Market Data Advisory Notices
To | Quote Vendors
From | Market Data Operations
Subject | Special CME Group Notice: Important FIX/FAST Migration Guidelines
Notice Date | 2008-11-10
Notice Number | Q2008-242
Effective Date | 2008-11-14
As a reminder, the deadline for migrating to the FIX/FAST protocol is November 14, 2008. The CME Group wishes to advise CME GLOBEX users of the following steps that should be taken to fully leverage the efficiencies associated with the FIX/FAST protocol and the expanded bandwidth recommendations that were previously announced. The following steps are strongly advised: CME GLOBEX users should take technical precautions to ensure against exceeding the bandwidth of the physical connection (megabits per second or Mbps). Steps should also be taken not to exceed the throughput of the router (number of packets per second or PPS) which manages the connection. To prevent bandwidth and/or router capacity contention and possible degradation in the distribution of market data, Quote Vendors utilizing 40 Mbps connections (or smaller) should not listen to both futures and options in full parallel with the FIX/FAST and RLC protocols. Given our current market data rates: Quote Vendors with 40 Mbps connections (or smaller) who are listening to both futures and options on RLC will have bandwidth and router capacity problems before the end of 2008. Postponing migration to FIX/FAST will only exacerbate capacity issues. Quote Vendors on 40Mbps connections (or smaller) listening to both futures and options and trying to run FIX/FAST in full parallel with RLC will have bandwidth and router capacity problems. These Quote Vendors are advised to use alternative migration strategies such as channel by channel or by channel groupings. Quote Vendors with client-managed routers that cannot handle the PPS rates for the data to which they are listening will likely experience dropped packets (note this may impact LNet, Jackson Direct or any global Hub customers) if they do not follow our recommendations. Please review the below information for additional guidance on PPS rates. For more information on client-managed router recommendations and best practices, see the following link: http://www.cmegroup.com/globex/files/2009RouterGuidance.pdf Market Data Bandwidth and Router Capacity CME Group has previously provided guidance on bandwidth projections; the recommendation for those Quote Vendors listening to both futures and options is to move to 100 Mbps connections (or dual 40 Mbps if 100 Mbps is not available in the customer’s service area).
Feed Format | 2008 Year-end Projected Bandwidth (Mbps) | 2009 Year-end Projected Bandwidth (Mbps)
RLC | 47 Mbps | Not Applicable
FIX/FAST | 16 Mbps | 31 Mbps
ITC2 | 39 Mbps | 68 Mbps
Note: 2008 estimates are slightly lower than previous estimates because 3 deep options have been postponed until 2009. 2009 estimates include 3 deep options and 10 deep futures. These FIX/FAST estimates do not include Market Recovery (snapshot channel) bandwidth, which is now estimated at 7.2 Mbps for both futures and options. CME GLOBEX Hub, Client Direct and Client Internet Quote Vendors are increasingly asking CME Group to provide router recommendations for their client-managed connections. In terms of packets per second router capacity, CME recommends router models which support significantly higher than the below rates (or combined rates, if running in parallel) to allow for growth:
Feed Format | 2008 Year-end Projected Packet Rates (PPS) | 2009 Year-end Projected Packet Rates (PPS)
RLC | 14,000 | Not Applicable
FIX/FAST* | 14,000 | 58,000
ITC2 | 35,000 | 64,000
Any Quote Vendors who have upgraded to 100 Mbps already have routers with a capacity of 15M PPS as tested by CME Group. CME Group is currently in the process of upgrading the routers for customers connected with 40 Mbps or less; this migration is expected to take at a minimum 6 months, but will require all Quote Vendor’s full participation and cooperation to achieve in a timely manner. FIX/FAST Market Recovery & Instrument Definition Channel Rates Please note, FIX/FAST Quote Vendors must also take into consideration the PPS for the Market Recovery (snapshot) stream and Instrument Definition replay loops. Effective November 9, to minimize any risk to customer systems by these recovery throughput rates (PPS) CME Group will scale down the throughput rates to those listed below:
Market Recovery Channels by Exchange (PPS) | Total Futures | Total Futures and Options | Average Futures | Average Futures and Options
CME (4 Futures, 5 Options) | 900 | 2,980 | 225 | 331
NYMEX (3 Futures, 3 Options) | 2,300 | 3,100 | 767 | 517
CBOT (3 Futures, 3 Options) | 310 | 1510 | 103 | 252
KCBT (1 Future, 1 Options) | 100 | 200 | 100 | 100
MGEX (1 Future, 1 Options) | 60 | 160 | 60 | 80
Total all Market Recovery Channels | Prior to Nov. 9 | 24,680 | After Nov. 9 | 8,050
Instrument Definition Channels by Exchange (PPS) | Total Futures | Total Futures and Options | Average Futures | Average Futures and Options
CME (4 Futures, 5 Options) | 1,200 | 8,500 | 300 | 944
NYMEX (3 Futures, 3 Options) | 1,500 | 4,600 | 500 | 767
CBOT (3 Futures, 3 Options) | 300 | 2,400 | 100 | 400
KCBT (1 Future, 1 Options) | 100 | 200 | 100 | 100
MGEX (1 Future, 1 Options) | 100 | 1,100 | 100 | 550
Total all Instrument Definition Channels | Prior to Nov. 9 | 20,930 | After Nov. 9: | 16,900
Other Important Reminders: No static joins o Do not statically join the Security Definition replay loops o Do not statically join the Snapshot recovery channels Restart price servers only on the weekend or during the market pause between 4:00 pm – 5:00 pm Chicago time Potential firewall issues: if there is one in the network path, it must be sized appropriately for the traffic demands For Quote Vendors using NATing (Network Address Translation), the router performing NAT must be capable of handling the traffic CME Group staff are available to discuss conversion strategies in more detail via one-on-one conference calls. Please contact your Market Data Operations representative to facilitate this Deadlines: November 14 to avoid surcharges which are assessed per site i.e., direct network connection receiving market data (not per Quote Vendor), December 26 for the final RLC decommissioning. Please note: the end of year decommissioning cannot be postponed due to internal system dependencies. For More Information: · Refer to FIX/FAST Migration Guideline slides from the last customer forum at the following link: http://www.cmegroup.com/globex/files/FIXFASTguidelines.pdf Please refer any questions to Market Data Operations: Kevin Brady 312.648.3653 Lakisha Speights 312.338.7110 mdo@cmegroup.com