CME Group customers leveraging the CME Drop Copy service to monitor sessions trading BrokerTec products on CME Globex must also be aware of the functional considerations described in this topic.

Customers implementing Drop Copy to monitor trading activity in BrokerTec markets on the CME Globex platform must first implement Drop Copy Service for iLink and refer to the BrokerTec-specific functionality described in this topic.

Information on iLink 3 Binary order entry for BrokerTec Markets is here.

Contents

BrokerTec Markets on CME Drop Copy

Current CME Group and BrokerTec customers developing Drop Copy applications to sequence Execution Report and Acknowledgment messages from target sessions trading BrokerTec products on CME Globex must be aware of the following.

CME Drop Copy Architecture

For customers choosing to consume message streams from source sessions trading BrokerTec products, a new Drop Copy target session is required.

A CME Drop Copy target session will be replicated across multiple Drop Copy Market Segment gateways, each receiving sequence streams comprised of messages from individual market segments. Duplicate sequence numbers may be received by the target session across market segments.

The diagram below shows the CME Drop Copy architecture managing Market Segment Gateway sequence streams.

CME Drop Copy Session Model

The Drop Copy service for client order entry systems trading BrokerTec products implements a SessionID and access model that offers MSGW target sessions.

MSGW target sessions will sequence streams from source sessions that are unique per market segment and session combination.

• CME Drop Copy users connect to a given MSGW by leveraging its unique IP address and assigned Drop Copy Session ID, security credentials, and port.

• Each MSGW target session has a unique IP address for each of the primary and backup Drop Copy MSGW.

For MSGW target sessions, the customer receives standard connection information for the Drop Copy Target session(s) including:

• SenderCompID – seven digit alphanumeric value consisting of:

Session Configuration

For load balancing, the same IP address may be designated primary for one CME Drop Copy target session and backup for another Drop Copy target session.

Managing Sequence Numbers

A single MSGW Drop Copy  session is able to log into into all MSGW instances. To manage message sequence numbers, the client system must leverage the combination of Session ID (the first 6 characters of tag 49-SenderCompID) and tag 57-TargetSubID. 

CME Globex is comprised of a number of 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 57-TargetSubID (which contains the tag 1300-MarketSegmentID value) in the Market Data Security Definition message to route orders to the correct MSGW.

SFTP - CME Drop Copy MSGW Configuration

An SFTP site (sftpng.cmegroup.com) is used to disseminate the Drop Copy MSGW configuration information. The MSGW Configuration allows clients system 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 security credentials for access.

Table Key:

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

• The Autocert+ tool uses the NR DCMSGW config file.

• Service - the Configuration service.

• SFTP Site - address of SFTP site.

• User Name - identifies the user name.

• Security Credentials - identifies the security credentials.

• 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/security credentials, client systems can connect using the same credentials used for CME SFTP site.

To download files from the SFTP site, use an SFTP client to connect to sftpng.cmegroup.com.

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 return the tag 57-TargetSubID values submitted in the customer iLink message on tag 50-SenderSubID.

Example

Drop Copy 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).

Drop Copy MSGW will reject any administration message with an incorrect Market Segment ID with a Session Level Reject (tag 35=3), including tag 58 =TargetSubId (57) tag has an incorrect value: < MarketSegmentID>, should be: < MarketSegmentID>

IP Ranges

This table comprises Drop Copy source ranges available to customers on the CME Globex WAN extranet.

Once certified, and upon customer request, the account manager will provide the following information:

• For Drop Copy Market Segment Gateway target sessions (once the new iLink architecture has been implemented): new SessionID, IPs, security credentials, and port; customers will receive a unique IP pair for each MSGW instance.

The $500/month surcharge will apply for a new Drop Copy Group request.

The first Drop Copy Group is free. Each subsequent Drop Copy Group costs $500/month.

Note: iLink MSGW source session messaging will only be supported on the new Drop Copy implementation.

Summary of Drop Copy Message Payload Considerations

This section summarizes the messaging impacts on Drop Copy message payloads from source sessions trading BrokerTec products.

The following sections contain the tag-level client system messaging impacts that must be accommodated in order to sequence Drop Copy message payloads from source sessions trading BrokerTec products on CME Globex.

Order Qualifiers (tag 59-TimeInForce)

Order qualifiers on the Drop Copy Market Segment (MSGW) messages payload.

FIX Tags on Drop Copy Message Payloads - BrokerTec Markets

FIX tags on Drop Copy message payloads from source sessions trading BrokerTec products.

• Tag 18-ExecInst

• Tag 337-ContraTrader

• Tag 375-ContraBroker

• Tag 5906-ExecutionMode

• Tag 6581-BeneficiaryCode

• Tag 6881-Managed

• Tag 9373-LiquidityProvision

• Tag 5409-ShortSaleType

These new tags will be in the following Drop Copy message payloads:

• Execution Report - Accept

• Execution Report - Elimination

• Execution Report Modify - Ack

• Execution Report - Cancel Ack

• Execution Report - Fill (partial and complete)

• Execution Report - Trade Cancel

• Execution Report - Trade Correction

• Execution Report - Trade Addendum Spread Outright

• Execution Report - Trade Addendum Spread 

• Execution Report - Trade Addendum Spread Leg

• Tag 820-TradeLinkID and Tag 7191-Ownership will be on the Execution Report - Trade Outright message for US Repos: 

MiFID Reporting

The following tags will be reflected on Drop Copy Message Payload for all EU fixed income products, but optional for CME Group futures and options. 

• Tag 5290-Executor and tag 36023-IDMShortcode are added to the Party Details Definition Request, Party Details Definition Request Acknowledgment, and Party Details List Report messages.

• Tag 5290 and tag 36023 will be accepted and acknowledged on the Drop Copy Message payload if sent on Order Cancel, Order Mass Cancel, and Quote Cancel messages. If not populated on these message types, the message will be accepted and acknowledged with the values as follows:

Tag 5290-Executor and tag 36023-IDMShortcode applicable for EU BrokerTec and EBS MiFID.

Repeating Groups on Drop Copy Message Payloads

This repeating group is reflected in the following message types to support binary trade reporting:

• Execution Report Trade Outright

• Execution Report Trade Spread

• Execution Report Trade Spread Leg

• Execution Report - Fill (partial and complete)
  
  

• Execution Report - Trade Cancel

• Execution Report - Trade Correction

• Execution Report - Trade Addendum Spread Outright

• Execution Report - Trade Addendum Spread 

• Execution Report - Trade Addendum Spread Leg

This repeating group for MIFID reporting is reflected in the following messages:

• Party Details Definition Request 

• Party Details Definition Request Acknowledgment

• Party Details List Report

Execution Acknowledgment for Bilateral Trading

Drop Copy for BrokerTec also supports the iLink 3 Execution Acknowledgment (tag 35-MsgType=BN) message from the client system to CME Globex for bilateral trades.

For a description of Execution Acknowledgment functionality, refer to BrokerTec on CME Globex Market Functionality.

Administrative Information on Drop Copy Message Payloads

Drop Copy Market Segment Gateway (MSGW) payload messages contain customer optimized business messages constructed by:

• pre-registered administrative information weekly through the new Service Gateway.

• submitted administrative information per business message from iLink 3 source sessions.

Business messages on Drop Copy Market Segment Gateway (MSGW) payload messages always include a reference to the pre-registered or on-demand administrative information.

Drop Copy Sample Message

Encapsulated XML Non-Fix (tag 35-MsgType=n) Message

8=FIX.4.2|9=734|35=n|34=4|369=2|52=20210428-20:02:21.825|49=CME|50=46|56=72XNEXN|57=DUMMY|143=US,IL|212=637|213=8=FIX.4.2|9=601|35=8|34=2|369=1|52=20210428-20:02:21.806|49=CME|50=46|56=FOFCSET2P|57=CSET2|143=US,IL|1=KEN_EUSTP|6=0|11=FOF1|14=100|17=4637:M:1742TN0175056|20=0|31=-0.54|32=100|37=4610064300|38=100|39=2|40=2|41=0|44=-9|48=12920734|54=1|55=EUSA|59=0|60=20210428-20:02:21.792|75=20210428|107=FRDUSA:7H7TTQ3RN5EF|150=2|151=0|167=REPO|204=1|337=TRADE|375=CME000A|432=20210428|442=1|527=461006430020210428175056|1028=Y|1031=Y|1057=Y|1598=1|2668=1|2669=2|2670=12|5290=123|5979=1619640141792270044|6581=456|9702=2|37711=4788|1362=1|1363=Y1|1364=-0.54|1365=100|1622=11|1795=1|1796=5|1797=175211|1798=100|1799=-0.54|1800=100|10=153||10=092|

Summary of Fix Tag Conversion from iLink 3 to iLink 2

This table shows message tags as received on iLink 3 source sessions (execution reports and acknowledgement messages) and reflected on Drop Copy payload messages in iLink 2 tags.