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 the Order Server and Order Routers
Adding [order_session_#] sections
If you need to configure additional order sessions, for each session you must:
- Add a [order_session_#] section with a unique set of connection information.
- This information includes Member, PrimaryIP, and CTI/Origin mapping.
To add a new [order_session_#] section:
- Open hostinfo.cfg.
- Add the new [order_session_#] section.
- Add all new trader login IDs to the Windows User Authentication System (WUAS) on the TT Gateway or Domain Controller.
- Verify that the Price Server is running. If it is not running, start it. Refer to in the topics listed under Configuring Global Settings
- Stop and restart the Order Server on the CME Gateway.
- After restarting the Order Server, have a trader log into the CME Gateway using the Member of the new section that you added.
- In Guardian, using the View Status function, you can see an Order Router appear listing the new connection.
Although the TT Gateway uses Order Routers, they run as threads within the Order Server and not as separate processes on the TT Gateway. You must configure each Order Router’s connection to the CME Group.
You can map multiple memberships to the same Order Router. If you expect to generate a high volume of traders, TT recommends that you configure multiple [order_session_#] sections, each with a unique set of information (obtained from the CME Group). Generally, TT recommends that each session support no more than an average of 5 transactions per second.
On a CME Gateway:
- ttchron.ini does not contain an Order Router section.
- Each order session must have its own section in the hostinfo.cfg file called [order_session_#]. This section configures the Order Router that hosts the session.
- Guardian displays individual Order Routers and their status for a specified CME Gateway when you use Guardian’s administrative function called View Status.
For further information on Order Routers and their behavior, refer to the topics listed under Disaster Recovery
Multi-Member Order Routers
To configure an Order Router to support multiple memberships:
- The customer must contact the CME Group and have the exchange enable this functionality.
- For all multi-member Order Routers, CME Group must distribute the appropriate SessionId and all FirmID values for use by each order session.
- The CME Group maps traders on their end according to the SessionID and the TT Trader ID. Thus, to complete multi-member setup, you may have to furnish this data (TT Trader IDs) to the CME Group.
- To set up the multi-member Order Router (i.e., the [order_session_#] section), use the SessionID and MemberID of one of the memberships that are assigned to the multi-member Order Router.
There is no additional change to trader setup (i.e., risk parameter configuration). All traders must have their Trader IDs in the WUAS on the TT Gateway (or Domain Controller) and be set up in Guardian to trade.
Order Router Determination 7.14.x
Some customers have traders that use a Member ID (SessionIdFirmId concatenation) which does not match the member parameter of an order session in the CME Gateway’s hostinfo.cfg file.
Whenever the Order Server receives an order, it uses the following logic to determine where to route the order:
- If the trader’s Member ID matches the member parameter in a [order_session_#] section, the trader is routed through that same Order Router. This is the normal operation.
- The Order Server compares the first X characters of the order’s associated Member ID.
- If the first X characters of the Member ID match the first X characters of the member parameter in a [order_session_#] section, the order is routed through that same Order Router.
- If multiple [order_session_#] sections have the same X characters, the Order Server randomly assigns the order to one of these Order Routers.
- If the first X characters of the Member ID do not match the first X characters of the member parameter in a [order_session_#] section, the Order Server rejects the order.
Order Session Identification
TT Gateways 7.16 and higher contain an enhancement that displays the exchange credential used to route all orders and fills through the exchange. This includes all order modifications and exchange rejects but does not include orders actions on Hold orders and position reserve orders.
Currently, this value is available in the following locations:
- Audit logs: appears in the ExchangeCredentials column
- Order Server logfile
- FIX Adapter 7.8: via Tag 18216 (ExchCred)
The exchange credential will be available in future versions of other TT client applications.
To provide users a way to identify which order session routed a particular order on a CME Gateway, the order session is identified by the Member ID (SessionIdFirmId concatenation) configured in hostinfo.cfg. The session identification appears on orders and fills for all order actions (add, modify, cancel) routed to the exchange. If the gateway rejects an order action, the session is not identified.
Maximum Supported Order Sessions
TT currently supports up to 100 separate order sessions on each CME Gateway 7.16. Internal testing shows that this amount of order sessions supports the optimal performance during continuous operation and periods of heavy order entry.
TT recommends users work with their Technical Account Manager (TAM) to accurately load balance traders across multiple order sessions.
Configuring the Order Server Start Parameter
You can configure a start parameter when starting the Order Server via the Services dialog box. Currently, the CME Gateway supports the following parameter:
This parameter enables the Order Server to reset the sequence numbers for all or specific iLink Order Sessions on the CME Gateway.
|NOTE: A space is required between -r and the parameter settings (e.g., -r all)|