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
- Configuration Parameters
- Market Type IDs
Support for User-Defined Strategies
The ICE Gateway supports creating a User-Defined Strategy (UDS) using the client trading application.
The ICE Gateway supports creating two basic UDS types: Covered andCombo.
- Covered: A strategy where options and futures are traded as a spread. These strategies require a futures contract price and delta. The legs of the spread also can be spreads or exchange-defined and user-defined strategies.
- Combo: Any options spread where the legs are a combination of outright options, exchange-defined options strategies, or listed user-defined options strategies.
Data Flow for Creating a UDS
The following is a sample data flow for creating a Covered or Combo UDS using X_TRADER®:
- For a Covered UDS creation request, X_TRADER® sends a Strategy Type of Covered to the Order Server. A message for the request is logged in the Audit Trail.
- For a Combo UDS creation request, X_TRADER® sends a Strategy Type of “Combo” to the Order Server. A message for the request is logged in the Audit Trail.
- For a Combo or Covered UDS the Order Server validates the request and forwards it to the exchange, then sends a message to X_TRADER® indicating the request has been sent. If the Order Server denies the request, it logs a failure message in the Audit Trail in X_TRADER® explaining the reason for the rejection.
- The exchange accepts or rejects the UDS creation request
and sends the corresponding message to the Order Server. Some examples
of why the exchange rejects a request are:
- The strategy already exists.
- The content or format of the creation request message was incorrect.
- The underlying products are not available for trading, or the market is closed.
- The Order Server logs a message in the Audit Trail in X_TRADER® indicating whether the Combo or Covered strategy was accepted or rejected by the exchange.
- The Price Server creates the Combo or Covered UDS contract and makes it available for trading and quoting.