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eSpeed Gateway Documentation

Understanding the Price Feed

Price Server - Multicast ITCH

TT eSpeed Gateway 7.17.79 and higher supports Nasdaq Fixed Income Treasury ITCH, which is a direct data feed product . The ITCH feed contains data describing all public orders and trades that occur on the Nasdaq Fixed Income (NFI) US Treasury alternative trading system (ATS or System) and features the following data elements:  
  • Reference Data – Order book directory messages provide basic security data such as CUSIP, maturity, and coupon rate.  
  • Event controls – such as start of day, end of day and market holidays  
  • Order level messages – full order book depth is published through a series of order messages to track the lifecycle of each customer order.  
  • Trade messages – trade messages will be used to show traded size for discretion and reserve traded size.
 

Price Server - GLIMPSE

 GLIMPSE is complement to NFI UST ITCH real-time data feed product, GLIMPSE is a point-to-point data feed connection that provides direct data feed customers with a snapshot of the current state of NFI order books. GLIMPSE 3.0 uses the same message formats as NFI-USTs ITCH version 3. GLIMPSE can be used to quickly sync up with the NFI-UST ITCH feed. At the end of the GLIMPSE snapshot it will provide a sequence number that can be used to connect and sync up with the real-time NFI-UST ITCH feed.  GLIMPSE provides the following:
  • Basic Reference Data for each order book including intra-day updates up until the time of login.
  • Current trading state of each order book.
  • All displayable orders for each order book.
  • An End of Snapshot message providing the ITCH sequence number to use.

Price Feed Behavior

eSpeed Gateways connect to the exchange via two separate protocols for market data:

  • Real-time market data: the gateway receives all real-time market data via the exchange-provided multicast feed. This connection is automatically configured via the MulticastGroups.cfg file and does not require user intervention.
  • Initial Product Subscriptions: the gateway creates a TCP connection with the exchange to receive all initial product and contract data. in addition to the connection IP and port assignments. users must configure the hostinfo.cfg file with the exchange-provided SenderSubID, SenderCompID, and Password.

Prices Server Data Flow

The following describes the data flow of the Price Feed connection from the Price Server on the eSpeed Gateway to the exchange.

  • The Price Server starts and reads configuration values from the aconfig.xml file.
  • The Price Server on the eSpeed Gateway starts and queries the hostinfo.cfg file for connection information and configuration values.
  • The Price Server reads the Multicast.cfg file and multicast connection values.
  • The Price Server creates the connection to eSpeed Gateway and downloads contract definitions.
  • After receiving all products from eSpeed Gateway, the Price Server sends the product table to Guardian.
  • The Price Server receives user logins.
  • The Price Server begins multicasting Market Depth and price updates received from the exchange.

Price Server Log File

At startup, the Price Server creates a Price Server logfile named Exchange-Flavor_Mode_PriceServer_Date.log in the <root drive>:ttlogfiles directory where:

  • Exchange-Flavor equals the gateway name chosen at install (e.g., TFX-B).
  • Mode equals the trading environment: PROD (Production) or SIM (Simulation).

The Price Server adds a new entry for each action, including initialization behavior, logins, configuration values, and contract definitions. You can use the Price Server logfile to aid in diagnosing problems related to market data.

MulticastGroups.cfg File

The MulticastGroups.cfg file contains connection information to receive market data.

Warning

This additional configuration file aids in managing price data; however, it does not require manual updates. Do not edit this configuration file unless instructed by TT to do so.

Example Example MulticastGroups.cfg File

[30YR]

ChannelNumber=1

AddressFeedA=239.xxx.xx.xx:xxxxx

AddressFeedB=239.xxx.xx.xx:xxxxx

[2YR]

ChannelNumber=2

AddressFeedA=239.xxx.xx.xx:xxxxx

AddressFeedB=239.xxx.xx.xx:xxxxx

[7/10YR]

ChannelNumber=3

AddressFeedA=239.xxx.xx.xx:xxxxx

AddressFeedB=239.xxx.xx.xx:xxxxx

[5YR]

ChannelNumber=4

AddressFeedA=239.xxx.xx.xx:xxxxx

AddressFeedB=239.xxx.xx.xx:xxxxx