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
Configuring Order and Fill Server Connection
The [OrderSession#] section configures the connection information for the FIX order session. Additional sections configure an Order Router on the ICE Gateway to host multiple ICE memberships. For each additional order session that the Order Server maintains, you must remove [Session] from the hostinfo.cfg and rename as [OrderSession#] section.
ICE Gateways Version 7.17 and higher support a maximum of 100 FIX Order Sessions per Order Server.
Previous versions supported a maximum of 20 FIX Order Sessions.
In Versions 7.15 and higher, the Sessions parameter may no longer be used when configuring single Order Sessions. In earlier versions of the Gateway, this parameter was available for backward compatibility.
In Versions 7.4 - 7.14.X the Sessions parameter is optional. This parameter is available for backward compatibility. For multi-session setup, the Sessions parameter should be removed. When not present, the ICE Gateway will populate with available [OrderSession#] sessions.
Commenting out a session, e.g., #OrderSession1, causes the Order Server to not start the commented out session. All other sessions will work correctly.
If commenting out a session, you must also comment out all parameters in that session. Failure to do so will result in the inability of the Price Server to restart.
You must assign each section a unique name using the # part of the name. For example, if you have two sections in your hostinfo.cfg, you could simply name them:
The first section in hostinfo.cfg does not include the # identifier.
The # part of the [OrderSession#] name must not exceed two numeric digits, e.g., [OrderSession0], [OrderSession99].
Whenever a trader submits an order, that trader’s Member ID determines which order session carries the order. The Member ID maps to the order session’s member parameter.
Each [OrderSession#] must have a unique member. If two FIX sessions are configured to use the same member, the Order Server will exit.
To establish an Order and Fill Server connection to the Exchange, you must configure the following parameters in the [OrderSession#]section of the hostinfo.cfg file:
- ExchangeIP: Sets the IP address that the ICE Gateway uses to connect the Order Server to the Exchange. Set this parameter equal to the Exchange provided connection IP address.
- ExchangePort: Sets the port that the ICE Gateway uses to connect to the Exchange. The Exchange assigns this value.
- GatewayCompany: Identifies the name of the firm that sends messages from the ICE Gateway. This field supplies the value of Tag 49 (SenderCompID) in all outbound messages for that connection.
- ExchangeCompany: Identifies the name of the Exchange host that sends messages to the ICE Gateway. This field supplies the value of Tag 56 (TargetCompID) in all inbound messages to the ICE Gateway.
Maps the Trader ID for all messages sent from the ICE Gateway to
the Exchange host. This field supplies the value of Tag 50 (SenderSubID) in all
outbound messages for that connection.
The exchange no longer provides this value. Users must create a unique value for GatewaySessionID (SenderSubID). The exchange restricts this value to a maximum of six (6) characters. The exchange recommends numeric characters however, users may use a combination of alphanumeric characters.
- SessionUserName: Sets the username used by the Order Server to connect to the Exchange for order data. Each order session requires a unique username and must include a numerical value. If this parameter does not include a numerical value, the Order Server will not start.
- SessionPassword: Sets the password used by the Order Server to connect to the Exchange for order data.
Determines which order session orders route through. ICE Gateways
match this value with the Member value of the MGT.
Each [OrderSession#] section must have a unique Member parameter. The Member parameter may not exceed 7 characters and is not needed if only one Order Session is configured.
If there is a duplicate Member parameter configured on a multi-session ICE Gateway, the Order Server will not start. This value must be unique per FIX-based Gateway.
For multi-session setup, member=DEFAULT is not allowed.