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BrokerTec to CME Globex Platform Migration Changes to Be Aware Of

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September 23, 2020
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BrokerTec and EBS products are migrating to the CME Globex platform. While existing CME Globex direct market access APIs will support trading the BrokerTec products there are some mandatory prerequisites and considerations that require updating existing APIs, and/or supporting additional new APIs.

 

BrokerTec to CME Globex Platform Migration: What’s Changing?

CME acquired NEX Markets in 2018 and are migrating the BrokerTec and EBS products to the CME Globex platform. The BrokerTec integration onto CME Globex is scheduled to be complete in Q1 2021 (it was originally planned for Q4 2020).

For the most part, existing CME Globex direct market access APIs will support trading the BrokerTec products – but there are some mandatory prerequisites and considerations that require updating existing APIs, and/or supporting additional new APIs.

 

Technical CME API Updates

Regarding the technical CME API updates that migrating trading operations need to support:

CME MDP 3.0 Premium

CME MDP Premium has the same market data components as the CME MDP 3.0 feed. 

CME MDP Premium is a real-time market data group that supports Market By Order Full Depth (MBOFD) and Market By Price (MBP) over UDP multicast in Simple Binary Encoding (SBE).

You can find out more about the OnixS directConnect CME MDP 3.0 Market Data Handler SDK here.

CME MDP Conflated TCP feed (new)

The BrokerTec OMNet API B014 data for US Repo and EU Repo is not on the CME MDP Premium channels. This is only available on the CME MDP Conflated TCP feed channel IDs 516 and 517. 

The CME MDP Conflated TCP market data group supports 50-millisecond conflated over TCP unicast in Simple Binary Encoding (SBE). 

Each Conflated TCP channel market data group has separate I/P and ports; therefore session activity will only apply to their respective channels. 

This feed supports conflated Market By Price (MBP) and Market By Order Limited Depth (MBOLD) book management - you can learn more about the CME MDP Conflated TCP feed Market Data Handler SDK here.

CME iLink 3 Binary Order Entry (BOE)

As discussed in the article “CME iLink 3 launch now fully live – updates and impacts”, CME iLink 3 BOE access via MSGW is mandatory for BrokerTec access. You can learn more about the CME iLink 3 Binary Order Entry Handler SDK here.

CME Drop Copy

CME Drop Copy impacts are related to the introduction of CME iLink 3 Binary Order Entry - that is also mandatory for BrokerTec access. When CME order entry source sessions for Drop Copy use CME iLink 3 (as they must for BrokerTec), the encoded payload messages sent on Drop Copy reflect message tag changes for deprecated message tags and additional tag enumerations.
 
In short - the CME iLink 3 access via MSGW is mandatory for BrokerTec support so OnixS CME Drop Copy SDKs that support iLink 3 also support the BrokerTec products.
 
It is CME policy that formal certification of client systems leveraging Drop Copy Market Segment Gateway (MSGW) is not required. However there are key message payload changes in these  areas so end to end testing of message flows and application integration for CME Drop Copy for iLink 3 Market Segment Gateway (MSGW) target sessions, is strongly recommended. More about the CME iLink FIX DropCopy Handler SDK here.

CME STP API

The CME STP API service supports data retrieval using subscription and query parameters that have been updated for BrokerTec support. The API changes for CME STP (Futures and Options) and CME STP for BrokerTec are harmonized. Therefore, there are some additional fields and/or values added to the CME STP Trade Capture Reports to support these changes.

OnixS have updated CME STP FIX and CME STP FIXML SDKs to support both the iLink 3 and BrokerTec changes. CME policy for CME STP is that formal customer certification using Autocert+ is also required. More about the CME STP API Handler SDK here.

CME Globex Front-End Audit Trail

The CME Audit Trail reporting requirements used to be based on extracting the necessary reporting information from the iLink 2 FIX Engine message logs. With the migration to iLink 3 BOE this FIX Engine log approach is no longer possible. Therefore all firms using iLink 3 also need to update the Audit Trail generator logic. 
 
OnixS provide a convenience utility for both iLink 2 and now also iLink 3 Audit Trail generation. All customer systems must be certified for the CME Audit Trail for iLink 3 prior to going live in the production environment. More about the CME Audit Trail Generator SDK here. 
 

Request Evaluation Access

To learn more you can request evaluation access to the OnixS CME Globex BrokerTec SDKs. Simply expand the CME Globex option and select BrokerTec from the CME Globex dropdown list.

 

 
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