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CME Gateway

Overview

In order to enhance customer support and assist in market oversight, the CME Group has defined mandatory FIX tags for inbound and outbound iLink messages. CME Gateway 7.14.3 and higher supports the mandatory iLink message tags required by the CME Group.

Gateway Behavior

The following table shows what values are populated by the CME Gateway for each iLink tag, and describes when each tag gets populated.

Gateway Behavior for Mandatory iLink Tags
iLink Tag and NameTT DefinitionWhen it is PopulatedTT Value
1603-TradingSystemNameIndicates that an iLink session has been established with the exchange host via a CME Gateway.

At session logon only.

CME Gateway

Note: This value is the same for both the CME Gateway and CBOT Gateway.

1604-TradingSystemVersionIndicates the CME Gateway software package VRMF number.

At session logon only.

7.x.x.x (e.g., 7.14.3.0)
1605-TradingSystemVendorIdentifies TT as the vendor of the CME Gateway.

At session logon only.

TT
142-SenderLocationIDIndicates the location of a trader originating an order action manually via X_TRADER® or automatically via an API or strategy engine (SE). In messages unrelated to order actions, this tag indicates the location of the CME Gateway connecting to the exchange.

This tag is populated when the gateway sends application (e.g., order entry) and administrative (e.g., session logon) iLink messages to the exchange.

For iLink application messages, Tag 142 is populated for the following order actions sent manually or automatically to the exchange: New Order, Order Cancel, Order Cancel/Replace, Order Inquire, Security Definition Request, and Quote Request.

For iLink administrative messages, Tag 142 is populated at session logon and when the following messages are sent over an established session: Heartbeat, Test Request, Resend Request, Sequence Request and Logout.

For iLink application messages, the CME Gateway populates this tag with the location value forwarded by the clients.

If no value is forwarded by the clients, the gateway populates this tag with the value “UNKNOWN”.

For iLink administrative messages, this tag is populated with the value manually configured on the CME Gateway (e.g., US,IL). Refer to Configuring Gateway Location.

1028-ManualOrderIndicatorIndicates whether an order action was submitted manually via X_TRADER® or automatically via an API or strategy engine (SE).

This tag is populated for all application messages (i.e., originating order actions) sent to the exchange per iLink session. It is not populated in any iLink administrative messages.

Valid values are: Y (manual) or N (automated).

Tag 1028 for RFQ requests and strategy creation requests always default to 1028=Y (manual).

The CME Gateway populates Tag 1028 based on the value set by the clients. If no value is forwarded by the clients, the CME Gateway populates Tag 1028 as "Y" for order actions sent via X_TRADER®, or "N" for order actions originating from either an API (XTAPI, TT API, FIX Adapter) or strategy engine (ASE, SSE, AlgoSE).

Configuring Gateway Location

Warning

The CME Gateway will not start unless the [location] section is correctly configured in hostinfo.cfg.

For new installations of the CME Gateway Version 7.14.3 or higher, the [location] parameters are included in hostinfo.cfg by default.

In order to populate the gateway location (Tag 142) for session logon and other administrative messages, the CME Gateway uses the Country and StateProvince parameters configured in the [location] section of hostinfo.cfg.

To Configure Gateway Location

  1. Using a text editor, open <root drive>:ttconfig<Exchange-flavor>hostinfo.cfg
  2. Configure the following parameters.
    Mandatory iLink Tag Configuration Parameters
    ParameterDescription
    [location]This section is required for all order routing CME Gateways and applies to all order sessions configured on the Gateway.

    WARNING: If the [location] section is missing, commented-out, or configured incorrectly in the hostinfo.cfg file on an order routing CME Gateway, the Gateway will not start and will appear Red in Guardian.

    CountryRequired parameter that sets the location of the CME Gateway originating the session logon and other administrative messages (Heartbeat, Test Request, Resend Request, Sequence Request and Logout).

    This parameter is not case-sensitive. Valid values are a 2-character ISO country code (e.g., Country=US). ISO country codes are provided by the CME Group at:

    WARNING: If the Country parameter is missing, commented-out, or does not specify a 2-character value or is configured incorrectly, the gateway will not start and will appear Red in Guardian.

    Note: The CME Gateway does not validate the actual ISO code values entered in this section; it just checks whether it was entered as a 2-character value. The exchange will audit these values for accuracy; however, invalid ISO codes will not cause order actions to be rejected.

    StateProvinceOptional parameter that sets the location of the CME Gateway originating the session logon and other administrative messages (Heartbeat, Test Request, Resend Request, Sequence Request and Logout).

    This parameter is not case-sensitive. Valid values are a 2-character ISO state or province (e.g., StateProvince=IL). ISO state and province codes are provided by the CME Group at: .

    WARNING: If the StateProvince parameter does not specify a 2-character value or is configured incorrectly, the gateway will not start and will appear Red in Guardian.

    Note: The CME Gateway does not validate the actual ISO code values entered in this section; it just checks whether it was entered as a 2-character value. The exchange will audit these values for accuracy; however, invalid ISO codes will not cause order actions to be rejected.

  3. Save the changes and close the file.

Example: [location]

The following example shows the [location] section correctly configured at the top of the hostinfo.cfg file.

Example

## Global section Location is mandatory and applies to all the order Sessions on the Gateway.

## Within the Location section:

## i) a mandatory parameter named Country is required and should be the 2

character country code per ISO 3166-1. 

## ii) an optional parameter named StateProvince. if provided, it has to

be 2 characters.

##

## For example,

##

## [location]

## Country=US

## StateProvince=IL

##

## [location]

## Country=GB

[location]

Country=US

StateProvince=IL

Interpreting Log Files

Tag 142 and Tag 1028 are populated by the CME Gateway and appear in the following TT log files regardless of whether they are returned in exchange acknowledgement and response messages:

  • FIX log (e.g., <drive:>//tt/logfiles/CME_R80000_Send-Recv_2011-06-03.log)
  • Order Server log (e.g., <drive:>//tt/logfiles/CME-G_PROD_OrderServer_2011-06-03).
  • Audit files (e.g., <drive:>//tt/auditfiles/CME-G_2011-06-03.cba).

For location, the exchange returns the country code and state or province in Tag 143.

Refer to the following examples when troubleshooting or interpreting logfiles for location and automated trading indicator values. The first example is the FIX Log entry at session logon.

Example Logon Message in Send-Recv FIX Log

Send(02/16/2011-09:22:55.985)|8=FIX.4.29=0014535=A49=S11000U56=CME57=G50=S11X 142=US,IL 34=1369=052=20110216-15:22:55.985108=3095=396=S11 1603=CME Gateway 1604=7.14.3.7 1605=TT 98=010=078

Recv(02/16/2011-09:22:57.483)|8=FIX.4.29=18935=534=2584369=273452=20110216-15:23:03.84149=CME50=G56=S11000U57=S11X 143=US,IL 58=Sequence number received lower than expected. Expected [2735] Received 1. Logout forced.789=273510=037

The next example shows the FIX Log entry for an order entered manually through the CME Gateway.

Example Order Add in Send-Recv FIX Log

Send(02/15/2011-10:43:42.307)|8=FIX.4.29=0026135=D49=S18000P56=CME57=G50=TT1 142=US,IL 34=5748369=537152=20110215-16:43:42.307204=055=2V48=914259167=OPT107=UD:2V: GN 02159142599717=000004KW11=000004KW1=REDG2TT29702=321=154=140=277=O 1028=Y 38=544=120200=20110260=20110215-16:43:42.30710=238Recv(02/15/2011-10:43:42.322)|8=FIX.4.29=30035=834=5372369=574852=20110215-16:43:50.56849=CME50=G56=S18000P57=TT1 143=US,IL 1=REDG2TT26=011=000004KW14=017=54207:94139020=037=546728136738=539=040=241=044=12048=91425954=155=2V59=060=20110215-16:43:50.562107=UD:2V: GN 0215914259150=0151=5432=20110215 1028=Y 9717=004KW10=053

This last example shows the Order Server log entry at gateway startup.

Example Startup message in Order Server log

16.02.2011 09:15:14.346 | ORDERSERVER/SIM | 5712 | INFO | 10068000 | CME-M O R D E R S E R V E R S T A R T I N G (PID: 5696) (EID: 686)

...

16.02.2011 09:15:18.340 | ORDERSERVER/SIM | 5712 | INFO | 10078106 | New key in location: countrystate = US,IL

The following message appears in the Order Server log when [location] is incorrectly configured.

Example Location configuration error in Order Server log

22.02.2011 09:47:22.671 | ORDERSERVER/SIM | 5860 | ERROR | 10078028 | Config Error: Error processing config file (Location section not defined).

CME Gateway Audit files have three additional fields that appear after each order action in the file to show location and automated trading indicator values.

The CountryCode field includes the ISO country of origin code and the RegionCode field includes the ISO region code (U.S. state or Canada province) if applicable. If TT Clients do not provide this data, these fields are left blank in this audit file.

The OrderSourceAutomated field indicates whether an order action was submitted manually or automatically. Possible values are 0 or 1; where “0” (the default value) indicates the order was entered manually (1028=Y), and “1” indicates the order was submitted via an automated trading system or API (1028=N). The OrderSourceAutomated column is left blank for administrative messages sent by the gateway.