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NYSE Liffe Gateway

Price Server Files

Price Server Log File

At startup, the Price Server creates a Price Server logfile named Exchange-Flavor_Mode_PriceServer_Date.log to the <root drive>:ttlogfiles directory where:

  • Exchange-Flavor equals the gateway named chosen at install (e.g., NYSE_Liffe-B).
  • Mode equals the trading environment: PROD (Production) or SIM (Simulation).

The Price Server adds a new entry for each action, including initialization behavior, logins, configuration values, and contract definitions. You can use the Price Server logfile to aid in diagnosing problems related to market data.

XDPTemplates.xml File

The XDPTemplates.xml file is an exchange-provided template file required to encode and decode the market data feed sent by the exchange. The file contains no user-configurable parameters. Any modifications to the contents of the file will result in incorrect parsing of the price feed.

The file automatically installs with the TT Gateway and may require a periodic update. By default, this file is located in the <root drive>:ttconfig directory.

Note

To ensure that complete and accurate market data is being used on the TT Gateway, you must use the most recent version of the XDPTemplates.xml file. Failure to do so results in incorrect parsing of the price feed and ultimately bad prices.

TT provides the updated version of the file as follows:

  • Clean installation: Installing the latest version of the TT Gateway provides the most recent XDPTemplates.xml file by default.
  • Upgrade: When upgrading to the latest version of the gateway, the TT Gateway overwrites your existing XDPTemplates.xml file with the most recent version.
  • Customer Advisory: If the exchange updates the XDPTemplates.xml file prior to a TT Gateway release, TT will issue a Customer Advisory with the most recent version. You must manually overwrite your existing file with the most current file.

Standing Data .xml File

TT Gateways download Standing Data .xml files, via the exchange's FTP server, for each subscribed product group. The exchange provides new versions of the Standing Data files daily and prior to the product open.

Note

To avoid potential firewall impacts, users must take into account that TT Gateways establish the FTP connection in Active mode.

The Standing Data .xml files contain the initial product definition for each product available from the exchange. In addition, TT Gateways receive updated product information intra-day as part of the exchange's multicast feed.

TT Gateways include a tt_nyse_liffe_talk.exe application to manage the Standing Data files. TTChron runs the tt_nyse_liffe_talk.exe application daily which automatically overwrites the previous days' file.

The TT Gateway stores the Standing Data .xml files in the tt:datfiles directory and uses the following naming convention: NYSELIFFE_stdata_tradinghost_exchangecode_DDMMYY.xml where:

  • Tradinghost equals fin for financials, eqt for equities or blear for Bclear instruments.
  • Exchangecode equals the single-character contract code.
  • DDMMYY equals the two-digit day, two-digit month, and two-digit year.

Example Standing Data .xml filename

For example, a standing data file for equities may have the following filename:

nyseliffe_stdata_eqt_A_040510.xml

while the standing data file for a financials product appears as:

nyseliffe_stdata_fin_H_040510.xml

If the TT Gateway cannot process a particular Standing Data file, the gateway logs an error message in the Price Server logfile similar to:

Error Parsing Standing Data File: C:ttdatfiles/standing_datanyseliffe_stdata_eqt_G_040510.xml.

MulticastGroups.cfg File

The MulticastGroups.cfg file contains connection information to receive market data as FIX/FAST messages.

Warning

This additional configuration file aids in managing price data; however, it does not require manual updates. Do not edit this configuration file unless instructed by TT to do so.

Example Partial MulticastGroups.cfg File

[LIFFE_COMMODITY_DERIVATIVES]

Description=Commodity Der - L1+2

StandingDataCodes=FX,FY

ChannelNumber=6

FeedType=L1+2

ServiceID=6

...

[AMSTERDAM_EQUITY_DERIVATIVES]

Description=Amsterdam Equity Der - L1+2

StandingDataCodes=EA,EG

ChannelNumber=21

FeedType=L1+2

ServiceID=21

...

TT Gateways 7.16 and higher contain an updated MulticastGroups.cfg file that removes two StandingDataCodes:

  • ER from the [LIFFE_COMMODITY_DERIVATIVES] section
  • FP from the [PARIS_EQUITY_DERIVATIVES] section

When using an older version of the gateway, users should obtain an updated copy of the MultifastGroups.cfg file. Failure to do so causes the Price Server to log the following error messages:

Error Parsing Standing Data, No Files Found In [<tt directory>/datfiles/standing_data] Matching [nyseliffe_stdata_fin_P.xml] and

Error Parsing Standing Data, No Files Found In [<tt directory>/datfiles/standing_data] Matching [nyseliffe_stdata_eqt_R.xml].