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This topic provides information about CME Globex messaging controls. Extraordinary and excessive messaging rates generated by a client system can negatively impact all market participants (for example, by creating performance latencies). The CME Globex messaging controls are designed to address this risk by:

...

To protect all market participants from the negative effects of excessive messaging, CME Group has implemented the messaging controls for iLink Order Entry as described below.

Table of Contents

iLink Application Messaging Thresholds

Messages submitted by the client system on an iLink session are monitored by the number of messages sent over a predefined time interval. The time interval begins with the first message processed. At the end of the interval, if no violation has occurred, the message count and interval reset pending the next message processed.

If an iLink session exceeds one or more of the thresholds, as measured in messages per second (MPS) over a pre-defined interval, subsequent messages will be are rejected via a Session Level Reject (tag 35-MsgType=3) message until the messages per second (MPS) rate falls below the threshold. Exceeding a larger pre-defined predefined threshold will result in a logout of the offending iLink session. 

...

  • New Order (tag 35-MsgType=D)
  • Order Cancel/Replace (tag 35-MsgType=G)
  • Order Status Request (tag 35-MsgType=H)
  • Quote Request (tag 35-MsgType=R)
  • New Order Cross (tag 35-MsgType=s)
  • Security Definition Request (tag 35-MsgType=c)
  • Cancel Request messages (tag 35-MsgType=F)SecDef
  • Order Mass Action Request

    messages

    (tag 35-MsgType=

    c

    CA) 

  • Application messages that fail business validation 

...

All times
MessageReject ThresholdLogout ThresholdInterval

Cancel Request (tag 35-MsgType=F)

Order Mass Action Request (tag 35-MsgType=CA) 
1000 MPS1500 MPSThree-second window.

All other application messages

500 MPS750 MPSThree-second window.


with the following exception:

Sunday - 15:00-17:00 Central Time (CT)

Monday-Thursday 16:30-17:00 CT

  

 


MessageReject ThresholdLogout ThresholdInterval

New Order (tag 35-MsgType=D)

Order Cancel/Replace (tag 35-MsgType=G)

Order Status Request (tag 35-MsgType=H)

Quote Request (tag 35-MsgType=R)

New Order Cross (tag 35-MsgType=s)

100 MPS

Security Definition Request (tag 35-MsgType=c)

100150 MPSThree-second window.
Note

The number of active or queued Order Status Requests (OSR) per iLink session is limited to 50. Order Status Requests (OSRs) that exceed the allowed number of active and queued requests will be rejected with a Session Level Reject (tag 35=3) with tag 58=Exceeded maximum number of unacknowledged OSR requests. New OSRs may be submitted as each OSR is fulfilled.

CME Group recommends that customers wait for each OSR to be fulfilled before submitting a new request.

Mass Quote Messaging Thresholds

All mass quote messaging is measured in messages per second (MPS) over a three-second window. If an iLink session exceeds the mass quote threshold, subsequent mass quote messages will be rejected via a Session Level Reject (tag 35-MsgType=3) message until the mass quote MPS rate falls below the threshold. Exceeding the reject threshold will trigger the automatic cancellation of all resting quotes On a best-efforts basis, CME Group will cancel all resting quotes when an iLink sessions exceeds the Mass Quote reject threshold.

Mass Quote Messages:

  • Mass Quote (tag 35-MsgType=i)
  • Quote Cancel (tag 35-MsgType=Z)
MessageReject ThresholdLogout ThresholdInterval

Mass Quote and Quote Cancel Messages

350 MPS

750 MPS

Three-second window.

Administrative Messaging Thresholds

iLink and Drop Copy administrative messages are subject to thresholds.

The thresholds are in place for the following Administration message types:

Administrative Messages

  • Logon (tag 35=A)
  • Heartbeat (tag 35=0)
  • Test Request (tag 35=1)
  • Resend Request (tag 35=2)
  • Session Level Reject (tag 35=3)
  • Business Level Reject (tag 35=j)
  • Sequence Reset (tag 35=4)
  • Logout (tag 35=5)
  • Unknown message types
  • Malformed Administrative and Application messages
  • Administrative and Application Messages with invalid sequence numbers
  • Administrative messages that fail session validation

Detailed information on CME Globex Port Closure Policy is available: http://www.cmegroup.com/globex/trading-cme-group-products/gcc-support.html.

If an iLink session exceeds an average of 100 administrative messages per second (MPS) over a three-second window, subsequent administrative messages will be rejected via a Session Level Reject (tag 35-MsgType=3) message until the administrative MPS rate falls below the threshold.

...

  • exceeds 200 administrative messages per second over a three-second window, or
  • exceeds 5 invalid Logon (tag 35=A) messages in 60 seconds, or
  • sends any message other than a Logon before the session has successfully logged in.

Detailed information on CME Globex Port Closure Policy is available: http://www.cmegroup.com/globex/trading-cme-group-products/gcc-support.html.

The thresholds are in place for the following Administration message types:

Administrative Messages

Drop Copy

For Drop Copy, CME Group will automatically close the ports for any Drop Copy session that:

  • exceeds 5 invalid Logon (tag 35=A)
  • Heartbeat (tag 35=0)
  • Test Request (tag 35=1)
  • Resend Request (tag 35=2)
  • Session Level Reject (tag 35=3)
  • Business Level Reject (tag 35=j)
  • Sequence Reset (tag 35=4)
  • Logout (tag 35=5)
  • Unknown message types
  • Malformed Administrative and Application messages
  • Administrative and Application Messages with invalid sequence numbers
  • Administrative messages that fail session validation

...

  • messages in 60 seconds, or
  • sends any message other than a Logon before the session has successfully logged in.

Additionally, Drop Copy sessions are subject to the following administrative messaging thresholds:

Messaging Controls for Drop Copy Sessions
EnvironmentReject ThresholdPort Closure/Logout ThresholdInterval

New Release

401

501

Three-second window

Production

100

200

Three-second window