’s standard market data broadcast. BO14 provides snapshots of market activity and five (5) levels of aggregate market depth. BO14 supports all products currently offered by the Exchange.
  • BO23: The Exchange’s premium market data broadcast. Provides faster price updates, full detailed market depth, and reflects every change (delta) that occurs in the market. The Exchange supports a smaller set of products (currently, the US Actives only) via the BO23 broadcast.

Older versions of the BrokerTec Gateway do not support the BO23 broadcast.

Note

The Exchange offers a more limited BO36 market data broadcast. However, due to performance limitations, TT does not support subscriptions to the BO36 market data broadcast.

Once properly configured, BrokerTec Gateways attempt to subscribe to the BO23 broadcast. BrokerTec Gateways automatically receive market data on the BO14 broadcast for subscribed products that are not available via the BO23 broadcast.

Note

If the BO23 broadcast is unavailable, BrokerTec Gateways 7.15.1 and higher will subscribe to the BO14 broadcast. This differs from earlier versions of the Gateway. Previously, if the BO23 broadcast was unavailable, the Price Server would not start.

Comparing the Broadcasts

Both the BO14 and BO23 are TCP-based price feeds that provide snapshots of market activity. Each broadcast uses an Exchange-defined ‘holdback interval’ that determines the frequency of price updates.

Currently, the Exchange forwards price updates on the BO23 broadcast in real time while the BO14 updates every 140ms. In addition, the BO23 snapshots reflect all transactions that occur in the market while the BO14 broadcast aggregates (conflates) transactions that occur during holdback interval.

Comparing Market Depth

The BO14 broadcast only delivers aggregate market depth for up to five (5) levels from the inside market.

When configured for PFX mode, BrokerTec Gateways deliver all available detailed depth for BO23 supported products. Currently, this only includes the US Actives.

When properly configured and used with X_TRADER Version 7.7.3 and higher, TT BrokerTec Gateways can allow a maximum of 5 levels of depth for BO23 supported products.

Subscribing to the BO14 Broadcast

To subscribe to the BO14 broadcast, customers configure their UserID and UserPassword in either the [Global] section of the hostinfo.cfg file or optionally create unique [TTP] sections.

Subscribing to the BO23 Broadcast

Prior to subscribing to the BO23 broadcast, customers must first work with the Exchange to purchase a unique user ID and password for the BO23 broadcast. In addition, BrokerTec requires the establishment of redundant, T1 lines for connectivity.

To enable the BO23 Broadcast Subscription:

  1. Obtain a unique user ID and password from the Exchange.

    BO23 enabled user IDs normally begin with the TTPF_ prefix.

  2. Ensure that your connection meets the Exchange’s requirements. Currently, this consists of redundant, T1 lines.
  3. Create a unique [TTP] section in the hostinfo.cfg file and add the Exchange-provided UserId and UserPassword as reflected in the example below.

    Example [TTP] section configured for the BO23 Broadcast

    [TTP]

    UserId=TTPF_User3

    UserPassword=HPK891

    The UserID and UserPassword entered into the [TTP] section overrides the Root and UserPassword values listed in the [GLOBAL] section. However, BrokerTec Gateways continue to connect to the Exchange using the AccessIP and AccessPort from the [Global] section.

    Note

    The BO23 broadcast does not require an AccessIP/AccessPort in the [TTP] section.