Understanding Order Management
Order Server Data Flow
The following is a description of order data flow from the Order Server to the Exchange host:
- The Administrator or TTChron starts the Order Server. The Order Server creates the Order Server logfile and displays as initializing in Guardian.
- The Order Server loads values located in the hostinfo.cfg file.
The Order Server exits if the configuration files are not present, or contain invalid values.
- The Order Server forwards an Application Logon message to the Exchange.
- The Exchange forwards responses for the Application Logon.
- The Order Server and each Order Router displays as ready
The Order Server only displays as ready if at least one Order Router fully initializes.
- The Order Server trims the fills.tbl file as configured in the aconfig.xml file.
- The Order Server inquires the Exchange for any outstanding orders.
- The client application forwards a trader login.
- A trader submits an order. The Order Server assigns a
site order key and forwards the order to the Exchange.
The site order key remains the same for each subsequent order action until the order fills or cancels.
- The Exchange assigns the order an Exchange order ID and
forwards an acknowledgment message to the Order Server.
The Order Server exhibits the following behaviors for order modifications:
- Inquiry: The Exchange does not allow inquiries into working orders. Therefore, the Order Server rejects any attempt to inquire on a working order.
- Cancel/Replace: The Order
Server attempts to delete the original order from the Exchange and
the TT Order Book.
- If successful, the Order Server forwards a new order to the Exchange with the same site order key. The Exchange assigns a new Exchange order ID.
- If unsuccessful (e.g., the Order Server receives a fill acknowledgement for the original order), the Order Server rejects the new order.
- If partially filled and the filled amount equals less than the quantity of the new order, the Order Server forwards a partial fill to the client application and updates the new order’s quantity to equal the unfilled portion.
- If partially filled and the filled amount equals more than the quantity of the new order, the Order Server forwards a partial fill to the client application and cancels the new order.
- Hold: The Order Server deletes the original order at the Exchange and places the order in Held state in the TT Order Book. When resubmitted, the Order Server forwards a new order add message to the Exchange.
- Delete: The Order Server
attempts to delete the working order at the Exchange.
- If successful, the Order Server deletes the order from the TT Order Book.
- If unsuccessful, the Order Server forwards a cancel reject message to the client application.
- Disconnects: During a disconnect with the Exchange, orders remain in the Order Book.
Fill Server Data Flow
The following is a description of fill data flow from the Fill Server to the Exchange host:
- The Administrator or TTChron starts the Fill Server. The Fill Server creates the Fill Server logfile and displays as initializing in Guardian.
- The client application connects with the Fill Server and requests position for all logged in traders.
- The Fill Server forwards position information from the bof.tbl file to the client application.
- As traders enter orders, the Fill Server updates the order
status in the trader’s Audit Trail. The following list contains
the available options to reflect the deal status:
- Pending: the initial status of a submitted order
- Confirmed: the order is resting in the market
- Done: the order has been matched