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FIX Adapter System Administration

(DC) Configuration Settings: Selecting Products

Overview

TT FIX Adapter allows you to limit the number of products that it downloads from the TT Gateways to improve performance and reduce unnecessary product downloads. For example, if you trade only the 30-year treasury futures (ZB) from the TT CBOT Gateway, you need not download all of the other treasury products. However, TT FIX Adapter does automatically download products it needs to process any order acknowledgements or fills it receives from TT Gateways.

For example, suppose you exclude a product from a connected TT Gateway (such as the ZN products) and TT FIX Adapter receives a fill for the excluded product. Because TT FIX Adapter needs the product information to process the fill, it automatically downloads the contract data from the TT Gateway and delivers the fill to the FIX client, even though you excluded the product. In other words, TT FIX Adapter always ensures that a FIX client receives all of its fills, even if you exclude the associated products.

If you configure a drop copy TT FIX Adapter to exclude all products, you can create a TT FIX Adapter that downloads contracts on demand.

About the Load/Ignore Products table

Note: TT recommends using these parameters, when possible, as they can significantly improve performance and reduce memory requirements.

The Load/Ignore Products table identifies the products for which TT FIX Adapter downloads contract data during initialization. By default, TT FIX Adapter downloads contract data for all products from all connected gateways. To improve performance or restrict FIX client access, you can limit which markets, products, or product types the TT FIX Adapter accesses. You can limit the products tracked by including specific products, excluding a subset of products, or using a combination of both.

For each market, you can select:

  • Individual products (such as, Eurex, ALV, OPTION)
  • All tradable product types for a symbol (as in, CBOT, ZB, *)
  • All symbols for a product type (such as, CME, *, FUTURE)

Note: If the table contains no entries for a market, TT FIX Adapter downloads contract data for all products for that market.

Using only load product entries

When you include only “Load” entries in the Load/Ignore Products table, TT FIX Adapter downloads contract data only for the matching products traded on that market and ignores all other products for that market.

To illustrate, assume TT FIX Adapter connects to the CME, CBOT, and Eurex markets. In the Load/Ignore Products table, you specify the following.

When TT FIX Adapter initializes, it downloads contract data for the following:

  • From the CBOT market, all ZB and ZN futures
  • From the CME market, all option products
  • From the Eurex market, all products

Using only ignore product entries

When you include only “Ignore” entries in the Load/Ignore Products table, TT FIX Adapter downloads contract data for all products except for the matching products traded on that exchange. If the table contains no entries for a market, TT FIX Adapter downloads contract data for all products on that market.

To illustrate, assume TT FIX Adapter connects to the CME, CBOT, and Eurex markets. In the Load/Ignore Products table, you specify the following.

When TT FIX Adapter initializes, it downloads contract data for the following:

  • From the CBOT market, all products except ZB and ZN futures
  • From the CME market, all non-option products
  • From the Eurex market, all products

Mixing load and ignore product entries

You can include both types of entries in the configuration to apply different product select rules for different markets. You can specify products to load for one market, while specifying products to ignore for another.

To illustrate, assume TT FIX Adapter connects to the CME, CBOT, and Eurex markets. In the Load/Ignore Products table, you specify the following.

When TT FIX Adapter initializes, it downloads contract data for the following:

  • From the CBOT market, all ZB and ZN futures
  • From the CME market, all non-option products
  • From the Eurex market, all products

If you create entries with the same market set to both Load and Ignore, TT FIX Adapter gives the Ignore entry precedence.

Example 1: basic selection

Suppose you instruct the TT FIX Adapter to download contract data for the ALE and ALV option products on Eurex by creating the following entries:

Because you listed no other exchanges, TT FIX Adapter downloads all products for other exchanges to which it is connected.

Example 2: unintended consequences

The following example shows the unintended consequences of ignoring only an underlying product type. In this case, you want TT FIX Adapter to download no option products from CME, create the following entry to ignore them. However, because you include no entries for the strategy product type, TT FIX Adapter downloads any option products that happen to be included in strategy products.

To ensure that TT FIX Adapter does not download contract data for any options, add a strategy entry similar to the following:

Example 3: conflicting logic

The following example illustrates the situation where a product (ALV option) matches a Load and an Ignore entry. In this example, TT FIX Adapter does not download Eurex ALV options because the Ignore entry takes precedence.

If, for the Eurex market, you want to download contract data only for ALV options, configure the Eurex option Load entry, as follows.