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Understanding the Price Feed

Overview

The Price Server connects to the GMEX ForumMatch FIX 4.4 Market Data API for prices via a TCP connection, which uses UDP for data delivery. The Price Server connection to the exchange is configured as a single TCP session in hostinfo.cfg.

Price Server Data Flow

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

  • The Price Server starts and creates a new Price Server log.
  • The Price Server reads the hostinfo.cfg file to determine the Host connection information and its behavior when logging to the GMEX Gateway log files.
  • The Price Server logs into the GMEX host using the information from the hostinfo.cfg file. It writes this login information to the Price Server log.
  • Using X_TRADER®, a trader logs into the GMEX 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 Exchange Host sends only the price and product information to which the Price Server subscribed. Open, Close, LTP (Rate and Present Value), and LTQ are provided by the exchange API. The Price Server calculates daily Volume, High, and Low values.
  • The Price Server provides the inside-market data received from the GMEX host.
    Note

    When a trader opens MD Trader™, the Price Server also subscribes to market depth. Usually, the Front Months support Market Depth subscriptions.

  • 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>:ttlogfiles 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.