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CME Gateway

Gateway Files 7.15.x or Higher

Overview

The table in this section 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 in hostinfo.cfg for 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

*_mode_MemberID_CME_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

*_mode_orders.tbl

X:ttdatfiles

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

Yes

*_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

*_Mode_PositionByMGT

X:ttdatfiles

Position are maintained in this file by the Fill Server for Fill Server Rollover.Conditional

*_mode_MemberID_CME_idx.dat

X:ttdatfiles

Used by the TT Gateway to look up messages persisted in *_msg.dat.

Conditional

*_mode_MemberID_CME_msg.dat

X:ttdatfiles

Contains the actual FIX messages sent to the exchange.

Conditional

*_mode_MemberID_CME_seqnum.dat

X:ttdatfiles

Used by the Order Server for FIX session sequence number persistence. The TT Gateway may have one or more of these XML files.

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

Exchange-flavor_mode_MemberID_CME_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 the targetCompId FIX tag value of “CME”. The unique MemberID is sent as FIX Tag senderCompId and is also reflected in the logfile name.

Example

CME_A_PROD_P16000_BVMF_send_recv_2011-10-23.log .

Whenever the Order Router sends or receives a FIX message, it writes the entire message to the Exchange-flavor__mode_MemberID_CME_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_mode_orders.tbl file record all orders (i.e., working, filled, deleted, etc.) sent to the CME Gateway and their status. For CME Gateway Version 7.15.0 or higher, the name of this file has changed to reflect that one common file is created per Order Server. Refer to the following example.

    Example

    If you installed CME-C Gateway 7.15.0 or higher in production mode, the file’s name would 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 would be: CME-C_653ABC_PROD_fills.tbl

  • The Exchange-flavor_mode_MemberID_CME_msg.datfile contains FIX messages and information relevant to that particular order session and is used in conjunction with the Exchange-flavor_mode_SessionId_CME_idx.dat file, which the gateway uses to locate the messages in the *msg.dat file. The Exchange-flavor_mode_SessionId_CME_seqnum.dat file tracks sequence numbers of each message sent by the CME Gateway. The gateway syncs this number with the message sequence tracked by the exchange host.

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.

Filename Differences: 7.14 to 7.15 or Higher

The table in this section summarizes the differences in filenames between versions 7.14 and 7.15 or higher of the CME Gateway.

The filenames that changed are log (.log) files and miscellaneous (.tbl and .dat) files. The following conventions are used in the table:

  • * 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.
  • Mode is either PROD (if the mode of the TT Gateway is set for production) or SIM (if the mode is set for simulation)
  • # is a variable integer.
Gateway Filename Differences: 7.14 to 7.15

Type

7.14 Filename

7.15 FilenameDifference

Log Files

Exchange-flavor_MemberId_Send-Recv_date.log

*_Mode_MemberID_CME_send_recv_date.log

The 7.15 filename includes both the MemberID, which is sent as FIX tag SenderCompID and “CME,” which is the FIX tag TargetCompID sent for each order action. The gateway mode is also included. NOTE: The timestamps on each message in the FIX log are now in local time instead of UTC. 

Misc. Files

*_SessionIdMemberId_mode_orders.tbl*_mode_orders.tblThe 7.15 Gateway now creates one common orders.tbl file for all order routers (sessions) instead of separate files for each session.
Exchange-flavor_MemberID_<Order#>.dat*_Mode_MemberID_CME_idx.dat*_Mode_MemberID_CME_msg.dat*_Mode_MemberID_CME_seqnum.datCME Gateway 7.15 uses three files to persist FIX messages and their related sequence numbers: the index file, message file, and sequence number file.