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 |
---|---|---|---|---|
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 |
---|---|---|---|---|
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:
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 | |||
---|---|---|---|
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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