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.

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

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.

• 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.

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

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 SenderCompID 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.

SFTP - MSGW 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).

• 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.

MSGW FIFO Message Processing

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

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 (the first 3 characters of tag 49-SenderCompID) and tag 1300-MarketSegmentID. 

CME Globex is currently comprised of 17 market segments. The number of market segments and the instruments listed on each can change in the future. Customers are strongly encouraged to rely programmatically on tag 1300-MarketSegmentID in the Market Data Security Definition message to route orders to the correct MSGW.

Tag 57-TargetSubID

Customers may connect directly to all Market Segment Gateways using the same Session ID. Customers can use tag 1300-MarketSegmentID from the market data Security Definition (tag 35-MsgType=d) message to specify the market segment for the products they want to trade on CME Globex.

For iLink messages sent from the client system to CME Globex, MSGW customers can leverage tag 57-TargetSubID to specify the market segment of the instrument. Tag 57-TargetSubID contains the tag 1300-Market SegmentID value. CME Globex will respond and echo back tag 57-TargetSubID values submitted in the customer iLink message on tag 50-SenderSubID.

Example

• MSGW will reject any attempts to logon with an incorrect Market Segment ID with a Logout message (tag 35=5) including tag 58 = Invalid TargetSubID(tag 57).

• MSGW will reject any application message with an instrument not assigned to that particular Market Segment ID with a Session Level Reject(tag 35=3) including tag 58 = Invalid SecurityDesc(tag 107).

MSGW Failover Scenarios

During a MSGW failover from the primary to the backup instance, customer iLink messages will be rejected.

During the primary MSGW failover to backup:

• CME Globex initiates failover to backup MSGW.
  
  

  • CGWs will reject all incoming business messages for instruments on the impacted Market Segment with a Session Level Reject (tag 35=3) with tag 58=Technical Error – Market Segment: <MarketSegmentID> is not available at this time.

• If the MSGW failing over is for a futures engine, all of the options on the associated options engine will automatically transition to a trading halt (MDP Security Status(tag 35-MsgType=f) message with tag 326-SecurityTradingStatus=2 and tag 327-HaltReason=0). This trading halt applies to all of the options on the market segment. All resting mass quotes are cancelled during the transition. During the halt, customers can submit, modify and cancel orders. Mass quotes are rejected. This halt is maintained for a few seconds after the futures MSGW has resumed trading.

• Technical Pause is introduced, which allows customers to cancel existing orders and to ensure that all messages sent during the MSGW failover are acknowledged by CME Globex.

  • Technical Pause is indicated by MDP Security Status (tag 35-MsgType=f) message  with:

    • tag 326-SecurityTradingStatus=2 (Trading Halt) and tag 327-HaltReason=6 (Recovery in process)

  • During the Technical Pause only order cancellation is allowed.

  • There are 2 scenarios where technical pause will be initiated:

    • The current market state is in a less restrictive state than Pause (i.e. Open, Pre Open)

    • The current market state is already in Pause

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  • After the Technical Pause:

    • MSGW will replay customer iLink messages that were not processed during the failover

    • CME Globex will reject those replayed messages, except Cancel messages.

• Technical Pre Open - Technical Pre Open will follow the technical pause to allow adequate time for order entry and price discovery before reopening the markets.

  • Technical Pre Open MDP Security Status(tag 35-MsgType=f) message is generated with:

    • MDP 3.0: tag 326-SecurityTradingStatus=21 (Pre Open) and tag 327-HaltReason=6 (Recovery in process).

    • tag 326-SecurityTradingStatus=21 (Pre Open)

  • During the Technical Pre Open state, Order Entry is allowed, except for FAK, FOK, and Market order types.

  • Similar to the Technical Pause, if the current market state is more restrictive than Pre Open, Pre Open will not be initiated.

• After the market is re-opened, order entry will be allowed.

The following diagram illustrates the process above.

Backup MSGW Failure

If the backup MSGW fails:

• The failure of a backup component will not affect the primary connection state.

• The failed backup MSGW is restored.

CME Globex Timestamps

 Watch this brief video for an overview of CME Globex timestamps.

The diagram shows all timestamps for iLink and MDP 3.0 messages:

• All MDP 3.0 timestamps are in nanoseconds with microsecond precision.

• The iLink timestamp (tag 5979-RequestTime) is in nanoseconds with microsecond accuracy.

• Timestamp(1) on iLink and MDP 3.0 represents the time when the order reaches the Market Segment Gateway.

• Timestamp(1) is included in the MDP 3.0 Trade Summary and Order Book Update messages.

• A customer can compare timestamps with an aggressor’s timestamp to determine how much later the customer's order was submitted.

Nanosecond Timestamp (tag 5979-RequestTime)

To provide more transparency between iLink order entry and MDP 3.0 market data, iLink supports a FIX tag 5979-RequestTime on all Convenience Gateway (CGW) and Market Segment Gateway (MSGW) sessions.

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.

Tag 5979-RequestTime will be added to the following iLink application messages sent from CME Globex to the client system:

• Execution Report: Order Creation, Cancel, or Modify (tag 35-MsgType=8, tag 39-OrdStatus=0, 4 or 5)

• Execution Report: Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)

• Execution Report: Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H) 

• Execution Report: Order Elimination (tag 35-MsgType=8, tag 39-OrdStatus=4 or C

• Execution Report Order Status Request Acknowledgment (tag 35-MsgType=8, tag 150-ExecType=I)

• Execution Report: Reject (tag 35-MsgType=8, tag 39-OrdStatus=8)

• Order Cancel/Replace Reject (tag 35-MsgType=9, tag 434-CancelRejResponseTo=2)

• Order Cancel Reject (tag 35-MsgType=9, tag 434-CancelRejResponseTo=1)

• Order Mass Action Report (tag 35-MsgType = BZ)

• Quote Acknowledgment (tag 35-MsgType=b)

• Quote Reject (tag 35-MsgType=b, tag 297-QuoteAckStatus =5)

• Quote Cancel Acknowledgment (tag 35-MsgType=b, tag 297-QuoteAckStatus=1, 3, 4 or 5 without tag 9775-UnsolicitedCancelType)

  • Only for Solicited Quote Cancel

All Administrative messages and the following Application messages sent from CME Globex to the client system will not include this new tag:

• Quote Cancel Acknowledgment (tag 35-MsgType=b, Tag 9775--UnsolicitedCancelType=A, B, C, D, E, F or H)

  • Only for Unsolicited Quote Cancel

iLink Unsolicited Outbound Message Scenario

For unsolicited outbound messages where there are no iLink inbound messages, tag 5979 will represent the time at which the transaction is processed on the trading engine in nanoseconds.

Tag 60-TransactTime contains the time when a customer iLink message reaches the MSGW, where applicable. Otherwise, tag 60 represents the trading engine event time.

Customers may use iLink tag 60 or tag 5979 interchangeably, depending on the level of timestamp granularity needed, and can leverage them in combination with the MDP 3.0 tag 60 value.

• the iLink tag 60 value will be derived from iLink tag 5979-RequestTime, but represented in the existing UTC format with millisecond precision. 

• MDP 3.0 tag 60 timestamp is sent in number of nanoseconds since the Unix epoch synced to a master clock to microsecond accuracy.

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