Versions Compared

Old Version 2

changes.mady.by.user CME Group

Saved on

compared with

New Version Current

changes.mady.by.user CME Group

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

...

  • Simple Binary Encoding (SBE) - optimized for low latency of encoding and decoding
  • FIX Performance (FIXP) protocol - supports simple session layer management; no session-level information (e.g. headers) required
  • Optimized order entry on the CME Globex platform for futures, options, and BrokerTec markets
  • Lean messages move administrative information out of order entry business message
  • Standard message size, fixed positions, and fixed length fields 
  • Consistent encoding method for market data and order entry
  • XML schema and templates for order entry as with MDP 33 
Info
  • Only Market Segment Gateway (MSGW) sessions support iLink 3

    • All iLink 3 sessions are Cancel on Disconnect (CoD) mandatory, except iLink 3 CGW sessions for futures and options markets.

    Use this search bar to search topics within iLink 3 Binary Order Entry.

    ...

    Panel
    bgColor#FFFFE0
    titleSee Also

    Child pages (Children Display)

    Video Overview

    View the video for the iLink Order Entry module of CME Globex 101.

    iLink 3 Gateway Considerations

    iLink 3 launch has the following considerations for Convenience Gateway (CGW), Market Segment Gateway (MSGW), and Drop Copy Gateway (DCGW) customers:


    		CGWMSGWDCGW
    iLink 3
    • CGW sessions will support ilink2 and iLink 3 in parallel until December 31, 2024.
    • Only iLink 3 supports access to BrokerTec and EBS markets.
      • CGW customers must migrate to MSGW and iLink 3 to access the full array of CME Globex markets.
    • Only MSGW sessions support iLink 3.
    • Drop Copy supports both iLink 3 and iLink 2 source sessions.
    • The encoded payload messages sent on Drop Copy with iLink 3 source sessions will be in ASCII format, but reflect the behavior described in the  Drop Drop Copy Client Functional Specification.
    Noteinfo

    If an iLink 2 message is received on an iLink 3 session, the session will be terminated immediately.

    Market Integrity Controls

    Automated Port Closure

    CME Globex will automatically terminate and close both the primary and backup ports for any iLink 3 session on the 5th invalid negotiate and establish attempts in 60 seconds.

    ...

    When triggered, CME Globex will send a Terminate message with tag 39012-ErrorCodes=8 (CMEAdministeredPortClosure: due to invalid number of Negotiate/Establish attempts being exceeded).

    • Sessions with active-active fault tolerance will receive the Terminate message on both the primary and backup instances.
    • Sessions without fault tolerance will only receive the Terminate on the primary instance, but both the primary and backup ports will be closed.

    Primary and secondary clearing firm administrators must contact the Global Command Center directly to have a port re-opened.

    Messaging Controls

    Messaging Controls prevent violation of the maximum Transactions per Second (TPS) rule. Messaging Controls measure Transactions per Second (TPS) and are enforced at the iLink session level.

    iLink 3 will have the same messaging controls as iLink 2 except for the changes described below.

    Application Messaging Controls

    Module

    Messaging Controls

    Common

    New Order (D)

    Cancel-Replace (G)

    Status Request (H)

    Security Definition (c)

    Mass Status Request (AF)

    Quote Request (R)

    New Order Cross (s)

    Party Details Definition Request (CX)

    Party Details List Request (CF)

    Cancel

    Cancel (F)

    Mass Cancel (CA)

    Mass Quote

    Mass Quote (i)

    Mass Quote Cancel (Z)

    Application Messaging Thresholds

    Messages submitted by the client system on an iLink 3 session are monitored by the number of messages sent over a pre-defined time interval. The time interval begins with the first message processed. At the end of the interval, if no violation has occurred, the message count and interval reset pending the next message processed.

    If an iLink 3 session exceeds one or more of the Reject thresholds, subsequent messages are rejected via a BusinessLevel Reject (tag 35-MsgType=j) message until the messages per second (MPS) rate falls below the threshold. Exceeding the larger Terminate threshold will result in a Termination of the offending iLink session. 

    Message Types

    Enforcement Schedule

    Reject Threshold

    Terminate Threshold

    Interval

    Cancel Request (tag 35-MsgType=F)

    Order Mass Action Request (tag 35-MsgType=CA) 

    Continuous

    1000

    1500

    Three-second window

    New Order (tag 35-MsgType=D)

    Order Cancel/Replace (tag 35-MsgType=G)

    Order Status Request (tag 35-MsgType=H)

    Request for Quote (tag 35-MsgType=R)

    New Order Cross (tag 35-MsgType=s)

    Security Definition Request (tag 35-MsgType=c)

    Order Mass Status Request (tag 35-MsgType=AF)

    Application messages that fail business validation

    All other hours

    500

    750


    Administrative Message Controls

    The thresholds are in place for the following Administrative message types:

    • Negotiate
    • Establish
    • Terminate
    • Sequence
    • Retransmit Request

    Messaging Thresholds and Action Types

    Messaging Thresholds

    Action Type

    Message Type

    Error Code

    Exceeding Reject Threshold

    Reject subsequent messages until the TPS rate falls below the threshold.

    Business Reject (tag 35-MsgType=j)

    Tag 380-BusinessRejectReason=8

    Exceeding Terminate Threshold

    Terminate the offending iLink 3 session

    Terminate (35=Terminate)

    Tag 39012- ErrorCodes=9

    Party Details Messages 

    ...

    Messages

    MSGWs

    OESGW

    PartyDetailsDefinitionRequest messages with PartyDetailsListRequestID≠0

    Administrative Message Controls

    Common Module

    PartyDetailsDefinitionRequest messages with PartyDetailsListRequestID=0

    Common Module

    *Regardless of whether the PartyDetailsDefinitionRequest message is sent on-demand directly preceding each New Order-Single, Order Cancel Replace Request , Order Cancel Request, etc.

    Administrative Message Controls

    PartyDetailsListRequest

    Administrative Message Controls

    Common Module

    Developing from iLink 2 to iLink 3

    The following table summarizes the considerations for client systems developing to iLink 3 and outlines the differences from iLink 2 to iLink 3.

    Layer

    Feature

    iLink 2

    iLink 3 

    Presentation

    Message encoding

    Tag value ASCII encoding

    Simple Binary Encoding

    Session

    Authentication, Recovery

    FIX Transport (FIXT)

    FIX Performance Session Layer (FIXP)

    Application

    Business logic

    FIX semantics

    Improved  FIX semantics

    Transport

    End-to-end delivery

    TCP

    TCP – No change

    Network

    Virtual Circuits, Routing

    IP

    IP – No change

    System Architecture

    This diagram provides an overview of iLink order entry architecture.

    ...

    Gliffy
    nameEnd State Architecture
    pagePin7

    Order Entry Service Gateway (OESGW) - SFTP Site Information

    The OESGW configuration information (i.e. market segments and IPs) will be added to the MSGW config file via an SFTP site (sftpng.cmegroup.com), accessed via a CME Globex network direct connection. This SFTP site contains the configuration files for all environments. The SFTP site is a secure site that requires a user name and password for access.

    ...

    More details on the SFTP site is available on SFTP - MSGW Configuration.