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CFE Gateway Documentation

Understanding the Price Feed

Price Server Files

During normal operation, the Price Server reads the hostinfo.cfg file to obtain connectivity information (e.g., IP addresses, ports, etc.).

Also, at startup and after a product download, the Price Server reads the price data in Exchange-flavor_Mode_ttqap.dat to include previously traded contracts when calculating VAP for TTQAP-subscribed products.

Price Server - Multicast PITCH (CFE Bats)

  • CFE Gateway 7.18 and higher connects to the Cboe Multicast TOP and PITCH feed protocols. The PITCH feed is an order-by-order feed, and it replaces CSM Level 2’s aggregated depth feed.
  • CFE participants will need to use CFE multicast PITCH to receive real-time depth of the book quotations and execution information from CFE. All versions of Multicast PITCH feed will be WAN-shapes (maximum 100 Mb/s) and will be available from CFE data centers.
  • The CFE Multicast PITCH and TOP Trading Status message type is used to indicate a current trading status of an instrument and will be sent whenever a instrument’s trading status changes.
  • Gap Request Proxy (GRP) message is used to request delivery of the missed sequenced data by establishing TCP connection to a multicast PITCH GRP port.
  • The SPIN server allows participants to connect via TCP and receive a snapshot of inside book and symbols with limited trading conditions on that unit. This is for the purpose of requesting the current CFE book in the middle of the trading session.
  • Settlement prices will be disseminated for each futures product as soon as they are available. There will be no wait until settlement prices for all products are calculated.


The following is a description of how prices flow through the TT Gateway.

  • The Price Server reads the [PriceServer] section of the hostinfo.cfg
  • The Price Server connects via TCP/IP to the CFE Host.
  • The Price Server receives the product data from the CFE Host.
  • The Price Server receives prices for all products available.
  • The CFE Host sends the next available market price update to the Price Server.
  • The Price Server broadcasts market data for subscribed products on the multicast group set in Guardian’s Daemon Setup dialog box.

Price Server Data Flow

The following is a description of the price feed connection process from the Price Server to the exchange.

  • The Price Server reads hostinfo.cfg to determine connectivity data.
  • The Price Server requests instrument definitions data for available products. Once complete, the Price Server forwards the data to Guardian and populates the Product Table.
  • The exchange sends the requested price information to the Price Server. Every price message from CFE has a sequence number.
  • The Price Server begins broadcasting price updates using the TTM multicast group as set in Guardian.
  • In real time, the Price Server records the price structure for each contract held in RAM on the CFE Gateway.
  • If any products or strategies are added intra-day, the CFE Gateway makes the contracts for these instruments available for trading.

Threshold Prices

The Price Server publishes the lower and upper threshold prices that are provided by the exchange for each downloaded instrument definition. In the X_TRADER® Market Grid, the lower threshold price is displayed in the ThrshBid column and the upper threshold price is displayed in the ThrshAsk column for each contract provided by the Price Server.

Verifying Product Table Settings

You can use the override function in the product table to display the Setup Product Table Items dialog box and review these settings. For the CFE Gateway, all items should be under Administrator control, except for Currency, which is Exchange-controlled.

To verify Guardian Product Table Settings:

  1. Open Guardian.
  2. Click File, then click Admin Login from the drop down menu to login as an Administrator.
  3. Click Admin, then click Product Table Setup.
  4. In the Exchange list click the drop-down menu icon and select a CFE Gateway.
  5. Click Override.
  6. In the Setup Product Table Items dialog box that is displayed, verify that only the “Currency” item is listed in the Exchange column.
  7. Verify that the following items are listed in the Administrator column, and click OK:
    • Alias
    • Base Tick
    • Description
    • Margin
    • Point Value
    • Price Format
    • Round Lot
    • Tick Table
  8. Verify that the “Currency” item is listed in the Exchange column, and click OK.
  9. If any changes were made, click Publish.

pMerge Overview

The CFE Gateway installs with the pMerge executable. During installation, this executable runs automatically to set up and configure the product tables that the TT Gateway uses. Additionally, when you upgrade a CFE Gateway, pMerge.exe runs automatically to merge pre-existing product tables with any new product tables distributed with the latest TT Gateway software.The only time you must use pMerge manually is if TT distributes updated product information in a customer advisory. TT distributes this product information in a file named pMerge.exe.


If you run pMerge as part of receiving an updated CFE.pmg from a Customer Advisory, TT recommends running it during non-trading hours; the Price Server has to be stopped and restarted in order to see the new product table changes.

You can run pMerge in two different ways:

  • From Window Explorer
  • From the Command Window

To run pMerge from Windows Explorer:

  1. In Windows Explorer, navigate to <root drive>:ttbin
  2. Double-click pMerge.exe

    The Open Guardian product table merge file dialog box appears.

  3. Navigate to <root drive>:ttconfig
  4. Double-click CFE.pmg

    pMerge creates the new product table. After pMerge completes its tasks, the pMerge status bar displays Finished.

  5. Close the pMerge status bar.

To run pMerge in the Command Window:

  1. Open a Command Window.
  2. At the command line prompt, run pMerge using the following syntax:

    pmerge [<root drive>:ttconfigCFE.pmg -e exchange-flavor [-q | -v]]

    • pmerge: Runs the pMerge.exe file. If you do not include additional arguments, this command opens the Open Guardian product table merge file dialog box. Refer to the procedure called To run pMerge from Windows Explorer.
    • -e exchange-flavor: Sets the Exchange-Flavor of the TT Gateway whose product table pMerge updates.
    • -q: Sets pMerge to run in quiet mode. pMerge does not output informative text in the Command Window when it runs.
    • -v: Sets pMerge to run in verbose mode. pMerge outputs informative text in the Command Window when it runs.

    pMerge creates the new product table. After pMerge completes its tasks, the pMerge status bar displays Finished.

  3. Close the pMerge status bar.