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Table of Contents

Revision History

Excerpt
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titleExpand
ServiceDateDescription
Market Segment Gateway9/17/2020"CME Globex Market Segment Gateway Enhancements" - Updated first paragraph.
6/13/2020Initial publication

Key Events and Dates

MSGW Enhancements Timeline

Market Segment ID

Market Segment Description

Production

50
76

CME Interest Rate Options
NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures

Sunday, July 26, 2020

54
68
72
88

CME and CBOT Equity Options
CME Equity Futures II; CBOT Equity Futures
CBOT Commodity Futures II
CME FX Futures and Options

Sunday, August 9, 2020

52
58
60
64
70
78

CME FX Futures and Options II
CBOT Interest Rate Options
CME, CBOT and MGEX Commodity Options
CME Equity Futures - E-mini S&P
CME, CBOT and MGEX Commodity Futures
NYMEX Emissions and Non-Crude Energy Futures

Sunday, August 16, 2020

56
74
80
82
84

NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Markets Options; COMEX Options; DME Options
BMD Futures and Options; NYMEX SEF
DME Futures; NYMEX Crude and Crude Refined Energy Futures
CME Interest Rate Futures
CBOT Interest Rate Futures

Sunday, August 30, 2020

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Note

As a result of this new safeguard processing: 

IF session AAA sends an incomplete message

THEN session BBB sends a complete message

THEN session BBB’s message may reach the match engine before session AAA’s.

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Example 1 – Single Split Message

Assume the additional processing duration is 3 microseconds.

Gliffy Diagram
nameMSGW Split Message Queue
pagePin5

Example 2 – Multiple Split Messages

A new additional processing will be created for every split message. In the following example the same iLink session has created two additional processing.

Gliffy Diagram
size900
nameMSGW Multiple Split Message Queue
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Example 3 – Subsequent Complete Messages

When an MSGW session has a message undergoing the safeguard processing, all of the complete messages that the same session sends during that processing window will be handled in the order they were received.

Gliffy Diagram
nameMSGW Session Queue Subsequent Complete Messages
pagePin6

Example 4 – Out-Of-Order Messages

When CME receives out-of-sequence network packet(s), all messages from TCP packet #3 onward will be incur the additional safeguard processing.

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Note
Automated Port Closure can be triggered for sessions logged out as a result of exceeding the logout threshold if a customer continues to send iLink messages when the session has not been successfully logged back in.

Example 5 – Session Logout

This example shows a Session Logout Threshold scenario assuming a maximum of 4 in-flight messages.

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