iLink 3 uses Simple Binary Encoding (SBE) optimized for low latency of encoding and decoding while keeping bandwidth utilization reasonably small. All FIX semantics are supported. This encoding standard describes the wire protocol for iLink 3 messages and is complimentary to other FIX standards for session protocol and application-level behavior.
...
Contents
Table of Contents
Binary Type System
To support traditional FIX semantics, all documented field types are supported. The binary type system binds to native binary data types, and defines derived types as needed.
...
- Provide a means to specify precision of decimal numbers and timestamps, as well as valid ranges of numbers.
- Differentiate fixed-length character arrays from variable-length strings.
- Provide a consistent system of enumerations, Boolean switches, and multiple-choice fields.
| Info | ||
|---|---|---|
| ||
iLink 3 Decoder -Real Logic Ltd. and Informatica have collaborated to create open source tools that provide extensive support for Simple Binary Encoding (SBE), the messaging standard developed through the Financial Information Exchange (FIX) Trading Community. The SBE decoders will create an environment that can be used directly by customers or treated as a reference implementation that can be extended into custom solutions tailored to individual customer's needs. The information and tool are open to the public under an Apache Public License and are available here.
|
Binary Encoding
Binary encoding provides direct data access without complex transformations or conditional logic by:
...
Type | Min | Max | Null |
|---|---|---|---|
uInt8 | 0 | 254 | 255 |
uInt16 | 0 | 65534 | 65535 |
uInt32 | 0 | 4294967294 | 4294967295 |
uInt64 | 0 | 9223372036854775807 | 18446744073709551615 |
Encoding for null values
For charNULL primitive data type, null value is represented by:
...
The null value of enumerations of data type char is represented by byte '0', not a character '0'.
Message Structure
This diagram shows the structure of an SBE encoded iLink 3 message.
Gliffy name iLink3PacketStructure pagePin 7
Simple Open Framing Header (SOFH)
FIX Protocol Ltd. offers the Simple Open Framing Header standard for framing messages encoded with binary wire formats, such as Simple Binary Encoding. The framing header provides two features:
- An overall message length including headers to support framing.
- An identifier of the encoding used in the message payload. This supports selecting the correct decoder in the case where multiple message encodings are used on a session. It also aids tools such as protocol analyzers to identify message protocols contained in network packets.
| Info |
|---|
The framing standard specifies that the framing header will always be encoded in little-endian byte order. |
Simple Open Framing Header (SOFH) (4 bytes) | SBE Header (8 bytes) | SBE Message (Variable Length) |
|---|---|---|
Message Length: 2 bytes
| Block Length: 2 bytes
| Customer to CME Globex Messages Example:
|
Encoding Type: 2 bytes
| TemplateID: 2 bytes
| CME Globex to Customer Messages Example:
|
SchemaID: 2 bytes
| ||
Version: 2 bytes
|
...
Gliffy name iLink 3.0 SBEi pagePin 13
Message_Length Field
The Message_Length shall be defined to be the length in octets (i.e. bytes) of a message inclusive of the length of the Simple Open Framing Header.
...
The Message_Length field shall be two octets in length (binary type uInt16), permitting a maximum message length of 2^16.
Encoding_Type Field
The Encoding_Type field shall be defined to be an integral enumeration.
...
- Byte order is little-endian and not big-endian.
- Message length is 2 bytes and not 4 bytes.
- Encoding type is private user defined value outside designated range.
SBE Message Header
The purpose of the SBE header encoding header is to tell which message template was used to encode the message and to give information about the length of the message body to aid in decoding.
...
- Block length of the message root - the total space reserved for the root level of the message not counting any repeating groups or variable-length fields.
- Template ID - identifier of the message template.
- Schema ID - identifier of the message schema that contains the template.
- Schema version - the version of the message schema in which the message is defined.
SBE Message Body
The message body conveys the business information of the message and has the following attributes:
...
- The length of a block is controlled with the blockLength attribute of a message or group. When applied to a message, it controls the length of the root level of the message, prior to any repeating groups or variable-length data. When applied to a group, it controls the length of each entry of the repeating group. The blockLength attribute is not required. By default, the length of a block is the sum of its field lengths. When specified, it must be at least that much, but can be greater. When greater than the field lengths, the extra space resides at the end of the block.
- The position of an individual field can be controlled with the offset attribute. Since individual field alignment is not considered crucial, this field attribute is optional. When not specified, the field is packed to the previous field without padding.
SBE Message Example
The following is an example of the schema used to interpret the iLink 3 New Order - Single message:
...
Each template has a unique Template ID that describes the format of the binary encoded message. A Template ID is present in every message to provide a reference to the correct template. The Template ID is unique and is included in every message header, allowing the client system to apply the correct schema to the message upon receiving it.
New Order Single Message
8000FECA740002020800000000E876481700000001000000CBA70D000101000000437563756D626572000000000000000000000000595A3733340000000000000000000000000000007B00000000000000DE02000000000000D7096EAB9B27BB15FFFFFFFFFFFFFF7F4D696E736B0000000000000000FFFF3200000000FFFFFF
...
| Binary Values | Field Name | Binary Length | Values |
|---|---|---|---|
80 00 | Message size | 2 | 128 |
FE CA | Encoding type | 2 | CME SBE version 1.0 little-endian |
74 00 | Block length | 2 | 116 |
02 02 | Template ID | 2 | 514 |
08 00 | Schema ID | 2 | 8 |
00 00 | Schema version | 2 | 0 |
00 E8 76 48 17 00 00 00 | Price | 8 | 100000000000,-9 |
01 00 00 00 | OrderQty | 4 | 1 |
CB A7 0D 00 | SecurityID | 4 | 894923 |
01 | Side | 1 | Buy |
01 00 00 00 | SeqNum | 4 | 1 |
43 75 63 75 6D 62 65 72 00 00 00 00 00 00 00 00 00 00 00 00 | SenderID | 20 | Cucumber |
59 5A 37 33 34 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 | CIOrdID | 20 | YZ734 |
7B 00 00 00 00 00 00 00 | PartyDetailsListRequestID | 8 | 123 |
DE 02 00 00 00 00 00 00 | OrderRequestID | 8 | 734 |
D7096EAB9B27BB15 | SendingTimeEpoch | 8 | 1565888844990908887 |
FF FF FF FF FF FF FF 7F | StopPx | 8 | 9223372036854775807,-9 |
4D 69 6E 73 6B | Location | 5 | Minsk |
00 00 00 00 | MinQty | 4 | 0 |
00 00 00 00 | DisplayQty | 4 | 0 |
FF FF | ExpireDate | 2 | 65535 |
32 | OrdType | 1 | Limit |
00 | TimeInForce | 1 | Day |
00 | ManualOrderIndicator | 1 | Automated |
00 | ExecInst | 1 | 00000000 |
00 | ExecutionMode | 1 | null |
FF | LiquidityFlag | 1 | null |
FF | ManagedOrder | 1 | null |
FF | ShortSaleType | 1 | null |
Schema Distribution
iLink 3 schema file will be available for download via the SFTP site (sftpng.cmegroup.com), CME Globex network direct connection. This SFTP site contains the schema files for all environments. The SFTP site is a secure site that requires a user name and password for access.
...
In addition to the generic User Name/Password, client systems can connect using the same credential currently used for CME SFTP site. Additional information pertaining to the CME Secure SFTP site is available in CME Clearing Advisory Notice 15-105.
Schema Versioning
The schema.xml file is versioned each time an update is made. All elements in a message schema are of the same version. The first version of a schema is version zero, and the version number is incremented each time a schema is changed.
iLink 3 message schema is backward compatible. Customers can send messages using the preceding version of a schema, however CME Globex will only send messages using the latest version of a schema.
Schema
...
Header
The following is the layout of the SBE Schema header:
...
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:ns2="http://www.fixprotocol.org/ns/simple/1.0">
Schema Format
The schema file is constructed of several sections including the following:
...
- Message Description
- ID - The Schema ID used identify the Template ID
- Field Description - Field name
- Name - FIX tag name
- Semantic Type - FIX Message Type value for the message
- Block Length - The length of the root level or the repeating group of the message in bytes of the field
- Field Descriptions
- ID - FIX tag
- Field Description - Field name
- Name - FIX tag name
- Semantic Type - FIX semantic data type
- Type - Binary encoding type
- Offset - The number of bytes from the start of the message body or group to the first byte of the field
- Repeating Group Definitions
- ID - FIX Tag
- Field Description - Field Name
- Name - FIX tag name
- Block Length - the length of the root level or the repeating group of the message in bytes
- Dimension Type - Dimensions of the repeating group
Template Extension
In the event that a message template is updated, the change can be made as an appended extension, which requires no immediate action on the part of the client, or a non-appended extension, which requires implementation of the new template.
...
- Tags added to the body of the message will be added to the end of the body, before the repeating groups. In this scenario, the TemplateID will not change, but the schema version will change.
- The BlockLength field in the Binary Header or Group will increase in value to include the length of the new tag.
- Data fields can also be appended at the end of the repeating groups without updating the TemplateID, although the contents of the template and the schema version number will change. Each repeating group will include:
- the new length of each entry in the repeating group
- the number of entries in the repeating group
Example: Template Before Appended Extension
For the example below, the schema version is 1.
...
<field name=" GroupField2" id="9991" type="GroupField2Type" description="ExampleGroupField2" offset="4" semanticType="char" />
</group>
</ns2:message>
Example: Template After Appended Extension
In the example below “ExampleField3” has been appended to the template 99 header. Additionally, the following updates were made to the schema:
...