iLink 3 allows customers to optimize business message construction by pre-registering administrative iLink 3 allows customers to optimize business message construction by pre-registering administrative information, or by submitting administrative information per message (on-demand) as follows.
...
Contents
Table of Contents
Order Entry Service Gateway
There will be a new Order Entry Service Gateway (OESGW) for customers to register administrative information.
...
Customers will be able to use the same iLink 3 CGW session to connect to the Service Gateway using FIXP protocol and submit Party Details Definition Request messages and Party Details List Request messages.
OESGW - SFTP Site Information
The OESGW configuration information for CGW (i.e. market segments and IPs) will be added to the current MSGW config file via an SFTP site (sftpng.cmegroup.com) and accessed via 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.
New Market Segment is defined for each OESGW as follows:
Market Segment ID | OESGW | Market |
---|---|---|
6 | Globex OESGW for all CGWs | Futures & Options |
Information applies as follows in the table:
...
Info |
---|
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. |
Party Details
Party details will consist of administrative information to facilitate business message processing.
Gliffy | ||||||
---|---|---|---|---|---|---|
|
Party Detail Role
The Parties block allows many different types of entities to be expressed through use of the PartyDetailRole <1693> field and identifies the Parties reference data through the PartyDetailID <1691>.
...
Party Detail Role | Description |
---|---|
1 | Executing Firm |
24 | Customer Account |
96 | Take Up Firm |
118 | Operator |
1000 | Take Up Account |
Party Details Definition Messaging
This section describes message processing for customers pre-registering administrative information.
Party Details Definition Request
The new Party Details Definition Request message (tag 35-MsgType=CX) defines all customer administrative information i.e. clearing instructions, order source, self match parameters, etc. The Party Details Definition Request message can be sent to both Service Gateway and CGW.
...
- Customer sends Party Details Definition Request to the new Service Gateway beforehand (recommend beginning of the week on Sunday) with unique value in Party Details List RequestID (duplicate values will be rejected for that FirmID).
- Party Detail Definitions are valid only for the week and must be resubmitted at the start of each week on Sunday
- Customer assigns tag 1505-PartyDetailsListRequestID when submitting the Party Details Definition Request message to CME
- A single tag 1505-PartyDetailsListRequestID is able to use all CGW sessions under the same CME Globex Firm ID (GFID).
- Tag 1505-PartyDetailsListRequestID cannot be equal to 0 when pre-registering administrative information on the Service Gateway
- Modification and Deletion of existing Party Details Definition messages are not allowed
- Customer receives Party Details Definition Request Ack Message (tag 35-MsgType=CY) and can cross-reference tag 1505-PartyDetailsListRequestID in any subsequent business message sent to CGW.
- Any business message sent with an unknown or invalid tag 1505-PartyDetailsList RequestID will be rejected
- There will be a limit of 2500 Party Detail Definition combinations allowed for each FirmID beyond which further submissions will be rejected
...
With on-demand administrative information, the Party Detail Definition Request message sent directly preceding each business message will be counted towards the messaging thresholds. More information on iLink 3 Messaging Controls is available in the Client Systems Wiki.
Scenario | Messages Sent from Client Systems to CGW | Message Count Toward the Messaging Threshold |
---|---|---|
Pre-registered Messaging | New Order | 1 |
On-demand Messaging | PartyDetailsDefinitionRequest + New Order | 2 |
Example - Customers submit orders to the CGW:
...
CME Globex will return the Party Details Definition Request Acknowledgment message with tag 1505-PartyDetailsListRequestID=0 before every Quote Cancel Acknowledgment message (tag 35-MsgType = b, tag 297-QuoteStatus = 1,3,4,100
...
Gliffy displayName PartyDetails name PartyDetails pagePin 3
On-Demand Messaging Scenarios
For non–pre-registered clients, message processing follows the sequence shown in the following scenarios.
On Demand - Accepted
In this scenario the Party Details Request message is submitted and accepted prior to the New Order - Single message is submitted and accepted. Upon acceptance of the New Order -Single message, CME Globex sends the Party Definition Request Acknowledgment then the Execution Report - New Order messages.
Gliffy macroId 244834a6-cb6d-46ce-b7d7-3145fa515343 displayName Long Form New Order Example name Long Form New Order Example pagePin 3
On-Demand Party Details Request Accepted, New Order Rejected
In this scenario the Party Details Request message is accepted but the subsequent New Order - Single rejected with a Business Reject message.
Gliffy macroId 6ecc500d-e188-4ed5-8c17-3faa6607947f displayName Long Form PDR Accept New Order Reject name Long Form PDR Accept New Order Reject pagePin 3
On-Demand Party Details Definition Request - Message Out of Sequence
In this scenario the Party Details Definition Request is submitted with a higher than expected sequence number.
Gliffy macroId bf3cbc55-9bf0-48d0-b777-670634f3de84 displayName Long Form MsgSeqNum higher name Long Form MsgSeqNum higher pagePin 3
On-Demand New Order - Invalid Party Details ID
In this scenario a New Order message is submitted with the PartyDetailListReqID not equal to zero.
Gliffy | ||||||||
---|---|---|---|---|---|---|---|---|
|
Pre-Registered Messaging Scenarios
Pre-Registered Party Details Definition Request - Message Out of Sequence
In this scenario the Party Details Definition Request is submitted with a higher than expected sequence number.
Gliffy macroId 35ce8cde-9acd-424a-9899-f6964addd686 displayName PartyDetailsDefinitionRequest PreRegistered Higher Sequence name PartyDetailsDefinitionRequest PreRegistered Higher Sequence pagePin 1
Pre-Registered New Order - Invalid Party Details ID
In this scenario a New Order message is submitted with the PartyDetailListReqID not equal to zero.
Gliffy | ||||||||
---|---|---|---|---|---|---|---|---|
|
Party Details List Request
The new Party Details List Request message (tag 35-MsgType=CF) is used to request all of the Party Details Definition information for a particular Firm ID.
...
Info |
---|
All tags in Party Details Definition may not be applicable to all messages; for example:
|
Restrictions
Because Party Details are associated with the CME Globex Firm ID (GFID) and not individual sessions:
- A GFID cannot support duplicate Party Detail ID (i.e. tag 1505-PartyDetailsListRequestID)
- GFIDs that share a session cannot use the same Party Detail ID (i.e. tag 1505-PartyDetailsListRequestID)
iLink 3 Order Types and Order Type Qualifiers
For iLink 3 order entry, the following order types and order type qualifiers are supported:
Order Types (tag 40-OrderType)
- OrderType=1 (Market order with protection)
- OrderType=2 (Limit order)
- OrderType=3 (Stop order with protection)
- OrderType=4 (Stop limit order)
- OrderType=K (Market limit order)
Order Type Qualifiers
Time In Force (tag 59-TimeInForce)
- TimeInForce=0 (Day)
- TimeInForce=1 (GTC)
- TimeInForce=3 (FAK)
- TimeInForce=6 (GTD)
Minimum Quantity (tag 110-MinQty)
Used in combination with tag 59-TimeInForce=3 (FAK) as the minimum quantity for immediate execution.
Display Quantity (tag 1138-DisplayQty)
Display quantity for the order to show on the order book at any given time. When the quantity of the order shown on the book reaches zero, the quantity will be reinstated as this value at the bottom of the order book until the entire quantity is filled.
...
Info |
---|
The iLink 3 Order Entry Application layer, entails the business transaction functionality provided by CME Globex. For more information about the business functionality, refer to iLink 2 Order Entry - Business Layer. |
Good ‘Till Cancel (GTC) and Good ‘Till Date (GTD) orders
Customers should manage cancellation of GT orders on iLink 2 CGW sessions and resubmission of GT orders on the new iLink 3 sessions.
iLink 3 Messaging Impacts
All iLink 3 business messages must contain tag 1505-PartyDetailsListRequestID.
Messaging Changes for iLink 3
Changes from iLink 2 to iLink 3 messages include:
...
- Tag 52-SendingTime, timestamp at the time of message processing, is now user defined field; i.e. tag 5297-SendingTimeEpoch
- Tag 60-TransactTime will be expressed as nanoseconds since epoch time
- Tag 5979-RequestTime is replaced with tag 60-TransactTime on outbound messages from CME Globex to Client System
- Tag 60-TransactTime is deprecated from inbound messages from Client System to CME Globex
- Tag 9717-CorrelationCIOrdID is deprecated
- Tag 2422-OrderRequestID will be leveraged to tie back responses to requests
- Tag 11-ClOrdID is to be used only as an entity identifier of an order in so that customers could provide their own order ID but not as a message identifier
- Tag 11 value can remain the same through the life of an order
- Tag 11 value can remain the same through the life of an order
- Tag 107-SecurityDesc is replaced with tag 48-SecurityID for instrument identification
- Fields related to clearing instructions, account number, account type, self match prevention, etc. have been moved to the Party Details Definition Request message
- tag 1693-PartyDetailRole=96 (take up firm)
- tag 1693-PartyDetailRole=1000 (take up account)
- tag 1693-PartyDetailRole=1 (executing firm)
- tag 1693-PartyDetailRole=118 (operator) identifies the person responsible for the party detail information
- tag 1693-PartyDetailRole=24 (customer account)
- tag 582-CustOrderCapacity
- tag 1816-ClearingAccountType
- tag 2362-SelfMatchPreventionID
- tag 8000-SelfMatchPreventionInstruction
- tag 1031-CustOrdHandlInstruction
- tag 1731-AveragePriceGroupID
- tag 819-AveragePriceIndicator
- tag 1598-ClearingTradePrice
- tag 9708-CmtaGiveUpCD
tag 5149-Memo
Summary of FIX Tag Changes from iLink 2 to iLink 3
This table shows iLink 2 tags that have been migrated and deprecated for inbound and outbound messages.
From Client System to CME Globex:
iLink 2 | iLink 3 | |
---|---|---|
Inbound | ||
tag 50-SenderSubID | Convert | tag 5392-SenderID |
tag 142-SenderLocationID | tag 9537-Location | |
tag 52-SendingTime | tag 5297-SendingTimeEpoch | |
tag 34-MsgSeqNum | tag 9726-SequenceNumber | |
tag 210-MaxShow | tag 1138-DisplayQty | |
tag 55-Symbol | tag 1151-SecurityGroup | |
tag 107-SecuirtyDesc | tag 48-SecuirtyID | |
tag 9707-GiveUp Firm | Moved to: Party Details Definition Request | tag 1693-PartyDetailRole=96 (take up firm) |
tag 79-AllocAccount | tag 1693-PartyDetailRole=1000 (take up account) | |
tag 49-SenderCompID (i.e. Firm ID) | tag 1693-PartyDetailRole=1 (executing firm) | |
tag 1-Account tag 9771-MMAccount | tag 1693-PartyDetailRole=24 (customer account) | |
tag 9702-CTICode | tag 582-CustOrderCapacity | |
tag 204-CustomerOrFirm | tag 1816-ClearingAccountType | |
tag 7928-SelfMatchPreventionID | tag 2362-SelfMatchPreventionID | |
tag 8000-SelfMatchPreventionInstruction | ||
tag 1031-CustOrdHandlInstruction | ||
tag 1731-AveragePriceGroupID | ||
tag 819-AveragePriceIndicator | ||
tag 1598-ClearingTradePrice | ||
tag 9708-CumtaGiveUpCD | ||
tag 5149-Memo | ||
n/a | tag 1693-PartyDetailRole=118 (operator) | |
tag 21-HandInst | Delete | Deprecated |
tag 78-NoAllocs | ||
tag 60-TransactTime | ||
tag 9717-CorrelationCIOrdID |
From CME Globex to Client System:
iLink 2 | iLink 3 | |
---|---|---|
Outbound | ||
tag 57-TargetSubID | Convert | tag 5392-SenderID |
tag 143-TargetLocationID | tag 9537-Location | |
tag 52-SendingTime | tag 5297-SendingTimeEpoch | |
tag 5979-RequestTime | tag 60-TransactTime Note - the following application messages will continue to use tag 5979: | |
tag 34-MsgSeqNum | tag 9726-SequenceNumber | |
tag 210-MaxShow | tag 1138-DisplayQty | |
tag 55-Symbol | tag 1151-SecurityGroup | |
tag 107-SecuirtyDesc | tag 48-SecuirtyID | |
tag 5904-DelayDuration | tag 7552-DelayToTime | |
tag 79-AllocAccount | Moved to: Party Details Definition Request Acknowledgment | tag 1693-PartyDetailRole=1000 (take up account) |
tag 56-SenderCompID (i.e. Firm ID) | tag 1693-PartyDetailRole=1 (executing firm) | |
tag 1-Account tag 9771-MMAccount | tag 1693-PartyDetailRole=24 (customer account) | |
tag 7928-SelfMatchPreventionID | tag 2362-SelfMatchPreventionID | |
tag 8000-SelfMatchPreventionInstruction | ||
tag 1031-CustOrdHandlInstruction | ||
tag 1731-AveragePriceGroupID | ||
tag 819-AveragePriceIndicator | ||
tag 1598-ClearingTradePrice | ||
tag 5149-Memo | ||
n/a | tag 1693-PartyDetailRole=118 (operator) | |
n/a | tag 1693-PartyDetailRole=96 (take up firm) | |
n/a | tag 9708-CumtaGiveUpCD | |
n/a | tag 582-CustOrderCapacity | |
n/a | tag 1816-ClearingAccountType | |
tag 6-AvgPx | Delete | Deprecated |
tag 20-ExecTransType | ||
tag 78-NoAllocs | ||
tag 337-ContraTrader | ||
tag 375-ContraBroker | ||
tag 442-MultiLegReportingType | ||
tag 9717-CorrelationCIOrdID |
...
Info |
---|
All fields may not be applicable to all messages for example tag 8000-SelfMatchPreventionInstruction may or may not be used on a particular order. |
Application Messages
All iLink application messages always include a reference to the registered or pre-submitted administrative information (i.e. Party Details List Request ID).
The iLink 3 Order Entry Application layer, entails the business transaction functionality provided by CME Globex. For more information about the business functionality, refer to iLink 2 Order Entry - Business Layer.
From Client System to CME Globex
Only the following iLink 3 application messages may be sent to CME Globex:
Message Name | Message Level Changes | Gateway |
---|---|---|
Sent by customers wishing to enter an order in the system; the behavior of an order can be affected by many parameters such as order type and validity. | CGW | |
iLink 3 Order Cancel Replace Request | Sent by a customer wishing to replace an existing order in the system; an order is typically modified a number of times during its life-cycle with the caution that various order characteristics (e.g. priority) behave differently with regard to modification.
| CGW |
iLink 3 Order Cancel Request | Sent by a customer wishing to cancel an existing order in the system; an order may be cancelled by referencing the Order ID. | CGW |
iLink 3 Mass Quote | Authorized market makers use Mass Quoting to submit bid/ask pairs and generate two-sided markets for multiple options instruments. Remove repeating group tag 296-NoQuoteSets Add repeating group tag 295-NoQuoteEntries:
| CGW |
The Quote Cancel message is used by a market maker to cancel all quotes or a partial set of quotes submitted during a specific session:
Add repeating group tag 296-NoQuoteEntries:
Update repeating group tag 295-NoQuoteEntries:
| CGW | |
iLink 3 Order Status Request | The message is submitted by clients to obtain the current status of a specific order:
Minimum set of required fields for order status; no need to send all of the order fields again such as :
| CGW |
iLink 3 Order Mass Action Request | An Order Mass Action Request is sent by customers to cancel working orders for a given Executing Firm.
| CGW |
iLink 3 Order Mass Status Request | The Order Mass Status Request message requests the status for orders matching criteria specified within the request.
| CGW |
iLink 3 New Order Cross | The cross order contains two order sides (buy and sell), each containing information about that side, including buyer, seller and ClOrdID field.
| CGW |
iLink 3 Request for Quote | Customers who wish to trade an instrument for which the order book is blank or stale can request a quote to create the book using a quote request message.
Tag 9943-QuoteType is deprecated. | CGW |
iLink 3 Security Definition Request | User-Defined Spreads provide users the ability to create spreads composed of their choice of leg instruments, leg ratio, and leg side. New tags:
Update repeating group tag 555-NoLegs:
New repeating group tag 711-NoUnderlyings:
| CGW |
iLink 3 Party Details Definition Request | The Party Details Definition Request message (35=CX) is used to define all of the customer administrative information; e.g. clearing instructions, order source, self match parameters, etc. | SGW / CGW |
iLink 3 Party Details List Request | The Party Details List Request message (35=CF) is used to request all of the PartyDetailsDefinition information for a particular firm ID. Only one Party Details List Request is allowed at a time and the earlier one must be processed completely before a later request is allowed. | SGW |
iLink 3 Execution Acknowledgment | The Execution Report Acknowledgment message is an optional message that provides dual functionality to notify CME that an electronically received execution has either been accepted or rejected. | CGW |
From CME Globex to Client System
Only the following iLink application messages will be received from CME Globex:
Message Name | Message Level Changes | Gateway | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
iLink 3 Business Reject | The Business Message Reject message notifies customers a message has failed application-level business validation. Business Reject message will be used in these scenarios:
| CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Execution Report - New is sent in response to New Order Single as well as activation of stop orders Tag 2422-OrderRequestID is used to tie responses to requests Execution Report - New message does not contain these fields
| CGW | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
iLink 3 Execution Report - Modify | Execution Report - Modify message is sent in response to Order Cancel Replace Request
Execution Report - Modify message does not contain these fields
| CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
iLink 3 Execution Report - Cancel | Execution Report - Cancel message is sent in response to Order Cancel Request as well as to report unsolicited cancellation of orders due to:
Tag 2422-OrderRequestID is used to tie back responses to request Execution Report - New message does not contain these fields
| CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
iLink 3 Execution Report - Status | Execution Report - Status message is sent in response to Order Status Request or Order Mass Status Request
To make the exchange FIX compliant, now current state of the order will be represented by tag 39-OrderStatus and the specific type of event will be represented in tag 150-ExecType
Execution Report - Status message does not contain these fields
| CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The Execution Report - Trade (Outright/Spread/Leg) messages are sent upon fill or partial fill of client order:
To make the exchange FIX compliant, now current state of the order will be represented by tag 39-OrderStatus and the specific type of event will be represented in tag 150-ExecType
Execution Report - Trade (Outright/Spread/Leg) messages does not contain these fields:
Execution Report - Trade Spread Leg message does not contain these fields:
| CGW | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
iLink 3 Execution Report - Elimination | The Execution Report - Elimination message is sent at order elimination Execution Report - Elimination message does not contain these fields
| CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
iLink 3 Execution Report - Reject | The Execution Report - Reject message notifies client system of rejected order
Execution Report - Reject message does not contain these fields:
| CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
iLink 3 Execution Report - Trade Addendum Outright | The Execution Report - Trade Addendum (Outright/Spread/Leg) message notifies client system of trade cancellation or correction for outright, spread, and leg
Example:
Execution Report - Trade Addendum Outright/Spread/Legs message does not contain these fields
Execution Report - Trade Addendum Spread Leg does not contain these fields:
| CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
iLink 3 Execution Report - Trade Addendum Spread | CGW | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The Order Cancel Reject message is issued upon receipt of a cancel request message which cannot be honored and a rejected cancellation will generate an Order Cancel Reject message
State of the cancel/modification will be represented by tag 39-OrderStatus & tag 434-CxlRejResponseTo
Execution Report - Order Cancel and Cancel Replace Reject messages do not contain does not contain tag 41-OrigCIOrdID | CGW | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
iLink 3 Security Definition Response | This message is sent in response to an attempt to create a new security definition The Security Definition message is used for the following:
Tag 602-LegSecurityID is use for spread leg identification The following tags are no longer being used:
| CGW | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
The Mass Quote Acknowledgment message is used as the response to a Mass Quote to notify customers of accepted and rejected quotes The Mass Quote Acknowledgment message contains the number of successfully processed quotes and a list of rejected quotes identified by tag 299-QuoteEntryID Only one quote set allowed per message to avoid nested repeating groups—this means that quote set itself is not represented as a repeating group | CGW | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Request for Quote Ack message is used in response to a Request for Quote message to either accept it or reject it | CGW | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Quote Cancel Ack message is used in response to a Quote Cancel message to either accept it or reject it.
| GGW | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
An Order Mass Action Report is used to acknowledge an Order Mass Action Request and is sent by CME back to the customer since it is meant to verify that CME has successfully received and processed the Order Mass Action Request | CGW | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Used to respond to the Party Details Definition Request message indicating whether the request has been accepted
The Party Details Definition Request Acknowledgment message will be sent by CME via:
Only one party update allowed per message to avoid nested repeating groups Customer and Account classification fields will be included to facilitate risk management functions via Drop Copy:
Also depending upon the type of message the amount of information contained in the Party Details Definition Request Acknowledgment could vary; for example:
| SGW/CSGW | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Used to replay all of the Party Details Definition information such as clearing instructions, order source, self match parameters etc for a particular firm ID Each Party Details Definition will be returned as a separate Party Details List Report message
| SGW |
Order Request Identifier
Tag 2422-OrderRequestID will serve as a Request message identifier. Customer can use tag 2422 to identify a request to enter, modify, or delete an order. CME Gobex will echo this value on the corresponding Execution Report.
Scenario 1 - Cancel/Replace Accepted the Fill
This example shows the behavior of tag 2422-OrderRequestID in a scenario where Client System 2 submits an Order Cancel Replace Request and the modified order matches.
Gliffy | ||||||
---|---|---|---|---|---|---|
|
Scenario 2 - Cancel/Replace Rejected then Fill
This example shows the behavior of tag 2422-OrderRequestID in a scenario where Client System 2 submits an Order Cancel Replace Request that is rejected and the original order matches.
...