CME Gateway Documentation
- TT Gateway And The Exchange
- Installing And Upgrading
- Configuring Global Settings
Configuring Market Data
- Understanding the Price Feed
- Configuring the Price Server Connection
- FIX/FAST Configuration
- Number of Orders at Price
- Configuring Product Subscriptions
- Configuring Total Traded Quantity at Price (VAP)
- Configuring Product Group Subscriptions
- Support for User-Defined Strategies
- Support for BM&FBOVESPA Products
- Support For NYMEX Variable Quantity Energy Products
- Support For DME Products
- Support For Inter-Exchange Spread Products
- Support for Bursa Malaysia Products
- Support for CME Europe Products
Configuring Order Management
- Understanding Order Management
- Configuring the Order Server and Order Routers
- TT Gateway Support for Mandatory iLink Tags
- Upgrade Tasks to Support Mandatory iLink Tags
- Self Match Prevention Support 7.18
- Self Match Prevention Support
- Supported Order Types
- ATS Operator ID Support
- Market Segment Gateways
- CME Globex Secure Logon Support
- Support of Post-Trade Functionality
- Support for Cross Orders
- Configuration Parameters
- Market Segment Gateways: Phase 2
- Disaster Recovery
Using Connection Quality Tools
For the MDP connection, the CME Gateway receives FIX/FAST messages via two connections labeled Feed A and Feed B. The Connection Quality Tools help troubleshoot and prevent problems associated with downed or improperly connected feeds.
There are two Connection Quality Tools available:
- TT FAST Tester - quickly checks the standard MDP connection (Feeds A and B) between the CME Gateway and the exchange.
- TT Bandwidth Tester - checks the standard MDP connection (Feed A and B) for packet loss and latency.
Before You Begin
You can start the TT FAST Tester and TT Bandwidth Tester by double-clicking the executable file (.exe.) located in the <root drive>:ttExchange-Flavor directory. The filenames are tt_fast_tester.exe and tt_fast_bandwidth.exe. Before starting each test, you must edit the following in the hostinfo.cfg file:
- Configure the [price_session] section with your custom connection values.
- Add the CME Group-facing NIC to each NetworkInterface parameter.
- Create a copy of the hostinfo.cfg file with the name CMEHostinfo.cfg. The TT FAST Tester and TT Bandwidth Tester use the settings in this file to verify connectivity.
Executing the Tests
The TT FAST Tester runs a test for each channel along the NIC (Network Interface Card) defined in the hostinfo.cfg file. The utility checks the heartbeat the exchange sends at least every 60 seconds. Therefore, each channel test may take up to 65 seconds. For more info on Heartbeating, refer to “Aconfig and Environment Setup” in the TT Gateways Architecture System Administration Manual Version 7.X.
In addition to testing the overall status of the connection, the TT Bandwidth Tester also checks for packet loss and packet latency. Due to the extensive nature of this test, the utility runs for approximately one hour. If stopped before completion, the utility can fail to create a proper log file.
To run a test, double-click its executable. Once complete, the MDP Quality Tools create the log files tt_fast_tester.out and tt_fast_bandwidth.out in the <root drive>:ttlogfiles directory.
TT FAST Tester Results
The following illustrates the results the TT FAST Tester writes to the tt_fast_tester.out logfile:
To interpret the TT FAST Tester results:
- The utility prints out information
regarding which NICs (Network Interface Cards) it tests.
Interface: feeda using 172.20.16.210
Interface: feedb using 172.20.28.138
- The utility then prints the IP address of each
test channel and returns a PASSED or FAILED message.
Run test for subject: CME_GLOBEX_MO_MESSAGES
Run Test For 126.96.36.199:10001 on Interface 172.20.16.210
Run Test For 188.8.131.52:100065 on Interface 172.20.28.138
Run test for subject: CME_ADMIN_CHANNEL
Run Test For 184.108.40.206:10002 on Interface 172.20.16.210
Run Test For 220.127.116.11:100066 on Interface 172.20.28.138
- The utility produces a FAILED test result when
one of the following occurs:
- A problem exists with the NetworkInterface parameter setting in the hostinfo.cfg file.
- Inability to connect to the exchange.
- No heartbeat received within 65 seconds.
If the test fails, TT suggests running the tool a second time with the
-verbose option. This provides additional troubleshooting information.
TT Bandwidth Tester Results
The following illustrates the results the TT Bandwidth Tester writes to the tt_fast_bandwidth.out logfile:
To interpret the TT Bandwidth Tester results:
- The utility lists the MDP interfaces
and IP addresses it listens to:
Create listener for 18.104.22.168.10002 on 172.20.16.210
Create listener for 22.214.171.124.10066 on 172.20.28.138
Create listener for 126.96.36.199.10020 on 172.20.16.210
Create listener for 188.8.131.52.10084 on 172.20.28.138
- The utility calculates the normalized time difference between packets on the MDP feed and the machine itself. Ideally, these latencies should be close to zero.
- The utility prints out information on dropped
and delayed packets. A delayed packet arrives 100 milliseconds later
[2007-07-25 16:29:26.295]: CME_EQ_FUTURES: 184.108.40.206:10142: Sequence: 429651 Packet Latency: 100ms
[2007-07-25 16:29:26.295]: CME_EQ_FUTURES: 220.127.116.11:10142: Sequence: 429652 Packet Latency: 102ms
[2007-07-25 16:29:26.295]: CME_EQ_FUTURES: 18.104.22.168:10142: Sequence: 429661 Packet Latency: 102ms
[2007-07-25 16:29:26.295]: CME_EQ_FUTURES: 22.214.171.124:10206: Sequence: 429651 Packet Latency: 102ms
- At the end of the test, the utility prints a
test results summary that shows the number of dropped and lost packets.
Statistics for: CME_EQ_FUTURES
Address 126.96.36.199:10142 on 172.17.117.101:
Address Percent Loss: 17.86%
Address 188.8.131.52:10206 on 172.17.117.101:
Address Percent Loss: 14.29%
Packets Not Received By Any Interface: 8
Subject Percent Loss: 14.81%
Order Messaging Volume Controls
The CME Group sets messaging volume thresholds at the iLink session level to monitor and control excessive new order and cancel/replace messaging. The automated controls are designed to prevent latencies and support valid trading. The current threshold is 750 MPS. The volume threshold for order cancel is 1,000 MPS.
If an iLink session exceeds the threshold over a rolling three-second window, the following error will be displayed in the X_TRADER® Audit Trail window:
Volume Controls Initiated Reject. Current TPS:nnn
Where: nnn is the current messaging rate in transactions (messages) per second.
If you receive this message from the CME Group, there are no actions to take concerning the CME Gateway. However, you should be aware that subsequent new order and cancel/replace messages will be rejected by the exchange until the average MPS rate falls below the threshold.