Message Throttle

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Imported from previous forum

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Hi,

There are exchanges implementing throttle mechanism, which controls the number of orders going to the exchange.

At HKEx, they will “throw” the invitation number from their Open Gateway. When we send in orders, we must include the invitation number with the order. Their gateways don’t talk FIX, so it’s fine since we have to convert FIX messages into their proprietary protocol.

If there is an exchange which will talk FIX as a native protocol and include invitation number as part of the FIX message, is there any product out there currently which can handle this? That is, it will listen to the invitation numbers from the exchange and attach them with orders. Also, FIX engine will have to behave in a good manner, i.e. respect throttle control - do not overflow the speed limit – can it be like that?

Also, what are cautions if we will talk to exchanges that impose this kind of throttle?

Thank you!

3

[ original email was from David Litner - dlitner@transacttools.net ]
TransactTools TCM messaging server has everything you need. You can throttle your FIX flow by message direction (inbound and/or outbound) and by messages or bytes per second. The server supports all versions of FIX and allows for a per-connection customization using XML data-dictionaries to support the invitation number. We can also provide native, out of the box support for conversions between FIX and the HKEX for both equities and derivatives.

Hope this helps,

Dave

Hi,

There are exchanges implementing throttle mechanism, which controls the
number of orders going to the exchange.

At HKEx, they will “throw” the invitation number from their Open
Gateway. When we send in orders, we must include the invitation number
with the order. Their gateways don’t talk FIX, so it’s fine since we
have to convert FIX messages into their proprietary protocol.

If there is an exchange which will talk FIX as a native protocol and
include invitation number as part of the FIX message, is there any
product out there currently which can handle this? That is, it will
listen to the invitation numbers from the exchange and attach them with
orders. Also, FIX engine will have to behave in a good manner, i.e.
respect throttle control - do not overflow the speed limit – can it be
like that?

Also, what are cautions if we will talk to exchanges that impose this
kind of throttle?

Thank you!