Drop Copy Service for iLink - BrokerTec Markets
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.
Order entry activity submitted through the BrokerTec Global Front End (GFE) application can be monitored on the CME Drop Copy service.
Contents
- 1.1 BrokerTec Markets on CME Drop Copy
- 1.2 CME Drop Copy Architecture
- 1.3 CME Drop Copy Session Model
- 1.4 SFTP - CME Drop Copy MSGW Configuration
- 1.4.1 Tag 57-TargetSubID
- 1.4.2 BrokerTec Market Segment
- 1.4.2.1 Example
- 1.4.3 IP Ranges
- 1.5 Summary of Drop Copy Message Payload Considerations
- 1.6 Administrative Information on Drop Copy Message Payloads
- 1.6.1 Drop Copy Sample Message
- 2 Summary of Fix Tag Conversion from iLink 3 to iLink 2
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:
o 6-character Session ID
o 1-character Fault Tolerance Indicator = ‘N’ (no fault tolerance)
Session Configuration
Market Segment Gateway Source Sessions |
---|
|
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.
| MSGW Session ID |
---|---|
Number of sequence stream(s) | Customers must manage different sequence streams, up to the number of current market segments, based on the combination of Session ID and Market Segment ID. |
Number of TCP connection(s) | TCP connections for each MSGW instance to access all market segments |
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.
Environments | Service | SFTP Site | User Name | Security Credentials | Directory | Client System Update Schedule |
---|---|---|---|---|---|---|
Production | Configuration | cmeconfig | G3t(0nnect3d
| /DCMSGW/Production/Configuration
| daily | |
Certification | /DCMSGW/Cert/Configuration
|
| ||||
New Release Certification | /DCMSGW/NRCert/Configuration |
|
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.
BrokerTec Market Segment
New Market Segment is defined for each BrokerTec product in tag 1300-MarketSegmentID in the MDP 3.0 - Security Definition (tag 35-MsgType=d) message.
Market Segment ID | Markets | Product |
---|---|---|
40 | BrokerTec US | US Treasury |
42 | BrokerTec US | US Repo |
44 | BrokerTec EU | UK Gilts |
BrokerTec Amsterdam | EU EGB | |
46 | BrokerTec EU | UK Gilt Repo |
BrokerTec Amsterdam | EU Repo |
Example
Time | From Client System to CME Globex | From CME Globex to Client System | Tag 35-MsgType | Tag 49-SenderCompID | Tag 50-SenderSubID | Tag 57-TargetSubID |
---|---|---|---|---|---|---|
1 | Logon |
| A | ZUB0007N | ATS | 40 |
2 |
| Logon Ack | A | CME | 40 | ATS |
3 |
| Test Request | 1 | CME | 40 | ATS |
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.
205.209.216.0/24 | Drop Copy Market Segment Gateway Source Range |
205.209.218.0/24 | Drop Copy Market Segment Gateway Source Range |
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.
For a complete description of BrokerTec market functionality, please refer to the BrokerTec on CME Globex Market Functionality, which will only be available in the BrokerTec Support Portal.
To access the BrokerTec Support Portal you must be an existing customer or vendor with a signed Non-Disclosure Agreement (NDA) in place with BrokerTec.
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.
Tag | Name | Valid Values | Description |
---|---|---|---|
59 | TimeInForce | 0=Day Order 4=Fill Or Kill (FOK) Order | Specifies how long the order remains in effect. |
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
Tag | Name | Type | Length | Req | Valid Values | Description |
---|---|---|---|---|---|---|
18 | ExecInst | Char | 3 | N | 1:Not Held G:All Or None Z:Cancel If Not Best | Instructions for order handling on exchange. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space.
|
337 | ContraTrader | String | 8 | N |
| Will contain 'TRADE' |
375 | ContraBroker | String | 8 | N |
| Will contain 'CME000A' |
5906 | ExecutionMode | Char | 1 | N |
| Instruction for whether the order should rest on the book upon entry or match as an aggressor. A Passive Order will rest in the market without executing unless matched with an Aggressive Order on the other side. An Aggressive Order will match against any other order on the opposite side. Applicable only to Repo fixed income markets. |
6581 | BeneficiaryCode | Int | 20 | N |
| Represents the Investment Decision Maker Short Code |
6881 | ManagedOrder | Boolean | 1 | N |
| Boolean: flags a managed order. Applicable only to Repo fixed income markets. |
9373 | LiquidityFlag | Int | 1 | N |
| Indicates if an order was submitted for market making obligation as required for MiFID. Applicable only for EU fixed income markets. |
5409 | ShortSaleType | Int | 1 | N | 0=Long Sell 1=Short Sale With No Exemption (SESH) 2=Short Sale With Exemption (SSEX) 3=Undisclosed Sell (Information not available – UNDI) | Indicates the type of short sale on Sell orders only as required for MiFID. Should not be used for Buy orders. Applicable only for EU fixed income markets. Note: if missing or null, CME will default to 0=Long Sell. |
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
All fields may not be applicable to all messages.
Tag 820-TradeLinkID and Tag 7191-Ownership will be on the Execution Report - Trade Outright message for US Repos:
Tag | Name | Type | Length | Req | Description |
---|---|---|---|---|---|
820 | TradeLinkID | Int | 10 | N | Contains the workup ID; unique per instrument per day.
|
7191 | Ownership | Int | 8 | N | Specifies the owner of the work up private phase. |
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/or tag 36023 (IDMSHORTCODE) | Expected Behavior | Acknowledge Value |
---|---|---|
Not present | Accept |
|
Present with an unregistered value | Reject | N/A |
Present with a registered value | Accept | Value from Cancel/Mass Cancel/Quote Cancel message |
Tag 5290-Executor and tag 36023-IDMShortcode applicable for EU BrokerTec and EBS MiFID.
Tag | Field Name | Type | Length | Req | Description |
---|---|---|---|---|---|
5290 | Executor | String | 20 | N | Will be populated with the MIFID short code for the person or algo responsible for the execution of the order within firm. Short Code will be referring to a person or algo which will be mapped to National ID or Algo at reporting time. Applicable for EU BrokerTec and EBS MiFID. |
36023 | IDMShortcode | Char | 8 | N | Represents the MIFID Short Code of the Investment Decision Maker. 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
Tag | Name | Req | Type | Length | Description |
---|---|---|---|---|---|
1795 | NoOrderEvents | N | NumInGroup | 3 |
|
→1799 | OrderEventPx | Y | Price | 20 | Refers to the fill price; same as tag 31-LastPx |
→1802 | OrderEventText | N | String | 5 | Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades |
→1797 | OrderEventExecID | Y | Int | 10 | This is a unique ID which ties together a specific fill between two orders; It will be unique per instrument per day |
→1800 | OrderEventQTY | Y | Qty | 9 | Refers to the specific fill quantity between this order and the opposite order |
→1796 | OrderEventType | Y | Int | 1 | The type of event affecting an order |
→1798 | OrderEventReason | Y | Int | 3 | Action that caused the event to occur. 100=Binary Trade Reporting |
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
Tag | Name | Type | Length | Req | Valid Values | Description |
---|---|---|---|---|---|---|
2668 | NoTrdRegPublications | NumInGroup | 1 | N | 0 1 | Number of regulatory publication rules in repeating group Used to indicate that an ESCB customer can exempt from disclosure any activity that is related to central banking activity Should always be "1" if used; otherwise set to '0' |
→2669 | TrdRegPublicationType | Int | 1 | Y | 2=Exempt from Publication | Specifies the type of regulatory trade publication Additional reasons for the publication type will be specified in tag 2670-TrdRegPublicationReason Represents allowable exemptions for the post-trade publication of trade transactions Should always be "2" |
→2670 | TrdRegPublicationReason | Int | 2 | Y | 12=Exempted due to European System of Central Banks (ESCB) policy transaction | Additional reason for trade publication type specified in tag 2669-TrdRegPublicationType (2669) Reasons may be specific to regulatory trade publication rules Should always be "12" |
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 acknowledgment messages) and reflected on Drop Copy payload messages in iLink 2 tags.
iLink 3 |
| iLink 2 - Drop Copy message payload |
---|---|---|
Outbound |
|
|
tag 5392-SenderID | Convert | tag 57-TargetSubID |
tag 5297-SendingTimeEpoch | tag 52-SendingTime | |
tag 60-TransactTime | tag 5979-RequestTime | |
tag 9726-SequenceNumber | tag 34-MsgSeqNum | |
tag 1138-DisplayQty | tag 210-MaxShow | |
tag 1151-SecurityGroup | tag 55-Symbol | |
tag 48-SecuirtyID | tag 107-SecurityDesc |
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