For iLink order entry on the CME Globex platform, CME provides two gateway access models.
- Convenience Gateway (CGW) - provides a connection to any CGW session, which manages routing for all order entry messages to all market segments; routing is transparent to customer.
- Market Segment Gateway (MSGW) - provides a connection to a dedicated market segment, which is defined as a group of products on a given trading engine instance.
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Connecting directly to MSGWs involves a separate Session ID model, messaging behavior, and functional differences from that of the CGW. |
Customers can choose
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to access CME Globex markets through the
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MSGWs or CGWs, which route through the MSGWs.
Contents
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For CGW, Session ID can exist on only one CGW.
For MSGW, Session IDs are shared across multiple MSGWs. Customers utilize a single Session ID, password, and port across all MSGWs.
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| name | iLink-Architecture-Convenience-and-Market-Segment-Gateways |
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| pagePin | 2 |
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Sequence streams are unique per Market Segment ID and Session ID combination. For example, if session ABC has logged into Market Segment ID 50 and 60, then session ABC could receive Execution Reports from both market segments with the same message sequence number (tag 34-MsgSeqNum). |
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iLink Fault ToleranceFor iLink, Fault Tolerance is managed at the gateway application level. iLink has a designated host that is primary and another that is designated backup. - Customers must successfully log on to the primary before attempting to log on to the backup.
- If a session logs on to the backup gateway before logging on to the primary gateway, CME Globex will send a Logout message (tag 35-MsgType=5), with tag 58-Text = Invalid Logon. Must be logged on to Primary. Logout forced.
- Customers can only trade through primary connections.
- Customers can connect to the backup, but can send only Administrative messages (e.g. Test Request, Heartbeat). Application messages sent to a backup gateway are rejected.
- Disconnecting or logging out from the primary gateway—either client- or exchange-initiated—will trigger an automatic logout or disconnect from the backup gateway as well, except in the Primary gateway failure scenario.
- A Logout message (tag 35-MsgType=5) with tag 58-Text = Logout initiated due to disconnect on primary connection will be sent from CME Globex to the customer.
- If the primary gateway fails, failover occurs by promoting the backup gateway to assume the primary role.
- During the designated primary instance failure condition, CME Group may keep the designated backup instance as primary gateway.
- Customers who experience log on issues with their primary iLink sessions must rely on the reason text (tag 58) to detect if they are connecting to primary gateway, which could be different than the primary host IP address.
- To re-establish connection successfully, customer must log on to their backup iLink sessions.
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| Client systems must examine tag 58-Text of the logout message to successfully reestablish connection to the newly promoted primary. |
iLink Fault Tolerance Scenarios| Scenarios | Given Primary Gateway State | Given Backup Gateway State | When | Then Primary Connection State | Then Backup Connection State | Result |
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| Initial Logon to Primary Session | Not connected | Not connected | Logon to primary followed by Logon to backup | Logged on | Logged on | Client system uses the fault tolerance feature. Client system must send a Logon message to primary gateway first with the Fault Tolerance Indicator (FTI) in tag 49-SenderCompID set to 'U' for undefined. | | Initial Logon to Primary Session | Not connected | Not connected | Logon to backup |
| Logged out | New behavior Client system sends a Logon to backup gateway first. CME Globex sends a Logout (tag 35-MsgType=5) message. | | Primary Session Disconnect | Logged on
| Logged on | Disconnect from primary | Disconnected | Logged out | Client system is disconnected from primary gateway, the backup connection is logged out as well. All resting orders are cancelled for all Cancel on Disconnect registered iLink sessions. All resting quotes are cancelled on behalf of the iLink 2 Mass Quote customers. | | Backup Session Disconnect | Logged on | Logged on | Disconnect from backup | Logged on | Disconnected | A TCP disconnection from backup gateway does not affect primary connection. Resting orders and quotes are not cancelled. | | Logout from Primary Session | Logged on | Logged on | Logout from primary | Logged out | Logged out | Client system is logged out from primary gateway, the backup connection is logged out as well. If the logout is exchange initiated, all resting orders are cancelled for all Cancel on Disconnect registered gateway sessions. All resting quotes are cancelled on behalf of the Mass Quote customers. | | Logout from Backup Session | Logged on | Logged on | Logout from backup | Logged on | Logged out | Logout from backup gateway does not affect primary connection. All resting orders and quotes are not cancelled. | Logon with Fault Tolerance (FTI value of U, P, or B) | Logged on | Logged on | Primary MSGW Failure | Disconnected | Backup connection becomes Primary | Newly promoted primary will send a heartbeat. Resting orders are not cancelled. All resting quotes are cancelled on behalf of Mass Quote customers. | Logon with Fault Tolerance (FTI value of U, P, or B) | Logged on | Not connected | Primary MSGW Failure | Disconnected | Session must connect and login to the new promoted primary. | All resting orders are cancelled for all Cancel on Disconnect registered iLink sessions. All resting quotes are cancelled on behalf of Mass Quote customers. | Logon without Fault Tolerance (FTI value of N) | Logged on | Not allowed to connect | Primary MSGW Failure | Disconnected | Session must connect and login to the new promoted primary. | All resting orders are cancelled for all Cancel on Disconnect registered iLink sessions. All resting quotes are cancelled on behalf of Mass Quote customers. | Logon with Fault Tolerance (FTI value of U, P, or B) | Logged on | Logged on | Backup MSGW Failure | Logged on | Session must connect and login to the restored backup. | The failed backup is restored. All resting orders and quotes are not cancelled. | Logon without Fault Tolerance (FTI value of N) | Logged on | Not allowed to connect | Backup MSGW Failure | Logged on | Not connected | The status of the primary connection remains intact. All resting orders and quotes are not cancelled. |
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- A TCP disconnection or a FIX logout can be either client-initiated or Exchange-initiated.
- A TCP disconnection or a FIX logout does not lead to failover; only gateway failure leads to failover.
- When client systems are logged out or disconnected from the primary connection, they will be logged out from the backup connection as well, if applicable. (Does not apply to the Primary gateway failure scenario.)
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| name | iLink-Architecture-Market-Segment-Gateway-Ordered-Messaging |
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| pagePin | 2 |
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Packet size maximum behavior based on MTU (Maximum Transmission Unit) - 1420 bytes, as defined on our network - If a customer sends a packet with an incomplete message, the message will be processed once the subsequent packet completes the message. The message is entered into the FIFO queue on the MSGW only when the message is complete.
- If a customer sends a packet with one or more complete messages and a partial message at the end, all complete messages from that packet will be processed immediately and the partial message is held to be processed on the subsequent packet(s).
- If a customer sends a packet with an incomplete message and the first complete message of the next packet on that session is not the continuation of the message, the MSGW will merge both messages into a single message and then discard the message due to the invalid tag 10-CheckSum value.
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| name | Pre-Launch Failover |
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| pagePin | 1 |
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Session Level Reject (tag 35=3) with tag 58=Technical Error – Market Segment: <MarketSegmentID> is not available at this time is sent for CGW sessions only. |
Backup MSGW Failure
If the backup MSGW fails:
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This timestamp represents the time the customer iLink message was received by the Market Segment Gateway and had FIFO order handling applied. The tag provides the date and time, in Universal Time Coordinated (UTC), represented in nanoseconds past the UNIX epoch time (00:00:00 UTC on 1 January 1970). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.
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CME Globex uses SolarFlare’s WODA (wire order delivery API) for this new timestamp. |
| Tag | Name | Req | Type | Max Length | Description |
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5979 | RequestTime | N | Int | 20 | Information carried on a response to convey the time (UTC) the outbound message was processed by the MSGW application. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy. |
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- Quote Cancel Acknowledgment (tag 35-MsgType=b, Tag 9775--UnsolicitedCancelType=A, B, C, D, E, F or H)
- Only for Unsolicited Quote Cancel
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To ensure the 5979 timestamp never reflects an out-of-sequence event, in certain cases CME Globex will increment timestamp value. These forced timestamps still accurately reflect the sequence of events on the MSGW. |
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Production
Configuration
sftpng.cmegroup.com
cmeconfig
G3t(0nnect3d
/MSGW/Production/Configuration
daily
Certification
/MSGW/Cert/Configuration
daily
New Release Certification
/MSGW/NRCert/Configuration
daily
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.