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 the Mapped TT Gateway
If installing Price Proxy on a standalone server, refer to Configuring a Standalone Price Proxy.
If installing Price Proxy on MPF mapped TT Gateways, you must perform the following tasks on each mapped TT Gateway 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.
- In ttchron.ini, change the Price Server section into a Price Proxy section and set restart times.
- In Windows Services Manager, disable the Price Server.
Identifying the 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 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.
- heartbeat_as: Set this parameter to the exchange-flavor of the mapped TT Gateway on which the Price Proxy runs.
- depth_snapshot_delay_msecs: Sets the market depth snapshot delay in milliseconds.
- im_snapshot_delay_msecs: Sets the inside market snapshot delay in milliseconds.
Customer ABC installs a Price Proxy on their TT CME-A Gateway with the name CME_1_PriceProxy and maps it to their TT CME-C Gateway, which functions as the MPF Server. They configure the priceproxy.ini file on their TT CME-A Gateway with the following settings:
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.
- Set heartbeat_as to the exchange-flavor of the mapped TT Gateway on which the Price Proxy runs.
- 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.
- On the File menu, click Save.
- Close the priceproxy.ini file.
Configuring the Price Proxy section in ttchron.ini
Because the Price Proxy uses the same ttchron.ini entries as the Price Server, to configure ttchron.ini simply rename the Price Server section and then 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.
- Scroll through ttchron.ini to locate
the following entry:
- Edit the first line of the entry to instead read [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.
- Close ttchron.ini.
To ensure the Start Gateway/Stop Gateway icons function correctly, set the tags parameter in the Price Proxy, Order Server, Fill Server, and Order Router sections to the same exchange-flavor (e.g., tags=CME-C).
When Price Proxy is configured to heartbeat as multiple Price Server flavors you may choose to specify all exchange flavors in the Price Proxy section (e.g., tags=CME-B, CME-C). With this setup, Price Proxy responds when either CME-B or CME-C is started or stopped through the Start Gateway / Stop Gateway icons.
Disabling the Price Server in Windows Services Manager
To disable the Price Server, you must stop and disable the server in the Services dialog box.
To disable the Price Server:
- From the Start menu, point to Administrative Tools,
and click Services.
The Services window opens.
- In the Name column, locate TT exchange-flavor Price Server.
- Right-click TT exchange-flavor Price Server.
- Click Properties.
- If the service is running, click Stop.
- In the Startup type list, click Disabled.
- Click OK.
- Close the Services window.
Deleting the HPF Folder
You must ensure that the HPF folder does not exist on your mapped gateway. This folder resides in the <root drive>:ttdatfiles directory.
On startup, the Price Server creates the HPF folder and stores session information for use by the Order Server.
In MPF environments, the HPF folder and its contents are removed after installing Price Proxy on a host machine. The Fill Server on that host maintains the session information for the Order Server.
However, if a Price Server is started on that host any time after the Price Proxy installation (e.g., on reboot, TTChron restart, etc.), the Price Server creates an HPF folder containing session information. If Price Server is later disabled and Price Proxy is started, all session data going forward will be stale, resulting in incorrect and missing fills. You must shut down all servers and manually delete the HPF folder in order to maintain accurate session data when running Price Proxy.
Following a Price Proxy installation, you must ensure that the Price Server never starts up and creates the HPF folder. If the Price Server starts, you must manually delete the HPF folder. Failure to do so can result in missing fill data.