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Configuring Order Management

FIX Order Server

MEFF Gateway order server uses the FIX protocol for all messaging to and from the exchange.

Order Routers

Each Order Router runs as a separate thread within the Order Server. Although ttchron.ini does not contain an Order Router section, Guardian displays Order Routers when you View Status on the MEFF Gateway.

You can configure multiple order routers adding additional [OrderServerSession] sections to the hostinfo.cfg file as described in the following sections. When running multiple order routers, TT recommends a user not configure more than of 6 order routers per MEFF Gateway.

Example: Two Order Sessions

Example Hostinfo.cfg File configured with two order sessions

[OrderServerSession]

ExchangeIP=10.1.2.3

ExchangePort=1234

HighAvailabilityIP=10.2.2.2

HighAvailabilityPort=1002

GatewayCompany=GDT

ExchangeCompany=XMEF

GatewaySessionId=Trader1

ExchangeSessionId=GT001

SessionPassword=HtC3

[OrderServerSession_1]

ExchangeIP=10.1.2.3

ExchangePort=1235

HighAvailabilityIP=10.2.3.3

HighAvailabilityPort=1003

GatewayCompany=GDT

Member=NO2

ExchangeCompany=XMEF

GatewaySessionId=Trader1

ExchangeSessionId=GT001

SessionPassword=HtC3

Multi-Sessions/Multi-Member

You can configure multiple order sessions using the procedure listed below.

To configure additional order sessions:

  1. Open the hostinfo.cfg file.
  2. Copy the heading and required parameters from the [OrderServerSession].
  3. Paste the copied text into the hostinfo.cfg file.
  4. Change the second [OrderServerSession] heading to a unique name (e.g., [OrderServerSession_1] or [OrderServerSession1]).
  5. In the [OrderServer] section, add the name of the new [OrderServerSession] to the Sessions parameter.
    Warning

    You must ensure there are no spaces between session names when updating the Sessions parameter.

  6. Save and close the hostinfo.cfg.

Establishing Order Routing

When configuring multiple order sessions, you can use the Member parameter to determine which orders route through a particular order session.

Warning

You cannot use the Member parameter in an order session assigned as multi-trader at the exchange. Adding a Member parameter to a multi-trader order session causes the Order Server to malfunction.

When configuring order routing, you should note the following:

  • Configuring multiple order sessions is optional.
  • MEFF Gateways route orders based on the client login.
    • MEFF Gateways route orders through the first order session that contains matching client login information.
    • By default, MEFF Gateways match the client login information based on the value of the GatewayCompany parameter.
    • Adding a Member parameter to any order session overrides the GatewayCompany for that session. If an order session contains a Member parameter, only orders submitted with the same membership route through that order session.
    • If two or more order sessions contain identical login information (e.g., no Member parameters and the same GatewayCompany), the MEFF Gateway only routes orders through the first order session. Additional order sessions remain unused.
      Warning

      For MEFF Gateways 7.15 and higher, if two or more Member parameters share the same value, the Order Server will not start. The Member parameter must be unique per Order Session.

      In addition, for 7.15 Gateways, the Member parameter must equal less than 12 characters.

  • Note

    If you add a Member parameter to every order session, the GatewayCompany no longer serves as the membership credential.

Example 1: Correct Order Routing

The following example lists a possible order routing configuration:

Example Multiple Order Sessions with one Member parameter

[OrderServerSession]

GatewayCompany=GDT

[OrderServerSession_1]

GatewayCompany=GDT

Member=NO2

In this example, orders from traders logged in under Member NO2 route through [OrderServerSession_1] while traders logged in with Member GDT route through [OrderServerSession].

Example 2: Incorrect Order Routing

The following example lists a common misconfiguration:

Example

[OrderServerSession]

GatewayCompany=GDT

[OrderServerSession_1]

GatewayCompany=GDT

In this example, all orders from the same GatewayCompany route through [OrderServerSession]. The [OrderServerSession_1] remains unused.

Multiple Order Router and Multi-membership

MEFF Gateways support both multiple order router and multi-membership functionality. Since MEFF Gateways route orders based on the client login, orders will be sent through the first order session that contains matching client login information. By default, MEFF Gateways match the client login information based on the value of the GatewayCompany parameter.

  • Multi-membership: If the exchange provides multiple unique GatewayCompany IDs (1st 4 characters of the Trader ID), you can configure the MEFF Gateway for multi-membership. You must ensure that the Member portion of the X_TRADER® logins match the GatewayCompany parameter.

    Example Hostinfo.cfg file configured for multi-membership

    [OrderServer]

    Sessions=OrderServerSession,OrderServerSession_1

    [OrderServerSession]

    GatewayCompany=A146

    [OrderServerSession_1]

    GatewayCompany=A147

    Note

    MEFF allows up to 10 FIX sessions per membership. When configuring multiple order sessions, you must adhere to this limit.

  • Multiple Order Routers: The client can also obtain an additional Trader ID from the exchange in order to mitigate MEFF’s daily transaction limit of 60,000 orders per Trader ID. Since, this additional Trader ID will be assigned to the same GatewayCompany, you must add the Member parameter to the new order server section which will override the GatewayCompany parameter.

    Example Hostinfo.cfg file configured for multiple order routers

    [OrderServerSession]

    GatewayCompany=A146

    [OrderServerSession_1]

    GatewayCompany=A146

    Member=ABCDE

    Note

    The daily transaction limit does not include order modifications. By default, AutoSpreader® and AutoTrader™ are configured to modify orders without triggering the transaction counter. TT recommends leaving these applications set to the default configuration.

Verifying Order Sessions

You can verify the connectivity status of each order session using the View Status option in Guardian. Each order session appears in Guardian as a separate Order Router. The session name appears as a combination of the GatewayCompany (FIX Tag 49 SenderCompID) and the GatewaySessionID (FIX Tag 50 SenderSubID).