NYSE Liffe Gateway Documentation
- NYSE Liffe Gateway And The Exchange
- Installing And Upgrading
- Configuring Global Settings
Configuring Market Data
- Understanding the Price Feed
- Configuring the Price Server Connection
- PFX Support
- Price Server Files
- Tick Tables, Point Values, and Product Tables
- Support for Market Depth
- Calculating Volume at Price
- Configuring Product Subscriptions ( Exchange Data Publisher (XDP) Only)
- Support for Open, Close and Settlement Prices
- Understanding the Price Feed Optiq
- Configuring the Price Server Connection Optiq
- Price Server Files Optiq
Configuring The Order Server
- Understanding Order Management
- Clearing Environment Impact
- Order and Fill Server Files
- Configuring Order and Fill Server Connections
- Configuring Order Sessions
- Supported Order Types
- Example Case Studies: Order Session Configuration
- Example: Configuring Order Sessions
- Configuring Account Code Mapping
- Configuring Give Up Orders
- Support for Stop Orders
- Configuration Parameters
- NYSE Liffe Gateway Codes
- Wholesale Trades
- Disaster Recovery
Configuring Product Subscriptions ( Exchange Data Publisher (XDP) Only)
Initial Product Download
TT Gateways download referential data as Standing Data .xml files from the Liffe FTP server. The Standing Data files contain all product definitions related to the contracts that are available for trade.
Liffe provides access to the FTP server 24 hours a day with the latest standing data available at least 20 minutes prior to the market open.
The TT Gateway stores the Standing Data .xml files in the tt:datfiles directory and uses the following naming convention: NYSELIFFE_stdata_tradinghost_exchangecode_DDMMYY.xml where:
- Tradinghost equals fin for financials, eqt for equities or blear for Bclear instruments.
- Exchangecode equals the single-character contract code.
- DDMMYY equals the two-digit day, two-digit month, and two-digit year.
|Example Standing Data .xml filename|
For example, a standing data file for equities may have the following filename:
while the standing data file for a financials product appears as:
TT Gateways automatically downloads and extracts the contents of the Standing Data .xml file daily.
After installing a TT Gateway, you must add the exchange-provided credentials for the Standing Data FTP server to the StandingDataServer, StandingDataUser, and StandingDataPass parameters.
You must properly configure a network route to the Retransmission, Refresh and FTP Servers. This includes allowing the servers access through any firewalls, routers, and/or switches throughout your network.
Failure to do so may result in missing and/or incorrect data.
Limiting Product Subscriptions
You may configure the [PriceServer] section in the hostinfo.cfg file to limit subscribed products. Limiting the amount of subscribed products may increase overall gateway performance. To limit subscribed products, simply comment-out the particular multicast by adding a hash symbol (#) in front of the MulticastGroup# parameter as shown in the example below.
|Example Limiting Product Subscriptions|
A firm does not trade Commodity Derivatives. To increase gateway performance, the firm configures the following in the hostinfo.cfg file to stop subscriptions for the Amsterdam Underlyings:
Intra-day Product Subscriptions
Liffe provides intra-day updates to the Standing Data via the regular price feeds (i.e., Feed A and Feed B).
Liffe sends information for various products down multiple multicast groups. When splitting products across multiple TT Gateways, you must include all channels required for each product.
Users may split Liffe products into the three separate groups as shown in the table below:
Amsterdam Equity Derivatives
Amsterdam Index Futures
Amsterdam Index Options
Paris Equity Derivatives
Paris Index Futures
Paris Index Options
London Equity Derivatives
London Index Futures
London Index Options
When splitting products, failure to include all channels listed in the product groups above may result in missing market data including fills on legs of spreads.
You may configure any combination of the groups on a single gateway. For example, you can combine London and Commodity/Currency products by enabling the eight (8) related channels.
For more information related to product splitting, refer to the Market Price Feed (MPF) Feature Guide.