For a given product, CME Group calculates a benchmark Volume Ratio by comparing the total number of messages to executed contracts during RTH hours (i.e. 7:00 a.m.-- 4:00 p.m. Central Time), and adding a pre-determined variation. The variation will vary by product to allow for legitimate trading strategies in each product.
Product Volume Ratio benchmarks are published quarterly and include the most active roll periods in the calculation.
To view the current quarter's volume ratio benchmarks for each product, visit: http://www.cmegroup.com.
Clearing member firms must not exceed the product-specific Volume Ratio benchmarks (which include the variation amount). If a clearing member firm exceeds the Volume Ratio, CME Group issues two "notices" (one per session) within a rolling 30 business day period. Thereafter, CME Group charges the clearing member firm a surcharge per product, per session each time the Volume Ratio is exceeded.
Administrative Messaging Controls
To protect all market participants from the negative effects of extraordinary administrative messaging from runaway automated trading systems (ATS), CME Group is implementing volume controls for iLink administrative messaging.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.
Normally, administrative messaging from customers does not approach the 100 MPS threshold.
Implementing this volume control for administrative messaging at 100 MPS is designed to:
Support valid trading activity: and,
Prevent a malfunctioning trading system from impacting the markets.
This launch will have no impact on application messages. Order routing messages will not be counted
towards the messaging threshold or be subject to rejection.
iLink administrative messages are:
- Logon (tag 35-MsgType=A)
- Heartbeat (tag 35-MsgType=0)
- Test Request (tag 35-MsgType=1)
- Resend Request (tag 35-MsgType=2)
- Session Level Reject (tag 35-MsgType=3)
- Business Level Reject (tag 35-MsgType=j)
- Sequence Reset (tag 35-MsgType=4)
- Logout (tag 35-MsgType=5)
The volume controls for administrative messaging are available in New Release for customer testing.
For more information, contact the Globex Control Center at 312.456.2391