CME Globex Performance Enhancements
Starting Sunday, January 5 (trade date Monday, January 6), performance enhancements will be launched on the following CME Globex markets. With this launch, internal testing indicates:
- iLink latency will improve up to 30%.
- Per event, iLink fill notices (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) will be published before or at the same time as the last market data trade message
- For each individual trade, iLink fill notices will be published before or at the same time as the associated market data trade messages
- Due to performance improvements, packets per second (PPS) on implied MDP channels may increase up to 100%
These enhancements are part of our ongoing efforts to provide best-in-class technology and service on CME Globex.
February 2, 2014
- NYMEX crude energy futures; tag 1300=80
February 9, 2014
- CME Eurodollar futures; tag 1300=82
February 23, 2014
- CME and CBOT Commodity futures; tag 1300=70 and 72
- Hosted PE markets and NYMEX emissions futures; tag 1300=74
New iLink Architecture in 2014
In 2014, CME Group will launch a new iLink architecture with design and network enhancements. The new architecture is designed to:
- Extend First In, First Out (FIFO) message handling from the trading engine to the order entry gateway
- Reduce variability
- Harden risk management for order entry bursts
Details on the new iLink Architecture roadmap can be found online. For an overview of the new iLink architecture, please review the iLink Architecture webinar.
This release will be phased in as follows:
- Phase 1: iLink Market Segment Gateway for Trade At Settlement (TAS) products
- March 14
- New network architecture and hardware for order entry
- 2nd Half of 2014
- Market Segment Gateways for all markets
Further details on each of these phases will be published in the CME Globex Notices.
Phase 1: iLink Market Segment Gateway
The new Phase 1 iLink Market Segment Gateway (MSGW), scheduled for this Sunday, February 2, have been postponed. The new production launch date will be announced via the CME Globex Notices.
This new gateway will extend FIFO message handling to the gateway; currently, FIFO is assured at the trading engine only. In addition, these MSGWs leverage cutting-edge technology to provide the lowest latency solution. The current iLink gateways (Convenience Gateways) will continue to be supported.
With this launch, access to the TAS markets during the early minutes of the pre-open will be restricted to the new Phase 1 MSGW sessions. Five minutes before the market opens, TAS orders will be accepted through any iLink session.
New iLink sessions will be issued on the Phase 1 MSGW upon request, to a maximum of five new sessions per Executing Firm.
The new Phase 1 MSGW is currently available for customer testing in New Release. To facilitate testing the different access configurations, the trading schedule for TAS markets in New Release will be adjusted to pre-open every 30 minutes, from 5:00 p.m. Central Time, Sunday – Thursday through 1:30 p.m. Monday – Friday.
Contact your Global Account Manager to request a new Production or New Release Phase 1 MSGW session.
Drop Copy Enhancements - New Ports for All Drop Copy Sessions
Effective Sunday, February 23, a number of enhancements will be introduced to provide further consistency across iLink and Drop Copy.
These enhancements include:
- New supported FIX tags on Drop Copy messages – inbound and outbound
Drop Copy Enhancements
||This tag echoes the value sent on the message from client system.
When these tags are not submitted, they are not returned in the message sent to client system
||Tag 143-TargetLocationID contains value sent by client system in tag 142-SenderLocationID.
When this tag is submitted empty (eg.142=), it is returned empty (143=null) in the message sent to client system.
Currently, when these tags are submitted on the inbound Drop Copy messages sent from client systems, they are not returned in the outbound Drop Copy messages sent to client systems.
Detailed description of these FIX tags is available online.
- Drop Copy FIX Resend Process Enhancement
With this enhancement, Drop Copy will allow only one FIX resend request at a time. Customers will receive a Session Level Reject (tag 35=3) when submitting a FIX Resend Request while another FIX Resend Request is in process. Currently, customers can submit multiple FIX Resend Request (tag 35-MsgType=2) consecutively, potentially negatively impacting performance.
For this launch, all production Drop Copy sessions will migrate to new ports. Certification and New Release sessions will not be affected. Your Global Account Manager will provide the new port information starting Thursday, January 9.
Certification for this launch is not required. These enhancements will be available in New Release and Certification environments for customer testing on January 27.
Please contact your Global Account Manager in the U.S. at 312 634 8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5505 with any questions.
New CME Globex Market Data Protocol
In Q2 2014, CME Group is introducing Market Data Platform (MDP) 3.0, a low latency and direct data access solution designed to improve customers' ability to process and act on real-time price information. The protocol production dates will be announced in future CME Globex and Market Data Notices.
Important Update: Based on customer feedback, MDP 3.0 is being updated with a new trade reporting functionality. This update will impact the message layouts and require a new template for trade messages only. The Client Impact Assessment has been updated to reflect the new trade messaging, which will be available for testing in New Release in early Q2 2014. Customers should not develop to the current trade reporting messages, since it will be changed before the production launch; all other messaging and functionality will remain unchanged.
MDP 3.0 includes:
- Simple Binary Encoding (SBE); replaces the current FAST compression model
- FIX 5.0 (SP2) Market by Price messaging formats
- Event-driven market price and trade information
- Enhanced market state dissemination
- Increased timestamp granularity
- Trade identifier on both market data and order entry messages
The client impact assessment, functional specifications, and message specifications provide detailed functionality and messaging information.
MDP 3.0 channels and functionality are currently available in New Release.
A new MDP 3.0 certification suite will be available in AutoCert+. Customer systems receiving market data via CME Globex must complete this mandatory certification.
Real Logic Ltd. and Informatica have collaborated to create open source tools that provide extensive support for Simple Binary Encoding (SBE), the messaging standard developed through The Financial Information Exchange (FIX) Trading Community. The SBE decoders will create an environment that can be used directly by customers or treated as a reference implementation that can be extended into custom solutions tailored to individual customer’s needs. The information and tool are open to the public under an Apache Public License and available here.
Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.
Drop Copy Certification
Due to customer requests for additional time, the Drop Copy certification deadline previously has been postponed. A new deadline will be announced in future CME Globex Notices.
CME Group encourages customers to continue working on the Drop Copy certification prior to the new certification deadline.
Due to the upcoming Mass Order Cancel functionality, all Drop Copy customers must complete a new Drop Copy certification for the new outbound message. The new certification suites are now available in Autocert+.