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TT Gateway Architecture

Price Server Data Flow

The following is a description of the Price Feed connection from the Price Server on the Eurex Gateway to the exchange.

  • The Price Server starts up, connects to the exchange via UDP, and downloads EMDI/RDI products and contracts simultaneously. Throughout the trading day, the Price Server continues to receive all price updates sent from the exchange.
  • The Price Server starts and creates a new PS log.
  • The Price Server queries <Product Subscription>Inclusionlist.cfg to determine which products to subscribe to.
  • Using X_TRADER®, a trader logs into the Eurex Gateway.
  • Using the traders’ login information and the Order Server, connect to the exchange.
  • The trader opens the Market Explorer and subscribes to one or more products. The Price Server listens to the multicast for these products, which are listed in <Product Subscription>Inclusionlist.cfg.
  • Using a unique multicast group, the Price Server broadcasts prices (inside market and depth) to client applications for the selected products.

Order Server Data Flow (ETI and FIXML)

The Logical Architecture diagram illustrates the following order flow:

Note

The Order Server decides what session to route the order through based on the product.

  • The Order Server starts up and receives the User IDs from TT User Setup.
  • The Order Server creates the OS log.
  • The Order Server creates a fills.tbl file for the connection.
  • The Order Server connects to the exchange host via TCP/IP, and completes the session logon process.
  • The Order Server, using the session connection to the exchange connection gateway, downloads products and contracts from the exchange.
  • The Senior Trader is logged in to the exchange by the Order Server using the Member ID defined in Eurexhostinfo.cfg file for this session connection, and the Order Server records the registered (Eurex) trader login information in the OS log file.
  • The Order Server notifies X_TRADER® that the order book download is complete and can begin routing orders for this session, and logs out the Senior Trader from the exchange.
  • The trader logs into X_TRADER® and connects to the Eurex exchange via the Order Server.
  • Whenever a trader logs into the Eurex Gateway via X_TRADER®, the Order Server logs the trader’s session connection in the OS log.
  • The trader enters an order (regular or OTC) in X_TRADER®.
  • The order is assigned a Site Order Key by X_TRADER® and then sent to the Eurex Gateway.
  • The Order Server sends the ACCEPT/Add message to the trader’s Audit Trail and adds the order to the pending order list in memory.
  • The Order Server writes the order information to the TTADT file.
  • The Order Server sends the order to the exchange via the session connection.
  • The exchange sends an order confirmation to the Order Server. OTC responses are sent to the OTC Router through the FIXML Clearing Interface.

    In addition to TT specific data, such as the Site Order Key and Order Key, confirmations contain an order number from the exchange.

  • The exchange maintains a list of all:
    • Intra-day active orders in the Order Book
    • Intra-day fills in the Trade Book

    If a Eurex Gateway fails on startup, the Eurex Gateway retrieves all order and fill information from the exchange.

  • The Order Server receives the order confirmation and writes most of the order information received from the exchange to the OS log.
  • The Order Server sends an OK/Add order confirmation to the trader’s Audit Trail and updates the OS log.
  • The Order Server migrates the order from the Pending Order List to the Active Order List in memory, and passes the Order Confirmation to the Order Book File.
  • The Order Server updates the TTADT with the Order response information received from the exchange.

OTC orders and fills are routed as follows (refer to the Logical Architecture Diagram):

  • The OTC Router receives the OTC order requests from the Order Server, then submits them to exchange via the FIXML Clearing Interface.
  • The OTC Router will receive OTC order responses from the exchange via the FIXML Clearing Interface, then send them back to the Order Server.
  • The OTC Router will receive OTC fills from the exchange via the FIXML Clearing Interface, then send them back to Order Server.
  • OTC Orders and Fills generated by OTC trades should be incorporated into the Order Book and Fill Window. Non-OTC orders and fills received through the FIXML Clearing Interface connection are disregarded by the OTC Router.

Fill Server Data Flow

For the data flow between the Fill Server, Order Server, and TT User Setup to support account-based risk checking, refer to the TT Gateway Architecture System Administration Manual.

The Logical Architecture diagram illustrates the following fill flow:

  • The exchange matches the order and sends to all TT Gateways of the same type at the customer site that have the same Member/Group as the filled order.
  • The Order Server receives the fill and writes Fill:seq message into the OS Log and displays it in its command window.
  • While receiving an actual fill, the Order Server matches the fill to its order in the Order Book (in RAM)
  • The Order Server appends all TT specific information from the order book to the fill and updates the Order Book in memory.
  • The Order Server updates the TTADT and fills.tblfile with the fill information.
  • The Order Server sends:
    • A fill to the Fill Server.
    • Fill information to X_TRADER®. X_TRADER® updates the Audit Trail, Fill Window, and Order Book window.
  • The Order Server logs the fill to the OS Log.
  • The Fill Server records the fill to the bof.tbl file and the FS Log.
  • The Fill Server sends the fill to X_TRADER®, which displays the fill in the Fill window.

Additional Information

For generic LAN and WAN diagrams, refer to the TT Gateway Architecture SAM Version 7.X.