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Single Gateway Failure

Gateway Behavior

When a single LSE Gateway fails during trading hours, updated Order Book information is not available until the LSE Gateway reconnects to the exchange, and traders cannot submit orders via the LSE Gateway. All orders currently in the market remain as working orders. If traders want to cancel their orders, they must call the exchange.

Gateway Recovery: Prices

After it is restarted after a failure, the Price Server goes through the normal price feed connection process as described in Price Server Data Flow.

Gateway Recovery: Order Routers

Order Routers exist on the LSE Gateway as threads in the Order Server. If an Order Router loses its connection, the Order Server restarts it.

When an Order Router thread loses its connection to LSE, it begins the recovery process detailed below. If at anytime the Order Router regains its connection, it begins communicating with the exchange as normal and the recovery process stops:

  • The Order Router attempts to reconnect to the IP address and port set in the ExchangeIP and ExchangePort parameters
  • The Order Router continues the reconnect attempts until the connection is established.

While Order Routers cycle, they appear in Guardian in a “feed down” state.

Gateway Recovery: Orders

When X_TRADER® reconnects to the LSE Gateway, it automatically requests all Order Book information. Since the LSE host queues all messages that occur while the LSE Gateway is disconnected, no order or fill information is lost. However, LSE only sends order and fill information for the current session -- orders and fills from previous sessions are not sent to the LSE Gateway.

When the Order Server starts, it determines the current Order Book from the *_Mode_orders.tbl files. After reading into memory the contents of these files, the Order Server deletes them and creates a new set of *_Mode_orders.tbl files. Only active orders (i.e., working or partially filled orders) are included in the new files.

Because the Order Server logs all order activity to the *_Mode_orders.tbl files, file size depends upon the volume of trading activity prior to the failure (i.e., the more the trading activity, the larger the file). Large *_Mode_orders.tbl files can slow Order Server startup by up to several minutes.

Warning

Because *_Mode_orders.tbl files contain a log of all Order Server activity, do not delete them! Doing so destroys the LSE Gateway’s records regarding order book information (i.e., while orders remain active in the market, traders cannot access them through the LSE Gateway to change or delete them).

Gateway Recovery: Fills

After the LSE Gateway begins accepting fills again, X_TRADER® refreshes the Fill window by downloading the fill information stored in the *.bof file (located in <root drive>:ttdatfiles). Additionally, while the LSE Gateway is down, LSE queues any fills that occur. When the gateway reconnects, LSE sends these fills.

Warning

If you lose the Order Book on the Order Server for the current session, any missed fills for those orders are reported to the Administrator. However, fills for orders entered from previous sessions (e.g., GTC orders) are not recorded by the gateway, because MX only provides order information for the current session affected by the recovery. In other words, the gateway cannot verify if orders from a previous session are filled.

Gateway Recovery: Hardware

After you replace any failed hardware and restart the LSE Gateway, recovery processes are identical to those listed for Gateway Software Recovery.

However, if the hard drive is replaced, traders are unable to access any of their order or fill information as the relevant log and table files are permanently lost. Traders must call the exchange and cancel their working orders. If the trader has an open position and must close it, he must do so through a broker.

Example Scenario 1 - Single LSE Gateway

Quick Financial Services (QFS) has one LSE Gateway. During trading hours, their gateway experiences a drive head crash, and immediately, all traders lose their connection to the exchange. The exchange displays red in Guardian, prices stop updating, and traders stop receiving fills. Even if they have X_TRADER® open, traders lose the ability to trade on LSE. Before closing out of their workspaces, traders document their positions. Traders, who must cancel orders, call the exchange.

QFS installs and starts up another LSE Gateway that same day. After startup, traders log into the new LSE Gateway, open up workspaces and grids, and begin trading at current market prices.