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Configuring the Order Server and Order Routers

Adding [OrderServerSession_#] sections

If you need to configure additional order sessions, for each session you must:

  • Add a [OrderServerSession_#] section with a unique set of connection information.
  • Include the SenderCompId, TraderCompId, Password, ExchangeIP, ExchangePort, and Member.

To add a new [OrderServerSession_#] section:

  1. Open hostinfo.cfg.
  2. Add the new [OrderServerSession_#] section.
  3. Add all new trader login IDs to TT User Setup 7.4.2 or higher.
  4. Verify that the Price Server is running. If it is not running, start it. Refer to Testing Price Server Setup.
  5. Stop and restart the Order Server on the CFE Gateway.
  6. Log in to Guardian as an Administrator and, using the View Status function, verify that an Order Router appears listing the new connection.

Maximum Supported Order Sessions

TT currently supports up to 100 separate order sessions on each CFE Gateway 7.16. Internal testing shows that this amount of order sessions supports the optimal performance during continuous operation and periods of heavy order entry.

TT recommends users work with their Technical Account Manager (TAM) to accurately load balance traders across multiple order sessions.

Configuring Order Sessions

Although the CFE Gateway uses Order Routers, they run as threads within the Order Server and not as separate processes on the CFE Gateway. You must configure each Order Router’s TCP connection to the exchange as an order session in hostinfo.cfg.

Tip

You can map multiple memberships to the same Order Router. If you expect to generate a high volume of traders, TT recommends that you configure multiple [OrderServerSession_#] sections, each with a unique set of credentials obtained from CFE.

On a CFE Gateway:

  • ttchron.ini does not contain an Order Router section.
  • Each order session must have its own section in the hostinfo.cfg file called [OrderServerSession_#]. This section configures the Order Router that hosts the session.
  • Guardian displays individual Order Routers and their status for a specified CFE Gateway when you use Guardian’s administrative function called View Status.

To configure the [OrderServerSession_#] section:

  1. Open hostinfo.cfg in a text editor (e.g., Notepad).
  2. Configure the following parameters:
    • Exchange IP
    • ExchangePort
    • SenderCompId
    • TargetCompId
    • Password
    • member
    • IsWeeklySessionReset
  3. You may optionally configure unique account code mapping for the Order Session as described in Account Code Mapping.
  4. Add all new trader login IDs using TT User Setup 7.4.2 or higher.
  5. Verify that the Price Server is running. If it is not running, start it. Refer to Testing Price Server Setup.
  6. Stop and restart the Order Server on the CFE Gateway.
  7. Log in to Guardian as an Administrator and, using the View Status function, verify that an Order Router appears listing the new connection.

Section: [OrderServerSession_#]

Example An [OrderServerSession_#] section configured for one session

[OrderServerSession_1]

ExchangeIP=123.456.7.89

ExchangePort=12686

SenderCompId=SMJN01

TargetCompId=TMJN01

Password=12345678

Member=CFE

IsWeeklySessionReset=True

The [OrderServerSession_#] section contains the following parameters:

[OrderServerSession_#] section parameters
ParameterDescription
[OrderServerSession_#]

This is the section title.

ExchangeIP

Sets the IP address that the CFE Gateway uses to establish connectivity to the exchange.

ExchangePort

Sets the port address that the CFE Gateway uses to establish connectivity to the exchange.

SenderCompId

Identifies the client’s exchange-provided SenderCompId. This is generated by the exchange based on the client’s firm name and a connection number. The maximum length of the SenderCompId is eight characters. SenderCompId is sent in Tag 49 and provides messages sent to the exchange from the client.

TargetCompId

Identifies the client’s exchange-provided TargetCompId. This is generated by the exchange based on the client’s firm name and a connection number. TargetCompId is sent in Tag 56 and provides messages sent to the client from the exchange.

Password

Sets the password the Order Server uses to connect to the exchange for order data.

member

Identifies the client’s Member login. This variable must match the Member portion of the MemberGroupTrader ID defined in TT User Setup. The Member ID is not provided by the exchange. If the member parameter is not set up, the CFE Gateway swill use the SenderCompId value. Each [OrderServerSession_#] section must have a unique member value.

AccountType

Sets the custom set of CBOE Account Code used for Account Type routing. This is done on a per-session basis by adding a configuration of the format AccountType=AccountCode where:

  • AccountType = TT Account Type
  • AccountCode = CBOE Account Code, which is sent as a string in FIX Tag 47

If any of the required fields are missing or invalid, the following hard-coded default values will be used:

  • A1=E
  • A2=F
  • A3=O
  • A4=H
  • M1=M
  • P1=D
  • P2=A
  • P3=C
  • U1=L

For more information refer to Account Code Mapping.

IsWeeklySessionReset Sets a weekly FIX session reset. This is a required parameter that supports the exchange’s extended trading hours. Set IsWeeklySessionReset=True for each order session configured on the gateway.

Configuring Multiple Order Sessions

Multiple order sessions are supported by the Order Server. The session names are configured using the [OrderServerSession_#] section where # is any unique number or name.

To configure an additional session, copy-and-paste the required parameters into a new [OrderServerSession_#] section.

Multi-Member Order Routers

Multiple order sessions are supported by the Order Server. The session names are configured using the [OrderServerSession_#] section where # is any unique number or name.

To configure an Order Router to support multiple memberships:

  • For all multi-member Order Routers, the exchange must distribute the appropriate UserID value for use by each order session.
  • To set up the multi-member Order Router (i.e., the [OrderServerSession_#] section), use the SenderCompId and Member of one of the memberships that are assigned to the multi-member Order Router.

There is no additional change to trader setup or risk parameter configuration for the additional sessions.

Order Router Selection

Warning

If you have traders who use a Member ID that does not match the Member parameter of an order session in the CFE Gateway’s hostinfo.cfg file, their orders will be rejected by the gateway.

When it receives an order, the Order Server looks for an exact match of the trader’s Member ID and the Member parameter value configured in the [OrderServerSession_#] section. Each session is hosted by an Order Router that runs as a thread on the Order Server.

Order routing rules:

  • When the Member parameter selects a session for a trader, the trader ID (i.e., the “T” in MGT) sent by the CFE Gateway is the Trader ID provided by the exchange and configured in TT User Setup as a Direct Trader ID.
  • The gateway sends the Direct Trader ID on all orders. If a TTORD submits an order, the Direct Trader ID that the TTORD is mapped to is sent to the exchange.
  • On subsequent orders, the gateway uses the trader ID from the original order (i.e., Direct Trader ID).

Order Session Identification

TT Gateways 7.16 and higher contain an enhancement that displays the exchange credential used to route all orders and fills through the exchange. This includes all order modifications and exchange rejects but does not include orders actions on Hold orders and position reserve orders.

Currently, this value is available in the following locations:

  • Audit logs: appears in the ExchangeCredentials column
  • Order Server logfile
  • FIX Adapter 7.8: via Tag 18216 (ExchCred)
Note

The exchange credential will be available in future versions of other TT client applications.

To provide users a way to identify which order session routed a particular order on a CFE Gateway, the order session is identified by the SessionCompId configured in hostinfo.cfg. The session identification appears on orders and fills for all order actions (add, modify, cancel) routed to the exchange. If the CFE Gateway rejects an order action, the session is not identified.

Order Book Sharing

Traders associated with the same membership can share an order book. The trader IDs assigned by the exchange for each trader are unique, but the trader IDs can be mapped to the same Member ID in order to share an order book.

For example, a trader with a Member-Group-Trader (MGT) ID of “CFE 001 0800ZA1” can share an order book with a trader assigned an MGT of “CFE 001 0800ZA2”. As long as they are mapped to the same Member ID (e.g., CFE), the traders “0800ZA1” and “0800ZA2” can share an order book.