ICE (Consolidated Feed) Market Data Connector
ICE Consolidated Feed Data Connector based on ICE Data Services API.
Configuration
Data Connector Parameters
| Parameter | Default Value | Description |
|---|---|---|
| Host | N/A | Host/IP address of the ICE Consolidated Feed server. |
| Port | N/A | Port number of the ICE Consolidated Feed server. |
| User Name | N/A | User name for connecting to the ICE Consolidated Feed server. |
| Password | N/A | Password for connecting to the ICE Consolidated Feed server. |
| Exchange Name | ICE | Exchange name for this session. |
| Output Book Size | 10 | Size of the output book. |
| Add implied exchange suffix | false | If checked, exchange name in the PackageHeader for implied orders will have '.I' suffix in the name |
| Snapshot Interval | 10S | This property sets an interval in seconds between periodical Level2 snapshots which sent to Aggregator. Works for non-aggregated books only. Snapshots will be generated as soon as this threshold is exceeded AND the next increment message arrives. Conversely, snapshots are NOT generated every period if no data is coming in. Default value is 10 seconds. Set value to zero to disable periodical Level2 snapshots. |
Symbology
| Symbol Notation | Examples |
|---|---|
SYMBOL|SourceID#L1|L2 | F:G3BS\\V24|738#L1F:G3BS\\V24|782#L2{^F:G3BS}|782#L2F:TTF.HR1|1936#L1F:TTF.HR1|1937#L2 |
You should always specify source ID and used depth. For example, F:G3BS\V24|782#L2 means that this instrument F:G3BS\V24 will be used for L2/L3 subscription in a source 782 (Gas Derivatives Level 2). If you want to collect L1 data for this symbol then you have to specify another source (738 which is Gas Derivatives Level 1) and explicitly say that this is an L1 data (F:G3BS\V24|738#L1)
Wildcards subscription supported. For example to subscribe all instruments that starts with F:G3BS you can set instrument name to {^F:G3BS}|SOURCE_ID#DEPTH