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Understanding Order Management

Exchange Order Book

NASDAQ_OMX_EU Gateways connect to the exchange via the FIX protocol.

Order Server Data Flow

The following is a description of order data flow from the Order Server to the exchange host:

  • The Administrator or TTChron starts the Order Server. The Order Server creates the Order Server logfile and displays as initializing in Guardian.
    Warning

    The Order Server will not fully initialize it cannot connect to a fill source.

  • The Order Server loads values located in the aconfig.xml, aconfig_local.xml, and hostinfo.cfg files.
  • The Order Server receives a valid license from the Guard Server.
  • The Order Server connects to the environment’s TT User Setup server and receives user-related login and configuration data.
  • The Order Server creates the session’s audit file.
  • The Order Server creates a send-receive logfile for each order session configured in the hostinfo.cfg file.
  • For intra-day restarts, the Order Server loads and verifies the current order sequence number for each configured Order Session.
  • The Order Server loads the previous day's orders.tbl file from the <root drive>:ttdatfiles directory.
  • The Order Server trims the fills.tbl file as configured in the aconfig.xml file.
  • The Order Server verifies the exchange status via the Price API.
  • The Order Server downloads product information from the Price Server.
  • The Order Server updates the currency table.
  • The Order Server forwards a login request from each configured Order Session.
  • The Order Server reconciles the TT Order Book with data received from the exchange and deletes all stale orders.
  • When the order download completes, the Order Server goes active and shows as green in Guardian.
  • The client applications submit login requests to the Order Server.
  • As traders login to X_TRADER, the Order Server maps each direct trader to the Order Session based on their TT Member ID.
  • As traders submit orders, the Order Server sends the order to the exchange and writes the order information to the Order Server log file.
  • The exchange confirms the order and assigns an exchange order number.
  • The Order Server sends an OK/Add to the Audit Trail, publishes order data to the Order Book and writes the order information to the Order Server log file.

Fill Server Data Flow

The following is a description of order data flow from the Fill Server to the exchange host:

  • The exchange matches the order and sends fill data to the Order Server.
  • The Order Server validates the fill and populates the Order Book with fill data.
  • The Order Server writes the fill to the fills.tbl file then forwards the fill data to the Fill Server.
  • The Order Server sends an Ok/Fill to the Audit Trail.
  • The Fill Server writes the fill data to the bof.tbl file.
  • The Fill Server sends the fill data to the Fill window.