This topic provides information about CME Globex messaging controls. Extraordinary and excessive messaging rates generated by a client system can negatively impact all market participants (for example, by creating performance latencies). The CME Globex messaging controls are designed to address this risk by:
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| Message Types | Enforcement Schedule | Reject Threshold | Logout 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) Quote Request (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 | Sunday 15:00-17:00 Central Time (CT) Monday-Thursday 16:30-17:00 CT | 100 | 150 | |
| All other hours | 500 | 750 |
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Mass Quote and Quote Cancel are not subject to these application messaging thresholds. |
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The number of active or queued Order Status Requests (OSR) per iLink session is limited to 50. Order Status Requests (OSRs) that exceed the allowed number of active and queued requests will be rejected with a Session Level Reject (tag 35=3) with tag 58=Exceeded maximum number of unacknowledged OSR requests. New OSRs may be submitted as each OSR is fulfilled. CME Group recommends that customers wait for each OSR to be fulfilled before submitting a new request. |
Mass Quote Messaging Thresholds
All mass quote messaging is measured in messages per second (MPS) over a three-second window. If an iLink session exceeds the mass quote threshold, subsequent mass quote messages will be rejected via a Session Level Reject (tag 35-MsgType=3) message until the mass quote MPS rate falls below the threshold. On a best-efforts basis, CME Group will cancel all resting quotes when an iLink sessions exceeds the Mass Quote reject threshold.
Mass Quote Messages:
- Mass Quote (tag 35-MsgType=i)
- Quote Cancel (tag 35-MsgType=Z)
| Environment | Message | Reject Threshold | Logout Threshold | Interval |
|---|---|---|---|---|
Production | Mass Quote and Quote Cancel Messages
| 400 MPS | 750 MPS | Three-second window
|
New Release | 30 MPS | 70 MPS |
Administrative Messaging Thresholds
iLink and Drop Copy administrative messages are subject to thresholds.
The thresholds are in place for the following Administration message types:
- Logon (tag 35=A)
- Heartbeat (tag 35=0)
- Test Request (tag 35=1)
- Resend Request (tag 35=2)
- Session Level Reject (tag 35=3)
- Business Level Reject (tag 35=j)
- Sequence Reset (tag 35=4)
- Logout (tag 35=5)
- Unknown message types
- Malformed Administrative and Application messages
- Administrative and Application Messages with invalid sequence numbers
- Administrative messages that fail session validation
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Detailed information on CME Globex Port Closure Policy is available: http://www.cmegroup.com/globex/trading-cme-group-products/gcc-support.html.
Drop Copy
For Drop Copy, CME Group will automatically close the ports for any Drop Copy session that:
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Clients can test Messaging Controls in the New Release environment with more restrictive messaging thresholds versus production. For additional information regarding New Release messaging thresholds, contact Certification Support for Electronic Trading (CSET).
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More information is available on iLink 3 Messaging Controls. |