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CME Gateway

HostInfo.cfg

Overview

 

The CME Gateway uses hostinfo.cfg (located in <root directory>:ttconfig) to configure its connection parameters and behavior. If this file is not configured or used properly, the CME Gateway will not function correctly. You must configure the hostinfo.cfg file at the time of installation, and again later, if any changes are made to network setup or trader logon IDs.

 

The default hostinfo.cfg on CME Gateways includes the following sections that contain parameters which affect the behavior of the CME Gateway:

 
    • [order_session_#]: The Order Server on the CME Gateway uses this section to configure an order session with CME Group. Additionally, this section has two optional parameters to set the deletion of stale orders from the order book.
 
    • [price_session]: The Price Server on the CME Gateway uses this section to configure a price session with the CME Group.
 

Hostinfo.cfg may have lines that begin with the “#” symbol. These lines are informative and do not configure program behavior.

 

When editing configuration files (.cfg), each logical set or entry must have its own line.

 
 

Deprecated Parameters

 

This section lists all deprecated parameters:

 
    • The following parameters are no longer valid in hostinfo.cfg.
        • From [order_sesion]: BridgePath, LogFile, ForceSendRecvFlush, Username, Holdlistsize, Outwindowsize, FFT4, LogAllOrdersAndFills, iLinkBackupIP, iLinkBackupPort, nopriceapi, Sendersubid
       
        • From [price_session]: Password, ExchangeImplieds, PricePersistence, RequestHistory, ReplayAddress, and ReplayHost
       
 
    • The following parameters are no longer valid. Additionally, the CME Gateway reflects the following default behaviors:
        • Implieddepth: CME Gateways support implied depth.
       
        • Marketdepth: CME Gateways forward all levels of depth available from the exchange.
       
        • Theoreticalopening: CME Gateways forward theoretical prices.
       
        • Quoterequest: CME Gateways process and distribute incoming Request for Quote (RFQ) messages.
       
        • Persistent: CME Gateways persist connections to the exchange.
       
        • PriceFeed=FAST: CME Gateways subscribe to and process market data in FIX/FAST format.
       
 
 

Section: [order_session]

 

The Order Server uses this section to configure an order session with CME Group. For each order session that the Order Server maintains, you must include a [order_session_#] section. Additional sections configure an Order Server on the CME Gateway to host multiple CME Group memberships.

 

You must assign each section a unique name using the # part of the name. For example, if you have two sections in your hostinfo.cfg, you could simply name them:

 
    • [order_session_1]
 
    • [order_session_2]
 

The first section in hostinfo.cfg does not include the _# identifier.

 

Whenever a trader submits an order, that trader’s Member ID determines which order session carries the order. The Member ID maps to the order session’s member parameter.

 

The table below includes the parameters that you use with the [order_session_#] section. Default values are included when applicable.

 
 
Warning

You must cancel all working orders before altering or removing any iLink session information. Failure to do so can result in orders becoming lost or deleted from the CME Gateway.

 
 
[order_session_#] section parameters
Parameter Description
[order_session_#]  

This is the section title, where # uniquely identifies the order session.

 
Member=SessionIDFirmID  

Also called the Member ID. This is a concatenation of the customer’s FirmID and SessionID, both of which CME Group assigns to the customer. This parameter has only six alpha-numeric characters.

 

Each [order_session_#] section must have a unique Member parameter.

 
Warning

If there is a duplicate Member parameter configured on a multi-session CME Gateway, the Order Server will not start.

 
Password  

CME Group assigns this value to the customer and refers to it as the Password.

 
ILinkPrimaryIP  

The exchange refers to this value as the IP address. The exchange provides the IP address, which is an IP address for a CME Group FIX Server through which the customer can connect to the exchange. The customer must use one of these addresses for the PrimaryIP.

 
ILinkPrimaryPort  

The exchange refers to this value as the port. This is the port on the CME Group FIX Server which the TT Gateway connects. If the exchange provides two port numbers, CME Group assigns each port to a specific IP address. If this is the case, the customer must use the appropriate number for each of the port parameters.

 
A1=40 G1=30 G2=40 M1=10 M2=21 P1=10 P2=21 U1=10  

These values set the associated CTI/Origin values for all orders that get sent through the order session.

 

The first digit of the value (e.g., for A1 listed on the left, this is 4) is the CTI value and the second digit is the origin value (origin of the order or fill). For example, if a parameter has a value of 41, it has a CTI value of 4 and an Origin value of 1.

 

If you change CTI/Origin mappings, you must stop and restart the Order Server before those particular mappings become active.

 

The accounts are:

 
    • A1 = 1st Agent
 
    • G1 =1st giveup
 
    • G2 = 2nd giveup
 
    • M1 = 1st market maker
 
    • M2 = 2nd market maker
 
    • P1 = 1st proprietary
 
    • P2 = 2nd proprietary
 
    • U1 = Unallocated
 

The associated numeric values for CTI are:

 
    • 1: Member Trader
 
    • 2: Proprietary
 
    • 3: On Behalf of Other Traders
 
    • 4: Customers
 

The associated numeric values for Origin are:

 
    • 0: Customer
 
    • 1: Firm or House (Non-customer)
 
GiveupAccounts  

Sets whether orders that carry the specified account type (i.e., G1) have multiple Give Up accounts.

 

For a description of configuring Give Up orders, refer to MultiFirm Give Up Orders.

 
Note: If X_TRADER® submits an order with the specified account type, the CME Gateway does not send a give-up firm. The CME Group assumes that the order is given up to multiple firms. Mapping is taken care of by CME Group’s back end.
 

Example: [order_session_#]

 

The following example sections illustrate:

 
    • A hostinfo.cfg configured for one membership
 
    • A hostinfo.cfg configured for two memberships
 
Example [order_session_#] sections
Example HostInfo.cfg File - One Member Example HostInfo.cfg File - Two Members
 

[order_session_1]

 

Member=TR409

 

Password=TR4

 

iLinkPrimaryIP=10.140.120.45

 

iLinkPrimaryPort=11092

 

A1=40

 

G1=30

 

G2=40

 

M1=10

 

M2=21

 

P1=10

 

P2=21

 

U1=10

 
 

[order_session_1]

 

Member=TR409

 

Password=TR4

 

iLinkPrimaryIP=10.140.120.45

 

iLinkPrimaryPort=11092

 

A1=40

 

G1=30

 

G2=40

 

M1=10

 

M2=21

 

P1=10

 

P2=21

 

U1=10

 

[order_session_2]

 

Member=TR408

 

Password=TR5

 

iLinkPrimaryIP=10.140.120.45

 

iLinkPrimaryPort=11092

 

A1=40

 

G1=30

 

G2=40

 

M1=10

 

M2=21

 

P1=10

 

P2=21

 

U1=10

 
 

Section: [price_session]

 

The [price_session] section configures the Price Server connection to CME Group and lists the various subjects for which the Price Server subscribes. Parameters that are not present by default can be added manually to this section using a text editor (e.g., Notepad). The [price_session] section consists of the following parameters:

 
[price_session] section parameters
Parameter Description
[price_session]  

This is the section title.

 
OptionStrategies=Y  

Sets whether the CME Gateway supports trading of options strategies, user-defined strategies, and exchange-defined strategies.

 

This parameter has two settings:

 
    • Y: The CME Gateway supports trading of options strategies, user-defined strategies, and exchange-defined strategies.
 
    • N: The CME Gateway does not support trading of options strategies, user-defined strategies, and exchange-defined strategies.
 

When this parameter is set to Y, any new or existing options strategy, User-Defined Strategy (UDS) or Exchange-Defined Strategy (EDS) is made available for trading by the CME Gateway. When this parameter is set to N, no options strategy, user-defined or exchange-defined strategy is processed by the CME Gateway; however, you can still create a User-Defined-Strategy if this parameter is set to N.

 

Leaving this parameter set to Y when you do not use strategies is not detrimental to the CME Gateway. By default, this parameter is present and is set to Y.

 
MulticastConfig  

For 7.16.0 or higher versions, sets the relative path to the TT configuration directory (config) and fast.cfg. The path to the directory can be changed to a customized location relative to config by entering and configuring this parameter. By default, this parameter is not present and the gateway automatically locates fast.cfg in the config directory.

 
MaxSubjects=  

Sets the maximum number of product channels to subscribe to on the price feed, and overrides the CME Gateway default channel limit. TT highly recommends subscribing to no more than 14 channels per gateway, however, certain channels do not experience the same trading volume and can be added beyond the 14-channel limit without introducing latency or negatively impacting system performance. For more information about optimizing your gateway, refer to Recommendations for Optimal Performance.

 

If your gateway experiences dropped packets or price latencies after enabling the MaxSubjects functionality, remove this parameter and reconfigure your price subscriptions. If you contact TT about price latency/stability issues after setting this parameter, you will be instructed to remove this parameter and lower the number of channels as the first debugging step.

 

By default, this parameter is not present and the CME Gateway subscribes to a maximum of 14 product channels.

 
Note

TT highly recommends that you work with your TAM to determine if your gateway configuration can reasonably process additional channels above the 14-channel limit.

 
ProcessDailies  

Sets whether the Price Server processes daily Futures contracts available on the following market data channels: GREEN_EXCHANGE_FUTURES and NYMEX_FAST_NATURALGAS_PROPANE.

 

The parameter has two settings:

 
    • Y: the Price Server processes daily contracts on these channels.
 
    • N: the Price Server does not process daily contracts on these channels.
 

If ProcessDailies=Y, the FASTSubject# parameters for GREEN_EXCHANGE_FUTURES and/or NYMEX_FAST_NATURALGAS_PROPANE must be enabled.

 

By default, this parameter is not present and the CME Gateway behaves as if set to N.

 
Note

If ProcessDailies=Y, any FIX Adapter, X_TRADER® API, or Back Office Bridge users in your environment must upgrade to the following versions in order to support daily Futures contracts:

 
    • FIX Adapter 7.7.4
 
    • X_TRADER API 7.7.6
 
    • Back Office Bridge 3.2.2
 
ignoregroupcode=  

Sets the CME Group’s group codes (comma delimited) for products that the TT Gateway ignores. Contact the CME Group for a current list of group codes.

 

In order to trade Eurodollar options, you must:

 
    • uncomment this parameter by removing the # sign, if present
 
    • set ignoregroupcode=none
 
Note

The productgroupingfilter parameter overrides this setting.

 
ProductGroupingFilter  

Sets which products to include or exclude from the price feed based on the EnableOrDisableGroups parameter. Products must follow the format set in the productgroupings.cfg file.

 

By default, this parameter is not present and the CME Gateway subscribes to all products except those listed in the ignoregroupcode parameter.

 
EnableOrDisableGroupings=enabled  

If the value equals enabled, the price feed includes products listed in the productgroupingfilter parameter. If the value does not equal enabled, all products listed in the productgroupingfilter parameter are excluded from the price feed.

 

By default, this parameter is not present and the CME Gateway subscribes to all products except those listed in the ignoregroupcode parameter.

 
Note

This parameter only functions when values are set in the productgroupingfilter parameter and the productgroupings.cfg file is present.

 
MaxSnapshotQueue  

Set the number of messages the CME Gateway stores when awaiting a market snapshot from the CME Group.

 

By default, this parameter is not present and the CME Gateway behaves as if MaxSnapshotQueue=300.

 
Note

This parameter is only available in FIX/FAST mode.

 
TemplateFile  

For 7.15.0 or lower versions, sets the location of the FASTTemplates.xml file. By default, CME Gateways set TemplateFile=<root drive>ttconfigFASTTemplates.xml. If this parameter is present in hostinfo.cfg after an upgrade to a 7.16.0 or higher, the setting will be ignored.

 

For information on how the CME Gateway uses the FASTTemplates.xml file, refer to FIX/FAST Behavior.

 
FastTemplates  

For 7.16.0 or higher versions, sets the location of the FASTTemplates.xml file. The path to the file can be changed to a customized location relative to the TT configuration directory (config) by configuring this parameter. By default, this parameter is not present and the gateway automatically locates the FASTTemplates.xml file in the config directory.

 

For information on how the CME Gateway uses the FASTTemplates.xml file, refer to FIX/FAST Behavior.

 
FASTSubject#=Subject/  

Configures the type of data (i.e., products) to which the CME Gateway subscribes. You can subscribe to any market data that has a [fastInterface] section in the fast.cfg file.

 

The value of this parameter must exactly match the value of a subject parameter in the fast.cfg file. The CME Gateway uses fast.cfg to determine how to connect to CME Group to subscribe to the specified data.

 

The # in the FASTSubject# parameter starts at 1 for the first subject you include and increases by 1 for each additional subject parameter you include in this section. Each # must be unique.

 

The Price Server limits subscribing to more than 14 FIX-FAST market data channels per CME Gateway. For recommendations on which combinations of subject parameters to enable in order to configure the CME Gateway for optimal perfomance, refer to Recommendations for Optimal Performance.

 
Warning

If the CME Gateway subscribes to more than 14 FIX-FAST market data channels, the Price Server immediately logs an error message and displays as Exchange Feed Down (half red, half green) in Guardian. If this occurs, you will need to adjust the number of FASTSubject# parameters enabled in the [price_session] section and restart the Price Server.

 
NetworkInterfaceFeed*=IP  

Sets the IP Address of the CME Group-facing NIC. If you use multiple CME Group-facing NICs, using Feed* you must specify which MDP feed the TT Gateway routes over the NIC. The Feed* section of this parameter maps to the same section in the parameter AddressFeed* in the fast.cfg file. If you have only one CME Group-facing NIC, use NetworkInterface=IP, the TT Gateway uses this as the default NIC for all MDP feeds.

 

For further details and examples, refer to Configuring Multiple NIC Setup.

 
HeartbeatTimeout=150  

This value sets the number of seconds the Price Server continues to run without receiving any data and heartbeats. If the Price Server has not received data or heartbeats after this time has elapsed, it dies. During normal trading hours, TTChron restarts this process.

 

During operation, if the Price Server loses its connection to the exchange and times out, it dies and then tries to reconnect after it is restarted.

 
LogLinkInterval=1000  

Price data is sent from the CME Group and assigned sequence numbers (links). This parameter sets the number of links the TT Gateway bundles together.

 

By default, this parameter is not present and the TT Gateway behaves as if this parameter is set to 1000.

 
Warning

Do not modify this setting unless instructed to do so by a TT Representative.

 
RequestProducts=N  

Sets whether the TT Gateway will request historical product data at startup from theCME Group.

 
    • Y: Historical product data is requested.
 
    • N: Historical product data is not requested.
 

By default, this parameter is not present and the TT Gateway behaves as if this parameter is set to N.

 
Warning

 
    • Do not modify this setting unless instructed to do so by a TT Representative.
 
    • This parameter may be overridden by any command line parameters which start historical data requests.
 
IncludeSpreadTradesInVAP  

Sets whether the CME Gateway includes non-implied spread trades when calculating Volume at Price (VAP).

 

This parameter has two settings:

 
    • Y: The Gateway includes non-implied spread trades when calculating VAP.
 
    • N: The Gateway does not include non-implied spread trades when calculating VAP.
 

By default this parameter is not present. If this parameter is not present or contains an invalid value, the CME Gateway behaves as if set to Y.

 

For a description on how the CME Gateway calculates VAP, TTQ, LTQ and LTP, refer to Configuring Total Traded Quantity at Price (VAP).

 
IncludeSpreadTrades  

Sets whether the CME Gateway includes spread trades when calculating Last Traded Price (LTP) and Last Traded Quantity (LTQ),

 

By default, this parameter is not present. If this parameter is not present or contains an invalid value, the CME Gateway behaves as if set to N.

 

For a description on how the CME Gateway calculates VAP, TTQ, LTQ and LTP, refer to Configuring Total Traded Quantity at Price (VAP).

 
LogSettlements  

Sets whether the Price Server logs settlement prices.

 

When LogSettlements=Y, the Price Server logs all settlement prices.

 

By default, this parameter is not present. If this parameter is missing or contains a value other than Y, the Price Server does not log settlements.

 
Warning

Do not modify this parameter unless instructed to do so by a TT Representative.

 
RequestInitialSnapshot This parameter available in Version 7.5.3 and higher.  

Sets whether the CME Gateway fills in market data by requesting a snapshot from the exchange or simply updating data as price updates arrive.

 

This parameter has two available settings.

 
    • Y: After receiving an initial price update, the CME Gateway fills in market data by requesting a snapshot from the exchange.
 
    • N: After receiving an initial price update, the CME Gateway updates market data as subsequent price updates arrive (i.e., Natural Refresh).
 

By default, this parameter is not present and the CME Gateway behaves as if RequestInitialSnapshot=Y.

 
LogSnapshotProcessing  

Sets whether the CME Gateway forwards messages relating to missed packets to the X_TRADER® Audit Trail. These messages always result in a snapshot request in the Price Server log file.

 

For missed packets, CME Gateways forward two messages:

 

Requesting Snapshot For: <contract>

 

Processing Snapshot For: <contract> where <contract> equals the contract name.

 

This parameter has two available values:

 
    • Y: The CME Gateway forwards messages to the X_TRADER® Audit Trail.
 
    • N: The CME Gateway forwards messages to only the Price Server log file.
 

By default, this parameter is not present and the CME Gateway behaves as if LogSnapshotProcessing=N.

 
MaxSnapshotChannels  

Sets the maximum number of snapshot channels the Price Server can subscribe to at one time. Valid values are 0-n, where n is the total number of channels configured on the price server. The default value is 2.

 

Enter a value less than or equal to the total number of channels being subscribed to by the price server.

 

A value of 0 means that FIX/FAST message recovery is done via incremental updates only (no snapshot channels are opened by the Price Server.)

 

By default, this parameter is not present and the CME Gateway behaves as if MaxSnapshotChannels=2.

 
MaxInstrumentChannels  

Sets the maximum number of instrument definition channels the Price Server can subscribe to at one time. Valid values are 1-n, where n is the total number of channels configured on the Price Server. The default value is 2.

 

Enter a value less than or equal to the total number of channels being subscribed to by the Price Server.

 

By default, this parameter is not present and the CME Gateway behaves as if MaxInstrumentChannels=2.

 
ProcessCoveredUDS  

Sets whether Covered User-Defined Strategy security definitions are downloaded to the price server from the exchange. Valid values are:

 
    • ALL: Allows the price server to download all Covered UDS security definitions from the exchange.
 
    • SINGLE: Configures the price server to download and process definitions only for Covered strategies with one outright futures leg. This is the default CME Gateway behavior.
 
    • NONE: Configures the price server to disregard all Covered UDS security definitions.
 

By default, this parameter is not present and the gateway behaves as if ProcessCoveredUDS=SINGLE

 
LogUDSCreation  

Sets whether UDS Created and UDS Received messages are logged by the price server. Valid values are:

 
    • Y: Enables logging of these messages.
 
    • N: Disables logging of these messages.
 

By default, this parameter is not present and the gateway behaves as if LogUDSCreation=N

 
 

Section: [OrderServer]

 

Add the following section to define reconnect parameters for the Order Server.

 
[price_session] section parameters
Parameter Description
[OrderServer] Add this section to define the Order Server reconnect interval and reconnect attempts in the event of a disconnect with the exchange. This is an optional parameter. By default, this section is not present and the Order Server behaves as if MaxReconnectAttempts is set to 5, and ReconnectInterval is set to 16 seconds.
MaxReconnectAttempts An optional parameter that defines the maximum number of times the Order Server will attempt to reconnect with the exchange host in the event of a disconnect. The minimum recommended value to enter is “5.” By default, this parameter is not present and the Order Server behaves as if MaxReconnectAttempts is set to 5.
ReconnectInterval An optional parameter that defines the length of time in seconds the Order Server will attempt to reconnect with the exchange host if the event of a disconnect. The minimum recommended value to enter is “15.” By default, this parameter is not present and the Order Server behaves as if ReconnectInterval is set to 16. Note: Trading Technologies recommends that you configure this setting in hostinfo.cfg to throttle logon attempts in case of Market Segment Gateway (MSGW) disconnect. This setting is configurable, and on a new install is set to 15 seconds, which is TT's recommendation.