Understanding the Price Feed
Price Feed Behavior In Version 7.13 and higher
ICE Gateway Version 7.13 introduces support for the ICE iMpact Multicast price feed. This price feed provides lower latency. To properly use the new Multicast price feed, you must configure the following in the hostinfo.cfg file:
- Connection information in the hostinfo.cfg file, including
the host IP address, port, and MulticastNetworkInterface parameter
The connection information is for the TCP product download and recovery connection.
- Session user name and password
- Market Type and Option Market Type IDs for the products you wish to trade.
Price Feed Behavior In Version 7.12
ICE Gateways Version 7.12 and below support the ICE host’s iMpact TCP price feed. This provides a real-time market data feed with the flexibility to limit product downloads by specifying the market types you wish to trade. To properly use the price feed, you must configure the following in the hostinfo.cfg file:
- Connection information, including the host IP address and port
- Session user name and password
- Market type IDs for the products you wish to trade
Price Server Data Flow
The following is a description of market data flow between the Price Server and the Exchange host:
- The Price Server starts and reads from the hostinfo.cfg file the channel for which it must subscribe.
- The Price Server reads MulticastGroups.cfg to determine connectivity data for each of the Multicast Groups specified in hostinfo.cfg.
- The ICE Gateway connects to the Exchange via the TCP/Multicast IP address. X_TRADER® intiates subscription to the products listed in hostinfo.cfg.
- The Price Server synchronizes its Aggregated Order Book
with the Exchange via Market Snapshots. The Exchange sends the inside
market for options.
The Market Snapshot contains statistical information as well as a sequence number that determines when the snapshot was generated. The time intervals for snapshots are as follows: 15 seconds for active markets and 2 minutes for idle markets (markets are considered idle if there has been no activity for 10 minutes).
- Snapshots are aggregated into Multicast Packets, which
are broadcasted and listened to by the Price Server.
The Multicast Packet contains statistical information (e.g., number of snapshots in the packet, time the packet was sent, etc.) as well as a sequence number. Each multicast channel that the Gateway is subscribed to via the hostinfo.cfg and MulticastGroups.cfg maintains independent session sequence generation.
- The Price Server begins broadcasting Market Depth and price updates.
Price Server Files
During operation, the Price Server on the ICE Gateway produces a log file specific to ICE. These files record certain messages to and from the ICE API on the ICE Gateway.By default, TTClean is set to purge all log files (including these ICE files) older than ten days. For details on using this utility, refer to the TT Gateway Architecture System Administration Manual Version 7.X.
TT Gateway Subscription Process
At startup, the Price Server reads the hostinfo.cfg file to determine:
- The various multicast channels it must listen to as specified by the MulticastGroup# parameters.
- The NIC IP address on the local machine over which the ICE Gateway routes the Multicast feed as specified by the MulticastNetworkInterface parameter.
ICE iMpact Multicast Messages
The ICE Gateway continually receives live update messages from the Exchange via the ICE iMpact Multicast feed. These channels are subscribed to per Multicast group in the MulticastGroups.cfg file.