Understanding Order Management
Order Feed Behavior
ICE Gateways Version 7.3.1 and higher use a FIX Order Server to process order and fill information with the exchange. This connection uses a bi-directional stream of ordered messages between the ICE FIX host and the TT Gateway.
Order Server Data Flow
The following is a description of order data flow from the Order Server to the Exchange host:
- The Order Server connects to ICE Gateway using connection information contained in the hostinfo.cfg file.
- The Order Server downloads all order data from ASX.
- X_TRADER® logs into the TT Gateway.
- X_TRADER® submits an order to the Order Server.
- The Order Server sends an ACCEPT/Add message to the trader’s Audit Trail in X_TRADER®.
- The Order Server sends the order to the ICE Gateway host.
- Upon receipt, the ICE Gateway host sends an order confirmation back to the Order Server.
- The Order Server sends the order confirmation (as an OK/ADD) to the trader’s Audit Trail in X_TRADER®.
Fill Server Data Flow
The following is a description of fill data flow from the Fill Server to the Exchange host:
- The ICE Gateway host matches the order.
- The ICE Gateway host sends a fill to the Order Server.
- The Order Server records the fill in the fills.tbl file.
- Simultaneously, the Order Server:
- Sends a fill response to X_TRADER®. X_TRADER® displays a fill in the Audit Trail. X_TRADER® updates the relevant files and screens (e.g., if it is a complete fill, the order is removed from the X_TRADER® Order Book).
- Sends the fill to the Fill Server.
- The Fill Server updates the .bof file and sends a fill to X_TRADER®.
- X_TRADER® displays the fill in the Fill Window.