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Understanding the Price Feed

Overview

The Price Server connects to the BGC Fenics U.S. Treasury (UST) trading platform via the Fenics binary market data protocol to receive and process market data notifications.  Incremental updates to the market are sent to the Price Server via two, physically separate network paths ("Red" and "Black") using standard UDP multicast connections. Price sessions connect via a single line to both the "Red" and "Black" multicast channels via the Fenics binary market data protocol. The Price Server also subscribes to the binary market data protocol snapshot service  to receive the current state of the market over a standard TCP network connection.

Price Server Data Flow

The following is a description of the Price Feed connection from the Fenics Gateway Price Server to the BGC Fenics UST trading platform.

  • The Price Server starts and creates a new Price Server log.
  • The Price Server reads the hostinfo.cfg file to determine the connection information and its behavior when logging to the Fenics Gateway log files.
  • The Price Server logs into the Fenics host using the information from the hostinfo.cfg file. It writes this login information to the Price Server log.
  • The Price Server opens a UDP socket and joins the "red" and "black" market data multicast channels and downloads products and prices.
  • The Price Server opens a TCP socket and connects to the snapshot service.
  • The Price Server compares snapshot and UDP messages to bring the UDP market data sequence numbers in sync.
  • The Price Server logs out of the snapshot service via the TCP connection.
  • Using X_TRADER®, a trader logs into the Fenics Gateway.
  • 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 Open, Close, Last Traded Price, etc.

  • The Fenics UST trading platform sends only the price and product information to which the Price Server subscribed. Total traded volume, High, Low, Open, LTP (Rate and Present Value), and LTQ are provided by the exchange API. The Price Server calculates daily Close values.
  • The Price Server provides the inside-market data received from the Fenics "red" and "black" multicast group channels.
  • The Price Server continues to provide product and price information (including Present Value prices) 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>:\tt\logfiles 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.

Settlement Prices

The exchange does not provide settlement or closing prices. For each contract, the Fenics Gateway Price Server synthetically tracks the closing price, which is the price of the last trade for a trading session.