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Algo Strategy Engine Documentation

Configure: Single-Multicast Network with Coalesced and Non-Coalesced Price Servers


In this single-multicast network, trading clients need to access coalesced prices, orders, and fills. However, for optimal performance, Algo SE needs to receive every price update, not just periodic snapshots of market prices. The multicast can handle traffic for both coalesced and non-coalesced price data in addition to orders and fills. In this deployment, the network uses two TT Gateways for each market:

  • Standard TT Gateway with a Price Server that coalesces prices, an Order Server, and a Fill Server
  • TT Gateway running only a dedicated Price Server that disseminates non-coalesced prices for Algo SE

Network Illustrated

The following figure illustrates a network where the traders need to access contracts from only two TT Gateways (ICE and CME), so the multicast bandwidth is sufficient to handle the traffic. However, in this deployment, most of the trading clients trade remotely through WAN routers. In this example, the network circuit cannot handle the volume of traffic generated by non-coalesced prices, and the network uses standard TT Gateways to support the trading clients with orders, fills, and coalesced prices. Because TT strongly recommends using non-coalesced prices with Algo SE, the network includes dedicated Price Servers (CME-U and ICE_IPE-U).

Configuring with Coalesced and Non-Coalesced Price Serves

When connecting to a single market with several gateways that connect with different MGTs, the following configuration must be used:

To configure a single multicast with mixed Price Servers:

  1. Using a text editor, open tt_algose.ini, located in <root drive>:ttconfig.
  2. Add Login information to the [gw-Gateway-Flavor] section, where Gateway-Flavor is the gateway to which you want to connect.
  3. Add the name of the TT Gateway containing the non-coalesced Price Servers, using the Price_Subscription_Gateway setting.
  4. Add additional [gw-Gateway-Flavor] sections as needed.

    Example tt_algose.ini