Market Price Feed Documentation
- Market Price Feed (MPF) Description
- MPF Architecture
- System Configuration
Product Splitting Order Server Consolidation
- Product Splitting / Order Server Consolidation Description
- Network Diagrams
- Configuring the MPF Price Server for Product Splitting
- Configuring a Mapped TT Gateway for Product Splitting
- Configuring a Standalone Price Proxy for Product Splitting
- Migrating an MPF Environment to Support Product Splitting
Configuring a Standalone Price Proxy
If installing Price Proxy on MPF mapped TT Gateways, refer to Configuring the Mapped TT Gateway.
If installing Price Proxy on a standalone server, you must perform the following tasks on the Price Proxy server to complete the setup:
- Identify the Price Proxy Windows service name. You need this name to configure ttchron.ini and priceproxy.ini.
- Configure the priceproxy.ini file to match the standalone Price Proxy type.
- In ttchron.ini, create a Price Proxy section and set restart times.
In addition, you must perform the following tasks on each MPF mapped TT Gateway:
Types of Standalone Price Proxy
TT currently supports different types of standalone Price Proxy servers:
- Single instance: supports multiple exchange flavors of the same market.
- Multiple instance: supports multiple exchange flavors of the same market.
Identifying the Standalone Price Proxy Service Name
The Price Proxy service name always equals the name entered during installation appended with the _PriceProxy string. Use the following procedure to verify the service name.
To identify the standalone Price Proxy service name:
- From the Start menu, point to Control Panel, then
point to Administrative Tasks,
and then click Services.
The Services dialog box appears.
- On the right-side of the Services dialog box,
in the Services (Local) list, locate
the Price Proxy service.
- The Price Proxy service always begins with TT in the Name column.
- The Price Proxy service Description equals the Service Description entered during the installation.
- Right-click the Price Proxy service, and click Properties.
The Service Properties (Local Computer) dialog box appears.
In the General tab, Service name displays the name of the Price Proxy service.
In the example below, the Price Proxy Service name is CME_1_PriceProxy.
- Write down the Price Proxy service name.
- To close the Service Properties dialog box, click Cancel.
- Close the Services dialog box.
To configure the priceproxy.ini file, you must set the following parameters:
- [Name]: Set the name of the section in priceproxy.ini to the Price Proxy service name.
- MPF_Server: Set this parameter to the exchange-flavor of the target MPF Server(s).
- heartbeat_as: Set this parameter to the exchange-flavor of each mapped TT Gateway. This can be a single flavor or a list of multiple flavors within the same market.
- depth_snapshot_delay_msecs: Sets the market depth snapshot delay in milliseconds.
- im_snapshot_delay_msecs: Sets the inside market snapshot delay in milliseconds.
For further details on priceproxy.ini, its parameters, and on the snapshot delays, refer to Configuring the priceproxy.ini File.
All parameters and their values in priceproxy.ini are sensitive to case.
To configure the priceproxy.ini file:
- Using a text editor, open priceproxy.ini located
in <root drive>:ttconfig.
The parameters that you need to configure are at the end of the file.
- Set [Name] to the Price Proxy service name.
- Set MPF_Server to the exchange-flavor of the target MPF Server(s).
- Set heartbeat_as to the exchange-flavor of the mapped TT Gateway(s).
- If you want to use a market depth delay other than 20 milliseconds, set the new delay in the depth_snapshot_delay_msecs parameter.
- If you want to use an inside market depth delay other than 20 milliseconds, set the new delay in the im_snapshot_delay_msecs parameter.
- If configuring a multiple instance server, repeat steps 2-6 for each installed Price Proxy. For more information, refer to Configuring a Multiple Instance Price Proxy.
- On the File menu, click Save.
- Close the priceproxy.ini file.
Configuring a Single Instance Price Proxy to a Single MPF Server
A single instance of Price Proxy may support single or multiple exchange flavors of the same market.
In the priceproxy.ini file on the Price Proxy machine, configure the following by replacing the example gateway flavors to match the actual trading environment:
- Set MPF_Server=CME-Z
- Set Heartbeat_as=CME-A,
Example Priceproxy.ini for a Single Instance Server
Customer ABC installs a Price Proxy as a single-instance standalone server with the name CME_1_PriceProxy and maps it to their TT CME-Z Gateway, which functions as the MPF Server. In addition, they configure their TT CME-A and TT CME-B Gateways by disabling the Price Servers. They configure the priceproxy.ini file on their standalone Price Proxy server with the following settings:
Configuring a Multiple Instance Price Proxy
A multiple instance Price Proxy supports multiple exchange flavors of the same market.
In this type of environment, if the standalone Price Proxy server fails, all trading on the Mapped Gateways used by that instance of Price Proxy ceases.
You can create multiple instances of Price Proxy during the initial installation. To add instances of Price Proxy on an existing server, simply re-run the installation package. The Define Proxy Server dialog box populates with the existing Price Proxy servers and allows you to add additional instances.
After installing, configure the priceproxy.ini file as shown below:
- In the priceproxy.ini file, create a unique [Name] section for each instance where [Name] equals the Service Name created during installation.
- In the each [Name] section, configure
the following parameters by replacing the example gateway flavors
to match the actual trading environment:
- Set MPF_Server=CME-Z
- Set Heartbeat_as=CME-A
Map each Price Proxy instance to a unique MPF server.
- Ensure that each unique MPF server subscribes to the same products as the mapped TT Gateways listed in this section.
Example Priceproxy.ini for a Multiple Instance Server
Customer ABC creates the following network configuration:
To support this environment, they install three instances of Price Proxy on a standalone server and configure the following in the priceproxy.ini file:
Configuring the Price Proxy section in ttchron.ini
To configure ttchron.ini for a standalone Price Proxy server, create a Price Proxy section and configure the Price Proxy to run on the same operating schedule (i.e., time and holidays) as the Price Server on the MPF Server. Additionally, set the Price Proxy run times as described in this section.
To configure the Price Proxy in ttchron.ini:
- Identify the run times, dates,
schedules, and holidays for the Price Server on the MPF Server,
and identify the start time for the Order Server.
You will use this information when adding the Price Proxy section to ttchron.ini on the mapped TT Gateway.
- Using a text editor, open ttchron.ini, which is located in <root drive>:ttconfig.
- In the ttchron.ini create
the following entry:
[win32-svc-NAME], where NAME is the Price Proxy service name.
For details on how to identify the Price Proxy service name, refer to Identifying the Price Proxy Service Name.
- Configure the Price Proxy run times as described
- CME and CBOT Gateways: Configure the Price Proxy to start five minutes before the Order Server. Failure to do so can result in problems with Spread Leg fills.
- Other TT Gateways: The Price Proxy may be configured with the same run times as the Price Server to which this Price Proxy connects (i.e., on the MPF Server).
- On the File menu, click Save, and then close ttchron.ini.