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Product Splitting / Order Server Consolidation Description

Overview

Price Proxy 7.16.0 or higher supports splitting product subscriptions among multiple MPF Price Servers, and delivering these subscriptions as a single product table to client trading applications via a single Price Proxy. The single proxy instance can be configured on a mapped TT Gateway or standalone server.

Mapped, order routing TT Gateways in the customer environment can be configured to subscribe to products from multiple MPF Price Servers. By mapping a single Price Proxy 7.16.0 or higher to multiple Price Servers within a single market (e.g., CME), fewer order routing TT Gateways will be needed in the customer environment; i.e., Order Servers can be consolidated in an MPF environment where products and market data are channelized by an exchange.

Data Flow

When a Price Proxy configured for product splitting is started on a mapped TT Gateway fronting multiple MPF Price Servers and connected to an X_TRADER® workstation, the following occurs:

  • Price Proxy connects to each MPF Price Server (e.g., CME-Z, CME-Y) listed in priceproxy.ini.
    Note

    TT recommends that all MPF Price Servers be in the Active state when Price Proxy is started on a mapped TT Gateway.

  • Price Proxy downloads all products from each configured MPF Price Server.

    If the same product exists on multiple active Price Servers, Price Proxy will accept the first instance of the product it receives. If Price Proxy receives the same product from a different server, it logs this as an error in the Price Proxy log. This product relationship persists through recovery/restart of the Price Server and until Price Proxy is restarted. Price Proxy supports intra-day product downloads from any active Price Server it is connected to.

  • After completing the download of products and contracts from at least one active MPF Price Server, Price Proxy goes Active.
  • X_TRADER® connects to Price Proxy on an order routing TT Gateway (e.g., CME-A) or standalone server in the customer environment, and downloads products and contracts from Price Proxy.
  • X_TRADER® subscribes to selected products in a given market.
  • Price Proxy forwards the subscription requests to the MPF Price Servers that support the selected products.
  • Price Proxy receives an acknowledgement of request success from multiple Price Servers (CME-Z, CME-Y).
  • Price Proxy delivers a single product table to clients regardless of the number of MPF Price Servers that are sourcing the products. Each entry in the Product table delivered by Price Proxy includes the exchange ID of the MPF price server providing the market data.
  • X_TRADER® views price updates from multiple MPF Price Servers (CME-Z, CME-Y) mapped to the order routing TT Gateway (CME-A) via a single Price Proxy.

MPF Price Server Failover

When migrating products to MPF Servers and consolidating Order Servers using Price Proxy 7.16.0, there is no change to how mapped TT Gateway redundancy is configured. However, the Price Server failover behavior is different when a single Price Proxy is mapped to multiple MPF Servers.

MPF Price Server failover will not cause a product to switch to a different exchange-flavor MPF Price Server. If a product was not previously available on any Price Server, it may be added after a failover. Otherwise, to change the source of a product from one MPF server to another requires a restart of all affected MPF Price Servers (including those in Standby) and all connected Price Proxy instances on the mapped TT Gateways.

The difference in failover using Price Proxy 7.16.0 is that an MPF Server will host fewer Price API connections to mapped TT Gateways. This will reduce Price Server recovery time after a failure, because there are fewer Price Proxy instances connecting to each MPF Server. The mapped TT Gateways will reconnect to all client applications that were logged in prior to the failure.

If an MPF Price Server becomes inactive while Price Proxy 7.16.0 remains active, the following occurs during MPF recovery:

  • The client trading applications (e.g., X_TRADER®, MD Trader®) maintain their connections to Price Proxy if at least one other MPF Price Server is active. Price Proxy displays red in Guardian if all configured MPF Price Servers are down, or displays green if connected to at least one active MPF Price Server.
  • The client trading applications are notified of the MPF Server state change by Price Proxy.
  • X_TRADER®, MD_Trader®, and affected rows in the Market Grid will gray out.
  • Orders may be deleted or changed for the affected products, but new orders cannot be added.
  • When the MPF Price Server recovers, clients re-request the subset of products related to that server via Price Proxy.
  • X_TRADER Market Explorer will update its product list if any products were added; no products will be removed without a restart of X_TRADER.
  • Any grayed-out X_TRADER windows return to their normal state.
Note

If Price Proxy 7.16.0 becomes inactive while the MPF Servers remain active, the same events occur except that the grayed out client application windows continue to receive price updates.

Deployment

Price Proxy 7.16.0 or higher is required in order to support product splitting via a single proxy. All connected clients must meet their minimum supported version. The following Price Proxy configurations can support product splitting:

  • MPF mapped TT Gateways
  • Standalone TT Gateways

If a TT Client connects with less than the minimum version required for product splitting, the connection will succeed for the initial subscription but fail on any Price Server or Price Proxy restart or recovery attempts. Price Proxy 7.16.0 supports existing single active MPF Price Server deployments and standalone Price Proxy configurations with current production versions of TT Gateways and TT Clients. If they GAL settings are the same on each MPF Price Server, then there is no minimum TT Gateway version requirement. If the GAL settings are different, then the minimum TT Gateway version is 7.15.x.

TT Client Version Requirements

To support product splitting in your trading environment, you must upgrade to the following TT Client versions when they are production released:

  • X_TRADER 7.9.2 (production released)
  • X_TRADER API 7.7.2 (production released)
  • X_RISK 7.11.x (production released)
  • SSE 7.2.2
  • ASE 7.2.2
  • Algo SE 7.2.2
  • FMDS 7.5.2 (production released)
  • FIX Adapter 7.8.0

If the MPF Price Servers are TT Gateways 7.15.0 or higher, the MPF Price Servers run in PFX-mode only. To support PFX in your trading environment, ensure all TT Clients are upgraded to versions that support PFX. Refer to http://intranet/AdvisorySystem/ViewAdvisory.aspx?aid=4961CA128-10.