TFX Gateway Documentation
- TT TFX Gateway And The Exchange
- Installing And Upgrading
- Configuring Global Settings
Configuring Market Data
- Understanding the Price Feed
- Configuring the Price Server Connection
- Tick Tables, Point Values, and Product Tables
- Support for Market Depth
- Support for Settlement Prices
- Total Traded Quantity (TTQ) and Volume at Price (VAP)
- Last Traded Quantity (LTQ) and Last Traded Price (LTP)
- Support for Implied Prices
- Configuring The Order Server
- TFX Gateway Recovery
Understanding the Price Feed
Price Feed Behavior
TFX Gateways connect via the exchange’s ITA Wave Interface. All TFX Gateways join the ITA Wave Interface multicast and communicate with the exchange via User Datagram Protocol (UDP) messages.
In the event of disconnection, the Price Server downloads missing data via a TCP connection to the transmission server. To facilitate this, users must add their exchange-provided RetransmissionID to the hostinfo.cfg file.
Prices Server Data Flow
The following describes the data flow of the Price Feed connection from the Price Server on the TFX Gateway to the exchange.
- The Price Server on the TFX Gateway starts and queries the hostinfo.cfg file for the view-only key and password that the Price Server uses to connect to TFX Gateway.
- The Price Server queries hostinfo.cfg for the IP Address it uses to connect to TFX Gateway.
- After receiving all products from TFX Gateway, the Price Server sends the product table to guardian.
- The Price Server queries Aconfig.xml to determine any Market Depth update expiration and price broadcast intervals.
- The Price Server begins multicasting Market Depth and price updates received from the exchange.
Price Server Log File
At startup, the Price Server creates a Price Server logfile named Exchange-Flavor_Mode_PriceServer_Date.log in the <root drive>:ttlogfiles directory where:
- Exchange-Flavor equals the gateway name chosen at install (e.g., TFX-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.