iLink 3 Binary Order Entry

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yesterday at 11:02 AM
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The iLink 3 order entry protocol on CME Globex provides:

  • Simple Binary Encoding (SBE) - optimized for low latency of encoding and decoding 

  • FIX Performance (FIXP) protocol - supports simple session layer management; no session-level information (e.g. headers) required

  • Optimized order entry on the CME Globex platform for futures, options, BrokerTec, and EBS markets

  • Lean messages move administrative information out of order entry business message

  • Standard message size, fixed positions, and fixed length fields 

  • Consistent encoding method for market data and order entry

  • XML schema and templates for order entry as with MDP 3 

All iLink 3 sessions are Cancel on Disconnect (CoD) mandatory, except iLink 3 CGW sessions for futures and options markets.

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Contents

See Also

Video Overview

View the video for the iLink Order Entry module of CME Globex 101.

iLink 3 Gateway Considerations

iLink 3 launch has the following considerations for Convenience Gateway (CGW), Market Segment Gateway (MSGW), and Drop Copy Gateway (DCGW) customers:



CGW

MSGW

DCGW



CGW

MSGW

DCGW

iLink 3

  • CGW sessions will support ilink2 and iLink 3 in parallel until December 31, 2024.

  • Only iLink 3 supports access to BrokerTec and EBS markets.

    • CGW customers must migrate to MSGW and iLink 3 to access the full array of CME Globex markets.

  • Only MSGW sessions support iLink 3.

  • Drop Copy supports both iLink 3 and iLink 2 source sessions.

  • The encoded payload messages sent on Drop Copy with iLink 3 source sessions will be in ASCII format, but reflect the behavior described in the Drop Copy Client Functional Specification.

If an iLink 2 message is received on an iLink 3 session, the session will be terminated immediately.

Market Integrity Controls

Automated Port Closure

CME Globex will automatically terminate and close both the primary and backup ports for any iLink 3 session on the 5th invalid negotiate and establish attempts in 60 seconds.

Negotiate messages may be invalid due to:

  • Invalid or missing UUID

  • Invalid or missing HMAC Signature

  • Invalid or missing RequestTimestamp

  • Invalid or missing AccessKeyID

  • Invalid or missing Session

  • Invalid or missing Firm

  • Sending Negotiate message without waiting for NegotiationResponse/NegotiationReject from previous Negotiate message

  • Sending Negotiate message when session is already negotiated 

  • Sending Negotiate message when session is already established

Establish messages may be invalid due to:

  • Invalid or missing UUID

  • Invalid or missing HMAC Signature

  • Invalid or missing RequestTimestamp

  • Invalid or missing AccessKeyID

  • Invalid or missing Session

  • Invalid or missing Firm

  • Invalid or missing NextSeqNo

  • Sending Establish message without waiting for EstablishmentAck/EstablishmentReject from previous Establish message

  • Sending Establish message when session is already established 

  • Sending Establish message when session is not negotiated

  • Missing ApplicationSystemName

  • Missing TradingSystemVersion

  • Missing ApplicationSystemVendor

  • Invalid or missing KeepAliveInterval

Automated Port Closure can also be triggered by customers sending messages other than Negotiate and Establish when the session has not been successfully established.

When triggered, CME Globex will send a Terminate message with tag 39012-ErrorCodes=8 (CMEAdministeredPortClosure: due to invalid number of Negotiate/Establish attempts being exceeded).

  • Sessions with active-active fault tolerance will receive the Terminate message on both the primary and backup instances.

  • Sessions without fault tolerance will only receive the Terminate on the primary instance, but both the primary and backup ports will be closed.

Primary and secondary clearing firm administrators must contact the Global Command Center directly to have a port re-opened.

Messaging Controls

Messaging Controls prevent violation of the maximum Transactions per Second (TPS) rule. Messaging Controls measure Transactions per Second (TPS) and are enforced at the iLink session level.

iLink 3 will have the same messaging controls as iLink 2 except for the changes described below.

Application Messaging Controls

Module

Messaging Controls

Module

Messaging Controls

Common

New Order (D)

Cancel-Replace (G)

Status Request (H)

Security Definition (c)

Mass Status Request (AF)

Quote Request (R)

New Order Cross (s)

Party Details Definition Request (CX)

Party Details List Request (CF)

Cancel

Cancel (F)

Mass Cancel (CA)

Mass Quote

Mass Quote (i)

Mass Quote Cancel (Z)

Application Messaging Thresholds

Messages submitted by the client system on an iLink 3 session are monitored by the number of messages sent over a pre-defined time interval. The time interval begins with the first message processed. At the end of the interval, if no violation has occurred, the message count and interval reset pending the next message processed.

If an iLink 3 session exceeds one or more of the Reject thresholds, subsequent messages are rejected via a BusinessLevel Reject (tag 35-MsgType=j) message until the messages per second (MPS) rate falls below the threshold. Exceeding the larger Terminate threshold will result in a Termination of the offending iLink session. 

Message Types

Enforcement Schedule

Reject Threshold

Terminate Threshold

Interval

Message Types

Enforcement Schedule

Reject Threshold

Terminate 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)

Request for Quote (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

All other hours

500

750

Administrative Message Controls

The thresholds are in place for the following Administrative message types:

  • Negotiate

  • Establish

  • Terminate

  • Sequence

  • Retransmit Request

Messaging Thresholds and Action Types

Messaging Thresholds

Action Type

Message Type

Error Code

Messaging Thresholds

Action Type

Message Type

Error Code

Exceeding Reject Threshold

Reject subsequent messages until the TPS rate falls below the threshold.

Business Reject (tag 35-MsgType=j)

Tag 380-BusinessRejectReason=8

Exceeding Terminate Threshold

Terminate the offending iLink 3 session

Terminate (35=Terminate)

Tag 39012- ErrorCodes=9

Party Details Messages 

Party Details messages can be counted in Administrative or Application Messaging Controls depending on whether the messages are sent to MSGWs or OESGWs:

Messages

MSGWs

OESGW

Messages

MSGWs

OESGW

PartyDetailsDefinitionRequest messages with PartyDetailsListRequestID≠0

Administrative Message Controls

Common Module

PartyDetailsDefinitionRequest messages with PartyDetailsListRequestID=0

Common Module

*Regardless of whether the PartyDetailsDefinitionRequest message is sent on-demand directly preceding each New Order-Single, Order Cancel Replace Request , Order Cancel Request, etc.

Administrative Message Controls

PartyDetailsListRequest

Administrative Message Controls

Common Module

Developing from iLink 2 to iLink 3

The following table summarizes the considerations for client systems developing to iLink 3 and outlines the differences from iLink 2 to iLink 3.

Layer

Feature

iLink 2

iLink 3 

Layer

Feature

iLink 2

iLink 3 

Presentation

Message encoding

Tag value ASCII encoding

Simple Binary Encoding

Session

Authentication, Recovery

FIX Transport (FIXT)

FIX Performance Session Layer (FIXP)

Application

Business logic

FIX semantics

Improved  FIX semantics

Transport

End-to-end delivery

TCP

TCP – No change

Network

Virtual Circuits, Routing

IP

IP – No change

System Architecture

This diagram provides an overview of iLink order entry architecture.

  • MSGW sessions support only iLink 3.

Order Entry Service Gateway (OESGW) - SFTP Site Information

The OESGW configuration information (i.e. market segments and IPs) will be added to the MSGW config file via an SFTP site (sftpng.cmegroup.com), accessed via a CME Globex network direct connection. 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.

New Market Segment is defined for each OESGW  as follow:

<marketsegment id="6" label="CME Globex Order Entry Service Gateway for all CGWs">

<marketsegment id="8" label="EBS OESGW for all CGWs"> 

<marketsegment id="12" label="CME Globex Order Entry Service Gateway for all MSGWs">

<marketsegment id="14" label="BTEC US Order Entry Service Gateway’">  

<marketsegment id="16" label="BTEC EU Order Entry Service Gateway’">

<marketsegment id="18" label="EBS OESGW for NYC MSGW"> 

<marketsegment id="20" label="EBS OESGW for LON MSGW"> 

More details on the SFTP site is available on SFTP - MSGW Configuration.



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