The Drop Copy service allows customers to receive real-time copies of CME Globex Execution Report and Acknowledgment messages as they are sent over iLink order entry system sessions on a separate, dedicated path.
Drop Copy aggregates iLink messages, enabling customers to aggregate positions and monitor orders for sessions guaranteed by one or more clearing firms upon approval of the clearing firms.
The Drop Copy service is available for iLink messages on orders submitted to the CME Globex platform via iLink or CME Direct. Customers can choose to receive messages over Drop Copy configured to the following three levels:
Trade Execution Reports including:
- iLink 2 Execution Report - Fill Notice (complete and partial fills)
- iLink 2 Execution Report - Trade Cancel
- iLink 2 Execution Report - Trade Correction
Order Entry Acknowledgments including:
- Execution Report - Order Creation, Cancel, or Modify
- iLink 2 Execution Report - Order Elimination
- iLink 2 Order Mass Action Report
All of the Above
Customers may connect to Drop Copy via an existing network connection or establish a new connection dedicated to the Drop Copy service.
Coordination with Global Account Management (GAM)
To initiate Drop Copy functionality, customers must submit the Schedule 12-Drop Copy Service form specifying the name of the Drop Copy Group, how billing for Drop Copy is to be administered, which message types are received over the Drop Copy session, and individuals authorized by the Clearing Firm to administer changes to the Source sessions configured for the Drop Copy group. Once the approved request form is submitted, the Global Account Manager initiates scheduling and configuration. The customer receives standard connection information for the Drop Copy Target session(s) including:
- SenderCompID – seven digit alphanumeric value consisting of:
- 6-character Session ID
1-character Fault Tolerance Indicator = 'N' (no fault tolerance)
The SenderCompID should not be changed by client systems using Drop Copy functionality (i.e. no changing firms for route-through). If you do not send the correct SenderCompID, the message will be ignored.
- IP primary address
- IP backup address
For questions regarding iLink or CME Direct as related to Drop Copy, please contact Global Account Management (GAM).
Drop Copy Fees
Configuration of the Drop Copy service should be requested through your Global Account Manager. Once the completed Schedule 12 is submitted all configuration requests for Drop Copy must be submitted by an authorized contact for the Drop Copy Group. The configuration request should include which iLink Source sessions should be configured to feed the Drop Copy Group as well as the message types the customer wishes to receive for the Drop Copy Group. The available messages types are categorized as:Customers can also choose to implement Drop Copy Automation based on their Execution Firm ID or if they are a Clearing Firm (CME Class A Clearing Firm ID). See Schedule 12, Section II B for details or contact your Global Account Manager.
- Execution Reports – These messages include all fills and any trade cancel messages generated by the Source session(s). These messages can be used to determine the trading customer's filled position.
- Acknowledgments – These messages include all confirmation and elimination messages generated by the Source session(s). These messages can be used to determine the trading customer's open order position.
- All of the Above
A monthly fee for the Drop Copy service is charged as a separate line item on regular monthly CME Globex connection billing. This fee is assessed on a per Drop Copy Group basis with the fee waived for the customer's first Drop Copy Group.
Please refer to Exhibit A of the Customer Connection Agreement for the current fee schedule applicable to this service.
Due to load balancing and optimization of the iLink order entry infrastructure, the aggregation of Source session data under a single Drop Copy group is subject to constraints that may require a customer to maintain multiple Drop Copy Target sessions. Customers must be able to accommodate this contingency.
Drop Copy Bandwidth Impact
Since Drop Copy Target sessions transmit Acknowledgment and Execution messages only (no market data), bandwidth impact should be minimal, but is dependent upon the number of Source sessions bundled to the Drop Copy Group. Drop Copy uses the same packet size as an outbound iLink message, i.e., thirty Source sessions will use the equivalent bandwidth of thirty iLink Source session Execution Report and reject messages.
Certification and Testing
Mandatory certification for Drop Copy is comprised of three tests to validate client system ability to receive and process Drop Copy messages, perform a FIX resend, and perform an Application resend.
For more information contact Certification Support for Electronic Trading (CSET).
Drop Copy Terminology
The following table highlights the terms and definitions used in the service.
Message types used to establish and maintain a FIX session, e.g. Logon.
Message types sent over a session to perform business functions, e.g., New Order.
Drop Copy Group
Customer-defined grouping of iLink Source sessions for which drop copy data will be delivered (e.g., all the iLink sessions for a given business unit, trading customer or clearing firm).
Client iLink session from which the Drop Copy Application messages originate. A given iLink session can be a source session for more than one Drop Copy Group.
Exchange defined FIX session over which drop copy data is delivered. A single Drop Copy Group may have multiple Target sessions based on the configuration characteristics of the Source sessions which feed the Drop Copy Group.
Notification of missing messages sent to client system with the Sequence Reset (tag 35-MsgType=4, tag 123GapFillFlag=Y) message. For Drop Copy, this message alerts the client system to initiate the Application Resend.
The process by which, in the event of missed messages, the client system requests and Drop Copy resends the missed messages using the FIX Resend – Standard FIX resend process using the iLink 2 Resend Request message.
In the Application Resend process, the message sequence range is sent in the Application Message Request Acknowledgment (tag 35-MsgType=BW) in tags 1182-ApplBeginSeqNo and 1183-ApplEndSeqNo.
The following topics provide the technical details for each Drop Copy feature.