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Gateway Files

Overview

The following list details files that are used specifically by the LSE Gateway. For a list and description of general TT Gateway files, refer to Chapter 3, “TT Gateway Configuration and Setup” in the TT Gateway Architecture SAM Version 7.X.The files are divided into three types: configuration (.cfg or.ini), log (.log), and miscellaneous (.tbl and .dat). Due to space constraints, throughout the table, the following conventions are used:

  • * is the exchange name selected during the installation of the TT Gateway.
  • UserID is the UserId assigned to the particular Order Session that generates the file.
  • MemberID is the MemberId assigned in hostinfo.cfg for the particular Order Router that generates the file.
  • time consists of HHMMSS, where HH is the two-digit hour, MM is the two-digit minute, and SS is the two-digit second.
  • date consists of YYYYMMDD, where YYYY is the four-digit year, MM is the two-digit month, and DD is the two-digit day (e.g., 2011-08-02).
  • mode is either PROD (if the mode of the TT Gateway is set for production) or SIM (if the mode is set for simulation).
  • X signifies <root drive>
  • # is a variable integer.

Gateway Files Table

Gateway Files

Type

Filename

Directory

Description

Deletable?

Config Files

*HostInfo.cfg

X:ttconfig

Stores the customer’s connection information for the Price and Order Server.

No

Log Files

*_mode_UserID_send_recv_date.log

X:ttlogfiles

Refer to the SAIL Log File section.

Conditional

*_mode_OrderServer_date.log

X:ttlogfiles

Order Server log file.

Yes

*_mode_PriceServer_date.log

X:ttlogfiles

Price Server log file.

Yes

Misc. Files

*_OrderServerFillSource<Gateway IP Address>_mode_bof.tbl

X:ttdatfiles

The Fill Server creates this file to store, update, and manage fill data.

Conditional

*_mode_orders.tbl

X:ttdatfiles

The Order Server uses these files to track and manage its orders. Refer to the section called Order and Trade Book Files.

No

*_OrderServerFillSource<Gateway IP Address>_mode_fills.tbl

X:ttdatfiles

Contains a record of all fills received from the exchange for a given trading session. Refer to the section called Order and Trade Book Files.

Conditional

*_date.cba

X:ttauditfiles

Tracks trader logins, outgoing orders, and order responses that the exchange sends back to the TT Gateway. This file includes timestamps with each event.

No

*_mode_prices.datX:ttauditfilesUsed by the Price Server to persists settlement prices and track and manage market data messages.No

Exchange-flavor_mode_ttqap.dat

X:ttdatfiles

Used by the Price Server to continue calculating VAP for TTQAP-subscribed products after a startup.

No

*_mode_PositionByMGT.dat

X:ttdatfiles

Position are maintained in this file by the Fill Server for Fill Server Rollover.Conditional

SAIL Messages Log File

During operation, the Order Server generates a unique log file for all SAIL protocol messaging (including heartbeats) sent between an Order Router on the TT Gateway and the exchange host. Because the Order Server generates a log file for each Order Router, the filename of each log file contains the unique Session ID assigned to the Order Router in the hostinfo.cfg file.

The SAIL log file uses the naming convention:

Exchange-flavor_mode_UserID_send_recv_date.log, where UserID is the Session ID configured in the Order Router section in hostinfo.cfg. With the configured Session ID value, the LSE Gateway populates the “User ID” field in the SAIL protocol messages sent to the exchange.

Example

LSE-A_PROD_0800030R_send_recv_2011-12-31.log

Whenever the Order Router sends or receives a SAIL message, it writes the message to the Exchange-flavor_mode_UserID_send_recv_date.log file.

Order and Trade Book Files

The Order Server uses several files to help manage and track all orders and fills that pass through the LSE Gateway. The Order Server reads these files to memory and updates them whenever orders or fills are received. The TT Gateway stores these files in <root drive>:ttdatfiles

  • The Exchange-flavor_Mode_orders.tbl files record all orders (i.e., working, filled, deleted, etc.) sent to the LSE Gateway and their status. The rest of this manual refers to these files as the orders.tbl files.

    Example

    If you installed a LSE Gateway as “LSE-C” in production mode, the file’s name is LSE-C_PROD_orders.tbl.

  • The Exchange-flavor_OrderServerFillSource<Gateway IP Address>_mode_fills.tbl file contains a record of all fills received from the exchange for a given trading session. The rest of this manual refers to this file as the fills.tbl file.

    Example

    If you installed a LSE Gateway as “LSE-C” in production mode, the file’s name is LSE-C_OrderServerFillSource172.31.254.63_PROD_fills.tbl.

For detailed information on how the LSE Gateway uses these files to reconstruct the Order and Trade Book during disaster recovery, refer to Single Gateway Failure.

X_TRADER® uses the Trade and Order book files to populate its Fill window and Order Book respectively whenever it connects to the LSE Gateway.