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HSVF Market Data Configuration

Behavior

To subscribe to the market data on the HSVF feed, the MX Gateway uses the following:

  • Hostinfo.cfg parameters: The gateway uses ExchangeFeed parameters for HSVF product subscriptions.
  • MXProductGroup.cfg file: This configuration file contains connection information specific to MX product subscriptions.

TCP Message Recovery

The MX Gateway order book is updated incrementally with market data per contract. The HSVF feed begins the trading day with sequence number “1” for each market data message and updates these numbers incrementally by one.

When connecting late or if it has to be restarted in the middle of the day, the Price Server first downloads products and then starts processing from the last available sequence number. If this occurs, the order book will be incomplete until it gets built by subsequent price updates.

MXProductGroup.cfg File

To assist with price data subscriptions, the MX Gateway uses the MXProductGroup.cfg file.

Note

This additional configuration file aids in managing price data; however, it does not require manual updates. Do not edit this configuration file.

Example: MXProductGroup.cfg

Example

[MX_FUTURES_AND_OPTIONS_ON_FUTURES]

Description=Montreal Exchange Futures and Options on Futures

ChannelNumber=1

AddressFeedA=198.235.29.182:5250

AddressFeedB=198.235.29.192:5250

[MX_CLIMATE_EXCHNAGE_FUTURES]

Description=Montreal Climate Exchange Futures

ChannelNumber=3

AddressFeedA=198.235.29.182:29311

AddressFeedB=198.235.29.182:29311

The MXProductGroup.cfg is simply an index file that maps connectivity information to the product groups that the MX sends messages for over the HSVF feed. The MXProductGroup.cfg file stores connection information for product group data in unique channel sections.

By default, the MX Gateway does not automatically download all of the feeds configured in the MulticastGroups.cfg file. To download the feed for a particular group, you must enable the corresponding ExchangeFeed#=<product group> line to the [PriceServer] section in hostinfo.cfg file.

For details on this parameter, refer to Section: [PriceServer]).

MXProductGroup.cfg Parameters

By default the MX Gateway installs with a MXProductGroup.cfg file configured to download all futures and options on futures products available on the Montreal Exchange and the Montreal Climate exchange. If MX adds a new product group (i.e., set of product information) at a later time, TT will send out a Customer Advisory informing customers what changes they may need to make.

MXProductGroup.cfg Parameters
ParameterDescription
[MX_<Product Group>]

This is the section title. All sections in the MXProductGroup.cfg file use this section title; there are no variables.

Description=<Product Group>

Sets the product group name for the data that the MX Gateway can request. To request this data, you must include an ExchangeFeed parameter in the [PriceServer] section of the hostinfo.cfg with this product group as its value.

ChannelNumber=XXX

A variable number, starting at 1, that uniquely identifies the [MX_<Product Group>] section.

AddressFeed*=IPAddress:Port

This parameter sets the IP address and port that the MX uses to broadcast the product group data (as specified in the product group parameter). For purposes of disaster recovery, each [MX_<Product Group>] section can contain multiple AddressFeed* parameters. The exchange specifies these values.

* is a wildcard and uniquely identifies a feed for the data that the specified IPAddress:Port distributes.

Example:

You include the line item AddressFeedA=233.119.16.12:10012

This sets the TT Gateway to obtain unicast product group data from IP Address 233.119.16.12 and port 10012. This feed is labeled FeedA for purposes of routing.