Mandatory Migration - iLink 3 Binary Order Entry Protocol for CGW

In Q1 2024, CME Group will be launching iLink 3 Convenience Gateway for trading futures and options on futures on CME Globex. iLink 2 and iLink 3 for CGW will run in parallel until Q4, 2024. All customers connected via Convenience Gateway (CGW) are encouraged to migrate to iLink 3 as early as possible prior to the iLink 2 decommission.

The iLink 3 order entry protocol on CME Globex provides:

• Simple Binary Encoding (SBE) for faster message encoding and decoding
• A simple, lightweight, point-to-point session layer protocol using FIX Performance (FIXP)
• More efficient iLink FIX messaging
• Standard message size, fixed positions, and fixed-length fields
• A consistent encoding method for order entry and market data
• XML schema and templates for order entry as with MDP 3
• Lean messages move administrative information out of order entry business message

Contents

Revision History

Key Events and Dates

Session Management

CME Group requires customers to obtain new iLink 3 CGW sessions. Customers will not be able to migrate their existing iLink sessions from iLink 2 to 3. Customers can create their new iLink 3 CGW sessions through CME Request Center following standard sessions creation practice. New session IP address and port details will be presented to the user in CME Request Center at the time of creation.  

• During the parallel period, any CGW sessions configured for iLink 3 must send iLink 3 messages.
• iLink 3 sessions sending iLink 2 messages will be terminated immediately.
• All CGW sessions must be migrated to iLink 3 by the end of the parallel period.

See iLink 3 for CGW Session Guidelines for more information.

Testing and Certification

A new iLink certification suite will be available in AutoCert+.

• Certification is required for all client systems on CGWs.
• All customer systems must be certified for iLink 3 prior to going to the production environment.

• See: Key Events and Dates
• See: Client Application Testing and Certification
• See: AutoCert+ login

Mock Trading Sessions

CME Group will offer customer mock trading sessions to support the customer experience with the iLink 3 on CGW in the CME Globex production environment. Customers are required to register in advance in order to participate in mock trading sessions. Further information on the mock trading sessions will be published in future CME Globex Notices. 

Client systems must be certified for iLink 3 CGW tests via AutoCert+ prior to participating in the iLink 3 CGW mock trading sessions.

• See: Key Events and Dates

iLink 3 on CGW Availability

 Convenience Gateway (CGW) and Drop Copy Gateway (DCGW) customers must take the following into consideration for this launch:

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

iLink 2 on CGW Decommission

iLink 2 on CGW will be decommissioned and all CGW sessions will support iLink 3 only. Following the decommission, client systems will not be able to make a TCP connection to iLink 2 CGWs.

• See: Key Events and Dates

Order Entry Service Gateway (OESGW) - SFTP Site Information

There will be a new Order Entry Service Gateway (OESGW) for customers to register administrative information. Customers will be able to use the same CGW session to connect to the Service Gateway using FIXP protocol and submit Party Details Definition Request messages and Party Details List Request messages. The Service Gateway supports FIXP Party Detail Request messages only; any other messages will be rejected.

The OESGW configuration information (i.e. OESGWs and IPs) for CGWs will be added to the iLink 3 config file via an SFTP site (sftpng.cmegroup.com) and accessed via 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 username and password for access.

A new market segment will be defined for OESGW:

<marketsegment id="6" label="Globex OESGW for all CGWs">

System Architecture

The following diagrams provide an overview of the system architecture in support of the iLink 3 on CGW launch: 

Current State

This diagram depicts the current state of iLink CGW architecture.

• CGW sessions support only iLink 2.
  

Parallel State

This diagram shows the production parallel state of iLink CGW architecture supporting both iLink 2 and iLink 3 on CGW messaging protocols.

• See: Key Events and Dates

For iLink 3 on CGW:

• Each client system connects and sends messages to its new CGW session using the new configured IP and port. The CGW then routes the messages received to the appropriate matching engine.
• During the production parallel state, CGW sessions will support both iLink 2 and iLink 3.

Final State

This diagram shows the final state of iLink 3 on CGW architecture following the complete migration to the iLink 3 messaging protocol.

• CGW sessions will support only iLink 3.
  
  
• See: Key Events and Dates

Developing from iLink 2 to iLink 3

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

Simple Binary Encoding

iLink 3 uses Simple Binary Encoding (SBE) optimized for low latency encoding and decoding while keeping bandwidth utilization reasonably small. All FIX semantics are supported. This encoding standard describes the wire protocol for iLink 3 messages and is complimentary to other FIX standards for session protocol and application-level behavior.

iLink 3 on CGW will be launched in production using the schema version 8.    

iLink 3 CGW Session Layer

iLink 3 uses the FIX Performance (FIXP) protocol to establish and manage bi-directional sessions. Per the FIXP protocol, a FIX session is defined as a bi-directional stream of ordered messages between two parties within a continuous sequence number series. With this release, the iLink 3 Convenience Gateways (CGW) will support weekly client FIX sessions and also mid-week initialization.

For each customer, the CGW starts the session at the beginning of the week. A FIXP session will be maintained by default on a weekly basis; however, the customer can negotiate, establish, and terminate multiple times. Each FIXP session will also be represented with a Universally Unique ID (UUID), which should be a current timestamp.

The term, FIX connection, has a new connotation in iLink 3. A successful logon consists of a two-step process: negotiation and then establishment.

The exchange will support a FIXP session created at the beginning of the week all through the end of that week. The customer can then establish and terminate FIX connections multiple times intra-day or at the end of each day, with the same UUID or negotiate the new FIXP session with a new UUID as well.

Additional information on the new FIXP protocol is available in the Session Layer topic.  

iLink 3 CGW Business Layer

iLink 3 allows customers to optimize business message construction by pre-registering administrative information or by submitting administrative information per message (on-demand) as follows.

• Pre-registered administrative information
  • For the most efficient business messaging (i.e. New Order Single, Mass Quote), customers pre-register administrative information in the new Service Gateway weekly.
• On-demand administrative information
  • Customers send the administrative information to CGW with every business message.

iLink 3 business messages always include a reference to the pre-registered or on-demand administrative information.

Additional information on the new FIXP protocol is available in the Business Layer topic.  

iLink 3 CGW Messaging Impacts

Order Mass Status Request (35=AF)

Client systems may submit Order Mass Status Request (35=AF) messages to obtain statuses for all working orders with a single request.

To provide a consistent customer experience, a new enum value of 7 (for all orders) will be added to MassStatusReqTyp for the MassStatusRequestType field in the Order Mass Status Request (35=AF) message.

Order Cancel and Cancel-Replace Requests by ClOrdID

Order Cancel and Cancel-Replace Requests by ClOrdID is a risk management feature that allows clients to cancel and modify resting orders using FIX tag 11-ClOrdID without providing tag 37-OrderID.

All iLink 3 sessions are enabled for Order Cancel and Cancel/Replace by ClOrdID functionality. 

Rejects for ClOrdID (tag 11) Uniqueness

To support order cancellation and order modification by tag 11-CIOrdID, this value must be unique per SenderComp (Session ID + Firm ID) for all working orders on a single market segment.

For an iLink 3 New Order tag 11-ClOrdID:

• CME Globex will reject an order having the same ClOrdID and SenderComp as a currently working order on the given market segment. A duplicate ClOrdID will generate an iLink 3 Business Reject (tag 35-MsgType=j) message with tag 380-BusinessRejectReason = 133 and tag 58-Text = Duplicate ClOrdID: X not allowed.

A ClOrdID value can be re-used on the same market segment only when the prior order is no longer resting, for instance:

• the prior order has been completely filled, or
• the prior order has been cancelled, or
• the prior order has been eliminated.

Processing for ClOrdID and OrderID Values

With this release, tag 37-OrderID is an optional tag in iLink 3 Order Cancel Request and iLink 3 Order Cancel/Replace Request messages for CME Group Futures and Options on Futures markets.

• If an Order Cancel Request or Order Cancel Replace Request contains both CIOrdID and OrderID, then the OrderID will be used to look up the original order.
• If a ClOrdID in an Order Cancel Request or Order Cancel/Replace Request is changed from what was in the original order:
  • the client should send an Order Cancel Request or Order Cancel/Replace Request with the latest CIOrdID accepted by CME Globex.
  • the client sending an Order Cancel Request or Order Cancel/Replace Request with the previous CIOrdID must provide an OrderID as well; otherwise, the Order Cancel/Replace Request will be rejected as order not found.
• An Execution Report - Cancel and Execution Report - Modify message will return both ClOrdID and OrderID values.
• An Order Cancel Reject and Order Cancel Replace Reject message will return both ClOrdID and OrderID values.

Cancel on Behalf (COB)

Currently, Cancel on Behalf (COB) functionality is not available for iLink Convenience Gateway (CGW) sessions. Beginning with this release, COB functionality on CME Globex will allow iLink CGW sessions to cancel resting orders and mass quotes from different iLink 3 sessions under the same CME Globex Firm ID (GFID). This functionality is enabled for all CME Group futures and options on futures on CME Globex. 

• See: Cancel on Behalf

iLink 3 Sample Messages

The following are samples messages. Sample values (e.g. SecurityID, party details, etc.) cannot be used for testing.

iLink 3 New Order Single

iLink 3 Order Cancel Replace Request

iLink 3 Order Cancel Request

iLink 3 Mass Quote

iLink 3 Party Details Definition Request

iLink 3 Party Details Definition Request Acknowledgment

iLink 3 Business Reject

iLink 3 Execution Report New

iLink 3 Execution Report Reject

iLink 3 Execution Report Elimination

iLink 3 Execution Report Trade Outright

iLink 3 Execution Report Trade Spread

iLink 3 Execution Report Trade Spread Leg

iLink 3 Quote Cancel

iLink 3 Order Mass Action Request

iLink 3 Order Mass Status Request

iLink 3 Execution Report Modify

iLink 3 Execution Report Status

iLink 3 OrderStatusRequest533

iLink 3 Execution Report Cancel

iLink 3 Order Cancel Reject

iLink 3 Order Cancel Replace Reject

iLink 3 Party Details List Request

iLink 3 Party Details List Report

iLink 3 Request For Quote

iLink 3 New Order Cross

iLink 3 Mass Quote Acknowledgment

iLink 3 Request For Quote Acknowledgment

iLink 3 Execution Report Trade Addendum Outright

iLink 3 Execution Report Trade Addendum Spread

iLink 3 Execution Report Trade Addendum Spread Leg

iLink 3 Security Definition Request

iLink 3 Security Definition Response

iLink 3 Order Mass Action Report

iLink 3 Quote Cancel Acknowledgment

Good Till Cancel (GTC) and Good Till Date (GTD) orders

Customers should manage cancellation of GTC and GTD orders on iLink 2 sessions and resubmission of GTC and GTD orders on new iLink 3 sessions.

Market Integrity Controls

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

Session Layer Messaging Controls

The thresholds are in place for the following Session Layer message types:

• Negotiate
• Establish
• Terminate
• Sequence
• Retransmit Request

Application Messaging Controls

Messaging Thresholds and Action Types

Party Details Messages 

Party Details messages can be counted in session layer or application layer messaging controls depending on whether the messages are sent to CGWs or OESGWs:

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 client systems 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 message 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.

iLink 3 CGW Message Specifications

See the following topics for message specifications:

• iLink 3 Message Header
• iLink 3 Session Layer
• iLink 3 Application Layer
• iLink 3 FIX Tag Library

iLink 3 CGW Front-End Audit Trail Requirements 

The required audit trail specifications apply to all systems implementing iLink 3 CGW. All client systems must be certified for Audit Trail for iLink 3 CGW prior to using the production environment.

For additional information, please review the Market Regulation Advisory Notice on order routing and front-end audit trail regulatory requirements.

Contact Information

For technical development support, contact Certification Support for Electronic Trading (CSET).

For production requests, please contact the Global Command Center (GCC).

For all other inquiries, please contact Global Account Management (GAM).