Trayport (.NET) Market Data Connector
Trayport Data Connector based on Joule Direct API (.NET Core).
Features
trayport_netConnector KeyConfiguration
Data Connector Parameters
| Parameter | Default Value | Description |
|---|---|---|
| Server | N/A | Address of the Trayport server. |
| Port | 443 | Port number of the Trayport server. |
| Proxy Host | 127.0.0.1 | Address of the internal GV API Proxy. Usually, you don't have to change this value, it should be 127.0.0.1 |
| Proxy Port | 31337 | Port number of the internal GV API Proxy. |
| User Name | N/A | User name for connecting to the Trayport server. |
| Password | N/A | Password for connecting to the Trayport server. |
| Use L3 Mode | false | Enable to use L3 Universal Data Model instead of L2 Model. |
| Output Book Size | 20 | Size of the output book. |
| Snapshot Interval | 10S | This property sets an interval in seconds between periodical Level2 snapshots which sent to Aggregator. 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. |
| Broker ID As Exchange | false | Split L2 order book by BrokerID field. Note: OrderSummary messages subscription is not allowed in this mode. Trade will use InitiatorBrokerId as Exchange. |
| Split Implied Books | false | Split L2 order book by order's ImpliedType field. Implied type will be encoded in the exchange name postfix: .Native, .Venue or nothing for None implied type. |
| Autofilter Trades | true | If checked, trade messages are filtered by action (Insert and Query only). Uncheck to get raw TRADE stream. |
| Filter Untradable Orders | false | If checked, orders with IsTradable=No field will not be processed for L1/L2 data. |
| Process FIRM Orders Only | false | If checked, only orders with status=Firm will be processed for L2 data. |
| Calculated Prices Depth | 0 | If you want to enable calculated prices connection option, set maximum depth number. Zero to disable this option. |
| Trade Update On Metadata | false | If you want to enable ENABLE_TRADE_UPDATE_ON_METADATA connection option, set this option true. Required for InitiatorJDMemo and AggressorJDMemo fields of TradeEntry. |
Symbology
Trayport symbol code consist of InstrumentID, Type, SequenceID, FirstSequenceItemID and SecondSequenceItemID divided by sharp symbol (#)
| Examples | Description |
|---|---|
| 10001126#Single#10000106#10#0 | (Yearly Germany Baseload for 2013) |
| 10001126#Single | (Group subscription) |
Use the TrayportMetadata utility to dump live referential data (instruments, sequences, sequence items, and groups) and look up the IDs that make up a symbol.
Utilities
The connector ships with standalone command-line utilities under the tools folder of the Trayport (.NET) connector distribution (next to TrayportProxy). Binaries are published per runtime: tools/win-x64, tools/linux-x64, and tools/osx-arm64.
TrayportMetadata
Connects to a Trayport Joule Direct server and exports instrument referential metadata to XML files in the current working directory. Use these files to discover symbol components (InstrumentID, SequenceID, sequence items, groups) for subscriptions.
Prerequisites: .NET 9 runtime (Microsoft.NETCore.App 9.x) and valid Trayport credentials (same host/port/user/password as the connector).
Usage:
TrayportMetadata <host> <port> <user> '<password>'
| Argument | Description |
|---|---|
host | Address of the Trayport server (same as the connector Server parameter). |
port | Port number of the Trayport server (same as Port, typically 443). |
user | User name for connecting to the Trayport server. |
password | Password for connecting to the Trayport server. Quote the value if it contains spaces or shell-special characters. |
Output files (written to the process working directory):
| File | Contents |
|---|---|
Instruments.xml | Instrument definitions (InstDefinitions.QueryAll). |
Sequences.xml | Sequences. |
SequenceItems.xml | Sequence items. |
Groups.xml | Groups (useful for group subscriptions such as InstrumentID#Single). |
Windows example:
cd C:\path\to\trayport_net\tools\win-x64
TrayportMetadata.exe jouledirecttest 443 USERNAME "PASSWORD"
Linux / macOS example:
cd /path/to/trayport_net/tools/linux-x64 # or osx-arm64
./TrayportMetadata jouledirecttest 443 USERNAME 'PASSWORD'
On success the utility prints progress to stdout (Connecting…, Querying Instruments…, …, Done.) and exits with code 0. Session establishment or unexpected errors are reported to stdout with an [ERROR] prefix and a non-zero exit code.
Logging
To enable detailed logging, use these lines in the <QSHOME>/config/gflog.xml file:
<logger name="deltix.qsrv.hf.plugins.data.trayport_net" level="TRACE">
<appender-ref ref="safeAppender"/>
</logger>