The Drop Copy 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 on a separate, dedicated path.
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.
The Drop Copy service is available for iLink messages on orders submitted to the CME Globex platform via iLink or CME Direct. Customers can choose to receive the following message types over a Drop Copy connection configured to the following three levels:
Trade Execution Reports: These messages can be used to determine a customer's filled positions.
- iLink 2 Execution Report - Fill Notice (complete and partial fills)
- iLink 2 Execution Report - Trade Cancel
- iLink 2 Execution Report - Trade Correction
Order Entry Acknowledgments: These messages can be used to determine a customer's filled positions.
- Execution Report - Order Creation, Cancel, or Modify
- iLink 2 Execution Report - Order Elimination
- iLink 2 Order Mass Action Report
All of the Above including:
- All Trade Execution Reports
- All Order Entry Acknowledgements
Customers may connect to Drop Copy via an existing network connection or establish a new connection dedicated to the Drop Copy service.
Mass Quote Acknowledgments are not supported.
Contents
Testing and Certification
Certification for Drop Copy is mandatory for all markets and comprised of three test suites to validate client system ability to receive and process Drop Copy messages and session layer management.
For more information contact Certification Support for Electronic Trading (CSET).
Coordination with Global Account Management (GAM)
To initiate Drop Copy functionality, customers must submit the Schedule 12-Drop Copy Service form specifying the name of the Drop Copy Group, how billing for Drop Copy is to be administered, which message types are received over the Drop Copy session, and individuals authorized by the Clearing Firm to administer changes to the Source sessions configured for the Drop Copy group. Once the approved request form is submitted, the Global Account Manager initiates scheduling and configuration. The customer receives standard connection information for the Drop Copy Target session(s) including:
- SenderCompID – seven digit alphanumeric value consisting of:
- 6-character Session ID
- 1-character Fault Tolerance Indicator = 'N' (no fault tolerance)
The SenderCompID should not be changed by client systems using Drop Copy functionality (i.e. no changing firms for route-through). If you do not send the correct SenderCompID, the message will be ignored.
- IP primary address
- IP backup address
- Port
- Password
For questions about Drop Copy, related to iLink or CME Direct, please contact Global Account Management (GAM).
Additional information is available from the Drop Copy - Frequently Asked Questions.
Drop Copy Fees
Configuration of the Drop Copy service should be requested through your Global Account Manager. Once the completed Schedule 12 is submitted all configuration requests for Drop Copy must be submitted by an authorized contact for the Drop Copy Group. The configuration request should include which iLink Source sessions should be configured to feed the Drop Copy Group as well as the message types the customer wishes to receive for the Drop Copy Group.
Customers can also choose to implement Drop Copy Automation based on their Execution Firm ID or if they are a Clearing Firm (CME Class A Clearing Firm ID). See Schedule 12, Section II B for details or contact your Global Account Manager.
A monthly fee for the Drop Copy service is charged as a separate line item on regular monthly CME Globex connection billing. This fee is assessed on a per Drop Copy Group basis with the fee waived for the customer's first Drop Copy Group.
Please refer to Exhibit A of the Customer Connection Agreement for the current fee schedule applicable to this service.
Warning
Due to load balancing and optimization of the iLink order entry infrastructure, the aggregation of Source session data under a single Drop Copy group is subject to constraints that may require a customer to maintain multiple Drop Copy Target sessions. Customers must be able to accommodate this contingency.
Drop Copy Bandwidth Impact
Since Drop Copy Target sessions transmit Acknowledgment and Execution messages only (no market data), bandwidth impact should be minimal, but is dependent upon the number of Source sessions bundled to the Drop Copy Group. Drop Copy uses the same packet size as an outbound iLink message, i.e., thirty Source sessions will use the equivalent bandwidth of thirty iLink Source session Execution Report and reject messages.
Drop Copy Terminology
The following table highlights the terms and definitions used in the service.
| Term | Definition |
|---|---|
| Administration Messages | Message types used to establish and maintain a FIX session, e.g. Logon. |
| Application Messages | Message types sent over a session to perform business functions, e.g., New Order. |
| Drop Copy Group | A customer-defined group of Target Sessions, which are a group of iLink source sessions to which drop copy data will be delivered (e.g., all the iLink sessions for a given business unit, trading customer or clearing firm). |
| Source Session | Client iLink session from which the Drop Copy Application messages originate. A given iLink source session ID will be in one target session. |
| Target Session | Exchange defined FIX session over which drop copy data is delivered. A single Drop Copy Group may have multiple Target sessions based on the configuration characteristics of the Source sessions which feed the Drop Copy Group. |
| Gap Fill | Notification of missing messages sent to client system with the Sequence Reset (tag 35-MsgType=4, tag 123GapFillFlag=Y) message. For Drop Copy, this message alerts the client system to initiate the Application Resend. |
| Resend | The process by which, in the event of missed messages, the client system requests and Drop Copy resends the missed messages using the FIX Resend – Standard FIX resend process using the iLink 2 Resend Request message. |
In the Application Resend process, the message sequence range is sent in the Application Message Request Acknowledgment (tag 35-MsgType=BW) in tags 1182-ApplBeginSeqNo and 1183-ApplEndSeqNo.
Technical Specifications
The following topics provide the technical details for each Drop Copy feature.
All risk management services are offered by CME Group on a best-efforts basis. Clearing Member Firm (CMF) Risk Administrators only have access to the Execution Firms and Exchanges that they guarantee. Any attempt to take action on an Executing Firm and Exchange assigned to a different CMF will be rejected.