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 volume controls are designed to address this risk by:
- supporting valid trading activity, and
- preventing a malfunctioning trading system from impacting the markets
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.
Application Messaging Thresholds
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 rejected via a Session Level Reject (tag 35-MsgType=3) message until the MPS rate falls below the threshold. The Thresholds are in place for the following Application message types:
- New Order (tag 35-MsgType=D)
- Order Cancel/Replace (tag 35-MsgType=G)
- Quote Request (tag 35-MsgType=R)
- New Order Cross (tag 35-MsgType=s)
- Cancel Request messages (tag 35-MsgType=F)
The Application message types Security Definition Request, Mass Quote, and Quote Cancel are not subject to these Messaging Controls.
The thresholds for each message are:
|Cancel||1000 MPS||Three-second window.|
All other application messages
|500 MPS||Three-second window.|
with the following exception:
Sundays: 15:00-17:00 Central time (CT)
Monday-Thursday: 16:30-17:00 CT
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||Three-second window.|
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.
Administrative Messaging Thresholds
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.
CME Group will automatically close the ports for any iLink session that:
- 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.
Exceeding a pre-defined threshold over a three-second window will result in a logout of the offending iLink session, as detailed below.
Detailed information on CME Globex Port Closure Policy is available: .
Administrative Messages include:
- 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)