• Important FIX/FAST Migration Guidelines

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      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20081110
      • Notice Date
      • 10 November 2008
    • Special CME Globex Notice: Important FIX/FAST Migration Guidelines

      As a reminder, the deadline for migrating to the FIX/FAST protocol is November 14, 2008. 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, customers utilizing 40 Mbps connections should not listen to both futures and options in full parallel with FIX/FAST and RLC protocols.

      Given our current market data rates:

      • Customers with 40Mbps connections 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.
      • Customers on 40Mbps connections 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 customers are advised to use alternative migration strategies such as channel by channel or by channel groupings.
      • Customers with client-managed routers that cannot handle the PPS rates for the data to which they are listening will likely experience dropped packets (this may impact LNet, Jackson Direct or any CME Globex Hub customers) if they do not follow our recommendations. Please review the below information for additional guidance on PPS rates.

      More information on client-managed router recommendations and best practices is available  online.

      Market Data Bandwidth and Router Capacity
      CME Group has previously provided guidance on bandwidth projections; the recommendation for those customers listening to both futures and options is to move to 100Mbps connections (or dual 40Mbps if 100Mbps is not available in the customer's service area).

      CME Group Market Data Bandwidth Projections

      Feed Format 2008 Year-end Projected Bandwidth (Mbps) 2009 Year-end Projected Bandwidth (Mbps)
      RLC 47Mbps
      FIX/FAST 16Mbps 31Mbps
      ITC2.1 39Mbps 68Mbps

      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 7.2Mbps for both futures and options.

      CME Globex Hub, Client DIRECTLink and Client INTERNETLink customers are increasingly asking CME Group to provide router recommendations for their client-managed connections. In terms of PPS 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:

      CME Group Market Data Packets Per Second (PPS) Projections

      Feed Format 2008 Year-end Projected Packet Rates (PPS) 2009 Year-end Projected Packet Rates (PPS)
      RLC 14,000
      FIX/FAST 14,000 58,000
      ITC2.1 35,000 64,000

      Any customers who have upgraded to 100Mbps 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 40Mbps or less; this migration is expected to take at a minimum 6 months, but will require all customers' full participation and cooperation to achieve in a timely manner.

      FIX/FAST Market Recovery & Instrument Definition Channel Rates
      Please note, FIX/FAST customers 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:

      CME Group Market Recovery Channel Rates (PPS)

      Market Recovery Channels by Exchange (PPS) Total Futures Total Futures & Options Average Futures Average Futures & 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 1,510 103 252
      KCBT (1 Future, 1 Option) 100 200 100 100
      MGEX (1 Future, 1 Option) 60 160 60 80
      Total of All Market Recovery Channels Prior to Nov 9 24,680 After Nov 9 8,050

      CME Group Instrument Definition Channel Rates (PPS)

      Instrument Definition Channels by Exchange (PPS) Total Futures Total Futures & Options Average Futures Average Futures & 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 Option) 100 200 100 100
      MGEX (1 Future, 1 Option) 100 1,100 100 550
      Total of All Instrument Definition Channels Prior to Nov 9 20,930 After Nov 9 16,900

      Other Important Reminders

      • No static joins
        • Do not statically join the Security Definition replay loops
        • Do not statically join the Snapshot recovery channels
      • Restart price servers only on the weekend or during the market pause at 4:00 pm – 5:00 pm Central time
      • Potential firewall issues: if there is one in the network path, it must be sized appropriately for the traffic demands
      • For customers using NATing (Network Address Translation), the router performing NAT must be capable of handling the traffic
      • Deadlines
        • November 14 to avoid surcharges per site; i.e., direct network connection receiving market data (not per firm)
        • 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 the  FIX/FAST Migration Guidelines slides from the last customer forum.

      Please refer any questions to your  CME Globex Account Manager at 312.634.8700; or in London at +44 30 7796 7100; or in Asia at +852 3101 7696.