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)
- Order Status Request (tag 35-MsgType=H)
- 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 rolling average.|
All other application messages
|500 MPS||Three-second rolling average.|
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 rolling average.|
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. Detailed information on CME Globex Port Closure Policy is available online<http://www.cmegroup.com/globex/trading-cme-group-products/gcc-support.html>.
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)
OSR should only be used to check order status -- for example, at weekend start-up, a status request for GT orders in the event where the sequence number has rolled from week to week (business week = Sunday thru Friday).
In event where the client gateway has gone down, the Resend Request should be used for message recovery.
For Optimum Performance
If an order being queried has been modified, CME Group STRONGLY RECOMMENDS the client system to use the most recent tag 11 value.
Tag 11-ClOrdID value must = that of the order being queried.
Tag 37-OrderID is a required tag in the request message.
- OSR - Message Processing
- Execution Report - Order Status Request Acknowledgment (tag 35-MsgType=H, tag 150-ExecType=I) message specification.
Special Case for UDS Covered
If a New Order (tag 35-MsgType=D) message sent on a UDS Covered instrument is rejected with a Business Level Reject message and the client system subsequently submits an Order Status Request (tag 35-MsgType=H) for the rejected New Order, the Execution Report – Order Status Report (tag 35-MsgType=8) message will contain a value of 'N/A' in tag 55-Symbol.