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CME Group customers leveraging the CME Drop Copy service to monitor sessions trading BrokerTec products on CME Globex must also be aware of the functional considerations described in this topic.

Customers implementing Drop Copy to monitor trading activity in BrokerTec markets on the CME Globex platform must first implement Drop Copy Service for iLink and refer to the BrokerTec-specific functionality described in this topic.

Information on iLink 3 Binary order entry for BrokerTec Markets is here.

Order entry activity submitted through the BrokerTec Global Front End (GFE) application can be monitored on the CME Drop Copy service. 

Contents

BrokerTec Markets on CME Drop Copy

Current CME Group and BrokerTec customers developing Drop Copy applications to sequence Execution Report and Acknowledgment messages from target sessions trading BrokerTec products on CME Globex must be aware of the following.

CME Drop Copy Architecture

For customers choosing to consume message streams from source sessions trading BrokerTec products, a new Drop Copy target session is required.

A CME Drop Copy target session will be replicated across multiple Drop Copy Market Segment gateways, each receiving sequence streams comprised of messages from individual market segments. Duplicate sequence numbers may be received by the target session across market segments.

The diagram below shows the CME Drop Copy architecture managing Market Segment Gateway sequence streams.

Drop-Copy-for-BrokerTec

CME Drop Copy Session Model

The Drop Copy service for client order entry systems trading BrokerTec products implements a SessionID and access model that offers MSGW target sessions.

MSGW target sessions will sequence streams from source sessions that are unique per market segment and session combination.

  • CME Drop Copy users connect to a given MSGW by leveraging its unique IP address and assigned Drop Copy Session ID, security credentials, and port.
  • Each MSGW target session has a unique IP address for each of the primary and backup Drop Copy MSGW.

For MSGW target sessions, the customer receives standard connection information for the Drop Copy Target session(s) including:

  • SenderCompID – seven digit alphanumeric value consisting of:

o 6-character Session ID

o 1-character Fault Tolerance Indicator = ‘N’ (no fault tolerance)

Session Configuration

Market Segment Gateway Source Sessions

  • New target SessionID 
    • new IP pairs - one primary and one backup - each IP pair is associated to a unique MSGW
    • new security credentials
    • new port

For load balancing, the same IP address may be designated primary for one CME Drop Copy target session and backup for another Drop Copy target session.

Managing Sequence Numbers

A single MSGW Drop Copy  session is able to log into into all MSGW instances. To manage message sequence numbers, the client system must leverage the combination of Session ID (the first 6 characters of tag 49-SenderCompID) and tag 57-TargetSubID. 

CME Globex is comprised of a number of market segments. The number of market segments and the instruments listed on each can change in the future. Customers are strongly encouraged to rely programmatically on tag 57-TargetSubID (which contains the tag 1300-MarketSegmentID value) in the Market Data Security Definition message to route orders to the correct MSGW.


MSGW Session ID

Number of sequence stream(s)

Customers must manage different sequence streams, up to the number of current market segments, based on the combination of Session ID and Market Segment ID.

Number of TCP connection(s)TCP connections for each MSGW instance to access all market segments

SFTP - CME Drop Copy MSGW Configuration

An SFTP site (sftpng.cmegroup.com) is used to disseminate the Drop Copy MSGW configuration information. The MSGW Configuration allows clients system to receive the list of all market segments and MSGW IPs. This SFTP site contains the configuration files for all environments. The SFTP site is a secure site that requires a user name and security credentials for access.

Table Key:

  • Environment - specific environment (i.e., Certification, New Release, Production).
  • The Autocert+ tool uses the NR DCMSGW config file.
  • Service - the Configuration service.
  • SFTP Site - address of SFTP site.
  • User Name - identifies the user name.
  • Security Credentials - identifies the security credentials.
  • Directory Location - identifies the directory.
  • Client System Update Schedule - Client systems should download updates according to the schedule specified.

Environments

Service

SFTP Site

User Name

Security Credentials

Directory

Client System Update Schedule

Production

Configuration

sftpng.cmegroup.com

cmeconfig

G3t(0nnect3d


/DCMSGW/Production/Configuration


daily


Certification

/DCMSGW/Cert/Configuration



New Release Certification

/DCMSGW/NRCert/Configuration


In addition to the generic User Name/security credentials, client systems can connect using the same credentials used for CME SFTP site.

To download files from the SFTP site, use an SFTP client to connect to sftpng.cmegroup.com.

Tag 57-TargetSubID

Customers may connect directly to all Market Segment Gateways using the same Session ID. Customers can use tag 1300-MarketSegmentID from the market data Security Definition (tag 35-MsgType=d) message to specify the market segment for the products they want to trade on CME Globex.

For iLink messages sent from the client system to CME Globex, MSGW customers can leverage tag 57-TargetSubID to specify the market segment of the instrument. Tag 57-TargetSubID contains the tag 1300-Market SegmentID value. CME Globex will respond and return the tag 57-TargetSubID values submitted in the customer iLink message on tag 50-SenderSubID.

BrokerTec Market Segment 

New Market Segment is defined for each BrokerTec product in  tag 1300-MarketSegmentID in the MDP 3.0 - Security Definition (tag 35-MsgType=d) message. 

Market Segment ID

Markets

Product
40BrokerTec USUS Treasury
42BrokerTec USUS Repo
44BrokerTec EUUK Gilts
BrokerTec AmsterdamEU EGB
46BrokerTec EUUK Gilt Repo
BrokerTec AmsterdamEU Repo

Example

Time

From Client System to CME Globex

From CME Globex to Client System

Tag 35-MsgType

Tag 49-SenderCompID

Tag 50-SenderSubID

Tag 57-TargetSubID

1

Logon


A

ZUB0007N

ATS

40

2


Logon Ack

A

CME

40

ATS

3


Test Request

1

CME

40

ATS

Drop Copy MSGW will reject any attempts to logon with an incorrect Market Segment ID with a Logout message (tag 35=5), including tag 58 = Invalid TargetSubID(tag 57).

Drop Copy MSGW will reject any administration message with an incorrect Market Segment ID with a Session Level Reject (tag 35=3), including tag 58 =TargetSubId (57) tag has an incorrect value: < MarketSegmentID>, should be: < MarketSegmentID>

IP Ranges

This table comprises Drop Copy source ranges available to customers on the CME Globex WAN extranet.

205.209.216.0/24

Drop Copy Market Segment Gateway Source Range

205.209.218.0/24

Drop Copy Market Segment Gateway Source Range 

Once certified, and upon customer request, the account manager will provide the following information:

  • For Drop Copy Market Segment Gateway target sessions (once the new iLink architecture has been implemented): new SessionID, IPs, security credentials, and port; customers will receive a unique IP pair for each MSGW instance.

The $500/month surcharge will apply for a new Drop Copy Group request.

The first Drop Copy Group is free. Each subsequent Drop Copy Group costs $500/month.

Note: iLink MSGW source session messaging will only be supported on the new Drop Copy implementation.

For a complete description of BrokerTec market functionality, please refer to the BrokerTec on CME Globex Market Functionality, which will only be available in the BrokerTec Support Portal.   

To access the BrokerTec Support Portal you must be an existing customer or vendor with a signed Non-Disclosure Agreement (NDA) in place with BrokerTec. 

Summary of Drop Copy Message Payload Considerations

This section summarizes the messaging impacts on Drop Copy message payloads from source sessions trading BrokerTec products.

The following sections contain the tag-level client system messaging impacts that must be accommodated in order to sequence Drop Copy message payloads from source sessions trading BrokerTec products on CME Globex.

Order Qualifiers (tag 59-TimeInForce)

Order qualifiers on the Drop Copy Market Segment (MSGW) messages payload.

Tag

Name

Valid Values

Description

59

TimeInForce

0=Day Order
3=Fill And Kill (FAK) Order

4=Fill Or Kill (FOK) Order

Specifies how long the order remains in effect.
If not present, DAY order is the default.

For FAK, MinQty can also be specified.

See supported order types and qualifiers on BrokerTec Markets for more information.

Note: For spread trade Execution Reports, this tag is sent in the Execution Report – Fill Notice (35=8, 39=1 or 2) for the spread only and not the legs of the spread.

FIX Tags on Drop Copy Message Payloads - BrokerTec Markets

FIX tags on Drop Copy message payloads from source sessions trading BrokerTec products.

  • Tag 18-ExecInst
  • Tag 337-ContraTrader
  • Tag 375-ContraBroker
  • Tag 5906-ExecutionMode
  • Tag 6581-BeneficiaryCode
  • Tag 6881-Managed
  • Tag 9373-LiquidityProvision
  • Tag 5409-ShortSaleType
TagNameTypeLengthReqValid ValuesDescription
18ExecInstChar3N

Bit 0: (least significant bit) All Or None

Bit 1: Only Best

Bit 2: Not Held

Bit 3: Reserved for future use

Bit 4: Reserved for future use

Bit 5: Reserved for future use

Bit 6: Reserved for future use

Bit 7: (most significant bit) Reserved for future use

Instructions for order handling for fixed income markets.

Only Best may be applied to resting and aggressing orders and:

  • Prevents submission of an order if the order’s price is not equal to or better than the best price on the book.
  • Cancels an order from the book if a new order with a better price enters the queue.
  • This order condition permits the order to be alone at the best price level or join other orders at the best price level.

Not Held (Applies only to US Repo) - eliminates quantity remaining from an FaKi order (tag 59=3) and  ensures it will it not be included in a work-up session; however, the order can still trigger a work-up session.

AONs will have a separate book with a separate ISIN. The AON orders that cannot trade immediately can rest in the AON book. They can only trade with AON orders on the other side of the AON book that have the SAME PRICE and SAME QUANTITY.

337ContraTraderString8N
Will contain 'TRADE'
375ContraBrokerString8N
Will contain 'CME000A'
5906ExecutionModeChar1N
  • A=Aggressive
  • P=Passive

Instruction for whether the order should rest on the book upon entry or match as an aggressor.

A Passive Order will rest in the market without executing unless matched with an Aggressive Order on the other side.

An Aggressive Order will match against any other order on the opposite side.

Applicable only to Repo fixed income markets.

6581BeneficiaryCodeInt20N

Represents the Investment Decision Maker Short Code

6881ManagedOrderBoolean1N
  • Y=managed
  • N=not managed

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

9373LiquidityFlagInt1N
  • 0=False
  • 1=True

Indicates if an order was submitted for market making obligation as required for MiFID.

Applicable only for EU fixed income markets.

5409ShortSaleTypeInt1N

0=Long Sell

1=Short Sale With No Exemption (SESH)

2=Short Sale With Exemption (SSEX)

3=Undisclosed Sell (Information not available – UNDI)

Indicates the type of short sale on Sell orders only as required for MiFID.

Should not be used for Buy orders.

Applicable only for EU fixed income markets.

Note: if missing or null, CME will default to 0=Long Sell.

These new tags will be in the following Drop Copy message payloads:

  • Execution Report - Accept
  • Execution Report - Elimination
  • Execution Report Modify - Ack
  • Execution Report - Cancel Ack
  • Execution Report - Fill (partial and complete)
  • Execution Report - Trade Cancel
  • Execution Report - Trade Correction
  • Execution Report - Trade Addendum Spread Outright
  • Execution Report - Trade Addendum Spread 
  • Execution Report - Trade Addendum Spread Leg
All fields may not be applicable to all messages.
  • Tag 820-TradeLinkID and Tag 7191-Ownership will be on the Execution Report - Trade Outright message for US Repos: 

Tag

Name

Type

Length

Req

Description

820TradeLinkIDInt10N

Contains the workup ID; unique per instrument per day.


7191OwnershipInt8NSpecifies the owner of the work up private phase.

MiFID Reporting

The following tags will be reflected on Drop Copy Message Payload for all EU fixed income products, but optional for CME Group futures and options. 

  • Tag 5290-Executor and tag 36023-IDMShortcode are added to the Party Details Definition Request, Party Details Definition Request Acknowledgment, and Party Details List Report messages.
  • Tag 5290 and tag 36023 will be accepted and acknowledged on the Drop Copy Message payload if sent on Order Cancel, Order Mass Cancel, and Quote Cancel messages. If not populated on these message types, the message will be accepted and acknowledged with the values as follows:

Tag 5290 (Executor) and/or tag 36023 (IDMSHORTCODE)

Expected Behavior

Acknowledge Value

Not present

Accept

  • For Cancel message - Value from the resting order
  • For Mass Cancel/Quote Cancel message - N/A

Present with an unregistered value 

Reject

N/A

Present with a registered value 

Accept

Value from Cancel/Mass Cancel/Quote Cancel message

Tag 5290-Executor and tag 36023-IDMShortcode applicable for EU BrokerTec and EBS MiFID.

Tag

Field Name

Type

Length

Req

Description

5290

Executor

String

20

N

Will be populated with the MIFID short code for the person or algo responsible for the execution of the order within firm. Short Code will be referring to a person or algo which will be mapped to National ID or Algo at reporting time.

Applicable for EU BrokerTec and EBS MiFID.

36023

IDMShortcode

Char

8

N

Represents the MIFID Short Code of the Investment Decision Maker.

Applicable for EU BrokerTec and EBS MiFID.

New Repeating Group

A new repeating group for MIFID reporting will be added to the following messages:

  • Party Details Definition Request 
  • Party Details Definition Request Acknowledgment
  • Party Details List Report

Tag

Name

Type

Length

Req

Valid Values

Description

2668

NoTrdRegPublications

NumInGroup

1

N

0

1

Number of regulatory publication rules in repeating group

Used to indicate that an ESCB customer can exempt from disclosure any activity that is related to central banking activity

Should always be "1" if used; otherwise set to '0'

→2669

TrdRegPublicationType

Int

1

Y

2=Exempt from Publication

Specifies the type of regulatory trade publication

Additional reasons for the publication type will be specified in tag 2670-TrdRegPublicationReason

Represents allowable exemptions for the post-trade publication of trade transactions

Should always be "2"

→2670

TrdRegPublicationReason

Int

2

Y

12=Exempted due to European System of Central Banks (ESCB) policy transaction

Additional reason for trade publication type specified in tag 2669-TrdRegPublicationType (2669)

Reasons may be specific to regulatory trade publication rules

Should always be "12"

Repeating Groups on Drop Copy Message Payloads

This repeating group will be in the following message types to support binary trade reporting:

  •  Execution Report Trade Outright
  •  Execution Report Trade Spread
  •  Execution Report Trade Spread Leg

Tag

Name

Req

Type

Length

Description

1795NoOrderEventsNNumInGroup3
→1799OrderEventPxYPrice20Refers to the fill price; same as tag 31-LastPx
→1802OrderEventTextNString5Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades
→1797OrderEventExecIDYInt10This is a unique ID which ties together a specific fill between two orders; It will be unique per instrument per day
→1800OrderEventQTYYQty9Refers to the specific fill quantity between this order and the opposite order
→1796OrderEventTypeYInt1The type of event affecting an order
→1798OrderEventReasonYInt3

Action that caused the event to occur.

100=Binary Trade Reporting

This repeating group will be in the following message types to support binary trade reporting:

  • Execution Report - Fill (partial and complete)
  • Execution Report - Trade Cancel
  • Execution Report - Trade Correction
  • Execution Report - Trade Addendum Spread Outright
  • Execution Report - Trade Addendum Spread 
  • Execution Report - Trade Addendum Spread Leg

Execution Acknowledgment for Bilateral Trading

Drop Copy for BrokerTec also supports the iLink 3 Execution Acknowledgment (tag 35-MsgType=BN) message from the client system to CME Globex for bilateral trades.

For a description of Execution Acknowledgment functionality, refer to BrokerTec on CME Globex Market Functionality.

Administrative Information on Drop Copy Message Payloads

Drop Copy Market Segment Gateway (MSGW) payload messages contain customer optimized business messages constructed by:

  • pre-registered administrative information weekly through the new Service Gateway.
  • submitted administrative information per business message from iLink 3 source sessions.
Administrative information on Drop Copy payload messages are always in the ASCII message type 

Business messages on Drop Copy Market Segment Gateway (MSGW) payload messages always include a reference to the pre-registered or on-demand administrative information.

Drop Copy Sample Message

Encapsulated XML Non-Fix (tag 35-MsgType=n) Message

8=FIX.4.2|9=734|35=n|34=4|369=2|52=20210428-20:02:21.825|49=CME|50=46|56=72XNEXN|57=DUMMY|143=US,IL|212=637|213=8=FIX.4.2|9=601|35=8|34=2|369=1|52=20210428-20:02:21.806|49=CME|50=46|56=FOFCSET2P|57=CSET2|143=US,IL|1=KEN_EUSTP|6=0|11=FOF1|14=100|17=4637:M:1742TN0175056|20=0|31=-0.54|32=100|37=4610064300|38=100|39=2|40=2|41=0|44=-9|48=12920734|54=1|55=EUSA|59=0|60=20210428-20:02:21.792|75=20210428|107=FRDUSA:7H7TTQ3RN5EF|150=2|151=0|167=REPO|204=1|337=TRADE|375=CME000A|432=20210428|442=1|527=461006430020210428175056|1028=Y|1031=Y|1057=Y|1598=1|2668=1|2669=2|2670=12|5290=123|5979=1619640141792270044|6581=456|9702=2|37711=4788|1362=1|1363=Y1|1364=-0.54|1365=100|1622=11|1795=1|1796=5|1797=175211|1798=100|1799=-0.54|1800=100|10=153||10=092|

Summary of Fix Tag Conversion from iLink 3 to iLink 2

This table shows message tags as received on iLink 3 source sessions (execution reports and acknowledgement messages) and reflected on Drop Copy payload messages in iLink 2 tags.

iLink 3
iLink 2 - Drop Copy message payload
Outbound

tag 5392-SenderIDConvert








tag 57-TargetSubID
tag 5297-SendingTimeEpochtag 52-SendingTime
tag 60-TransactTimetag 5979-RequestTime
tag 9726-SequenceNumber

tag 34-MsgSeqNum

tag 1138-DisplayQtytag 210-MaxShow
tag 1151-SecurityGrouptag 55-Symbol
tag 48-SecuirtyID

tag 107-SecuirtyDesc