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Understanding the Price Feed

Overview

TT SFE Gateway 7.18 supports the ASX Market Data Protocol (MDP) ITCH price feed, which is the high-speed market data service offering provided by ASX. The Price Server uses multicast to deliver streaming, real time price data. Additional information on the ASX MDP Protocol may be viewed in the New Trading Platform ASX Market Data Protocol Specification.

PFX Price Support

TT has developed a new price delivery architecture, PFX, that improves the reliability and scalability of delivering prices to the client trading applications. PFX maximizes price scalability and bandwidth utilization under peak network load while maintaining extremely high performance.

PFX architecture comprises:

  • A new data path through the Price Servers
  • A new wire format for prices (PFX wire protocol)
  • New PFX price consumer architecture for clients
  • Enhanced price delivery algorithms

PFX is available in TT Gateway and client products built with CoreAPI Version 7.5.0 and higher.

Note

TT SFE Gateways Version 7.12 and higher can no longer run in CoreAPI mode. These Gateways will only support PFX mode.

Price Server Data Flow

The following is a description of market data flow from the Price Server to the exchange host:

  • The Price Server starts up, connects to the exchange via UDP, and downloads ASX products and contracts simultaneously. Throughout the trading day, the Price Server continues to receive all price updates sent from the exchange.
  • The Price Server starts and creates a new PS log.
  • The Price Server queries MulticastGroups.cfg to determine which products to subscribe to.
  • Using X_TRADER®, a trader logs into the SFE Gateway.
  • Using the traders’ login information and the Order Server, connect to the exchange.
  • The trader opens the Market Explorer and subscribes to one or more products. The Price Server listens to the multicast for these products, which are listed in MulticastGroups.cfg.
  • Using a unique multicast group, the Price Server broadcasts prices (inside market and depth) to client applications for the selected products.

Support for Implied Prices

SFE Gateway 7.18 supports ASX NTP implied prices, which differ from implied price behavior on ASX 24 as follows:

  • Prices in the outright 90 Day Bank Bill futures contract will not create implied average prices into the Packs and Bundles.
  • Implied prices generated, implied in or implied out, will maintain FIFO priority for the volume based on the underlying orders that imply the price.
  • The volume from the two implied orders will show in the order book as a single volume number of 18 as the implied prices from different paths (with priority = 4 and priority = 6) bundled. This differs from the current platform where implied prices generated from different paths are bundled together per path and shown in the top of book as separate orders.

Note: for examples of  trading, pricing and implied explanations please refer to the New Trading Platform Release Notes.

Support for Spreads

SFE Gateway 7.18 supports ASX NTP listed intra-commodity and inter-commodity spreads:

  • As per normal order entry, intra-commodity spread orders can be set to retain or purge, shared or non-shared. 
  • Intra spread orders cannot be entered during Pre-Open, and do not support a GTC, GTT or GTD order type.  Intra spread orders support all other order types.
  • The ratio on intra spread orders will always be 1:1.
  • The inter-commodity spreads are listed with the dominant leg first.
  • As per normal order entry, inter-commodity spread orders can be set to retain or purge, shared, or non-shared.
  • Inter-commodity spread orders cannot be entered during Pre-Open, and do not support the GTC, GTT, or GTD order types.
  • Intra- and Inter-commodity spread orders both maintain the same FIFO priority as outright futures orders.
The gateway also supports new Bank Bill Butterfly spread contracts available on ASX NTP:
  • Contracts are listed as a custom market.
  • The contract consists of the front three Bank Bill Butterflies
  • Contracts can be found in the market explorer under "IR Spread"