For iLink order entry on the CME Globex platform, CME Group 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.

Connecting directly to MSGWs involves a separate Session ID model, messaging behavior, and functional differences from that of the CGW.

Customers can choose to access CME Globex markets through the MSGWs or CGWs, which route through the MSGWs.

Contents

iLink Architecture Video Overview

Watch this brief video for an overview of iLink architecture.

iLink Session Model

Convenience Gateway (CGW)

For CGW, Session ID can exist on only one CGW.

This diagram illustrates how an iLink Convenience Gateway (CGW) Session ID can exist on only one CGW.

Market Segment Gateway (MSGW)

For MSGW, Session IDs are shared across multiple MSGWs. Customers utilize a single Session ID, password, and port across all MSGWs.

• Customers use their given Session ID, password, and port to connect to different MSGWs by their IP address.

• Each iLink MSGW has a unique IP address for each of the primary and backup MSGWs.

Customers must manage the relationship between iLink sessions and corresponding IP addresses and market segments within their order management systems.

The diagram below shows how Session IDs are shared across multiple MSGWs.

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).

Convenience Gateway

Customers can continue access and trade on the "standard" iLink gateway, referred to as the iLink Convenience Gateway (CGW).

The CGW allows the client system to connect to any CGW session, which manages routing for all order messages.

CGW FIFO Message Processing Model

The CGW FIFO message handling is enforced once the message reaches the MSGW. The following diagram shows the CGW model in which the example Session, AB1, exists on a single gateway.

CGW Sequence Number Management

CGW message sequencing is managed using the SessionID value as in standard iLink Session Layer - Message Sequence Numbers.

Market Segment Gateway

One iLink MSGW provides connectivity to a single market segment. Currently there are 17 market segments or groups of products on a given trading engine instance.

Client system messaging must identify the market segment for order entry routing. Market Segment is defined for each instrument in tag 1300-MarketSegmentID in the MDP Security Definition message.

MSGW - SFTP Configuration

An SFTP site (sftpng.cmegroup.com), accessed via a CME Globex network direct connection, is used to disseminate the MSGW configuration information. The MSGW Configuration allows client systems to receive the list of all market segments and MSGW IPs. 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.

Table Key:

• Environment - specific environment (i.e., Certification, New Release, Production).

The Autocert+ tool will use the NR MSGW config file.

• Service - the Configuration service.

• SFTP Site - address of SFTP site.

• User Name - identifies the user name.

• Password - identifies the password.

• Directory Location - identifies the directory.

• Client System Update Schedule - Client systems should download updates according to the schedule specified.

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.

MSGW FIFO Message Processing

The MSGW ensures messages are processed in the order in which they arrive at the gateway.

 

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. 

MSGW Sequence Number Management

A single session is able to login to all 17 MSGW instances. To manage message sequence numbers, the customer must leverage the combination of Session ID and tag 1300-MarketSegmentID.