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Understanding the Price Feed

Overview

The Price Server connects to the Eris SwapBook™ FIX Order API for prices and to the FIX Trade Ticker API for LTP/LTQ and Time & Sales data. For each instrument traded on the Eris SwapBook platform, transaction prices are delivered in real time. The Price Server connection to the exchange is configured as a single TCP session in Hostinfo.cfg.

Price Server Data Flow

The following is a description of the Price Feed connection from the Price Server on the Eris to the Eris and GovEx exchange hosts.

  • The Price Server starts and creates a new Price Server log.
  • The Price Server reads the hostinfo.cfg file to determine the Host connection information and its behavior when logging to the Eris log files.
  • The Price Server logs into the Eris host using the information from the hostinfo.cfg file. It writes this login information to the Price Server log.
  • Using X_TRADER®, a trader logs into the Eris.
  • The trader opens the Market Explorer and subscribes to one or more products. This information is passed to the Price Server, which then subscribes to the inside-market data for these particular products.
    Note

    Inside-market data consists of a set of contract attributes and includes Best Bid, Best Ask, Last Traded Price, etc.

  • The exchange Host sends only the price and product information to which the Price Server subscribed.
  • Using a unique multicast group, the Price Server broadcasts the inside-market data received from the Eris host.
    Note

    When a trader opens MD Trader™, the Price Server also subscribes to market depth. Usually, the Front Months support Market Depth subscriptions.

  • The Price Server continues to multicast product and price information for which there are X_TRADER® subscribers.

Price Server Log File

At startup, the Price Server creates an Price Server logfile named Exchange-Flavor_Mode_PriceServer_Date.log to the <root drive>:ttlogfiles directory where:

The Price Server adds a new entry for each action including initialization behavior, logins, configuration values, and contract definitions. You can use the Price Server logfile to aid in diagnosing problems related to market data.