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Messaging Controls

Messaging Controls

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:

  • supporting valid trading activity, and

  • preventing a malfunctioning trading system from impacting the markets

To protect all market participants from the negative effects of excessive messaging, CME Group has implemented the messaging controls for iLink Order Entry as described below.

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

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 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.

  • For Convenience Gateway sessions, the messaging is measured for all market segments.

  • For MSGW sessions, the messaging is measured per market segment.

If an iLink 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

Mass Quote and Quote Cancel are not subject to these application messaging thresholds.

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

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 Controls

iLink and Drop Copy administrative messages are subject to thresholds.

iLink

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

  • Negotiate

  • Establish

  • Terminate

  • Sequence

  • Retransmit Request

Messaging Threshold for iLink Sessions

If an iLink session exceeds an average of 100 administrative messages per second (MPS) over a three-second window, subsequent administrative messages will be rejected until the administrative MPS rate falls below the threshold.

CME Group will automatically close the ports for any iLink session that:

  • exceeds 200 administrative messages per second over a three-second window, or

  • exceeds 5 invalid Negotiate/Establish messages in 60 seconds

Detailed information on CME Globex Port Closure Policy is available: http://www.cmegroup.com/globex/trading-cme-group-products/gcc-support.html.

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 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

Drop Copy

For Drop Copy, CME Group will automatically close the ports for any Drop Copy session that:

  • exceeds 5 invalid Logon (tag 35=A) messages in 60 seconds, or

  • sends any message other than a Logon before the session has successfully logged in.

Additionally, Drop Copy sessions are subject to the following administrative messaging thresholds:

Messaging Threshold for Drop Copy Sessions

Environment

Reject Threshold

Logout Threshold

Interval

Environment

Reject Threshold

Logout Threshold

Interval

New Release

401

501

Three-second window

Production

100

200

Three-second window

Messaging Controls in the Test Environments

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).

More information is available on iLink Messaging Controls.

 

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