Understanding the Price Feed
This section provides an introduction to the SGX price feed. After the API upgrade to SGX Titan, the SGX_OTC Gateway requires a combination of the ITCH and OM price feeds to deliver market data. These feeds are used as follows:
- The ITCH API is used to deliver streaming, real time price data.
- The OM API requires an OM price ID which is used to deliver certain reference prices such as Settlement and Open/Close.
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.
The following is a description of the Price Feed connection from the Price Server on the SGX_OTC 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 OMEX API.
- The SGX_OTC Gateway downloads all product data from the Exchange via OMEX API.
- The Price Server distributes product tables to Guardian.
- The Price Server broadcasts market depth and price updates to client applications via TTAPI.