MPF Data Flow
Client Application Price / Order / Fill Flow
When operating in an MPF architecture, client applications:
- Send all requests (orders, prices, and fills) to the selected, mapped TT Gateway. This behavior is standard to TT systems.
- Receive all order and fill-specific information from the selected, mapped TT Gateway. This behavior is standard to TT systems.
- Receive all product and contract information from the Price Proxy on the selected, mapped TT Gateway.
- Receive MPF mapping from the Price Proxy. Client applications use this mapping to determine the multicast subjects on which they listen for price data.
- Receive price updates and snapshots from MPF Server.
Price coalescing is determined by the MPF Price Server. For more information about coalescing, refer to the TT Gateways Architecture System Administration Manual.
Mapped TT Gateway Price / Order / Fill Flow
When operating in an MPF architecture, mapped TT Gateways:
- Function as standard TT Gateways in the following
- Creating an order connection to the exchange. Order and fill data is sent through this connection.
- Receiving all requests (orders, prices, and fills) from the client application.
- Sending and receiving all order or fill-related information to and from the exchange as appropriate.
- Sending all order and fill-specific information to the client application.
- Connect to the MPF Server at startup via the Price Proxy and download product information.
- Receive all price and contract requests from client applications
and server components (i.e., the Order Server).
- The mapped TT Gateway responds with any contract definitions that the Price Proxy has in its memory.
- If the Price Proxy does not have the definitions for a requested contract, it downloads the information from the MPF Server and caches it in memory.
Price Proxy Deployment
Price Proxy may be deployed on either the Mapped Gateway or a separate dedicated host. Moving Price Proxy to a dedicated host frees up resources on the Mapped Gateway and improves performance. In either case, a Price Proxy instance may be configured to heartbeat as single or multiple TT Gateway flavors within a single market. Price Proxy may not be deployed on the MPF Price Server.
Because traders must only log into a mapped TT Gateway (not the MPF Server):
- You do not need to include trader IDs in the Windows User Authentication System (WUAS) on the MPF Server.
- You do not need to include the MPF Server in the setups of any users of Universal Login.
When a user logs into a mapped TT Gateway, all API connections (Order, Price, and Fill API) go to the mapped TT Gateway. The client application does not interact directly with the MPF Server except to receive multicast data. All price subscriptions and snapshot requests are routed through the mapped TT Gateway.