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Understanding Order Management

Overview

The Fenics Gateway Order Server connects to the BGC Fenics U.S. Treasury (UST) trading platform via a point-to-point TCP/IP connection to a FIX interface for submitting orders and receiving execution reports and fills. The Fenics UST FIX Gateway messages are based on version 4.4 of the FIX protocol with tags borrowed from FIX 5.0 where needed.

The Fenics platform provides two, redundant networks for order management: a "Red" (primary) network and "Black" (backup) network. The TT Fenics Gateway connects to both FIX Order Gateways via primary and backup IP addresses and ports configured in the gateway Hostinfo.cfg file.

Order Server Data Flow

The following is a description of order data flow from the Order Server to the exchange host:

  • The Administrator or TTChron starts the Order Server. The Order Server creates the Order Server logfile and displays as initializing in Guardian.
    Warning

    The Order Server will not fully initialize it cannot connect to a fill source.

  • The Order Server loads values located in the aconfig.xml, aconfig_local.xml, and hostinfo.cfg files.
  • The Order Server receives a valid license from the Guard Server.
  • The Order Server connects to the environment’s TT User Setup server and receives user-related login and configuration data.
  • The Order Server creates the session’s audit file.
  • The Order Server creates a send-receive logfile for each order session configured in the hostinfo.cfg file.
  • For intra-day restarts, the Order Server loads and verifies the current order sequence number for each configured Order Session.
  • The Order Server loads the previous day's orders.tbl file from the <root drive>:ttdatfiles directory.
  • The Order Server trims the fills.tbl file as configured in the aconfig.xml file.
  • The Order Server verifies the exchange status via the Price API.
  • The Order Server downloads product information from the Price Server.
  • The Order Server updates the currency table.
  • The Order Server forwards a login request from each configured Order Session.
  • The Order Server reconciles the TT Order Book with data received from the exchange and deletes all stale orders.
  • When the order download completes, the Order Server goes active and shows as green in Guardian.
  • The client applications submit login requests to the Order Server.
  • As traders login to X_TRADER, the Order Server maps each direct trader to the Order Session based on their TT Member ID.
  • As traders submit orders, the Order Server sends the order to the exchange and writes the order information to the Order Server log file.
  • The exchange confirms the order and assigns an exchange order number.
  • The Order Server sends an OK/Add to the Audit Trail, publishes order data to the Order Book and writes the order information to the Order Server log file.

Fill Server Data Flow

The following is a description of order data flow from the Fill Server to the exchange host:

  • The exchange matches the order and sends fill data to the Order Server.
  • The Order Server validates the fill and populates the Order Book with fill data.
  • The Order Server writes the fill to the fills.tbl file then forwards the fill data to the Fill Server.
  • The Order Server sends an Ok/Fill to the Audit Trail.
  • The Fill Server writes the fill data to the bof.tbl file.
  • The Fill Server sends the fill data to the Fill window.

Order Book Sharing

Fenics Gateways share order book information between traders of the same membership and same group. This represents the default behavior and is similar to other TT Gateways. You can also use TTORDs to divide traders by group, which disables order book sharing across the membership.

When a trader submits an order, that order appears in the order book of every trader who shares the same membership and group. In addition, all traders that share a membership and group can modify and delete each other’s orders.

Order Management

To increase order efficiency, the Fenics Gateway behaves as follows:

  • The Fenics Gateway processes only orders and fills that originate from the same Fenics Gateway.
  • The TT Gateway ignores all “unsolicited” orders that originate elsewhere (i.e., another Fenics Gateway). The Fenics Gateway does not forward foreign orders to the client applications.
  • You can modify orders (i.e., increase/decrease quantity or price) that originate from the Fenics Gateway, including working orders that have been partially filled.
  • The Fenics Gateway supports order book sharing only between traders using the same member ID and group ID and sharing the same Fenics Gateway.

Order Session Identification

TT Gateways contain an enhancement that displays the exchange credential used to route all orders and fills through the exchange. This includes all order modifications and exchange rejects but does not include order actions on Hold orders and position reserve orders.

Currently, the order session identifier is available in the following locations:

  • Audit logs: appears in the ExchangeCredentials column
  • Order Server logfile
  • FIX Adapter 7.8 or higher: via Tag 18216 (ExchCred)

For Fenics, the exchange credential equals the Username parameter configured in the [OrderSession_#] section used to route the order. The parameter is configured in Hostinfo.cfg.

Sequence Number Reset

The order sequence numbers are different and tracked individually on the Fenics Red and Black FIX Order Gateway networks. The sequence numbers are reset weekly before the start of the Sunday trading session.

Order and Site Order Keys

Fenics Gateways install with the following default Site Order Key range: 0P0000-0PZZZZ.