Try TT Now

CME Gateway

Understanding Order Management

Order Server Data Flow 7.14.x

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 Order Feed connection from the Order Server on the CME Gateway to the exchange.

  • Upon startup, the Order Server reads any working orders contained in the *_SessionIdMemberId_Mode_orders.tbl files into memory.
  • X_TRADER® submits an order to the Order Server.
  • After receipt, the Order Server passes it to the appropriate Order Router. For details on how the Order Server determines the Order Router to which it passes the order, refer to Order Router Determination 7.14.x.
  • The Order Router assigns a TON to the order and then updates the Order Book with the new order information.
  • The Order Router records the order in its *_SessionIdMemberId_Mode_orders.tbl files.
  • The Order Router sends an ACCEPT/Add message to the trader’s Audit Trail (in X_TRADER®).
  • The Order Router sends the order to the CME Group host.
  • Upon receipt, the CME Group host sends an order confirmation (containing the TON) back to the Order Router. For further information on the TON, refer to Trade Order Number.
  • The Order Router updates the Order Book with the TON Number to indicate that a confirmation was received, and writes it to its *_SessionIdMemberId_Mode_orders.tbl files.
  • The Order Router sends the order confirmation (as an OK/ADD) to the trader’s Audit Trail in X_TRADER®.

Order Server Data Flow 7.15.x or higher

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 Order Feed connection from the Order Server on the CME Gateway to the exchange.

  • Upon startup, the Order Server reads any working orders contained in the *_mode_orders.tbl file into memory.
  • X_TRADER® submits an order to the Order Server.
  • After receipt, the Order Server passes it to the appropriate Order Router (i.e., session connection).
  • The Order Server assigns a TON (Trade Order Number) to the order and then updates the Order Book with the new order information. For further information on the TON, refer to Trade Order Number.
  • The Order Server records the order in its *_mode_orders.tbl file.
  • The Order Server sends an ACCEPT/Add message to the trader’s Audit Trail (in X_TRADER®).
  • The Order Server sends the order to the exchange host.
  • Upon receipt, the exchange host sends an order confirmation (containing the TON) back to the Order Server, and the order confirmation is sent (as an OK/ADD) to the trader’s Audit Trail in X_TRADER®.
  • The Order Server updates the Order Book with the TON Number to indicate that a confirmation was received, and writes it to the *_mode_orders.tbl file.

Fill 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 Logical Architecture diagram illustrates the following fill flow:

  • The CME Group host matches the order.
  • The CME Group host sends a fill, with the TON, to the Order Router.
  • The Order Router matches the fill to the recorded order in the Order Book and updates the Order Book according to the type of fill received:
    • If the TON for the fill does not match a TON for an order in the order book, the Order Router notifies the trader’s and supervisory trader’s Audit Trails that the trader received a fill but that the fill does not match any of the orders in the Order Book.
    • If the fill completes the order, the Order Router removes the order from the Order Book.
    • If the fill does not complete the order (i.e., it is a partial fill), the Order Router updates the Order Book to reflect the partial fill.
  • The Order Router writes order changes to the *_mode_orders.tbl file and records the fill in its unique fills.tbl file.
    Note

    The Order Server deletes completed orders from its *_mode_orders.tbl file only when it restarts.

  • Simultaneously, the Order Router:
    • Sends a fill response to X_TRADER®. X_TRADER® displays a fill in the Audit Trail. X_TRADER® updates the relevant files and screens (i.e., if it is a complete fill, the order is removed from the X_TRADER® Order Book).
    • Sends the fill to the Fill Server.
  • The Fill Server records the fill to the bof.tbl file and the FS Log.
  • X_TRADER® displays the fill in the Fill window.