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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. Exceeding a larger pre-defined threshold will result in a logout of the offending iLink session.

Please note: For Mass Quote messages, exceeding the Reject threshold will trigger the automatic cancel of all resting quotes.

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

Application Messages

  • 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)
  • SecDef Request messages (tag 35-MsgType=c)
  • Mass Quote (tag 35-MsgType=i
  • Quote Cancel (tag 35-MsgType=Z) 
  • Application messages that fail business validation 

Messaging Controls are offered in the New Release environment to allow customers to test their applications with the different messaging thresholds from production. For additional information regarding New Release messaging thresholds, contact Certification Support for Electronic Trading (CSET).

If a pre-defined logout threshold is exceeded, all resting orders are cancelled for all Cancel on Disconnect-registered iLink sessions.

The thresholds for each message are (all times):

MessageReject ThresholdLogout ThresholdInterval
Order Cancel1000 MPS1500 MPSThree-second window.

All other application messages

500 MPS750 MPSThree-second window.

with the following exception:

Sundays: 15:00-17:00 Central time (CT)

Monday-Thursday: 16:30-17:00 CT

MessageThresholdInterval

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 MPSThree-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.

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

  • 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

 

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