The Drop Copy 4.0 service allows customers to receive real-time copies of CME Globex Execution Report and Acknowledgment messages as they are sent over iLink order entry system sessions. Drop Copy aggregates iLink messages, enabling customers to aggregate positions and monitor orders for sessions guaranteed by one or more clearing firms upon approval of the clearing firms.
With the Drop Copy 4.0 session model, customers must:
- manage sequence streams from Convenience Gateway iLink source sessions across all market segments.
- manage sequence streams from Market Segment Gateway iLink source sessions per unique market segment; with the possibility of having the same sequence numbers from multiple market segments.
...
- Session management
- Processing of new message format
- Message sequencing across multiple market segments via MSGW source sessions
- Simulated Order Mass Action Messages
- Fault Tolerance and Fail-Over management
| Note | |
|---|---|
| |
| |
Customers who request a MSGW iLink source session and who intend to leverage the Drop Copy service must first certify for Drop Copy 4.0 to be issued an iLink source session. |
Connectivity Management
- CME Group requires that the client systems set their heartbeat interval to between 5 and 60 seconds, or the Logon (35=A) message will not be acted upon. CME Group recommends a heartbeat interval of 30 seconds.
- Once the client system is logged on, if an inbound message is not sent during the defined interval, Drop Copy will send a Test Request (tag 35-Msgtype=1) message to ensure connectivity.
- If no message is received in response to the Test Request (tag 35-MsgType=1) message within the defined heartbeat interval, the connection is assumed to be stale and the socket is closed.
...
| Info |
|---|
| In addition to the generic User Name/security credentials, client systems can connect using the same credentials used for CME SFTP site. |
| Info |
|---|
To download files from the SFTP site, use an SFTP client to connect to sftpng.cmegroup.com. |
Tag 57-TargetSubID
Customers may connect directly to all Market Segment Gateways using the same Session ID. Customers can use tag 1300-MarketSegmentID from the market data Security Definition (tag 35-MsgType=d) message to specify the market segment for the products they want to trade on CME Globex.
...
Drop Copy 4.0 messages to target sessions will now be encapsulated within XML non-FIX message (35=n) as follows:
8=FIX.4.2|9=424|35=n|34=45227|369=20|52=20150528-18:44:47.058|49=CME|50=G|56=D2M200N|57=DUMMY|143=US,IL|212=333|213=<RTRF>8=FIX.4.2|9=297|35=8|34=11191|369=5908|52=20150528-18:44:47.054|49=CME|50=G|56=YWB652N|57=DUMMY|143=Brio|1=TEST_ACCOUNT|6=0|11=YWB5908|14=0|17=90101:166|20=0|37=908234392|38=20|39=C|40=2|41=0|44=5011|48=314182|54=2|55=ZS|59=3|60=20150528-18:44:47.045|107=ZLK3|150=C|151=0|167=FUT|432=20150528|1028=N|9717=YWB5908|10=241|</RTRF>|10=005|
XML Non-FIX (tag 35-MsgType=n) Message Layout
...
| Info |
|---|
|
Payload
The Drop Copy 4.0 service is available for iLink messages on orders submitted to the CME Globex platform via iLink or CME Direct. Customers can choose to receive messages over Drop Copy configured to the following three levels:
...