Understanding Order Management
Order Server Data Flow
Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram.
The Logical Architecture diagram illustrates the following order flow:
- The Order Server connects to MEFF using connection information contained in the hostinfo.cfg file.
- The Order Server downloads all order data from MEFF.
- X_TRADER® logs into the TT Gateway.
- X_TRADER® submits an order to the Order Server.
- The Order Server sends an ACCEPT/ADD message to the trader’s Audit Trail (in X_TRADER®).
- The Order Server sends the order to the MEFF host
- Upon receipt, the MEFF host sends an order confirmation back to the Order Server.
- The Order Server sends the order confirmation (as an OK/ADD) to the trader’s Audit Trail in X_TRADER®.
Fill Server Data Flow
Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram. Also, native orders are those orders normally accepted by the exchange's API.
The Logical Architecture diagram illustrates the following fill flow:
- The MEFF host matches the order.
- The MEFF host sends a fill to the Order Server.
- The Order Server records the fill in the fills.tbl file.
- Simultaneously, the Order Server:
- Sends a fill response to X_TRADER®. X_TRADER® displays a fill in the Audit Trail. X_TRADER® updates the relevant files and screens (i.e., if it is a complete fill, the order is removed from the X_TRADER® Order Book).
- Sends the fill to the Fill Server.
- The Fill Server updates the .bof file and sends a fill to X_TRADER®.
- X_TRADER® displays the fill in the Fill Window.
Dedicated Order Management
To increase order efficiency, the MEFF Gateway behaves as follows:
- The TT Gateway processes only orders and fills that originate from that MEFF Gateway.
- The TT Gateway ignores all ‘foreign’ orders that originate elsewhere (i.e., another MEFF Gateway). The TT Gateway does not forward foreign orders to the client applications.
- You can modify orders (i.e., increase/decrease quantity or price) that originate from the MEFF Gateway outside of the TT Gateway.
- The TT Gateway supports order book sharing only between traders using the same member ID and group ID and sharing the same MEFF Gateway.
Order Book Sharing
MEFF Gateways share order book information between traders of the same membership and same group. This represents the default behavior and is similar to other TT Gateways. You can use TTORDs to divide traders by group. This disables order book sharing across the membership.
When a trader submits an order, that order appears in the order book of every trader who shares the same membership and group. In addition, all traders that share a membership and group can modify and delete each other’s orders.