CME Gateway Documentation
- TT Gateway And The Exchange
- Installing And Upgrading
- Configuring Global Settings
Configuring Market Data
- Understanding the Price Feed
- Configuring the Price Server Connection
- FIX/FAST Configuration
- Number of Orders at Price
- Configuring Product Subscriptions
- Configuring Total Traded Quantity at Price (VAP)
- Configuring Product Group Subscriptions
- Support for User-Defined Strategies
- Support for BM&FBOVESPA Products
- Support For NYMEX Variable Quantity Energy Products
- Support For DME Products
- Support For Inter-Exchange Spread Products
- Support for Bursa Malaysia Products
- Support for CME Europe Products
Configuring Order Management
- Understanding Order Management
- Configuring the Order Server and Order Routers
- TT Gateway Support for Mandatory iLink Tags
- Upgrade Tasks to Support Mandatory iLink Tags
- Self Match Prevention Support 7.18
- Self Match Prevention Support
- Supported Order Types
- ATS Operator ID Support
- Market Segment Gateways
- CME Globex Secure Logon Support
- Support of Post-Trade Functionality
- Support for Cross Orders
- Configuration Parameters
- Market Segment Gateways: Phase 2
- Disaster Recovery
Configuring Product Subscriptions
Product subscriptions are configured on the CME Gateway by enabling subjects (product data) in the hostinfo.cfg file. The FIX/FAST channel and connectivity information for each product is defined in fast.cfg, which is not configurable. This section describes how to enable subjects and provides guidelines for optimizing gateway performance when configuring product subscriptions.
The FASTSubject parameters in the [price_session] section of hostinfo.cfg are used for subscribing to FIX/FAST channels.
For more information about the sections and parameters in hostinfo.cfg, refer to the topics listed under Configuration Parameters.
Recommendations for Optimal Performance
For CME Gateway Version 7.12.3 or higher, the Price Server allows subscription to any combination of channels as long as the limit of 14 FIX/FAST channels is not exceeded. This limit also applies to MPF Price Servers in an MPF2 environment.
As a reminder, the channel limit is in place to ensure Gateway performance. Internal testing at TT has shown that, for extremely performance-sensitive customers, the number of channels enabled on the CME Gateway should be kept well below the 14 channel maximum. Please work with your local TAM to determine the optimal configuration based on your trading style and volume.
When optimizing Gateway performance, the level of activity on each channel also needs to be considered. Currently, the following channels experience the most volume, so TT strongly recommends not combining these channels on a single gateway:
- Channel 9: CME Globex Interest Rate Futures (*_IR_FUTURES)
- Channel 30: NYMEX Crude Futures (*_OIL_GASOLINE_IPORT)
The recommendations in this section are based on testing results and historical subscription data. Please work with your local TAM to determine the optimal configuration based on your trading style and volume.
Enabling Subjects in HostInfo.cfg
If the CME Gateway subscribes to more than 14 FIX/FAST channels, the Price Server logs an error message and displays as Exchange Feed Down(half red, half green) in Guardian. If this occurs, you will need to adjust the number of subject parameters enabled in the [price_session] section in hostinfo.cfg and restart the Price Server.
A sample error message is shown in the following example (where “Y” equals the number of channels currently enabled on the CME Gateway):
|| INFO | 00000000 | price_session | Price Server Shutting Down: | INFO | 00000000 | price_session | For performance concerns the Price Server cannot load more than 14 channels.| INFO | 00000000 | price_session | Y channels were enabled in hostinfo.cfg.|
To enable subjects in the hostinfo.cfg file
- In Windows Explorer, navigate to <root drive>:ttconfig.
- Using Notepad, open the hostinfo.cfg file.
- In the [price_session] section,
enable or add each FASTSubject parameter:
- To subscribe to a FIX/FAST channel, remove the # sign from in front of the corresponding FASTSubject parameter.
- When adding a FASTSubject parameter, the parameter number must be incremented by “1” (e.g., if the last FASTSubject parameter is FASTSubject17=<Subject>, you should add the next line as FASTSubject18=<Subject>).
- Ensure each parameter is on its own line in the [price_session] section
- Review the updated FASTSubject list and ensure that the value of ‘#’ in each FASTSubject#= parameter is sequential and does not contain a duplicate number.
- On the File menu, click Save.
- Close hostinfo.cfg.