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Understanding Order Management

Order Server Data Flow

Note

Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram. This data flow, which focuses on the steps involving Exchange interaction, is a subset of the information depicted in the section called Order and Fill Data Flow.

The following is a description of the Order Feed connection from the Order Server on the TT SGX Gateway to the Exchange.

  • The Order Server starts up and creates the Order Server log file.
  • The Order Server queries hostinfo.cfg for all connectivity information (e.g., connection IP address, user names, password, etc.).
  • Trader logs into X_TRADER® and submits an order.
  • The Key Server assigns a TT order key. The Order Server sends the order to the Exchange and writes the order information to the Order Server log file.
  • The Exchange confirms the order and assigns an exchange order ID.
  • The Order Server sends an Ok/Add to the Audit Trail, publishes order data to the X_TRADER® Order Book and writes the order information to the Order Server log file.
Note

In the event of an exchange disconnect, all order information is persisted in the Exchange-Flavor_Mode_orders.tbl file, where Mode is either PROD or SIM. For more information on TT Gateway behavior following a disconnect, refer to the the topics listed under Disaster Recovery chapter.

Price Limits

The exchange sets a range for a specific contract, known as a price limit. If a user enters an order above or below the price limit, the order will go inactive. If the user modifies the price inside the range or the range changes, the order can be activated.

Fill Server Data Flow

Note

Terminology used in the following data flow matches terminology used in the Gateway System - Logical Architecture diagram. This data flow, which focuses on the steps involving Exchange interaction, is a subset of the information depicted in the section called Order and Fill Data Flow.

The Logical Architecture diagram illustrates the following fill flow:

  • The Exchange matches the order and sends fill data to the Order Server.
  • The Order Server validates the file and publishes fill data to the X_TRADER® Order Book.
  • The Order Server sends fill data to the Fill Server.
  • The Order Server sends an Ok/Fill to the Audit Trail.
  • The Fill Server writes the fill data to the bof.tbl file.
  • The Fill Server sends the fill data to the Fill window.
Note

In the event of an exchange disconnect, necessary order and fill information needed for recovery is persisted in the Exchange-Flavor_Mode_orders.tbl and Exchange-Flavor_FillSeqStore.dat files, where Mode is either PROD or SIM. For more information on TT Gateway behavior following a disconnect, refer to the the topics listed under Disaster Recovery chapter.