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Understanding the Price Feed

Price Feed Behavior

eSpeed Gateways connect to the exchange via two separate protocols for market data:

  • Real-time market data: the gateway receives all real-time market data via the exchange-provided multicast feed. This connection is automatically configured via the MulticastGroups.cfg file and does not require user intervention.
  • Initial Product Subscriptions: the gateway creates a TCP connection with the exchange to receive all initial product and contract data. in addition to the connection IP and port assignments. users must configure the hostinfo.cfg file with the exchange-provided SenderSubID, SenderCompID, and Password.

Prices Server Data Flow

The following describes the data flow of the Price Feed connection from the Price Server on the eSpeed Gateway to the exchange.

  • The Price Server starts and reads configuration values from the aconfig.xml file.
  • The Price Server on the eSpeed Gateway starts and queries the hostinfo.cfg file for connection information and configuration values.
  • The Price Server reads the Multicast.cfg file and multicast connection values.
  • The Price Server creates the connection to eSpeed Gateway and downloads contract definitions.
  • After receiving all products from eSpeed Gateway, the Price Server sends the product table to Guardian.
  • The Price Server receives user logins.
  • The Price Server begins multicasting Market Depth and price updates received from the exchange.

Price Server Log File

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

  • Exchange-Flavor equals the gateway name chosen at install (e.g., TFX-B).
  • Mode equals the trading environment: PROD (Production) or SIM (Simulation).

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.

MulticastGroups.cfg File

The MulticastGroups.cfg file contains connection information to receive market data.

Warning

This additional configuration file aids in managing price data; however, it does not require manual updates. Do not edit this configuration file unless instructed by TT to do so.

Example Example MulticastGroups.cfg File

[30YR]

ChannelNumber=1

AddressFeedA=239.xxx.xx.xx:xxxxx

AddressFeedB=239.xxx.xx.xx:xxxxx

[2YR]

ChannelNumber=2

AddressFeedA=239.xxx.xx.xx:xxxxx

AddressFeedB=239.xxx.xx.xx:xxxxx

[7/10YR]

ChannelNumber=3

AddressFeedA=239.xxx.xx.xx:xxxxx

AddressFeedB=239.xxx.xx.xx:xxxxx

[5YR]

ChannelNumber=4

AddressFeedA=239.xxx.xx.xx:xxxxx

AddressFeedB=239.xxx.xx.xx:xxxxx