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 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 Session Level Reject (tag 35-MsgType=3) message until the messages per second (MPS) rate falls below the threshold. Exceeding the larger Logout threshold will result in a logout of the offending iLink session, and Cancel on Disconnect will be invoked.



Message Types

Enforcement Schedule

Reject Threshold

Logout Threshold

Interval

Message Types

Enforcement Schedule

Reject Threshold

Logout 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)

Quote Request (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

Sunday 15:00-17:00 Central Time (CT)

Monday-Thursday 16:30-17:00 CT

100

150

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 Thresholds

iLink and Drop Copy administrative messages are subject to thresholds.

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

Administrative Messages

  • Logon (tag 35=A)

  • Heartbeat (tag 35=0)

  • Test Request (tag 35=1)

  • Resend Request (tag 35=2)

  • Session Level Reject (tag 35=3)

  • Business Level Reject (tag 35=j)

  • Sequence Reset (tag 35=4)

  • Logout (tag 35=5)

  • Unknown message types

  • Malformed Administrative and Application messages

  • Administrative and Application Messages with invalid sequence numbers

  • Administrative messages that fail session validation

iLink

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 via a Session Level Reject (tag 35-MsgType=3) message 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 Logon (tag 35=A) messages in 60 seconds, or

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

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

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 Controls for Drop Copy Sessions

Messaging Controls for Drop Copy Sessions

Environment

Reject Threshold

Port Closure/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 3 Messaging Controls.






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