Understanding the PriceFeed
Price Server Data Flow
Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram. Also, native orders are those orders normally accepted by the Exchange's API.
OSE Gateways will only support the BO2 price feed (real-time updated market information) instead of the BO16 and BO17 feeds which contain 100 ms and 2000ms holdback times. The following is a description of the Price Feed connection from the Price Server on the OSE Gateway to the Exchange.
- The Price Server queries hostinfo.cfg for all connectivity information (e.g., connection IP address, user names, password, etc.).
- The Price Server connects to the Exchange via the ITCH API and OMEX API (reference prices; e.g., settlement, open/close).
- The OSE Gateway downloads all product data from the Exchange via the ITCH API and OMEX API (reference prices; e.g., settlement, open/close).
- The Price Server distributes product tables to Guardian.
- The Price Server broadcasts market depth and price updates to client applications via CoreAPI.
The OSE Gateway subscribes to the BO2 price feed for processing price and Order Book changes.
PFX Price Support
OSE Gateways support TT’s PFX wire format for the delivery of market data. PFX allows faster price delivery and increased accuracy while minimizing bandwidth usage and overall price latency. PFX continuously provides real-time snapshots of market activity.
By default, OSE Gateways support PFX without any additional configuration.
OSE Gateways do not support the TTAPI wire format for market data.