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
For order entry, the exchange may enforce a throttle limit for certain contracts. This restriction varies by contract and is currently set between 4-8 messages per second. In addition, the Common Customer Gateway (CCG) imposes a maximum of 100 messages per second for each Order Session. The exchange rejects additional messages once the limits are met.
The table below contains the current throttle limits per contract as set by the exchange:
Throttle Limit per Session (in messages per second)
Amsterdam and Brussels Index Futures
Amsterdam Index Options
Amsterdam Individual Equity Options
Brussels Index and Individual Equity Options
Paris Individual Equity Options
London Index Options
London Individual Equity Options
London STIRS Options
Paris Index Options
All other contracts
The exchange determines the contract throttle limits and may change these values at any time. Refer to the exchange's Input Order Throttling Per Contract document for the most recent contract throttle limits.
When attempting to recover lost market data, the exchange imposes a limit on the number of packets for each request. Currently, the exchange sets a maximum request limit of 10,000 retransmission requests per day per SourceID. Therefore, TT Gateways may attempt additional retransmission requests when missing large amounts of data.
TT Gateways will request up to 2500 messages using the Retransmission Server. If the sequence number gap exceeds this amount, the gateway will request a full snapshot from the exchange Refresh Server. In addition, the gateway notes the channel and logs a ReBroadcast: Retransmission Failed: Too Many Messages Requested For Retransmission message. TT Gateways forward this message to both the Price Server logfile and the Audit Trail.
The exchange does not impose a limit on the number of traders that connect through a single ITM. However, due to the transaction limits listed in Order/Messaging Throughput, TT recommends working with your TAM to load balance your gateways.
The exchange establishes a quote to fill restriction as described in the exchange http://www.euronext.com/fic/000/027/711/277115.pdfNotice No. 2960 located at http://www.euronext.com/fic/000/027/711/277115.pdfhttp://www.euronext.com/fic/000/027/711/277115.pdf.
Please refer to this notice for a complete description of the quote to fill restriction.