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Understanding the Price Feed

PFX Price Support

BrokerTec Gateways Version 7.12 and higher support TT’s PFX price delivery architecture.

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.

The TT Gateway can be enabled to deliver PFX price updates by configuring the PFXEnabled parameter in the aconfig.xml file using the Aconfig Utility. After a new installation or upgrade to a PFX-capable TT Gateway version, the parameter can be configured as part of the PFX migration procedure. By default, the TT Gateway installs with PFX disabled (PFXEnabled=false). Please contact your Technical Account Manager to switch the Gateway from PFX-disabled to PFX-enabled or vice versa.

For more information regarding PFX architecture and migration, refer to the TT Gateway Architecture System Administration Manual.

Price Server Data Flow

Note

Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram. Also, native orders are those orders normally accepted by the Exchange's API.

The following is a description of the Price Feed connection from the Price Server on the BrokerTec Gateway to the Exchange.

  • The Price Server queries hostinfo.cfg for all connectivity information (i.e., connection IP address, user names, password, etc.)
  • The Price Server connects to the Exchange via Genium API.
  • The BrokerTec Gateway downloads all product data from the Exchange via Genium API.
  • The Price Server distributes product tables to Guardian.
  • The BrokerTec Gateway subscribes to benchmark products and prices.
  • The Price Server begins multicasting market depth and price updates received from the Exchange.