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
Price Server Files
Price Server Log File
At startup, the Price Server creates a Price Server logfile named Exchange-Flavor_Mode_PriceServer_Date.log to the <root drive>:ttlogfiles directory where:
- Exchange-Flavor equals the gateway named chosen at install (e.g., NYSE_Liffe-B).
- Mode equals the trading environment: PROD (Production) or SIM (Simulation).
The Price Server adds a new entry for each action, including initialization behavior, logins, configuration values, and contract definitions. You can use the Price Server logfile to aid in diagnosing problems related to market data.
The XDPTemplates.xml file is an exchange-provided template file required to encode and decode the market data feed sent by the exchange. The file contains no user-configurable parameters. Any modifications to the contents of the file will result in incorrect parsing of the price feed.
The file automatically installs with the TT Gateway and may require a periodic update. By default, this file is located in the <root drive>:ttconfig directory.
To ensure that complete and accurate market data is being used on the TT Gateway, you must use the most recent version of the XDPTemplates.xml file. Failure to do so results in incorrect parsing of the price feed and ultimately bad prices.
TT provides the updated version of the file as follows:
- Clean installation: Installing the latest version of the TT Gateway provides the most recent XDPTemplates.xml file by default.
- Upgrade: When upgrading to the latest version of the gateway, the TT Gateway overwrites your existing XDPTemplates.xml file with the most recent version.
- Customer Advisory: If the exchange updates the XDPTemplates.xml file prior to a TT Gateway release, TT will issue a Customer Advisory with the most recent version. You must manually overwrite your existing file with the most current file.
Standing Data .xml File
TT Gateways download Standing Data .xml files, via the exchange's FTP server, for each subscribed product group. The exchange provides new versions of the Standing Data files daily and prior to the product open.
To avoid potential firewall impacts, users must take into account that TT Gateways establish the FTP connection in Active mode.
The Standing Data .xml files contain the initial product definition for each product available from the exchange. In addition, TT Gateways receive updated product information intra-day as part of the exchange's multicast feed.
TT Gateways include a tt_nyse_liffe_talk.exe application to manage the Standing Data files. TTChron runs the tt_nyse_liffe_talk.exe application daily which automatically overwrites the previous days' file.
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:
If the TT Gateway cannot process a particular Standing Data file, the gateway logs an error message in the Price Server logfile similar to:
Error Parsing Standing Data File: C:ttdatfiles/standing_datanyseliffe_stdata_eqt_G_040510.xml.
The MulticastGroups.cfg file contains connection information to receive market data as FIX/FAST messages.
This additional configuration file aids in managing price data; however, it does not require manual updates. Do not edit this configuration file unless instructed by TT to do so.
|Example Partial MulticastGroups.cfg File|
Description=Commodity Der - L1+2
Description=Amsterdam Equity Der - L1+2
TT Gateways 7.16 and higher contain an updated MulticastGroups.cfg file that removes two StandingDataCodes:
- ER from the [LIFFE_COMMODITY_DERIVATIVES] section
- FP from the [PARIS_EQUITY_DERIVATIVES] section
When using an older version of the gateway, users should obtain an updated copy of the MultifastGroups.cfg file. Failure to do so causes the Price Server to log the following error messages:
Error Parsing Standing Data, No Files Found In [<tt directory>/datfiles/standing_data] Matching [nyseliffe_stdata_fin_P.xml] and
Error Parsing Standing Data, No Files Found In [<tt directory>/datfiles/standing_data] Matching [nyseliffe_stdata_eqt_R.xml].