iLink Architecture

For iLink order entry on the CME Globex platform, CME provides two gateway access models. 

Customers can choose to access CME Globex markets through the MSGWs or CGWs, which route through the MSGWs.

Contents

iLink Architecture Video Overview

Watch this brief video for an overview of iLink architecture.

iLink Session Model

For CGW, Session ID can exist on only one CGW.

For MSGW, Session IDs are shared across multiple MSGWs. Customers utilize a single Session ID, password, and port across all MSGWs.

• Customers use their given Session ID, password, and port to connect to different MSGWs by their IP address.
• Each iLink MSGW has a unique IP address for each of the primary and backup MSGWs.

The diagram below shows how Session IDs are shared across multiple MSGWs.

iLink Fault Tolerance

For iLink, Fault Tolerance is managed at the gateway application level. iLink has a designated host that is primary and another that is designated backup.

• Customers must successfully log on to the primary before attempting to log on to the backup.
  • If a session logs on to the backup gateway before logging on to the primary gateway, CME Globex will send a Logout message (tag 35-MsgType=5), with tag 58-Text = Invalid Logon. Must be logged on to Primary. Logout forced.
• Customers can only trade through primary connections.
• Customers can connect to the backup, but can send only Administrative messages (e.g. Test Request, Heartbeat). Application messages sent to a backup gateway are rejected.
• Disconnecting or logging out from the primary gateway—either client- or exchange-initiated—will trigger an automatic logout or disconnect from the backup gateway as well, except in the Primary gateway failure scenario.
  • A Logout message (tag 35-MsgType=5) with tag 58-Text = Logout initiated due to disconnect on primary connection will be sent from CME Globex to the customer.
• If the primary gateway fails, failover occurs by promoting the backup gateway to assume the primary role.
  • During the designated primary instance failure condition, CME Group may keep the designated backup instance as primary gateway. 
  • Customers who experience log on issues with their primary iLink sessions must rely on the reason text (tag 58) to detect if they are connecting to primary gateway, which could be different than the primary host IP address.
  • To re-establish connection successfully, customer must log on to their backup iLink sessions.

iLink Fault Tolerance Scenarios

Convenience Gateway

Customers can continue access and trade on the "standard" iLink gateway, referred to as the iLink Convenience Gateway (CGW).

The CGW allows the client system to connect to any CGW session, which manages routing for all order messages.

CGW FIFO Message Processing Model

The CGW FIFO message handling is enforced once the message reaches the MSGW. The following diagram shows the CGW model in which the example Session, AB1, exists on a single gateway.

CGW Sequence Number Management

CGW message sequencing is managed using the SenderCompID value as in standard iLink Session Layer - Message Sequence Numbers.

Market Segment Gateway

One iLink MSGW provides connectivity to a single market segment. Currently there are 17 market segments or groups of products on a given trading engine instance.

SFTP - MSGW Configuration

The MSGW ensures messages are processed in the order in which they arrive at the gateway.

MSGW Sequence Number Management

A single session is able to login to all 17 MSGW instances. To manage message sequence numbers, the customer must leverage the combination of Session ID (the first 3 characters of tag 49-SenderCompID) and tag 1300-MarketSegmentID. 

CME Globex is currently comprised of 17 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 1300-MarketSegmentID in the Market Data Security Definition message to route orders to the correct MSGW.

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 echo back tag 57-TargetSubID values submitted in the customer iLink message on tag 50-SenderSubID.

Example

• 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).
• MSGW will reject any application message with an instrument not assigned to that particular Market Segment ID with a Session Level Reject(tag 35=3) including tag 58 = Invalid SecurityDesc(tag 107).

MSGW Failover Scenarios

During a MSGW failover from the primary to the backup instance, customer iLink messages will be rejected.

During the primary MSGW failover to backup:

• CME Globex initiates failover to backup MSGW.
  
  • CGWs will reject all incoming business messages for instruments on the impacted Market Segment with a Session Level Reject (tag 35=3) with tag 58=Technical Error – Market Segment: <MarketSegmentID> is not available at this time.

• If the MSGW failing over is for a futures engine, all of the options on the associated options engine will automatically transition to a trading halt (MDP Security Status(tag 35-MsgType=f) message with tag 326-SecurityTradingStatus=2 and tag 327-HaltReason=0). This trading halt applies to all of the options on the market segment. All resting mass quotes are cancelled during the transition. During the halt, customers can submit, modify and cancel orders. Mass quotes are rejected. This halt is maintained for a few seconds after the futures MSGW has resumed trading.

• Technical Pause is introduced, which allows customers to cancel existing orders and to ensure that all messages sent during the MSGW failover are acknowledged by CME Globex.
  • Technical Pause is indicated by MDP Security Status (tag 35-MsgType=f) message  with:
    • tag 326-SecurityTradingStatus=2 (Trading Halt) and tag 327-HaltReason=6 (Recovery in process)
  • During the Technical Pause only order cancellation is allowed.
  • There are 2 scenarios where technical pause will be initiated:
    • The current market state is in a less restrictive state than Pause (i.e. Open, Pre Open)
    • The current market state is already in Pause

• After the market is re-opened, order entry will be allowed.

The following diagram illustrates the process above.

Backup MSGW Failure

If the backup MSGW fails:

• The failure of a backup component will not affect the primary connection state.
• The failed backup MSGW is restored.

CME Globex Timestamps

Watch this brief video for an overview of CME Globex timestamps.

The diagram shows all timestamps for iLink and MDP 3.0 messages:

• All MDP 3.0 timestamps are in nanoseconds with microsecond precision.
• The iLink timestamp (tag 5979-RequestTime) is in nanoseconds with microsecond accuracy.
• Timestamp(1) on iLink and MDP 3.0 represents the time when the order reaches the Market Segment Gateway.
• Timestamp(1) is included in the MDP 3.0 Trade Summary and Order Book Update messages.
• A customer can compare timestamps with an aggressor’s timestamp to determine how much later the customer's order was submitted.

Nanosecond Timestamp (tag 5979-RequestTime)

To provide more transparency between iLink order entry and MDP 3.0 market data, iLink supports a FIX tag 5979-RequestTime on all Convenience Gateway (CGW) and Market Segment Gateway (MSGW) sessions.

This timestamp represents the time the customer iLink message was received by the Market Segment Gateway and had FIFO order handling applied. The tag provides the date and time, in Universal Time Coordinated (UTC), represented in nanoseconds past the UNIX epoch time (00:00:00 UTC on 1 January 1970). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

Tag 5979-RequestTime will be added to the following iLink application messages sent from CME Globex to the client system:

• Execution Report: Order Creation, Cancel, or Modify (tag 35-MsgType=8, tag 39-OrdStatus=0, 4 or 5)
• Execution Report: Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)
• Execution Report: Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H) 
• Execution Report: Order Elimination (tag 35-MsgType=8, tag 39-OrdStatus=4 or C
• Execution Report Order Status Request Acknowledgment (tag 35-MsgType=8, tag 150-ExecType=I)
• Execution Report: Reject (tag 35-MsgType=8, tag 39-OrdStatus=8)
• Order Cancel/Replace Reject (tag 35-MsgType=9, tag 434-CancelRejResponseTo=2)
• Order Cancel Reject (tag 35-MsgType=9, tag 434-CancelRejResponseTo=1)
• Order Mass Action Report (tag 35-MsgType = BZ)
• Quote Acknowledgement (tag 35-MsgType=b)
• Quote Reject (tag 35-MsgType=b, tag 297-QuoteAckStatus =5)
• Quote Cancel Acknowledgement (tag 35-MsgType=b, tag 297-QuoteAckStatus=1, 3, 4 or 5 without tag 9775-UnsolicitedCancelType)
  • Only for Solicited Quote Cancel

All Administrative messages and the following Application messages sent from CME Globex to the client system will not include this new tag:

• Quote Cancel Acknowledgment (tag 35-MsgType=b, Tag 9775--UnsolicitedCancelType=A, B, C, D, E, F or H)
  • Only for Unsolicited Quote Cancel

iLink Unsolicited Outbound Message Scenario

For unsolicited outbound messages where there are no iLink inbound messages, tag 5979 will represent the time at which the transaction is processed on the trading engine in nanoseconds.

Tag 60-TransactTime contains the time when a customer iLink message reaches the MSGW, where applicable. Otherwise, tag 60 represents the trading engine event time.

Customers may use iLink tag 60 or tag 5979 interchangeably, depending on the level of timestamp granularity needed, and can leverage them in combination with the MDP 3.0 tag 60 value.

• the iLink tag 60 value will be derived from iLink tag 5979-RequestTime, but represented in the existing UTC format with millisecond precision. 
• MDP 3.0 tag 60 timestamp is sent in number of nanoseconds since the Unix epoch synced to a master clock to microsecond accuracy.

Testing and Certification

An iLink MSGW certification suite is available in AutoCert+. Both iLink and the iLink MSGW certifications are required for customer systems to connect directly to the MSGW. To certify, customers must use the same System Profile for both iLink and iLink MSGW certifications.

New Release Weekly Failover Testing Windows