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LSE Gateway Documentation

Understanding the Price Feed


The exchange’s High Speed Vendor Feed (HSVF) protocol provides a reliable, low latency market data service to LSE customers. Firms, trading customers, and market data vendors connect to the LSE Routing and Trading Engine servers for prices via HSVF using any of the exchange-supported TCP connectivity options.

The HSVF (High Speed Vendor Feed) offers top of the book price updates and up to five levels of aggregate market depth. The Price Server on the gateway subscribes to both channels on the HSVF feed for all LSE futures and options on futures products.

Price Server Files

During normal operation, the Price Server reads:

  • Hostinfo.cfg to determine the product data groups to which it must subscribe.
  • LSEProductGroup.cfg to obtain each group’s connectivity information (i.e., IP addresses, ports, etc.)

Also, at startup and after a product download, the Price Server reads the price data in Exchange-flavor_Mode_ttqap.dat to include previously traded contracts when calculating VAP for TTQAP-subscribed products.


The exchange sends prices with three decimal places for all front month and back month contracts. The three decimal places are provided by the HSVF price feed and forwarded to the client trading applications by the Price Server.

The following is a description of how prices flow through the TT Gateway.

  • The Price Server reads the [PriceServer] section of the hostinfo.cfg
  • The Price Server connects via TCP/IP to the exchange host.
  • The Price Server receives the product data from the exchange host via the HSVF price feed.
  • The Price Server receives prices for all products available on the HSVF price feed.
  • The exchange host sends the next available market price update to the Price Server.
  • The Price Server broadcasts market data for subscribed products on the multicast group set in Guardian’s Daemon Setup dialog box.

Price Server Data Flow

The following is a description of the price feed connection process from the Price Server to the exchange.

  • The Price Server on the LSE Gateway starts and reads hostinfo.cfg to determine which product groups to subscribe to.
  • The Price Server reads LSEProductGroup.cfg to determine connectivity data for each of the product groups specified in hostinfo.cfg.
  • The Price Server requests instrument definitions data for available products from the HSVF server. Once complete, the Price Server forwards the data to Guardian and populates the Product Table.
  • The exchange sends the requested price information to the Price Server. Every price message from the exchange has a sequence number.

    Currently, the price sequence number starts at 1 on Monday and increases by one for each price message received throughout the day. The sequence number resets back to 1 on the following trading day.

  • Each product group maintains its own sequence number.
  • The Price Server begins broadcasting price updates using the TTM multicast group as set in Guardian.
  • In real time, the Price Server records the price structure for each contract held in RAM on the LSE Gateway.
  • If any products or strategies are added intra-day, the LSE Gateway makes the contracts for these instruments available for trading.

Threshold Prices

The Price Server publishes the lower and upper threshold prices that are provided by the exchange for each downloaded instrument definition. In the X_TRADER® Market Grid, the lower threshold price is displayed in the ThrshBid column and the upper threshold price is displayed in the ThrshAsk column for each contract provided by the Price Server.

Verifying Product Table Settings

You can use the override function in the product table to display the Setup Product Table Items dialog box and review these settings. For the LSE Gateway, all items should be under Administrator control.

Customers with an MPF environment must ensure that all items are listed in the Administrator column for all MPF Price Servers and mapped Gateways.

To verify Guardian Product Table Settings:

  1. Open Guardian.
  2. Click File, then click Admin Login from the drop down menu to login as an Administrator.
  3. Click Admin, then click Product Table Setup.
  4. In the Exchange list click the drop-down menu icon and select a LSE Gateway.
  5. Click Override.
  6. In the Setup Product Table Items dialog box that is displayed, verify that no items are listed in the Exchange column.
  7. Verify that the following items are listed in the Administrator column, and click OK:
    • Alias
    • Base Tick
    • Currency
    • Description
    • Margin
    • Point Value
    • Price Format
    • Round Lot
    • Tick Table
  8. If any changes were made, click Publish.

pMerge Overview

The LSE Gateway installs with the pMerge executable. During installation, this executable runs automatically to set up and configure the product tables that the TT Gateway uses.

Additionally, when you upgrade an LSE Gateway, pMerge.exe runs automatically to merge pre-existing product tables with any new product tables distributed with the latest TT Gateway software.The only time you must use pMerge manually is if TT distributes updated product information in a customer advisory. TT distributes this product information in a file named pMerge.exe.


If you run pMerge as part of receiving an updated LSE.pmg from a Customer Advisory, TT recommends running it during non-trading hours; the Price Server has to be stopped and restarted in order to see the new product table changes.

You can run pMerge in two different ways:

  • From Window Explorer
  • From the Command Window

To run pMerge from Windows Explorer:

  1. In Windows Explorer, navigate to <root drive>:ttbin
  2. Double-click pMerge.exe

    The Open Guardian product table merge file dialog box appears.

  3. Navigate to <root drive>:ttconfig
  4. Double-click LSE.pmg

    pMerge creates the new product table. After pMerge completes its tasks, the pMerge status bar displays Finished.

  5. Close the pMerge status bar.

To run pMerge in the Command Window:

  1. Open a Command Window.
  2. At the command line prompt, run pMerge using the following syntax:

    pMerge [<root drive>:ttconfigLSE -e exchange-flavor [-q | -v]]

    • pmerge: Runs the pMerge.exe file. If you do not include additional arguments, this command opens the Open Guardian product table merge file dialog box. Refer to .
    • -e exchange-flavor: Sets the exchange-flavor of the TT Gateway whose product table pMerge updates.
    • -q: Sets pMerge to run in quiet mode. pMerge does not output informative text in the Command Window when it runs.
    • -v: Sets pMerge to run in verbose mode. pMerge outputs informative text in the Command Window when it runs.

    pMerge creates the new product table. After pMerge completes its tasks, the pMerge status bar displays Finished.

  3. Close the pMerge status bar.

Sequence Numbers

The incremental market data feed generated by the HSVF platform resets the message sequence numbers on a daily basis.

Strategy Creation


In the applicable OrderServerSession_# section of hostinfo.cfg, make sure that your product group settings apply to the correct session ID (User ID), otherwise, the UDS (FLEXCO) strategy creation requests will fail.

The LSE Gateway supports creating User-Defined Strategies, which are the FLEXCO strategies for LSE and IDEM. If other market participants create and add strategies intra-day, the LSE Gateway processes these strategies in real-time and makes the contracts for these instruments available for trading.

User-Defined Strategies and exchange-listed strategies with at least one option leg are displayed under the STRATEGY product type in the X_TRADER® Market Explorer.

FLEXCO limitations for LSE:

  • The maximum number of FLEXCO legs is “two”.
  • FLEXCO can be created for option contracts only.

FLEXCO limitations for IDEM:

  • The maximum number of FLEXCO legs is “two”.
  • Series within the same FLEXCO order must have the same contract size.
  • FLEXCO is not allowed on index futures.