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 Order Sessions
For TT Gateways, each Order Session configures at least one connection to the clearing environment (Equities or Financials) and the exchanges enabled for a specific ITM (SenderCompID). In addition, the Order Session routes orders for traders who share the Member ID portion of the Member, Group, Trader ID (MGT). When properly configured, the gateway routes a trader's order along the Order Session that contains an ITM enabled for the proper clearing environment and exchange combination.
You configure and establish each Order Session in an [OrderServerSession_X] section of the hostinfo.cfg file.
The Order Session header must follow the format [OrderServerSession_X] where X equals any unique alpha-numeric value.
Example Naming Order Sessions
Examples of valid order session names include:
Currently, Liffe uses two separate matching engines: one for Equities and a separate matching engine for Financials.
To accommodate this setup, TT Gateways require one ITM enabled for Equities and an additional ITM enabled for Financials resulting in a minimum of two order sessions to connect to both environments. Customers connecting to only one environment (i.e., equities OR financials), may connect through a single session. The exchange may also enable an ITM to trade certain exchanges. This added dependency may require the configuration of additional Order Sessions.
Orders are routed not only by ITM but also by the clearing environment and the exchanges enabled for that particular ITM.
Therefore, for routing orders:
An Order Session = ITM + Environment + Exchanges.
When configuring the Order Sessions, any misconfiguration will prevent the Order Server from starting. Prior to configuring Order Sessions, please review the following considerations:
- Each Order Session must contain a unique pairing
of SenderCompId (ITM) and Environment. If two Order Sessions contain
the same ITM and Environment pairing, a message similar to the following
appears in the log file:
3808 | ERROR | 10087336 | OrderServerSession_FIN already has a route rule defined for 16E on environment FIN
- If two Order Sessions are configured with the same combination
of SenderCompId (ITM), Member, Environment and Exchange, a message similar
to the following appears in the log file:
324 | ERROR | 10087339 | OrderServerSession_FIN2 already has a route rule defined for ABC on environment FIN to exch A
- If a SenderCompId (ITM) is misconfigured or if the same
SenderCompId (ITM) is logged into the exchange via a different IP
address, a message similar to the following appears in the log file:
324 | WARNING | 10087344 | session LIFFE-FIN-4HA-FRM (“1”/0) logon rejected Ex: CompID problem (CompIDProblem)
TT provides a TT CCG Tester Tool to verify Order Server connectivity to the exchange. For information on the TT CCG Tester Tool, refer to Verifying Order Server Connectivity.
All Order Sessions reference the [ExchangeCodeMappings] section and use an Exchanges parameter to route orders for an ITM based on the ITM's enabled exchanges.
By default, TT Gateways install with the following values:
Example [ExchangeCodeMappings] section
The [ExchangeCodeMappings] section serves two functions:
- Group exchange codes to an exchange name. For example, Amsterdam=A,G,K,R,Z maps those five exchange codes to the 'Amsterdam' exchange name.
- Group multiple exchange names to a group name. For example, Group1=Brussels,Lisbon,Amsterdam maps
the three exchange names, and all their listed exchange codes, to
You may add group names to the [ExchangeCodeMappings] section (e.g., Group2=Brussels,Paris or even Group3=Group1,Group2).
TT strongly recommends using the default values set in the [ExchangeCodeMapppings] section. You may configure additional region/groups however, misconfiguring the exchange code mappings may cause the exchange to reject orders.
For example, the default setting Lisbon=H,M,S correctly maps Lisbon to the Euronext Lisbon Cash (H), Index (M) and Equity (S) markets. If misconfigured as Lisbon=H,M then orders submitted for Euronext Lisbon Equity (S) products will be rejected by the exchange.
Configuring Exchange Codes
When configuring a particular [OrderServerSession_X] section, you can set which exchanges are enabled for that session's ITM by populating the Exchanges parameter with either an exchange name (e.g., Paris) or a group name (e.g., Group1). In addition, you use the Environment parameter to set whether the ITM is enabled for Equities or Finanicals.
Based on the example above, if the exchange provides an ITM (4HA) that is enabled to trade Equities for the Paris, Brussels, and Lisbon exchanges, you may use either of the following the configurations:
Configuring the Order Session Environment
As mentioned above, each Order Session uses an Environment parameter to determine which environment that particular Order Session connects.
The Environment parameter allows two values:
- Environment=FIN: indicates this order session will connect to a Financial Common Customer Gateway (CCG).
- Environment=EQT: indicates this order session will connect to an Equities Common Customer Gateway (CCG).
When configuring Order Sessions, you must observe the following:
- To connect to both environments, you should create at least one Order Session for each environment. Each Order Session section must use a unique header. The order session header must follow the format [OrderServerSession_X] where X equals any unique alpha-numeric value.
- To configure an order session for Financials, enter an ITM that the exchange has enabled for Financials as the SenderCompId parameter (e.g., SenderCompID=4TD), a firm member mnemonic as the SenderSubId parameter (e.g., SenderSubID=FRM) and set Environment=FIN.
- To configure an order session for Equities, enter an ITM that the exchange has enabled for Equities as the SenderCompId parameter (e.g., SenderCompID=4HA), the same firm member mnemonic as the SenderSubId parameter (e.g., SenderSubID=FRM) and set Environment=EQT.
- To map the ITM to the enabled exchanges, populate the Exchanges parameter with either a list of exchange names or a group name.
- To route traders through both sessions, set the Member parameter in
both sessions equal to the Member ID of the direct trader's Member,
Group, Trader ID (MGT) (e.g., Member=MB1).
This allows traders to route orders through the same Order Sessions however, traders must login with the same Member and Group ID to share order books in X_TRADER.