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

  • Convenience Gateway (CGW) - provides a connection to any CGW session, which manages routing for all order entry messages to all market segments; routing is transparent to customer.
  • Market Segment Gateway (MSGW) - provides a connection to a dedicated market segment, which is defined as a group of products on a given trading engine instance.

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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.

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Excerpt

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 listed on the CME SFTP -MSGW config.xml file.
    • To re-establish connection successfully, customer must log on to their backup iLink sessions.
Info
Client systems must examine tag 58-Text of the logout message to successfully reestablish connection to the newly promoted primary.

iLink Fault Tolerance Scenarios

ScenariosGiven Primary Gateway StateGiven Backup Gateway StateWhenThen Primary Connection StateThen Backup Connection StateResult
Initial Logon to Primary Session

Not connected

Not connected

Logon to primary followed by Logon to backup

Logged on 

Logged on 

Client system uses the fault tolerance feature.

Client system must send a Logon message to primary gateway first with the Fault Tolerance Indicator (FTI) in tag 49-SenderCompID set to 'U' for undefined.

Initial Logon to Primary Session

Not connected

Not connected

Logon to backup 


Logged out 

New behavior

Client system sends a Logon to backup gateway first.

CME Globex sends  a Logout (tag 35-MsgType=5) message.

Primary Session Disconnect

Logged on


Logged on

Disconnect from primary

Disconnected

Logged out

Client system is disconnected from primary gateway, the backup connection is logged out  as well.

All resting orders are cancelled for all Cancel on Disconnect registered iLink sessions.

All resting quotes are cancelled on behalf of the iLink 2 Mass Quote customers.

Backup Session Disconnect

Logged on

Logged on

Disconnect from backup

Logged on 

Disconnected

A TCP disconnection from backup gateway does not affect primary connection.

Resting orders and quotes are not cancelled.

Logout from Primary Session

Logged on 

Logged on 

Logout from primary 

Logged out 

Logged out 

Client system is logged out from primary gateway, the backup connection is logged out  as well.

If the logout is exchange initiated, all resting orders are cancelled for all Cancel on Disconnect registered gateway sessions.

All resting quotes are cancelled on behalf of the Mass Quote customers.

Logout from Backup Session

Logged on 

Logged on 

Logout from backup

Logged on

Logged out

Logout from backup gateway does not affect primary connection.

All resting orders and quotes are not cancelled.

Logon with Fault Tolerance

(FTI value of U, P, or B)

Logged on

Logged on

Primary MSGW FailureDisconnectedBackup connection becomes Primary

Newly promoted primary will send a heartbeat.

Resting orders are not cancelled.

All resting quotes are cancelled on behalf of Mass Quote customers.

Logon with Fault Tolerance

(FTI value of U, P, or B)

Logged on

Not connected

Primary MSGW FailureDisconnectedSession must connect and login to the new promoted primary.

All resting orders are cancelled for all Cancel on Disconnect registered iLink sessions.

All resting quotes are cancelled on behalf of Mass Quote customers.

Logon without Fault Tolerance

(FTI value of N)

Logged on

Not allowed to connectPrimary MSGW FailureDisconnectedSession must connect and login to the new promoted primary.

All resting orders are cancelled for all Cancel on Disconnect registered iLink sessions.

All resting quotes are cancelled on behalf of Mass Quote customers.

Logon with Fault Tolerance

(FTI value of U, P, or B)

Logged on

Logged on

Backup MSGW FailureLogged onSession must connect and login to the restored backup.

The failed backup MSGW is restored.

All resting orders and quotes are not cancelled.

Logon without Fault Tolerance

(FTI value of N)

Logged on

Not allowed to connectBackup MSGW FailureLogged onNot connected

The status of the primary connection remains intact.

All resting orders and quotes are not cancelled.
Note
  • A TCP disconnection or a FIX logout can be either client-initiated or Exchange-initiated.
  • A TCP disconnection or a FIX logout does not lead to failover; only gateway failure leads to failover.
  • When client systems are logged out or disconnected from the primary connection, they will be logged out from the backup connection as well, if applicable. (Does not apply to the Primary gateway failure scenario.)

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CGW FIFO Message Processing Model

The CGW FIFO message 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.

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The MSGW ensures messages are processed in the order in which they arrive at the gateway, whereas, through the CGWs, FIFO message handling is enforced once the message reaches the trading engine.

Gliffy Diagram
nameiLink-Architecture-Market-Segment-Gateway-Ordered-Messaging
pagePin2

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  • 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.

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