ICE Gateway Documentation
- ICE Gateway And The Exchange
- Installing And Upgrading
- Configuring Global Settings
-
Configuring Market Data
- Understanding the Price Feed
- Configuring Price Server Connection
- Configuring Support for ICE iMpact Multicast Feed
- Number of Orders at Price
- Support for Market Depth
- Calculating Volume at Price
- Configuring Product Subscriptions
- Support for Logical Codes (Short Symbols)
- Support for Settlement Prices
- Support for User-Defined Strategies
- Support for Implied Prices
- Support for Spread Prices
- Trading Heating Oil/Gas Oil (HO-GO) Spreads
- Trading ICE Heat Rate Spreads
- Support for Options on Futures
- PFX Market Data
- Configuring Order Management
- Disaster Recovery
- Troubleshooting
- Configuration Parameters
- Market Type IDs
Gateway Behavior
Price Server Behavior
The following lists the default Price Server behaviors and possible configuration options:
- Last Traded Quantity: By default, last traded quantity
does not include system generated prices (i.e., spread trades).
This provides a more accurate picture of actual market activity.
You can configure Last Traded Quantity and Volume at Price calculations using the SystemPricedLegForLTP and IncludeSystemPriceLegsInVap parameters in the hostinfo.cfg file.
- Settlements: The Price Server publishes settlement prices
immediately upon receipt.
You can configure the Price Server to hold settlements until market close by setting Settlement=1 in the hostinfo.cfg file.
- Market Depth: By default, ICE Gateways forward 5 levels
of aggregate depth to client applications. ICE Gateways do not support
detailed depth.
You can restrict the levels of depth using the NumDepthLevels parameter in the Aconfig.xml file.
- Spreads: ICE Gateways offer full support of the Exchange’s
spread products that trade in 1 to 1 ratios.
To trade ICE Ho-Go spreads and IPE Gas Oil Crack products, you must properly configure the [SpreadRatios] section in the hostinfo.cfg file.
- Market Data Buffering: The Price Server receives price
updates as they occur.
You can configure the ICE Gateway to buffer market data in 10ms intervals and use less bandwidth by setting MarketDataBuffering=Y in the hostinfo.cfg file. Changing this setting may increase price latency.