Understanding the Price Feed
Price Feed Behavior
TT Gateways receive market data via the Exchange Data Publisher (XDP). All market data provided from the exchange are FAST optimized. The exchange provides an XDPTemplates.xml file to encode/decode market data. For more information, refer to XDPTemplates.xml File.
Due to the large amount of data, Liffe requires users to use lines with sufficient bandwidth. Refer to the exchange documentation to determine the appropriate amount of bandwidth for your trading environment.
This system provides market data using four mechanisms:
Supplies tick table, point value and additional market data prior to the product open.
Real-time data broadcast via dual multicast streams (A and B)
Used to request missing data packets via a direct TCP/IP connection.
TCP/IP for request and response
Multicast for the data transfer
Supplies a snapshot of order book data following an intraday restart.
FTP Standing Data
The exchange provides initial product definitions as Standing Data .xml files which the gateway downloads via the exchange's FTP site. For more information on the Standing Data files refer to Standing Data .xml File.
To avoid potential firewall impacts, users must take into account that TT Gateways establish the FTP connection in Active mode.
Market Data Multicast
The XDP feed delivers real-time data broadcast via dual multicast streams (labeled Stream A and Stream B). TT Gateways receive the same data along both streams. In most cases, if a data packet is missing on one stream, the gateway should be able to recover the missing packet from the other stream.
If the gateway cannot retrieve missing data from the market data streams, the TT Gateway will request data from the exchange by establishing a TCP/IP connection with the exchange's Retransmission Server.
When attempting to recover lost market data, the exchange imposes a limit on the number of packets for each request. Currently, the exchange sets a maximum request limit of 10,000 retransmission requests per day per SourceID. Therefore, TT Gateways may attempt additional retransmission requests when missing large amounts of data.
TT Gateways will request up to 2500 messages using the Retransmission Server. If the sequence number gap exceeds this amount, the gateway will request a full snapshot from the exchange Refresh Server. In addition, the gateway notes the channel and logs a ReBroadcast: Retransmission Failed: Too Many Messages Requested For Retransmission message. TT Gateways forward this message to both the Price Server logfile and the Audit Trail.
Following an intraday restart, the TT Gateway may request a full snapshot of the current order book data by establishing a TCP/IP connection with the exchange's Refresh Server. The gateway will also rely on the Refresh Server if it cannot connect to the Retransmission Server. Once the exchange forwards a response, the TT Gateway will join the refresh multicast to receive the missing data.
Since this type of request includes all current market data, recovering data from the Refresh Server takes longer than receiving data via the Retransmission Server.
Price Server Data Flow
The following describes the data flow of the Price Feed connection from the Price Server on the TT LIFFE Connect Gateway to the exchange.
- When available, the TT Gateway downloads the standing data .xml files from the exchange's FTP site. The gateway automatically unzips and installs the standing data .xml files.
- 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.
- Using the data from the corresponding standing data files, the Price Server begins adding product information to the Product Table for all subscribed products.
- 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.
- Following a trader login, the Price Server begins forwarding
market data to the client application.
TT Gateways use the exchange Grouped channels for all market data.
Also, the gateway calculates market data such as the high/low price using data from the price feed. The gateway does not use the exchange's Value Added Price channels.