Direct Market Access to CME Globex^®

About CME

Chicago Mercantile Exchange Inc. (www.cme.com) is the largest futures and options exchange in the United States. As an international marketplace, CME brings together buyers and sellers on its trading floors and the CME Globex^® electronic trading platform. The huge volume of transactions and opportunities at CME make it one of the most preferred marketplaces for financial risk managers and Buy-side firms.

CME’s FIX compliance

The FIX Protocol is the global and de facto industry standard for the fast and secure exchange of pre-trade, trade and post-trade messages. The FIX community is the single largest community of market participants all over the world and it is continuously rising in number as well as the market influence. The FIX Protocol addresses all intricacies of the trading workflow and yet it is independent of any networking protocol, message transmission medium and software technology platform.

The CME Group has leveraged the FIX/FAST ProtocolSM based data format for a drastic reduction in the end-to-end latency and a significant improvement in the bandwidth scalability. The FIX Protocol provides the core message structure and the syntax. The FAST Protocol, based on FIX, provides an optimized message transmission. From the synchronized use of the FIX and FAST protocols, CME has increased the trading workflow efficiency and enabled its clients to work at lower bandwidths by reducing the latency at both average and peak message rates.

CME iLink gateway

The iLink specifications published by CME provide a seamless connectivity to CME and Direct Market Access (DMA) to liquidity of all products traded at CME. iLink is an order routing interface of CME using which it authenticates its clients and allows them to access product markets enlisted on CME directly. Any firm interested to trade on the CME Globex electronic trading platform has to implement these specifications.

The iLink challenge

Implementing the iLink specifications is often a substantial task, referred to as the FIXing of trading businesses for CME. The complexities in deploying FIX connectivity with CME include the support for message types for different asset classes, session conduct mechanism, organization dependent customizations, different FIX Protocol versions, FIX dialects and the market data access mechanism. The real-time testing of connectivity is yet another costly and time consuming aspect of the CME direct market access challenge.

We FIX for CME

Our CME DMA solutions are quite flexible. We offer out-of-the-box, user-customizable as well as user specified custom-made solutions. These solutions can integrate with our products like Endeavone EMS, FF.Trader as well as with the third party rule based and automated trading systems.

These solutions provide:

• A reliable, low latency and direct FIX connectivity with CME Globex.
• High-speed business data exchange mechanism for lower transactions cost and execution delays.
• A scalable mechanism to receive high volumes of compressed and encoded market data feeds from the CME Group Market Data Platform at high data flow rates.
• A publisher to publish the received market data after its decompression and decoding in the client specific data format.

Our approach

Our CME DMA solutions works with a two level modular approach – FF.CMEAdapter and FF.CME Publisher.

FF.CMEAdapter

FFS provides a ready to use the lightweight FF.CMEAdapter, developed using FF.FIX Engine and based on the CME iLink specifications. FF.FIX Engine is the software development kit which enables developers from Buy and Sell side organizations to develop customized session Initiator/Acceptor/hybrid applications and to interface their existing Order Management System application with FIX compliant Buy and Sell-side counterparties.

FF.CMEAdapter provides a simplified and speedy order routing mechanism for trading on CME markets. We can also provide additional functionalities required by clients. Clients can also customize FF.CMEAdapter using FF.FIX Engine for implementing their specific business needs or develop their own CME Adapter based on FF.FIX Engine.
FF.CMEAdapter facilitates:

• Establishing a network and FIX connection with CME Globex.
• Customizing the session logic based on options available in iLink specifications.
• Implementing order management functionalities like order entry, modification, cancellation, receipt and confirmation, order fills and reports.

FF.CMEPublisher

CME Market Data Platform
CME rapidly publishes market data feeds of high volume to its clients through a multicast platform called CME Market Data Platform (MDP). This platform uses the User Datagram Protocol (UDP) with a dual feed mechanism to allow more efficient message delivery and greater scalability.

The market data available through CME MDP is in a compressed format based on the FIX/FAST Protocol. The purpose of the FAST Protocol is to provide an efficient data compression/decompression mechanism for FIX messages in order to exchange them really fast over narrow bandwidth lines and to reduce latencies.

Why FF.CMEPublisher
For timely decisions during trading, fast decoding and distribution of messages in the market data feeds from CME MDP is of utmost importance. FF.CMEPublisher, the market data dissemination tool from FFS, easily does this task. It is a multithreaded, high-performance and an ultra low latency market data feed handler to manage high volume market data feeds coming from the CME MDP connectivity. The data management features of FF.CMEPublisher include:

• Managing connectivity with CME MDP.
• Receiving and decompressing the market data packets.
• Decoding messages and extracting message fields.
• Normalizing fields and generating the final FIX market data message in the client specific internal messaging format.
• Distributing messages to users of the client’s trading platform.

Features of FFS solutions for CME DMA

FFS products are powered with innovative technologies and packed with features to suit the requirements of old and new trading systems. These products provide a very high degree of versatility for implementing CME DMA solutions in a customized manner. The key features of our CME DMA solutions are:

• Separate components for order routing and market data reception
• FIX/FAST Protocol compliance
• Support for all CME market data message types
• Support for multiple subscriptions from the CME MDP channel
• Ability to load connection configurations and FAST template file provided by CME
• Normalization of messages based on the internal system requirements
• Market data filtering
• Instant order routing
• Direct market access with no middleware required
• Flexible trade process management
• Easy to integrate into new and old trading applications
• Low latency, high capacity market data captures
• Microsoft^® .NET powered components
• C++ libraries used for the market data platform
• Component based technology