{"type":"doc","content":[{"type":"paragraph","content":[{"text":"The CME Globex Market Segment Gateway (MSGW) safeguards do the following:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"identify iLink messages not sent completely in a single network ","type":"text"},{"text":"packet ","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"0efa27ef-4d50-4499-9667-4ac6340d988c"}}]},{"text":"or received out-of-order","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172B4D"}},{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"0efa27ef-4d50-4499-9667-4ac6340d988c"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"add processing time of at least 3 microseconds on the responsible iLink session","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"notify client the reason for the additional processing and the duration.","type":"text"}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"This functionality is available only on MSGW sessions.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Contents","type":"text","marks":[{"type":"strong"}]}]},{"type":"extension","attrs":{"extensionType":"com.atlassian.confluence.macro.core","extensionKey":"toc","parameters":{"macroParams":{},"macroMetadata":{"macroId":{"value":"b6c55eba-c14f-458f-912e-411519a0f0c2"},"schemaVersion":{"value":"1"},"title":"Table of Contents"}}}},{"type":"heading","attrs":{"level":2},"content":[{"text":"MSGW Safeguards Processing","type":"text"}]},{"type":"paragraph","content":[{"text":"When CME Globex detects an iLink message that spans more than one packet, CME Globex submits the message to additional processing.","type":"text"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Packet size maximum behavior based on MTU (Maximum Transmission Unit) = 1420 bytes as defined on the network.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"When the MSGW receives a network packet with an incomplete message, the message is routed for additional processing as a market integrity control. This processing takes at least 3 microseconds. During processing, no other messages from that session will be processed to protect message sequence number integrity.","type":"text"}]},{"type":"paragraph","content":[{"text":"Additional incomplete messages received during the processing window will cause the window to extend.","type":"text"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"As a result of safeguard processing: ","type":"text"}]},{"type":"paragraph","content":[{"text":"IF session AAA sends an incomplete message,","type":"text"}]},{"type":"paragraph","content":[{"text":"THEN session BBB sends a complete message,","type":"text"}]},{"type":"paragraph","content":[{"text":"THEN session BBB’s message may reach the match engine before that of session AAA.","type":"text"}]}]},{"type":"paragraph","content":[{"text":"Example 1 – ","type":"text","marks":[{"type":"strong"}]},{"text":"Single Split Message","type":"text","marks":[{"type":"annotation","attrs":{"annotationType":"inlineComment","id":"d0ff1584-fb18-4c4a-a1bf-56614640138a"}},{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"Assume the ","type":"text"},{"text":"additional processing ","type":"text"},{"text":"duration is 3 microseconds.","type":"text"}]},{"type":"extension","attrs":{"extensionType":"com.atlassian.confluence.macro.core","extensionKey":"gliffy","parameters":{"macroParams":{"name":{"value":"MSGW Split Message Queue"},"pagePin":{"value":"5"}},"macroMetadata":{"macroId":{"value":"5ff7e3ab-12c7-4195-a9f8-7072d324b13b"},"schemaVersion":{"value":"1"},"placeholder":[{"type":"image","data":{"url":"https://confluence-connect.gliffy.net/diagram/image/placeHolder.png?name=MSGW+Split+Message+Queue&pagePin=5"}}],"title":"Gliffy Diagram"}}}},{"type":"heading","attrs":{"level":3},"content":[{"text":"Example 2 – Multiple Split Messages","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"A new additional processing will be created for every split message. In the following example the same iLink session has created two additional processing.","type":"text"}]},{"type":"extension","attrs":{"extensionType":"com.atlassian.confluence.macro.core","extensionKey":"gliffy","parameters":{"macroParams":{"size":{"value":"900"},"name":{"value":"MSGW Multiple Split Message Queue"},"pagePin":{"value":"7"}},"macroMetadata":{"macroId":{"value":"437dc92e-b3f5-41f9-8005-8053d6d81ae3"},"schemaVersion":{"value":"1"},"placeholder":[{"type":"image","data":{"url":"https://confluence-connect.gliffy.net/diagram/image/placeHolder.png?size=900&name=MSGW+Multiple+Split+Message+Queue&pagePin=7"}}],"title":"Gliffy Diagram"}}}},{"type":"heading","attrs":{"level":3},"content":[{"text":"Example 3 – Subsequent Complete Messages","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"When an MSGW session has a message undergoing the safeguard processing, all of the complete messages that the same session sends during that processing window will be handled in the order they were received.","type":"text"}]},{"type":"extension","attrs":{"extensionType":"com.atlassian.confluence.macro.core","extensionKey":"gliffy","parameters":{"macroParams":{"name":{"value":"MSGW Session Queue Subsequent Complete Messages"},"pagePin":{"value":"6"}},"macroMetadata":{"macroId":{"value":"9ab1bd9e-df68-4933-83a3-57a1af871e87"},"schemaVersion":{"value":"1"},"placeholder":[{"type":"image","data":{"url":"https://confluence-connect.gliffy.net/diagram/image/placeHolder.png?name=MSGW+Session+Queue+Subsequent+Complete+Messages&pagePin=6"}}],"title":"Gliffy Diagram"}}}},{"type":"heading","attrs":{"level":3},"content":[{"text":"Example 4 – Out-Of-Order Messages","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"When CME receives out-of-sequence network packet(s), all messages from TCP packet #3 onward will be incur the additional safeguard processing.","type":"text"}]},{"type":"extension","attrs":{"extensionType":"com.atlassian.confluence.macro.core","extensionKey":"gliffy","parameters":{"macroParams":{"size":{"value":"900"},"name":{"value":"Session Queue Out of Order"},"pagePin":{"value":"10"}},"macroMetadata":{"macroId":{"value":"e43790ed-fe21-48ac-864a-15bfbd208e11"},"schemaVersion":{"value":"1"},"placeholder":[{"type":"image","data":{"url":"https://confluence-connect.gliffy.net/diagram/image/placeHolder.png?size=900&name=Session+Queue+Out+of+Order&pagePin=10"}}],"title":"Gliffy Diagram"}}}},{"type":"heading","attrs":{"level":2},"content":[{"text":"Session Logout Threshold","type":"text"}]},{"type":"paragraph","content":[{"text":"In cases where the iLink session undergoing additional processing exceeds the number of messages permitted, the session will be logged out and all in-flight messages rejected. The number of messages permitted is consistent for all iLink sessions and configured by the exchange (currently 15 messages for Future & Options and 50 messages for BrokerTec Markets). CME Group reserves the right to change the session logout threshold at any time without notice.","type":"text"}]},{"type":"paragraph","content":[{"text":"When a session logout threshold is triggered:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"all resting orders are cancelled for all Cancel-on-Disconnect–registered MSGW sessions on a best-effort basis","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"all resting quotes are cancelled on behalf of Mass Quote customers","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"all in-flight messages will be rejected as follows:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"CME Globex will send the ","type":"text"},{"text":"Logout (tag 35-MsgType=5) ","type":"text","marks":[{"type":"strong"}]},{"text":"message to notify client system of rejected orders, and terminate the session","type":"text"},{"type":"hardBreak"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"the reason for logout will be in tag 58-Text","type":"text"},{"text":"=\"MSGW safeguard exceeded: no. of messages\" ","type":"text","marks":[{"type":"strong"}]},{"text":"(i.e. the total number of rejected messages at the time the s","type":"text"},{"text":"afeguard process","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172B4D"}}]},{"text":" reached the logout threshold).","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"the sequence number from client system to CME Globex will not be incremented","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"tag 369-LastMsgSeqNumProcessed will have the last client system’s sequence number processed by CME Globex prior to the s","type":"text"},{"text":"afeguard process","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172B4D"}}]}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"tag 789-NextExpecedMsgSeqNum will have the correct sequence number for the next message that the client system sends to CME Globex","type":"text","marks":[{"type":"textColor","attrs":{"color":"#172B4D"}}]}]}]}]}]}]}]}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"CME Group reserves the right to change the additional processing duration and/or logout threshold.","type":"text"}]}]},{"type":"paragraph","content":[{"type":"hardBreak"}]},{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"Automated Port Closure can be triggered for sessions logged out as a result of exceeding the logout threshold if a customer continues to send iLink messages when the session has not been successfully logged back in.","type":"text"}]}]},{"type":"heading","attrs":{"level":3},"content":[{"text":"Example 5 – Session Logout","type":"text"}]},{"type":"paragraph","content":[{"text":"This example shows a Session Logout Threshold scenario assuming a maximum of 4 in-flight messages.","type":"text"}]},{"type":"paragraph","content":[{"text":"In the following scenario:","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"the MSGW generates four Logout messages—one Logout for each message, but sends only the first. When the client system logs in, the Logon Acknowledgment tag 34-MsgSeqNum=204 rather than 201.","type":"text"}]},{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"As a result, the client system may receive a ","type":"text"},{"text":"Logon Confirmation ","type":"text","marks":[{"type":"link","attrs":{"href":"https://www.cmegroup.com/confluence/display/EPICSANDBOX/Session+Layer+-+Logon"}}]},{"text":"(tag 35-MsgType=A)","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}},{"type":"strong"},{"type":"link","attrs":{"href":"https://www.cmegroup.com/confluence/display/EPICSANDBOX/Session+Layer+-+Logon"}}]},{"text":" ","type":"text","marks":[{"type":"textColor","attrs":{"color":"#000000"}}]},{"text":"message with a sequence number higher than expected after the next client system login.","type":"text"}]},{"type":"paragraph","content":[{"type":"inlineExtension","attrs":{"extensionType":"com.atlassian.confluence.migration","extensionKey":"__confluenceADFMigrationUnsupportedContentInternalExtension__","text":"","parameters":{"cxhtml":"

The client system cannot submit a message to recover unsent logout messages.

","block-inline":true,"nestedContent":{"type":"doc","content":[{"type":"panel","attrs":{"panelType":"info"},"content":[{"type":"paragraph","content":[{"text":"The client system cannot submit a ","type":"text"},{"text":"iLink 2 Resend Request","type":"text","marks":[{"type":"link","attrs":{"href":"https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/457327058"}}]},{"text":" message to recover unsent logout messages.","type":"text"}]}]}],"version":1},"reason":"An info macro in a list item can't be created or edited in the new editor."}}}]},{"type":"paragraph","content":[{"type":"hardBreak"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"These logout messages will not be counted towards Auto Port Closure.","type":"text"}]}]}]}]}]},{"type":"extension","attrs":{"extensionType":"com.atlassian.confluence.macro.core","extensionKey":"gliffy","parameters":{"macroParams":{"name":{"value":"Session Logout Sequence Numbers"},"pagePin":{"value":"3"}},"macroMetadata":{"macroId":{"value":"66765d77-a261-401b-a3ce-f2c9025719f0"},"schemaVersion":{"value":"1"},"placeholder":[{"type":"image","data":{"url":"https://confluence-connect.gliffy.net/diagram/image/placeHolder.png?name=Session+Logout+Sequence+Numbers&pagePin=3"}}],"title":"Gliffy Diagram"}}}},{"type":"heading","attrs":{"level":3},"content":[{"text":"Logout Reason","type":"text","marks":[{"type":"strong"}]}]},{"type":"paragraph","content":[{"text":"When an MSGW session is undergoing additional safeguard processing and is logged out due to the number of in-flight messages, CME Globex will send a Logout message including the following tag 58= and reject all in-flight messages.","type":"text"}]},{"type":"table","content":[{"type":"tableRow","content":[{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"Message Type","type":"text"}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"Logout Reason","type":"text"}]}]},{"type":"tableHeader","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"Tag 58-Text","type":"text"}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":2},"content":[{"type":"paragraph","content":[{"text":"Logout (tag 35-MsgType=5)","type":"text","marks":[{"type":"strong"}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"Exceeding the session logout threshold","type":"text"}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"MSGW safeguard exceeded: no. of messages","type":"text","marks":[{"type":"strong"}]}]}]}]},{"type":"tableRow","content":[{"type":"tableCell","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"bulletList","content":[{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Hard TCP Disconnect (i.e. without sending a logout)","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Customer initiated logout","type":"text"}]}]},{"type":"listItem","content":[{"type":"paragraph","content":[{"text":"Customer sends an invalid message (e.g. a lower than expected message sequence number)","type":"text"}]}]}]}]},{"type":"tableCell","attrs":{"colspan":1,"rowspan":1},"content":[{"type":"paragraph","content":[{"text":"Messages rejected due to session disconnect","type":"text","marks":[{"type":"strong"}]}]}]}]}]},{"type":"paragraph","content":[{"type":"hardBreak"}]}],"version":1}

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