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Understanding the Price Feed

Market Data Terms

MEFF introduces the following unique concepts related to market data:

  • Price Filter: determines the maximum range between possible bid/ask prices and the last traded price.
  • Volume Filter: determines the maximum order size allowable for the member.

Price Server Data Flow

The following is a description of the Price Feed connection from the Price Server on the MEFF Gateway to the MEFF host.

  • The Price Server starts and creates a new Price Server log.
  • The Price Server reads the hostinfo.cfg file to determine the Host connection information and its behavior when logging to the MEFF log files.
  • The Price Server logs into the MEFF host using the information from the hostinfo.cfg file. It writes this login information to the Price Server log.
  • Using X_TRADER®, a trader logs into the MEFF Gateway.
  • The trader opens the Market Explorer and subscribes to one or more products. This information is passed to the Price Server, which then subscribes to the inside-market data for these particular products.
    Note

    Inside-market data consists of a set of contract attributes and includes Best Bid, Best Ask, Last Traded Price, etc.

  • The MEFF Host sends only the price and product information to which the Price Server subscribed.
  • Using a unique multicast group, the Price Server broadcasts all available market data received from the MEFF host.
  • The Price Server continues to multicast product and price information for which there are X_TRADER® subscribers.