Try TT Now

CME Gateway

Market Segment Gateways

Overview

CME Gateway 7.17.35 and higher supports connections to the CME Group’s Market Segment Gateways, which are the Exchange’s iLink gateways dedicated to all products on a particular matching engine instance or “market segment”.

The exchange is making access to the Market Segment Gateways available in two phases. This topic supports Phase I, which provides a single iLink gateway dedicated to TAS (trade at settlement) products.

In order to connect your CME Gateway to the Market Segment Gateways, you need the following:

  • An upgrade to CME Gateway 7.17.35 or higher
  • Market Segment Gateway (MSGW) iLink credentials from the exchange
  • The CME-MSGWs.cfg file
  • An MSGW iLink order session configured in HostInfo.cfg

Exchange Credentials

Contact the exchange to request the following credentials for connecting to the Market Segment Gateway(s):

  • MSGW iLink session ID
  • MSGW password
  • MSGW port
Note

For Phase I, MSGW iLink credentials are for TAS products only. Orders for other products will be rejected on the new MSGW iLink credentials by the exchange.

The exchange is only providing five (5) iLink sessions for TAS products in Phase I.

CME-MSGWs.cfg

The CME-MSGWs.cfg file provides the connectivity parameters and market segment IDs needed to connect your order sessions to the Market Segment Gateways. The file is installed on the CME Gateway in <root drive>:ttconfig after clean and upgrade installations, and includes the market segment IDs and IP addresses provided by the CME Group. The file is not configurable (i.e., it should be used “as is” for Phase I).

The MSGW iLink session ID, password, and port that you configure in HostInfo.cfg connects to each Market Segment Gateway IP Address provided in CME-MSGWs.cfg. Refer to the following table.

MSGWs.cfg parameters
ParameterDescription
[MSGW_#]Section title for each set of Market Segment Gateway connection parameters.
PrimaryIPThe IP Address of the Market Segment Gateway.
MarketSegmentID

Identifies the Market Segment Gateway that routes orders for a group of products. The market segment ID and the products available per market segment are defined by the Exchange. Not used in Phase I.

products(Phase I only) Lists the TAS products available for Phase I.

The following example shows the CME-MSGWs.cfg file for Phase I.

Example Default CME-MSGMs.cfg file after a clean install or upgrade

#MSGW for TAS products

[MSGW_1]

PrimaryIP=205.209.217.253

MarketSegmentId=80

products=CLT,HOT,RBT,RET,BZT,BBT,NGT,NNT,HHT,CJT,7FT,KTT,TTT,YOT,HGT,SIT,GCT

#[MSGW_2]

#PrimaryIP=

#BackupIP

#MarketSegmentId=

MSGW Order Routing

Each product definition downloaded from the exchange by the Price Server and copied to the Order Server contains a market segment ID. As an order action is submitted for a product, the CME Gateway routes the order to a Market Segment Gateway based on the market segment ID for that product.

For Phase I, orders for TAS products are routed to the Market Segment Gateway while orders for other products are routed through the current exchange gateways. In this phase, the Order Server routes orders to the Market Segment Gateway based on the products listed in the products= parameter in CME-MSGWs.cfg.

Phase I

Orders for TAS products are routed to the exchange as follows:

  • An order for a TAS product (e.g., CLT, market segment ID=70) is sent to the CME Gateway by a client trading application.
  • Because CLT is listed in the products= parameter in CME-MSGWs.cfg, the CME Gateway routes the order to a Market Segment Gateway via an MSGW iLink session. In Phase I, the market segment ID is not used for order routing.
  • The Market Segment Gateway routes the order to the exchange matching engine.
  • Order acknowledgments and fills are sent back to the CME Gateway via the Market Segment Gateway that routed the order for product CLT.

Configuring Market Segment Order Sessions

Note

The MSGW.cfg file only supports a connection to one primary MSGW IP Address. If the CME Group provides you with multiple MSGW IP Addresses for the same products, you will need to configure these MSGW connections in hostinfo.cfg on separate TT CME Gateways.

If you wish to connect your gateway to Market Segment Gateways, the MSGW iLink session ID, password, and port provided by the exchange need to be configured as part of your existing order session in HostInfo.cfg. The connectivity for each Market Segment Gateway is configured in CME-MSGWs.cfg.

The MSGW iLink session ID, password, and port are configured per [order_session] section. One set of MSGW parameters are configured per order session (1-to-1).

To configure market segment order sessions

  1. Open <root drive>:ttconfighostinfo.cfg in a text editor (e.g., Notepad)
  2. Configure the following parameters in each [order_session] section
    • MSGWSenderCompID
    • MSGWPassword
    • MSGWPort
    Note

    After an upgrade, these three parameters need to be manually added to HostInfo.cfg using the HostInfo_master.cfg file as a reference.

    For a description of each parameter, refer to the following table.

    Market Segment Gateway iLink Session Parameters
    ParameterDescription
    MSGWSenderCompIDSets the Market Segment Gateway (MSGW) iLink order session identifier. Configure one MSGW iLink per order session.

    The MSGW iLink identifier is provided by the exchange. Remove the ‘#’ to enable the session.

    MSGWPasswordSets the MSGW iLink order session password. This value is provided by the exchange. Remove the ‘#’ to enable the password.
    MSGWPortSets the MSGW iLink order session port. This value is provided by the exchange. Remove the ‘#’ to enable the port.

Configuration Example

In this example, a CME Gateway is configured with multiple sessions. For Phase I, an MSGW iLink session for TAS products can be configured in each order session.

Example iLink order sessions configured with MSGW iLink order session IDs

[order_session_1]

Member=ABC123

Password=v01

iLinkPrimaryIP=10.253.16.1

iLinkPrimaryPort=10160

MSGWSenderCompID=DEF456

MSGWPassword=v99

MSGWPort=10170

# CTI / Origin Mapping

A1=40

G1=30

G2=40

M1=10

M2=21

P1=10

P2=21

U1=10

[order_session_2]

Member=XYZ444

Password=v02

iLinkPrimaryIP=10.253.16.12

iLinkPrimaryPort=10150

MSGWSenderCompID=TTI999

MSGWPassword=v98

MSGWPort=10160

# CTI / Origin Mapping

A1=40

G1=30

G2=40

M1=10

M2=21

P1=10

P2=21

U1=10