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Understanding the Price Feed

Overview

The UMDF (Unified Market Data Feed) platform provides a low latency, state of the art multicast market data service to BVMF customers via the FIX 5.0/FAST protocols. Firms, trading customers, and market data vendors connect to the UMDF platform via the exchange-supported connectivity options.

UMDF is provisioned for different market data channels containing instrument dictionaries, order book updates, trades, and statistical data that cater to different asset classes and products. The BVMF Gateway can be configured to access the market data channels for selected products that Desk Traders and DMA Traders want to trade, and it supports the Market by Order market data view.

The Price Server on the BVMF Gateway supports the UMDF dual price feed connection, and both price feeds connect via UDP for its price data. These feeds are referred to as Price Feed A and Price Feed B. The Price Server listens to the Market By Order feeds (Feed A and Feed B) for each product to which it subscribes. The dual price feed approach provides the following functions:

  • Connects to the Exchange.
  • Provides a verification system for data delivery.
  • Creates less packet overhead and throughput.
  • Uses a UDP connection to communicate with and send price information to the Price Server.

BVMF transmits identical price data on both feeds along with sequence numbers that define which packets of data are present. If the TT Gateway discovers a missing sequence number, the Price Server sends the correct information after receiving the next price update.

When waiting for the next price update, the BVMF Gateway may temporarily remove market data. This information automatically repopulates when a new price update is received. For information on price transmission failures, see the FIX/FAST Message Recovery.

Price Server Diagram

The Price Server diagram illustrates the dual price feed connection to the UMDF platform.

Price Server Files

During normal operation, the Price Server reads:

  • Hostinfo.cfg to determine the multicast groups (product data) to which it must subscribe.
  • MulticastGroups.cfg to obtain each multicast group’s connectivity information (i.e., channel number, IP addresses, ports, etc.)

Also, at startup and after a product download, the Price Server reads the price data in Exchange-flavor_Mode_ttqap.dat to include previously traded contracts when calculating VAP for TTQAP-subscribed products.

TT Gateway Subscription Process

At startup and during operation, the Price Server reads the hostinfo.cfg file to determine:

  • The various multicast groups that it must download as specified by the MulticastGroup# parameters.
  • The NIC IP addresses (on the local machine) where the BVMF Gateway routes the various UMDF feeds. The feeds are FeedA and FeedB (as illustrated in the AddressFeed* parameter). For details on routing UMDF feeds, refer to Configuring a Multiple NIC Setup.

After identifying these multicast groups, the Price Server refers to the MulticastGroups.cfg file to determine the connectivity information on how to obtain the multicast group data from BVMF.

Price Server Data Flow

The following is a description of the price feed connection process from the Price Server to the exchange.

  • The Price Server on the BVMF Gateway starts and reads hostinfo.cfg to determine which multicast groups to subscribe to.
  • The Price Server reads MulticastGroups.cfg to determine connectivity data for each of the multicast groups specified in hostinfo.cfg.
  • The BVMF Gateway connects to the exchange UMDF price feed via a UDP multicast, and subscribes to the products configured in hostinfo.cfg.
  • The exchange sends the requested price information to the Price Server. Every price message from BVMF has a sequence number.
    Note

    Currently, the price sequence number starts at 1 on Sunday and increases by one for each price message received throughout the week. The sequence number resets back to 1 on Sunday.

  • Each multicast group maintains its own sequence number.
  • The Price Server begins broadcasting Market Depth and price updates using the multicast group as set in Guardian.
  • In real time, the Price Server records the price structure for each contract held in RAM on the BVMF Gateway.

Prices- FIX/FAST Messages

The BVMF Gateway continually receives market data snapshots from the exchange via FIX/FAST. If you subscribe to additional channels from the price feed, you must use the -products command line parameter to restart the Price Server and download the additional information.

For more information on FIX/FAST, refer to FIX/FAST Behavior.

Tick Tables, Point Values, and Product Tables

The exchange does not provide point values in their price feed. As such, some BVMF products, most notably the DI1 Future, will not have working point values defined in the product table. Instead, the following gateway-supported Futures and, if noted, Options products have their point values set using an exchange-defined formula that changes on a tick-to-tick or day-to-day basis:

  • DAP
  • DDI
  • DDM
  • DI1
  • DI1 Options: D11, D12, D13, D14
  • FRP
  • IDI
  • SCC

The tick size of a DI1 contract may change intra-day. DI1 Futures more than 3 months out tick in 0.01, while those within 3 months of expiration tick in 0.001.The Price Server publishes the changed tick size, however, trading applications may have to be restarted in order to pick up the change.

Note

You need to confirm the correct point value in the TT-Supported Product Database and manually update the Guardian product table, as needed. To confirm the correct point value for a product, refer to:

Verifying Product Table Settings

You can use the override function in the product table to display the Setup Product Table Items dialog box and review these settings. For the BVMF Gateway, all items should be under Administrator control, and the Setup Product Table Items dialog box should appear as follows:

Customers with an MPF environment must ensure that all items are listed in the Administrator column for all MPF Price Servers and mapped Gateways.

To verify Guardian Product Table Settings:

  1. Open Guardian.
  2. Click File, then click Admin Login from the drop down menu to login as an Administrator.
  3. Click Admin, then click Product Table Setup.
  4. In the Exchange list click the drop-down menu icon and select a BVMF Gateway.
  5. Click Override.
  6. In the Setup Product Table Items dialog box that is displayed, verify that no items are listed in the Exchange column.
  7. Verify that the following items are listed in the Administrator column, and click OK:
    • Alias
    • Base Tick
    • Currency
    • Description
    • Margin
    • Point Value
    • Price Format
    • Round Lot
    • Tick Table
  8. If any changes were made, click Publish.

pMerge Overview

The BVMF Gateway installs with the pmerge.exe executable. During installation, this executable runs automatically to set up and configure the product tables that the TT Gateway uses. Additionally, when you upgrade a BVMF Gateway, pmerge.exe runs automatically to merge pre-existing product tables with any new product tables distributed with the latest TT Gateway software.The only time you must use pMerge manually is if TT distributes updated product information in a customer advisory. TT distributes this product information in a file named BVMF.pmg.

Note

If you run pmerge.exe as part of receiving an updated BVMF.pmg from a Customer Advisory, TT recommends running it during non-trading hours; the Price Server has to be stopped and restarted in order to see the new product table changes.

You can run pMerge in two different ways:

  • From Window Explorer
  • From the Command Window

To run pMerge from Windows Explorer:

  1. In Windows Explorer, navigate to <root drive>:ttbin
  2. Double-click pMerge.exe

    The Open Guardian product table merge file dialog box appears.

  3. Navigate to <root drive>:ttconfig
  4. Double-click BVMF.pmg

    pMerge creates the new product table. After pMerge completes its tasks, the pMerge status bar displays Finished.

  5. Close the pMerge status bar.

To run pMerge in the Command Window:

  1. Open a Command Window.
  2. At the command line prompt, run pMerge using the following syntax:
    Note

    pmerge [<root drive>:ttconfigBVMF.pmg -e exchange-flavor [-q | -v]]

    • pmerge: Runs the pMerge.exe file. If you do not include additional arguments, this command opens the Open Guardian product table merge file dialog box. Refer to .
    • -e exchange-flavor: Sets the exchange-flavor of the TT Gateway whose product table pMerge updates.
    • -q: Sets pMerge to run in quiet mode. pMerge does not output informative text in the Command Window when it runs.
    • -v: Sets pMerge to run in verbose mode. pMerge outputs informative text in the Command Window when it runs.

    pMerge creates the new product table. After pMerge completes its tasks, the pMerge status bar displays Finished.

  3. Close the pMerge status bar.

Total Traded Quantity at Price (VAP)

To accurately convey market data sent from the exchange, the BVMF Gateway calculates the following:

  • Total Traded Quantity at Price (TTQAP) or Volume at Price (VAP)
  • Total Traded Quantity (TTQ)
  • Last Traded Quantity (LTQ)
  • Last Traded Price (LTP)

Sequence Numbers

The incremental market data feed generated by the UMDF platform resets the message sequence numbers (tag 34 – MsgSeqNum) on a weekly basis.