The CME iLink 3 Binary Order Entry Launch is now fully live on the CME Globex platform. This change is the introduction of the new CME iLink 3 order entry API based on modern FIX Protocol standards of Simple Binary Encoding.
Launch of the CME iLink 3 Binary Order Entry API
As of Sunday 26th July 2020, the CME iLink 3 Binary Order Entry API was fully live on the CME Globex platform for the CME, CBOT, NYMEX and COMEX exchanges. This marks the successful completion of the phased launch over 4 alternate weekends.
This milestone is the end of a prerequisite launch phase, and the start of two other ongoing migration threads of activity including:
- the start of the 6-month parallel run period where both the iLink 2 FIX Order Entry and iLink 3 Binary Order Entry APIs will be supported for access to the CME Market Segment Gateway (MSGW) sessions.
- the availability of the prerequisite order entry API for the BrokerTec product migration to the CME Globex platform in Q4 2020.
There are a few moving parts with critical interdependencies for both of these activity threads.
This article summarises supporting the iLink 3 update from the OnixS perspective of the APIs used by the venues. In a further article we do the same, focusing on the CME BrokerTec migration.
CME iLink 2 and CME iLink 3 - and OnixS
This change is the introduction of the new CME iLink 3 Order Entry API based on modern FIX Protocol standards of Simple Binary Encoding and FIXP. It is a non-backward compatible technical change to the order entry API with the key benefit being that it is optimized for lower latency order entry.
From a business perspective, for trading operations that have latency critical requirements for managing orders in the markets, usage of the CME iLink 3 access via the MSGW is the optimal option.
For firms who do not have latency critical requirements, the CME iLink 2 Order Entry FIX based API will continue to be available via the Convenience Gateway (CGW) at the end of the parallel run period that is currently Q4 2020.
CME have provided good reference specifications and CME iLink 3 Test/NR/AutoCert+ environments are fully live and available.
Impacts on other CME APIs related to the Launch
There are some secondary noteworthy impacts on other CME APIs related to the launch of CME iLink 3 access. These other impacted APIs that firms need to be aware of include:
CME DropCopy
During the parallel run period up to Q4 2020 the CME Drop Copy service supports both iLink 2 and iLink 3 MSGW source sessions.
The CME Drop Copy service sends carbon copies of iLink execution reports, heartbeats and acknowledgements, and trade bust messages for one or many source sessions through a FIX protocol-based messaging interface. The CME Drop Copy messaging uses an encapsulated XML payload of the original iLink Order Entry message using an XML Non-Fix (FIX tag 35-MsgType=n) Message. The CME Drop Copy message payload from the CME MSGW sessions submitted by an iLink 3 source session will be impacted and different to those from an iLink 2 source session.
Key Impacts:
- The Drop Copy message payload for iLink 2 sessions via the Convenience Gateway (CGW) will remain unchanged from previous specification formats and encoding.
- Therefore it is critical to track migration timing of what iLink 2 or iLink 3 source session types are being used, therefore what CME Drop Copy message payloads apply, and when.
CME STP API
CME STP 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.
Key impacts:
- OnixS have updated CME STP FIX and CME STP FIXML SDKs to support both the iLink 3 and BrokerTec changes. The CME policy for CME STP is that formal customer certification using Autocert+ is also required.
CME Globex Front-End Audit Trail
The CME, CBOT, NYMEX, COMEX Rule 536.B.2. electronic audit trail requirements are 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 source sessions also need to update the Audit Trail generator logic.
Key impacts:
OnixS provides a convenience utility for iLink 2, and now also iLink 3, Audit Trail generation. Also note that CME rules state that all customer systems must be certified for the CME Audit Trail for iLink 3 prior to going live in the production environment.
How Does OnixS Support this Change?
Overall, from an OnixS perspective, we focus on the protocols used by exchanges and maintaining supported SDKs to simplify access to the services exchange that customers use.
OnixS offers a maintenance service level guarantee forward migration path to users of the OnixS Direct Market Access SDKs.
This means that existing OnixS CME iLink 2 SDK customers who need to migrate to iLink 3 already have access to the updated SDKs to do so. It also means that OnixS has updated the other CME API SDKs that are impacted by the iLink 3 update.
As noted, usage of the CME iLink 3 BOE API is mandatory for CME BrokerTec order entry trading access. For the most part, the existing other CME Globex APIs will support trading the BrokerTec products – but there are some mandatory prerequisites and exceptions that require supporting additional new APIs.
Request Evaluation Access
To stay ahead of this change, and ahead of the curve, you can request evaluation access to the OnixS directConnect: CME iLink 3 Binary Order Entry Handler SDK via the download form here.