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Configuring the Order Server and Order Routers

Maximum Supported Order Sessions

TT currently supports up to 100 separate order sessions on each MX Gateway 7.16. Internal testing shows that this amount of order sessions supports the optimal performance during continuous operation and periods of heavy order entry.

TT recommends users work with their Technical Account Manager (TAM) to accurately load balance traders across multiple order sessions.

Throttling

Each session SAIL session ID (i.e., UserName) provided by the exchange has a variable, pre-set transactions per second (TPS) limit. If the TPS limit does not meet the trading needs of your environment, you have to contact MX to have the limit adjusted.

Configuring Order Sessions

Although the MX Gateway uses Order Routers, they run as threads within the Order Server and not as separate processes on the MX Gateway. You must configure each Order Router’s TCP connection to the exchange as an order session in hostinfo.cfg.

Tip

You can map multiple memberships to the same Order Router. If you expect to generate a high volume of traders, TT recommends that you configure multiple [OrderServerSession_#] sections, each with a unique set of credentials obtained from MX.

On a MX Gateway:

  • ttchron.ini does not contain an Order Router section.
  • Each order session must have its own section in the hostinfo.cfg file called [OrderServerSession_#]. This section configures the Order Router that hosts the session.
  • Guardian displays individual Order Routers and their status for a specified MX Gateway when you use Guardian’s administrative function called View Status.

To configure the [OrderServerSession_#] section:

  1. Open hostinfo.cfg in a text editor (e.g., Notepad).
  2. Configure the following parameters.
    [OrderServerSession_#] section parameters
    ParameterDescription
    [OrderServerSession_#]

    This is the section title, where # uniquely identifies the Order Router (session).

    Member

    Sets how the MX Gateway selects an Order Router for this session. For order actions sent to the gateway, an order router is selected by matching the Member parameter to the Member ID used to login to the TT Client trading application.

    Because each Member must be unique per MX Gateway, each [OrderServerSession_#] section must be configured with a unique Member value. The trading firm or user defines their Member ID and authenticates it in the TT system using TT User Setup 7.4.2 or higher. The Member value is not sent to the exchange for any order actions.

    Enter up to 7 alphanumeric characters. This parameter is user-defined and should be set to the same Member ID value defined in TT User Setup for the Trader using this session. No special characters are allowed and this parameter is not case sensitive. This is a required parameter.

    Warning

    If there is a duplicate Member parameter configured on a multi-session MX Gateway, the Order Server will not start. This value must be unique per [OrderServerSession_#] section on the gateway.

    PasswordSets the password for the session. Enter the password provided by MX for the SAIL userID configured in this section. The password appears as plain text in this field. This is a required parameter.
    ExchangeIPSets the external NAT IP Address of the SAIL server to which the Order Server connects.

    Enter the “External NAT Address” from the SAIL credentials provided by the exchange. This is a required parameter.

    ExchangePort

    Sets the port on the SAIL server to which the Order Server connects. Enter the “Port” value from the SAIL credentials provided by the exchange. This is a required parameter.

    userIDSets the session ID used for the order routing connection to the SAIL order management interface. The MX Gateway uses this value to populate the “User ID” field in the SAIL messages sent to the SAIL server. Multiple traders can share the same session. A session remains active based on the heartbeat message timer programmed on the MX Gateway.

    Enter the “UserName” value from the SAIL credentials provided by the exchange. This is a required parameter.

  3. Add all new trader login IDs using TT User Setup 7.4.2.
  4. Verify that the Price Server is running. If it is not running, start it. Refer to Testing Price Server Setup.
  5. Stop and restart the Order Server on the MX Gateway.
  6. Log in to Guardian as an Administrator and, using the View Status function, verify that an Order Router appears listing the new connection.

Example: [OrderServerSession_1]

The following example shows an order router configured for an MX membership.

Example

[OrderServerSession_1]

UserID=080004OS

Password=PWD80005

ExchangeIP=242.211.3.69

ExchangePort=12686

Member=MX

Adding [OrderServerSession_#] sections

Multiple order sessions are supported by the Order Server. The session names are configured using the [OrderServerSession_#] section where # is any unique number or name.

If you need to configure additional order sessions, for each session you must:

  • Add a [OrderServerSession_#] section with a unique set of connection information.
  • Include the UserID, Password, ExchangeIP, ExchangePort, and Member.

To add a new [OrderServerSession_#] section:

  1. Open hostinfo.cfg.
  2. Add the new [OrderServerSession_#] section.
  3. Add all new trader login IDs to TT User Setup 7.4.2.
  4. Verify that the Price Server is running. If it is not running, start it. Refer to Testing Price Server Setup.
  5. Stop and restart the Order Server on the MX Gateway.
  6. Log in to Guardian as an Administrator and, using the View Status function, verify that an Order Router appears listing the new connection.

Multi-Member Order Routers

To configure an Order Router to support multiple memberships:

  • For all multi-member Order Routers, the exchange must distribute the appropriate UserID value for use by each order session.
  • To set up the multi-member Order Router (i.e., the [OrderServerSession_#] section), use the userId and Member of one of the memberships that are assigned to the multi-member Order Router.

There is no additional change to trader setup or risk parameter configuration for the additional sessions.

Order Router Selection

Warning

If you have traders who use a Member ID that does not match the Member parameter of an order session in the MX Gateway’s hostinfo.cfg file, their orders will be rejected by the gateway.

When it receives an order, the Order Server looks for an exact match of the trader’s Member ID and the Member parameter value configured in the [OrderServerSession_#] section. Each session is hosted by an Order Router that runs as a thread on the Order Server.

Order routing rules:

  • When the Member parameter selects a session for a trader, the trader ID (i.e., the “T” in MGT) sent by the MX Gateway is the Trader ID provided by the exchange and configured in TT User Setup as a Direct Trader ID.
  • The gateway sends the Direct Trader ID on all orders. If a TTORD submits an order, the Direct Trader ID that the TTORD is mapped to is sent to the exchange.
  • On subsequent orders, the gateway uses the trader ID from the original order (i.e., Direct Trader ID).

Order Session Identification

TT Gateways 7.16 and higher contain an enhancement that displays the exchange credential used to route all orders and fills through the exchange. This includes all order modifications and exchange rejects but does not include orders actions on Hold orders and position reserve orders.

Currently, this value is available in the following locations:

  • Audit logs: appears in the ExchangeCredentials column
  • Order Server logfile
  • FIX Adapter 7.8: via Tag 18216 (ExchCred)
Note

The exchange credential will be available in future versions of other TT client applications.

To provide users a way to identify which order session routed a particular order on a MX Gateway, the order session is identified by the SAIL session ID (userID parameter) configured in hostinfo.cfg. The session identification appears on orders and fills for all order actions (add, modify, cancel) routed to the exchange. If the MX Gateway rejects an order action, the session is not identified.

Order Book Sharing

Traders associated with the same membership can share an order book. The trader IDs assigned by the exchange for each trader are unique, but the trader IDs can be mapped to the same Member ID in order to share an order book.

For example, a trader with a Member-Group-Trader (MGT) ID of “MX 001 0800ZA1” can share an order book with a trader assigned an MGT of “MX 001 0800ZA2”. As long as they are mapped to the same Member ID (e.g., MX), the traders “0800ZA1” and “0800ZA2” can share an order book.

Order Server Startup Parameters

You can use command line parameters when starting up the Order Server. You can use these options in a command window, ttchron.ini, and in the Services dialog box.