iLink 3 uses the FIX Performance (FIXP) protocol to establish and manage bi-directional sessions. Per the FIXP protocol, a FIX session is defined as a bi-directional stream of ordered messages between two parties within a continuous sequence number series. With iLink 3, the Market Segment Gateways (MSGW) will support weekly client FIX sessions and also support mid-week initialization.
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RequestTimestamp (A timestamp older than 5 seconds will be rejected as stale.)
- UUID
- SessionID
- FirmID
- TradingSystemName
- TradingSystemVersion
- TradingSystemVendor
- NextSeqNo
- KeepAliveInterval
An Example Canonical message for Establish:
“RequestTimestamp” + "\n" + “UUID” + "\n" + “SessionID+ "\n" + FirmID+ "\n" + “TradingSystemName” + "\n" + “TradingSystemVersion” + "\n" + “TradingSystemvendor” + "\n" + “NextSeqNo” + "\n" + “KeepAliveInterval”
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Step 2 - Create Signature Using the Secret Key and Canonical FIX Message
The signature is a hash (digest) of the canonical message created in Step 1 using the Secret Key provided by CME.
The Secret Key downloaded from Request Center is Base64 URL Encoded. Customers must decode the secret key first.
Example of Creating Signature Using HMAC SHA256 in Java 8+
The HMAC signature is populated in a fixed length string field (i.e. String32Req) since SHA-256 signature is always 32 bytes.
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This diagram shows an example of CME-initiated Terminate.
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Fault Tolerance
A customer choosing to use fault tolerance must coordinate their application processes to establish separate and independent content streams to the Market Segment Gateways via TCP/IP socket connections. This group of redundant client processes (also commonly referred to as the fault tolerant group) operates together to provide fault tolerant functionality. In a typical deployment scenario, multiple redundant processes are spawned from the same executable file and each of those processes runs on a separate machine. Running redundant processes in the same machine is not recommended. If a machine fails, all the processes running on it fail simultaneously.
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