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
Understanding the Price Feed Optiq
Price Feed Behavior
TT Gateways receive market data via the Euronext Optiq Market Data Gateway (MDG), which provides high-speed, real-time market data for Euronext markets. All market data provided from the exchange are FAST optimized.
Due to the large amount of data, Euronext requires users to use lines with sufficient bandwidth. Refer to the exchange documentation to determine the appropriate amount of bandwidth for your trading environment.
This system provides market data using four mechanisms:
Supplies tick table, point value and additional market data prior to the product open.
Real-time data broadcast via dual multicast streams (A and B)
EFS Standing Data
The exchange provides initial product definitions as Standing Data .xml files which the gateway downloads via the exchange's Euronext Files Services (EFS) site.
Market Data Multicast
The MDG feed delivers real-time data broadcast via dual multicast streams (labeled Stream A and Stream B). TT Gateways receive the same data along both streams. In most cases, if a data packet is missing on one stream, the gateway should be able to recover the missing packet from the other stream.
Price Server Data Flow
The following describes the data flow of the Price Feed connection from the Price Server on the TT LIFFE Connect Gateway to the exchange.
- When available, the TT Gateway downloads the standing datafiles from the exchange's EFS server.
- The Price Server starts and reads configuration values from the aconfig.xml file.
- The Price Server reads the standing data files for all Multicast Groups.
- Using the data from the corresponding standing data files, the Price Server begins adding product information to the Product Table for all subscribed products.
- For each multicast group, the Price Server validates the current sequence number from the exchange.
- If a gap exists between the last sequence number recorded by the Price Server and the sequence number provided by the exchange, the Price Server requests the missing data from the exchange's Retransmission Server.
- Following a trader login, the Price Server begins forwarding market data to the client application
TT Gateways use the exchange Grouped channels for all market data.
Also, the gateway calculates market data such as the high/low price using data from the price feed. The gateway does not use the exchange's Value Added Price channels.