CME Gateway 7.18.30 and later supports direct connections to the CME Group’s Market Segment Gateways, which are dedicated to all products on a particular matching engine instance or “market segment."
The CME Group is providing access to each Market Segment Gateway (MSGW) in two phases as part of their new iLink architecture. In Phase 2, the Market Segment Gateway functionality provides direct access to all available market segments via iLink Market Segment Gateway connections. The new architecture will continue to support connections via the Convenience Gateways (CGW) using the CGW iLink sessions.
Until April 10, 2016, customers who wish to trade the Pre-Open on TAS products must continue to use their phase 1 MSGW sessions. After that date, the Phase 1 sessions will be decommissioned, and Pre-Open for TAS products will be available via both Convenience and MSGW sessions.
In order to connect your CME Gateway to the Market Segment Gateways for Phase 2, you need the following:
- CME Gateway 7.18.30 or later
- Market Segment Gateway (MSGW) iLink credentials from the exchange for Phase 2: MSGW iLink session ID, MSGW password and MSGW port.
- The CME-MSGWs.cfg file that installs with CME Gateway 7.18.30 or later
- An existing CME iLink session that the MSGW session will be mapped to
- An MSGW iLink order session configured in hostinfo.cfg that supports Phase 2
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. When an order action is submitted for a product via the CME Gateway, the Order Server routes the order to a Market Segment Gateway (MSGW) based on the market segment ID for that product.
The Order Server routes orders to the Market Segment Gateway based on Market Segment IDs enabled (uncommented) per product group in CME-MSGWs.cfg. Orders for TAS products in Phase 1 can still be routed to the exchange in Phase 2 as long as the Market Segment Gateway parameters are enabled in CME-MSGWs.cfg.
If you have a Market Segment Gateway session ID configured in hostinfo.cfg for Phase 2, then orders are routed to the MSGWs that are uncommented in CME-MSGWs.cfg. Orders for products whose MSGWs are commented-out in CME-MSGWs.cfg are routed via the Convenience Gateway (CGW) that the MSGW session is connected to.
For example, an order for an ES contract is routed to the exchange as follows:
- An order for a product (e.g., ES, market segment ID=54) is sent to the CME Gateway by a client trading application.
- Because CME E-mini 500 Futures channels are enabled in CME-MSGWs.cfg, the CME Gateway routes the order to a Market Segment Gateway via an MSGW iLink session based on the Market Segment ID. If the no MSGW session was configured, the gateway routes the order through the Convenience Gateway (CGW) iLink session that the MSGW session is mapped to in hostinfo.cfg.
- 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 the ES product.