Feed Adapters

Feed parameters

The example feed has a single optional parameter, which controls how often tick data is published for subscribed instruments (in milliseconds). By default the feed will publish a new tick every 1000 milliseconds (i.e. each second). Any other configured parameters will be logged but otherwise ignored.

# Optional example.publishingPeriod=<publish period in millseconds>

Instrument codes

The example feed will accept any subscription made of it, so any instrument code is valid.

Field codes

The example feed has two special field names:

Any configured fields which are not one of these special names will be populated with numeric data, generated in an increasing sequence.

Compatibility

The current version of the adapter was compiled with XCAPI 3.7.1. Install that version of the XCAPI rpm on the host running the adapter.

On Linux, specify the XCAPI library libxcapi64.so in the LD_PRELOAD path.

export LD_PRELOAD=/usr/local/exegy/lib/libxcapi64.so

Feed parameters

The Exegy feed adapter is configured with connection details of the Exegy Applicance (the hostname or IP), an optional port number and the username and password. These are configured using the following parameters:

exegy.serverHost=<hostname/IP of the Appliance(:optional port number)> 
[hostname(:port) exegy.username=<name of the permissioned user> 
[example=test exegy.password=<password for the user>

Instrument codes

Exegy instrument codes within Geneos comprise a service and instrument name in the following format:

countrycode:exchangeid:symbol

Where countrycode is an ISO 3166 two-letter country code, exchangeid a 1- or 2-character Exegy exchange identifier, and symbol a string of up to 250 characters identifying a unique financial instrument on the exchange. For example, IBM common stock on NYSE is "US:N:IBM".

The instrument symbol (the last portion of the key) conforms to the Exegy symbology conventions. In general, Exegy instrument symbols include an exchange-provided base or root symbol to identify the underlying instrument (e.g., "IBM"). If the instrument is a common stock, then the base symbol generally comprises the entire symbol.* "IBM" is the symbol for IBM common stock, and a user can request data for that instrument on NYSE using the key "US:N:IBM".

For securities other than common stocks, Exegy follows a variety of conventions to express identifying characteristics such as subordinate class (for equities); expiration month, strike price, and whether a put or call (for equity options); contract delivery year and month (for CME futures contracts); expiration year and month, put-or-call, and strike price (for EUREX commodity options).

Please see the Exegy Symbology Guide (part of the XCAPI documentation) for more information.

Here are some example instrument codes:

Field codes

In addition to instrument codes, you can specify the field codes to indicate the particular information you want out of the instrument you are subscribing to.

The following table lists codes supported:

Feed parameters

The feed-specific settings for the GL adapter are concerned with connecting to a GL SLC (the inbound GL server) via a P3 routing process. They specify the host and port of the routing process and the GL sub-node index that identifies the SLC.

A GL feed accepts the following parameters:

gl.p3host=<hostname / IP-address of P3 host>
gl.p3port=<port number of P3 routing process>
gl.slcNode=<sub-node index of SLC>

Instrument codes

GL instrument codes are formed from by the symbol code prefixed by the exchange and market indexes.

These indexes can be found using the GL Win client application. Alternatively, they are can be found in the licsym.ini file within the GL Win installation folder. Entries starting PlaceX= are exchanges, while items starting MchY= are markets.

For example, 41,4,LFI081200000F identifies a Futures (market 4) contract on LIFFE (exchange 41).

Field codes

Fields on GL are identified by numeric GL feed codes, which are non-negative integers. The first 22 of these are listed, for full details please consult the GL documentation.

Feed parameters

The Lua feed requires a single argument, specifying the location of the Lua script to execute. If any other parameters are defined they are passed directly to the script for evaluation.

# Required lua.script=path/to/script.lua

Instrument codes

Instrument codes are passed directly to the lua.script as part of a subscription request. Therefore the script author can define any formatting they require.

Field codes

As for instrument codes, field codes are also passed through directly to the lua.script.

Feed parameters

Configuration for the NYXT feed adapter is primarily performed in the mama.properties configuration file. This file should contain configurations for all the transports to be used by the NYXT feeds. The Lua configuration for feeds then relates to referencing the transports from this file by name.

The NYXT feed accepts the following parameters:

# Required
nyxt.middleware=wmw|lbm|tibrv
nyxt.transport=<name of the transport>

# Optional
nyxt.dictionary.download=true|false
nyxt.dictionary.service=<name of dictionary service>
nyxt.dictionary.transport=<name of dictionary transport>

The feed adapter can optionally use a MAMA data dictionary to map symbolic names for fields to numeric field identifiers (FIDs).

This dictionary is not used by default, and use of the dictionary can be manually prevented by configuring the setting nyxt.dictionary.download as false. Otherwise, configuring any values for the nyxt.dictionary.* will enable dictionary use.

If nyxt.dictionary.download is set to true, then by default the feed will attempt to retrieve the dictionary using the feed transport (as defined by the nyxt.transport setting) from the "WOMBAT" service. These locations can be overridden as necessary using the appropriate settings.

Instrument codes

Instruments are configured as a multi-part string comprising the namespace and the instrument code. The namespace is taken to be all non-quoted text before the first dot (.) character.

Some examples of instrument codes:

Note: The MAMA documentation defines a namespace as:

The publisher specific source name for the source.
e.g. This could be "NASDAQ" for a UTP PAPA publisher.

This is the equivalent of a service name in other market data systems.

Field codes

NYXY field codes may be specified either using the field name, or by FID number. If the MAMA data dictionary is not available for the feed (either because it is disabled or failed to download - see Feed parameters above) then only FID numbers can be used.

mama.properties configuration file

The mama.properties file is a global configuration file used by all configured NYXT feeds. This file must be located in the directory specified by the WOMBAT_PATH environment variable.

An example configuration file can be found in the Netprobe package in the flm/mama folder. This file can be referenced by setting the WOMBAT_PATH as below, assuming the Netprobe is running from the package folder. If not, you will need to modify your environment accordingly.

export WOMBAT_PATH=./flm/mama/config

The configuration file should contain a single Geneos-specific setting geneos.middlewarelist which defines the middleware libraries to be used. If not specified the feed will by default attempt to load the wmw library. This setting accepts a comma-separated list of values, so multiple middlewares (including lbw or tibrv) can loaded by specifying the following:

geneos.middlewarelist=wmw,lbm,tibrv

Other settings in the configuration file will be specific to each middleware being used. Please refer to the MAMA and the middleware bridge documentation for full details. The transport name for each configuration will then be referenced from the feed configuration in the Lua script.

An example configuration for the default middleware wmw is shown below. This file is packaged with the Netprobe but may also be downloaded here.

MAMA shared libraries

When loading an NYXT feed, the MAMA libraries and any required middleware libraries must be available to the Netprobe in the folders specified by the LD_LIBRARY_PATH environment variable.

OpenMAMA requires access to the following library files, which are also packaged with the Netprobe in the flm/mama folder:

OpenMAMA will initialise each configured middleware by loading an bridge library as an entry point. These libraries have the naming convention libmama<MWNAME>impl.so, for example the wmw type will load libmamawmwimpl.so. Each bridge library may itself have dependencies on underlying middleware libraries, which must also be available in the LD_LIBRARY_PATH.

For example, the full set of libraries required to load the Data Fabric / Wombat middleware (mwm) would be:

Similarly the full set of libraries for the lbm middleware would be provided by the vendor.

Feed parameters

The QuantFeed adapter is configured with connection details of the (the hostname/IP and port) and the application name used for permissioning. These are configured using the following parameters:

quantFeed.serverHost=<hostname/IP of the QuantFeed Appliance>             [default=127.0.0.1]
quantFeed.serverPort=<listen port of the server>                              [default=8194]quantFeed.username=<username to access the server>
quantFeed.password=<password to access the server>

Instrument codes

This is a proprietary market-dependent string, computed from a subset of instrument's characteristics (symbol, expiry date, etc). The syntax for the textual representation of this kind of instrument codes is as follows: 1. marketid - the parent marketid, in textual form. 2. @ - used as a delimiter 3. LocalCodeStr - identifier for the instrument within the given market.

In QuantFeed, each market has its own rules for building LocalCodeStr. This may be as simple as using exchange Symbol or ISIN, but could may be more or less complex depending on the nature of instruments present on the market. For example, Local Codes for PUT options on EUREX have the form: XEUR @ symbol mm yy P strike Where symbol is the EUREX "product id", mm and yy are the expiry date, and strike is the strike price without decimal point. An optional "generation number" could even appear after a split event on the underlying.

Field codes

QuantFeed field codes are identified by descriptive strings called 'tags' in FeedOS documentation. Some of the accepted fields are listed below. For full details, please consult the FeedOS documentation.

Aside from the fields mentioned in the FeedOS documentation, the following custom fields are also supported.

Feed parameters

The test file feed accepts the following parameters:

testfile.feed=<feed name in input file to be read>
testfile.filename=<relative or absolute path to input file>
testfile.format=3|4

Note that the feed parameter specifies the name of the feed in the input data file. This does not necessarily have to be the same as the MDM feed name, but is recommended to avoid confusion.

The testfile supports two formats (version 3 and 4) of the tick history file. Only tick data is captured; informational messages (such as a sample or log rolling) are ignored. Example version 3 output is shown below. Version 4 output looks similar, but has tick timestamps in microsecond resolution.

==== Started logging: Tue 11 May 2012, 08:46:01 ====
== Sample, 08:46:07 ==
Time:08:46:03.002  Feed:SSL-REUT  Inst:LLOY
Field:Ask       Value: 99.65000000  U
Field:AskSize   Value:10322.00000000  U
Field:Bid       Value: 99.56000000  U
Field:BidSize   Value:39704.00000000  U
Field:Trade     Value: 99.57000000  U
Field:Volume    Value:1556.00000000  U*
Time:08:46:03.013  Feed:LSEPERF   Inst:BLT
...etc

Instrument codes

Since this feed reads tick history files as input data, the instrument codes for a test feed should be configured to match the instrument codes as recorded in the input file.

Field codes

As per instrument codes above, field codes should be configured to match those present in the input file.

Feed parameters

A TT adapter requires the name of the exchange gateway to be configured. TT universal login credentials are optional settings which are only required if the Netprobe will be running in server mode.

# Required
tt.exchange=<name of the exchange>

# Optional
tt.global.com.verbose=true|false
tt.global.universal.username=<username>
tt.global.universal.password=<password>
tt.global.universal.encoding=std|plaintext

The com.verbose setting controls debug output for the Windows COM handler thread, which is shared by all TT feeds. Verbose (debug) output is disabled by default.

The login password can be configured as either plaintext or using the Geneos standard encoding.

To configure a plaintext version specify the following:

tt.global.universal.username=myUser
tt.global.universal.password=myPassword
tt.global.universal.encoding=plaintex

To configure an encoded password, first generate your password using a Geneos gateway binary ./gateway2.linux-en <password> then specify the following:

tt.global.universal.username=myUser
tt.global.universal.password=<encoded password text from gateway>
tt.global.universal.encoding=std

Instrument codes

TT instrument codes are specified as a multi-part dotted string, consisting of the Product Name, Product Type and Contract ID (exchange identifier for contract). i.e. ProductName.ProductType.ContractID - for example KERO.FUTURE.2014/01.

Alternatively, an RTD code can be generated from the X_Trader GUI for an instrument and configured as the instrument code. This feature is normally used by X_Trader for Excel data linking. When using an RTD code, the generated result must be for an instrument and the exchange name must match that which configured exchange of the feed.

e.g. =RTD("XTAPI.RTD","","Instr","TOCOM","KERO","FUTURE","2014/01","ASK")

Field Codes

TT field codes are identified by a descriptive string. Some examples of this are given below.

TT field names may optionally be specified with a format modifier postfix (e.g. & for integer, # for decimal, $ for string). If no postfix is given the TT feed will use the default # for decimal notation. For normal use it is recommended not to specify a format.

Depth and Order Set data is not available via the TT feed adapter.