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Understanding the Price Feed

Overview

HKEx uses the Orion Market Data Platform Derivatives (OMD-D) Full-Tick market data feed for delivering real-time market data to client trading applications. At startup, the Price Server on the HKEx Gateway establishes a multicast connection to the OMD-D Full-Tick market data feed.

OMD-D Full-Tick price feed connectivity includes the following:

  • Multicast real-time data feed (A and B channels)
  • Multicast refresh snapshot data service (A and B channesl)
  • Unicast TCP/IP retransmission services for lost data packets.

Price Server Data Flow

Note

Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram. Also, native orders are those orders normally accepted by the Exchange's API.

The following is a description of the OMD-D price feed connection from the Price Server to the Exchange.

  • The Price Server queries hostinfo.cfg for all connectivity information (e.g., connection IP address, user names, password, etc.).
  • The Price Server connects to the Exchange via multicast.
  • The HKEx Gateway downloads all product data from the Exchange.
  • The Price Server distributes product tables to Guardian.
  • The Price Server broadcasts market depth and price updates to client applications via PFX wire protocol.

PFX Price Support

HKEx Gateways support TT’s PFX wire format for the delivery of market data. PFX allows faster price delivery and increased accuracy while minimizing bandwidth usage and overall price latency. PFX continuously provides real-time snapshots of market activity.

By default, HKEx Gateways support PFX without any additional configuration.

HKEx Gateways do not support the TTAPI wire format for market data.

pMerge

The HKEx does not provide point values in their price feed, so the HKEx Gateway installs with the pMerge.exe executable. During installation, this executable runs automatically to set up and configure the product tables that the TT Gateway uses.

Additionally, when you upgrade a HKEx Gateway, pmerge.exe runs automatically to merge pre-existing product tables with any new product tables distributed with the latest TT Gateway software.The only time you must use pMerge manually is if TT distributes updated product information in a customer advisory. TT distributes this product information in a file named HKEX.pmg.

You can run pMerge in two different ways:

  • From Windows Explorer
  • From the Command Window

To run pMerge from Windows Explorer:

  1. In Windows Explorer, navigate to <root drive>:ttbin.
  2. Double-click pMerge.exe.

    The Open Guardian product table merge file dialog box appears.

  3. Navigate to the location of the HKEX.pmg file.
  4. Double-click HKEX.pmg.

    pMerge creates the new product table. After pMerge completes its tasks, the pMerge status bar displays Finished.

  5. Close the pMerge status bar.

To run pMerge from the Command Window:

  1. Open a Command Window.
  2. At the command line prompt, run pMerge using the following syntax:
    Note

    pmerge [<root drive.:ttconfigHKEx Gateway.pmg -e Exchange-Flavor [-q | -v]]

    • pmerge: Runs the pMerge.exe file. If you do not include additional commands, this command opens the GUI. Refer to the procedure called To run pMerge from the GUI.
    • -e Exchange-Flavor: Sets the Exchange-Flavor of the TT Gateway whose product table pMerge updates.
    • -q: Sets pMerge to run in quiet mode. pMerge does not output informative text in the Command Window when it runs.
    • -v: Sets pMerge to run in verbose mode. pMerge outputs informative text in the Command Window when it runs.

    pMerge creates the new product table. After pMerge completes its tasks, the pMerge status bar displays Finished.

  3. Close the pMerge status bar.