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
Gateway Files 7.14.x
The following list details files that are used specifically by the CME Gateway. For a list and description of general TT Gateway files, refer to Chapter 3, “TT Gateway Configuration and Setup” in the TT Gateway Architecture SAM Version 7.X.The files are divided into three types: configuration (.cfg or.ini), log (.log), and miscellaneous (.tbl and .dat). Due to space constraints, throughout the table, the following conventions are used:
- * is the exchange name selected during the installation of the TT Gateway
- SessionID is the SessionId assigned to the particular Order Router that generates the file
- MemberID is the MemberId assigned to the particular Order Router that generates the file
- time consists of HHMMSS, where HH is the two-digit hour, MM is the two-digit minute, and SS is the two-digit second
- mode is either PROD (if the mode of the TT Gateway is set for production) or SIM (if the mode is set for simulation)
- X signifies <root drive>
- # is a variable integer.
Gateway Files Table
TT MDP Listen executable
TT FAST Listen executable
|Stores the customer’s connection information for the Price and Order Server|
Refer to the section called FIX Log File
Order Server log file
Price Server log file
|Fill Server file.|
An empty shell file.
The Order Server uses these files to track and manage its orders.
Refer to the section called Order and Trade Book Files
Tracks trader logins, outgoing orders, and order responses that the exchange sends back to the TT Gateway. This file includes timestamps with each event
The TT Gateway may have one or more of these XML files. The Order Server uses these files to track and manage FIX messages for a particular order session.
Used by the price server to continue calculating VAP for TTQAP-subscribed products after a startup.
Batch file that automates the mdplisten command
FIX Log File
During operation, the FIX engine within the Order Server generates a unique logfile for all FIX messaging (including heartbeats) sent between an Order Router on the TT Gateway and the CME Group host. Because the Order Server generates a log file for each Order Router, the filename of each log file contains the unique Member ID assigned to the Order Router in the hostinfo.cfg file. The timestamps on each message in the FIX log are in local time.
The FIX log files are created in the <root drive>:ttlogfiles directory and uses the naming convention:
Exchange-flavor_MemberID_Send-Recv_date.log, where MemberID is the Member ID assigned in the Order Router section in hostinfo.cfg. For CME Gateway 7.15.0 or higher, the name of the FIX log file shows the mode of the gateway and that the TargetCompID FIX tag is populated as “CME”. The unique MemberID is sent as the SenderCompID FIX tag and this is also reflected in the logfile name.
Whenever the Order Router sends or receives a FIX message, it writes the entire message to the Exchange-flavor_MemberID_Send-Recv_date.log file.
Order and Trade Book Files
The Order Server uses several files to help manage and track all orders and fills that pass through the CME Gateway. The Order Server reads these files to memory and updates them whenever orders or fills are received. The TT Gateway stores these files in <root drive>:ttdatfiles:
- The Exchange-flavor_SessionIdMemberId_Mode_orders.tbl files record
all orders (i.e., working, filled, deleted, etc.) sent to the CME Gateway and
their status. The rest of this manual refers to these files as the orders.dat files.
If you installed a CME-C Gateway in production mode, the file’s name could be CME-C_PROD_orders.tbl.
- The Exchange-flavor_SessionIdMemberId_mode_fills.tbl file contains
a record of all fills received from the exchange for the specified session
(SessionIdMemberId). The rest of this manual refers to this file
as the fills.tbl file.
If you installed a CME-C Gateway in production mode, the file’s name is CME-C_653ABC_PROD_fills.tbl.
- The Exchange-flavor_MemberID_mode.dat file contains FIX messages and information relevant to that particular order session.
For detailed information on how the CME Gateway uses these files to reconstruct the Order and Trade Book during disaster recovery, refer to Single Gateway Failure.
X_TRADER® uses the Trade and Order book files to populate its Fill window and Order Book respectively whenever it connects to the CME Gateway.