The TT SFE Gateway uses the [ReservedDepthSubscription] section to initially subscribe to depth of market for a particular set of contracts.
Rather than entering the specific expiration date, contracts can be specified by their relative expiration (i.e., the first expiration of a product rather than the first expiration date).
To add contracts, use the format: Product Name;Product Type;Index Expiry where:
- Product Name is the name designated by TT to symbolize the instrument traded
- Product type is FUTURE or SPREAD
- Index Expiry is
the relative expiry for the contract (e.g., 1 would be the first
expiry, 2 would be the second expiry, etc.)
When specifying the Index Expiry for intra- and inter-commodity spreads, the index expiry value of each leg must be specified (e.g., an entry of SFE AP;SPREAD;1:2 specifies the SFE AP Spread between the first and second expiry’s).
By default, the hostinfo.cfg file includes sample entries that are commented out. To subscribe to these entries, please remove the # symbol.
Per ASX 24 restrictions, 100 Depth of Market messages will be provided. For more information, contact the Exchange.
The following example shows a TT SFE Gateway configured to receive Depth of Market messages for the following products:
- SFE IR Spread, between the first and second expiry
- SFE XTYT Spread, first expiry for XT and first expiry for YT