Understanding Order Management
- The eSpeed Gateway 7.17.79 and higher Order Server uses the FIX 4.4 protocol for order entry.
- Self Match Prevention will supported on Exchange side by setting it up based on user preference.
- There will be change in symbology for the products as the mapping below. The new symbols are mentioned in the first column (NFI)
- The order types supported on X_Trader platform are
Order Server Data Flow
The Logical Architecture diagram illustrates the following order flow:
- The Order Server starts up and queries the aconfig.xml file for configuration values.
- The Order Server connects to the TT User Setup Server.
- The Order Server queries the hostinfo.cfg file for connection values.
- The Order Server receives the appropriate gateway logins from TT User Setup.
- The Order Server on the eSpeed Gateway starts up and creates a send/receive log for each order session.
- TT User Setup forwards trader information including risk parameters, broker settings, etc. to the eSpeed Gateway.
- The Order Server downloads the currency table from the Price Server.
- The trader logs into X_TRADER® and connects to the eSpeed Gateway and is assigned a session.
- The Order Server either locates (if possible) or creates (if none exist) the fills.tbl and orders.tbl files.
- A trader enters an order in X_TRADER®.
- Before leaving the trader’s workstation, the order receives a TT Order Key. Then the order is sent to the Order Server.
- The Order Server sends the ACCEPT/Add message to the trader’s Audit Trail.
- The Order Server writes the order information to the audit file.
- The Order Server writes the order to the orders.tbl file.
- The Order Server sends the order to eSpeed Gateway and retains the order in memory.
- The Order Server verifies that the order is a supported order type, and that the price is greater than zero. If the order is supported and has a price greater than zero, the Order Server sends the order to eSpeed Gateway.
- eSpeed Gateway receives the order and sends a confirmation to the Order Server. The confirmation contains the order number.
- The Order Server writes the order number to the orders.tbl file.
- The Order Server sends an OK/Add order confirmation to the trader’s Audit Trail, sends the order to the trader’s Order Book window, and updates the OS log.
- The Order Server updates the TTADT with the Order response information received from the exchange.
Fill Server Data Flow
The Logical Architecture diagram illustrates the following fill flow:
- eSpeed Gateway matches the order and sends a fill with the assigned order number to the Order Server on the eSpeed Gateway that originally sent the order to eSpeed Gateway.
- The Order Server validates the fill against the Order
Book in memory and:
- If the fill does not match an order in the Order Book, the Order Server drops (i.e., ignores) the fill. An error message is recorded in the trader’s Order Router log file.
- If the fill is a partial fill, the Order Server updates the orders.tbl and fills.tbl files.
- If the order fills completely, the Order Server removes the order from the orders.tbl file and then updates the fills.tbl file.
- The Order Server receives the Fill and updates the TTADT file with the fill information
- The Order Server sends the OK/Fill message to the trader’s Audit Trail.
- The Fill Server writes the fill to the bof.tbl and FS log files and updates the Trade Book in its memory.
- The Fill Server sends the fill to the trader’s Fill window.