roq-cme#

Purpose#

  • Maintain network connectivity with the CME exchange

  • Route exchange updates to connected clients

  • Route client requests to the relevant exchange accounts

  • Stream all messages to an event-log

Overview#

Products

Spot

Futures

✓

Options

Market Data

Reference Data

✓

Market Status

✓

Top of Book

✓

Market by Price (L2)

✓

Market by Order (L3)

✓

Trade Summary

✓

Statistics

✓

Order Management

Create

✓

Modify

✓

Cancel

✓

Cancel All

✓

Auto Cancellation

Account Management

Positions

Funds

  • Data center located in: Chicago, US

Conda#

$ mamba install \
  --channel https://roq-trading.com/conda/stable \
  roq-cme

$ cp $CONDA_PREFIX/share/roq-cme/config.toml $CONFIG_FILE_PATH

# Then modify $CONFIG_FILE_PATH to match your specific configuration

$ roq-cme \
      --name "cme" \
      --config_file "$CONFIG_FILE_PATH" \
      --client_listen_address "$UNIX_SOCKET_PATH" \
      --service_listen_address "$TCP_LISTEN_PORT" \
      --flagfile "$FLAG_FILE"

Config#

Flags#

$ roq-cme --help

--multicast_config_file

An config.xml file from the CME FTP download area.

--multicast_channel_ids

A list of channel id’s to subscribe to (as defined from the config.xml file)

--multicast_local_interface

The local interface used to bridge the multicast feed.

--multicast_buffer_size

Buffer size required by each datagaram in the re-ordering buffer.

--multicast_buffer_depth

The maximum number of datagrams that can be held in the re-ordering buffer.

--ilink_firm_id

The CME assigned firm ID

--ilink_port

The CME assigned port (for the firm ID)

--ilink_location

AN ISO code for the location, e.g. “UK”

--ilink_config_file

A MSGW_Config.xml file from the CME FTP download area.

--ilink_market_segment_ids

Comma-separated list of market segments, e.g. 70

--enable_market_by_order

Enables the processing of MarketByOrder (requires the MBOFD feed from CME)

Environments#

There is no specific environment setup.

You need to download the MDP config.xml and iLink MSGW_Config.xml files. These files are used to discover IP addresses for MDP multicast and iLink’s MSGW (market segment gateways).

The gateway flags --multicast_channel_ids and --ilink_market_segment_ids are used to join multicast streams and connect to specific MSGW end-points.

The multicast addresses must be made available from a local network interface. The actual IP address of that interface must be provided with the --multicast_local_interface flag.

Market Data#

Event

Stream

Messages

Comments

roq::ReferenceData

Incremental

MDInstrumentDefinitionFuture54, MDInstrumentDefinitionOption55, MDInstrumentDefinitionSpread56, MDInstrumentDefinitionFixedIncome57, MDInstrumentDefinitionRepo58, MDInstrumentDefinitionFX63

roq::MarketStatus

Incremental

SecurityStatus30, MDInstrumentDefinitionFuture54, MDInstrumentDefinitionOption55, MDInstrumentDefinitionSpread56, MDInstrumentDefinitionFixedIncome57, MDInstrumentDefinitionRepo58, MDInstrumentDefinitionFX63

roq::TopOfBook

Incremental

MDIncrementalRefreshBook46

roq::MarketByPriceUpdate

Incremental

MDIncrementalRefreshBook46

roq::MarketByOrderUpdate

Incremental

MDIncrementalRefreshBook46, MDIncrementalRefreshOrderBook47

roq::TradeSummary

Incremental

MDIncrementalRefreshTradeSummary48, MDIncrementalRefreshTradeSummaryLongQty65

roq::StatisticsUpdate

Incremental

MDIncrementalRefreshDailyStatistics49, MDIncrementalRefreshSessionStatistics51, MDIncrementalRefreshSessionStatisticsLongQty67, MDIncrementalRefreshVolume37

Event

Stream

Messages

Comments

roq::ReferenceData

Instrument Definition

MDInstrumentDefinitionFuture54, MDInstrumentDefinitionOption55, MDInstrumentDefinitionSpread56, MDInstrumentDefinitionFixedIncome57, MDInstrumentDefinitionRepo58, MDInstrumentDefinitionFX63

roq::MarketStatus

Instrument Definition

MDInstrumentDefinitionFuture54, MDInstrumentDefinitionOption55

roq::TopOfBook

roq::MarketByPriceUpdate

MBP Market Recovery

SnapshotFullRefresh52, SnapshotFullRefreshLongQty69

roq::MarketByOrderUpdate

MBO Market Recovery

SnapshotFullRefreshOrderBook53

roq::TradeSummary

roq::StatisticsUpdate

Statistics#

TBD

Order Management#

Event

Stream

Messages

Comments

roq::OrderUpdate

OrderEntry

ExecutionReportTradeOutright525, ExecutionReportTradeSpread526, ExecutionReportTradeSpreadLeg527

roq::TradeUpdate

OrderEntry

ExecutionReportTradeOutright525, ExecutionReportTradeSpread526, ExecutionReportTradeSpreadLeg527

Event

Stream

Messages

Comments

roq::OrderUpdate

OrderEntry

ExecutionReportStatus532

roq::TradeUpdate

Unavailable

Event

Stream

Messages

Comments

roq::CreateOrder

OrderEntry

NewOrderSingle514

roq::ModifyOrder

OrderEntry

OrderCancelReplaceRequest515

roq::CancelOrder

OrderEntry

OrderCancelRequest516

roq::CancelAllOrders

OrderEntry

OrderMassActionRequest529

Event

Stream

Messages

Comments

roq::OrderAck

OrderUpdate

ExecutionReportNew522, ExecutionReportReject523, ExecutionReportModify531, ExecutionReportCancel534, BusinessReject521

Order Types#

Type

Comments

MARKET

Mapped to 'MarketwithProtection' (SBE)

LIMIT

Mapped to 'Limit' (SBE)

Time in Force#

Type

Comments

GFD

Mapped to 'Day' (SBE)

GTC

Mapped to 'GoodTillCancel' (SBE)

IOC

Mapped to 'FillAndKill' (SBE)

FOK

Mapped to 'FillOrKill' (SBE)

Position Effect#

Note

Not supported

Execution Instructions#

Note

Not supported

Templates#

Note

Not supported

Account Management#

Event

Stream

Messages

Comments

roq::PositionUpdate

Unavailable

roq::FundsUpdate

Unavailable

Event

Stream

Messages

Comments

roq::PositionUpdate

Unavailable

roq::FundsUpdate

Unavailable

Streams#

Type

Comments

UDP

Primary purpose

  • Reference data

Type

Comments

UDP

Primary purpose

  • MbP snapshot

Type

Comments

UDP

Primary purpose

  • MbO snapshot

Type

Comments

UDP

Primary purpose

  • MbP incremental

Type

Comments

TCP

Primary purpose

  • iLink

Constraints#

  • The OrderEntry (iLink) connections are established based on the provided list of market segments. This is a bit unusual: the list of accounts are normally 1:1 with the connections. It is only allowed to configure a single account until we know better how this all works with CME’s party-definitions.

  • The actual exchange (e.g. XCBT) is now used for order management. The reason is technical and due to most gateways only providing access to a single exchange. The exchange name used for creating, modify and canceling orders, must therefore match the name provided with the --exchange flag.

Comments#

  • ExternalLatency is currently only published when receiving a heartbeat from the exchange.

  • MarketByOrder is opt-in using the --enable_market_by_order flag.

  • ExecutionReportTradeOutright reports LastPx as the order’s limit price. This should normally be expected to be the (average) price of the fill(s).