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Understanding the Price Feed

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 and creates a new Price Server log.
  • The Price Server reads the hostinfo.cfg file to determine the host connection information and its behavior when logging to the log files.
  • The Price Server logs into the ASX 24 host using the ID from the hostinfo.cfg file. It writes this login information to the Price Server log.
  • Using X_TRADER®, a trader logs into the SFE Gateway.
  • The trader opens Market Explorer and subscribes to one or more products. This information is passed to the Price Server, which then subscribes to the inside market data for these particular products.
    Note

    Inside market data consists of a set of contract attributes and includes Best Bid, Best Ask, Last Traded Price, etc.

  • The ASX 24 host sends only the price and product information to which the Price Server subscribed.
  • Using a unique multicast group, the Price Server broadcasts the inside market data received from the ASX 24 host.
    Note

    When a trader opens a MD Trader®, the Price Server also subscribes to market depth. Usually, the front months support Market Depth subscriptions. Most options do not support Market Depth subscriptions.

  • The Price Server continues to multicast product and price information for which there are X_TRADER® subscribers.