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Market Price Feed Documentation


Market Price Feed (MPF) Description

Market Price Feed (MPF) setup allows you to configure your TT Trading System to decouple (i.e., off load) much of the price functionality from your TT Gateways of a particular market onto a separate TT server.

When you use MPF in your system, product and contract downloads, price subscription requests, and price updates flow differently between TT client and server applications. For details, refer to MPF Data Flow.

Using MPF, you can configure one TT Gateway to provide prices to client applications and then configure additional TT Gateways to provide clients with order and fill connectivity. TT Gateways that supply only order and fill data must host a server component called the Price Proxy.

The remainder of the manual uses the following terminology:

  • MPF Server: a TT Gateway that runs the only active Price Server for a particular market in the MPF environment. The MPF Server is the only machine that connects to the exchange for product, contract, and price data.
  • Mapped TT Gateway: a TT Gateway that processes order and fill data in the MPF architecture. Mapped TT Gateways connect to the exchange for order and fill sessions and connect to the MPF Server using the Price Proxy for the price session (product, contract, and price data).

Benefits of the MPF Environment

By acting as a single price feed, the MPF architecture provides a highly scalable solution for distributing market data within a trading environment. Ongoing enhancements to the MPF architecture will continue to increase this level of scalability.

As an additional benefit, users may notice improved CPU and memory usage on mapped Gateways. However, due to exchange transaction restrictions and architecture, you may not notice significant changes to order and fill server performance.

Administrators who configure the MPF architecture can obtain the following benefits:

  • Lower bandwidth usage: on any network segment, only one MPF Server per market broadcasts price data via multicast, instead of each TT Gateway; thus prices travel the network only once.
  • Dedicated Order and Fill resources: mapped TT Gateways can dedicate machine resources to order and fill activity. Such dedication results in decreased CPU usage and higher throughput.
  • Transparency of architecture: MPF architecture is transparent to TT client applications. Client applications notice no difference between the standard TT architecture and the MPF setup.
  • Enhanced scalability: a single MPF Server provides market data to a greater number of traders compared to the standard TT architecture.
  • Enhanced disaster recovery: for further details, refer to Funneled Price API Connections and Disaster Recovery.

MPF Requirements

To use the MPF architecture:

  • You must install a Price Proxy on all mapped TT Gateways. The Price Proxy replaces the active Price Server on mapped TT Gateways, functioning as a virtual Price Server.
  • You do not need to configure aconfig.xml or aconfig_local.xml with mapping information. Instead, you configure a file on the mapped TT Gateway called priceproxy.ini, which installs with the Price Proxy executable.

    You still need to supply the aconfig.xml during installation of Price Proxy.

  • Clients and servers must support the MPF architecture. For a list of supported products, refer to .
  • All client applications must connect to the Price Proxy on the mapped TT Gateway. Price session requests are also made through the Price Proxy on the mapped TT Gateway.

Funneled Price API Connections and Disaster Recovery

Because the MPF architecture funnels client Price API connections through mapped TT Gateways, the MPF Server hosts only as many Price API connections as there are mapped TT Gateways. Likewise, each TT Gateway hosts the Price API connections of only those client applications that connect to that particular TT Gateway. This Price API funnel effect is unique to the MPF architecture.

This structure ensures faster disaster recovery by minimizing the number of Price API connections to the MPF Server. When recovering from a large-scale system failure:

  • All client applications reconnect to the mapped TT Gateway into which they originally logged.
  • The mapped TT Gateways create new Price API connections to the MPF Server.

Thus, when recovering from such a failure, the MPF Server only needs to process as many Price API connections as there are mapped TT Gateways.

Manual Settlement Publishing

In an MPF environment, X_RISK clients can only manually publish settlements when directly logged onto the MPF Price Server.