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CME Gateway

Gateway Files 7.14.x

Overview

The following list details files that are used specifically by the CME Gateway. For a list and description of general TT Gateway files, refer to Chapter 3, “TT Gateway Configuration and Setup” in the TT Gateway Architecture SAM Version 7.X.The files are divided into three types: configuration (.cfg or.ini), log (.log), and miscellaneous (.tbl and .dat). Due to space constraints, throughout the table, the following conventions are used:

  • * is the exchange name selected during the installation of the TT Gateway
  • SessionID is the SessionId assigned to the particular Order Router that generates the file
  • MemberID is the MemberId assigned to the particular Order Router that generates the file
  • time consists of HHMMSS, where HH is the two-digit hour, MM is the two-digit minute, and SS is the two-digit second
  • mode is either PROD (if the mode of the TT Gateway is set for production) or SIM (if the mode is set for simulation)
  • X signifies <root drive>
  • # is a variable integer.

Gateway Files Table

Gateway Files

Type

Filename

Directory

Description

Deletable?

Binary

tt_mdp_listen.exe

X:ttexchange-flavor

TT MDP Listen executable

Yes

tt_fast_listen.exe

X:ttexchange-flavor

TT FAST Listen executable

Yes

Config Files

*HostInfo.cfg

X:ttconfig

Stores the customer’s connection information for the Price and Order Server

No

Log Files

Exchange-flavor_MemberID_Send-Recv_date.log

X:ttlogfiles

Refer to the section called FIX Log File 

Conditional

*_Mode_OrderServer_Date.log

X:ttlogfiles

Order Server log file

Yes

*_Mode_PriceServer_Date.log

X:ttlogfiles

Price Server log file

Yes

Misc. Files

*_*_mode_bof.tbl

X:ttdatfiles

Fill Server file.

Conditional

*_*_mode_fills.tbl

X:ttdatfiles

An empty shell file.

Yes

*_SessionIdMemberId_mode_orders.tbl

X:ttdatfiles

The Order Server uses these files to track and manage its orders.

No

*_SessionIdMemberId_mode_fills.tbl

X:ttdatfiles

Refer to the section called Order and Trade Book Files

Conditional

*_date.csv

X:ttauditfiles

Tracks trader logins, outgoing orders, and order responses that the exchange sends back to the TT Gateway. This file includes timestamps with each event

No

*_MemberID_mode.dat

X:ttdatfiles

The TT Gateway may have one or more of these XML files. The Order Server uses these files to track and manage FIX messages for a particular order session.

Conditional

Exchange-flavor_Mode_ttqap.dat

X:ttdatfiles

Used by the price server to continue calculating VAP for TTQAP-subscribed products after a startup.

No

mdpl.bat

X:ttExchange-flavor

Batch file that automates the mdplisten command

Yes

FIX Log File

During operation, the FIX engine within the Order Server generates a unique logfile for all FIX messaging (including heartbeats) sent between an Order Router on the TT Gateway and the CME Group host. Because the Order Server generates a log file for each Order Router, the filename of each log file contains the unique Member ID assigned to the Order Router in the hostinfo.cfg file. The timestamps on each message in the FIX log are in local time.

The FIX log files are created in the <root drive>:ttlogfiles directory and uses the naming convention:

Exchange-flavor_MemberID_Send-Recv_date.log, where MemberID is the Member ID assigned in the Order Router section in hostinfo.cfg. For CME Gateway 7.15.0 or higher, the name of the FIX log file shows the mode of the gateway and that the TargetCompID FIX tag is populated as “CME”. The unique MemberID is sent as the SenderCompID FIX tag and this is also reflected in the logfile name.

Whenever the Order Router sends or receives a FIX message, it writes the entire message to the Exchange-flavor_MemberID_Send-Recv_date.log file.

Order and Trade Book Files

The Order Server uses several files to help manage and track all orders and fills that pass through the CME Gateway. The Order Server reads these files to memory and updates them whenever orders or fills are received. The TT Gateway stores these files in <root drive>:ttdatfiles:

  • The Exchange-flavor_SessionIdMemberId_Mode_orders.tbl files record all orders (i.e., working, filled, deleted, etc.) sent to the CME Gateway and their status. The rest of this manual refers to these files as the orders.dat files.

    Example

    If you installed a CME-C Gateway in production mode, the file’s name could be CME-C_PROD_orders.tbl.

  • The Exchange-flavor_SessionIdMemberId_mode_fills.tbl file contains a record of all fills received from the exchange for the specified session (SessionIdMemberId). The rest of this manual refers to this file as the fills.tbl file.

    Example

    If you installed a CME-C Gateway in production mode, the file’s name is CME-C_653ABC_PROD_fills.tbl.

  • The Exchange-flavor_MemberID_mode.dat file contains FIX messages and information relevant to that particular order session.

For detailed information on how the CME Gateway uses these files to reconstruct the Order and Trade Book during disaster recovery, refer to Single Gateway Failure.

X_TRADER® uses the Trade and Order book files to populate its Fill window and Order Book respectively whenever it connects to the CME Gateway.