Understanding the Price Feed

Price Feed Behavior

NFX Gateways connect to the exchange via the ITCH protocol. The ITCH feeds are taken straight off the matching engine to achieve ultra-low latency and full depth of market by order.

Basic reference data, orders, trades and the net order imbalance indicator is distributed via the ITCH feed while reported trades, trade cancels, settlement prices, open interest etc. is distributed via the Auxiliary Market Data feed..

Price Server Data Flow

The following describes the data flow of the Price Feed connection from the Price Server to the exchange.

  • The Price Server starts and reads configuration values from the aconfig.xml file.
  • The Price Server queries the hostinfo.cfg file for the Multicast Groups you wish to subscribe and established a unique price session with the exchange.
  • The Price Server uses the connection information in the MulticastGroups.cfg file to join the multicast for each subscribed product.
  • For each multicast group, the Price Server validates the current sequence number from the exchange.
  • If a gap exists between the last sequence number recorded by the Price Server and the sequence number provided by the exchange, the Price Server requests the missing data from the exchange's Retransmission Server.
  • The Price Server continues the initial product download and begins populating the product table with market data.
  • Following a trader login, the Price Server begins forwarding product and contract data to the client application.