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CME Specific Settings
Session Settings

  • SpecifyLastMsgSeqNumProcessedField

    Option to specify the LastMsgSeqNumProcessed (tag 369) field, on every message sent. This is the required tag for the CME iLink system, so the option should be true.

  • RequestOnlyMissedMessages

    Option to turn on/off the alternative algorithm of the resend logic, which is compatible with the CME Enhanced Resend Logic. CME highly recommends using this logic, so the option should be true.

  • ResendRequestMaximumRange

    Option to set the maximum number of messages to be requested in one Resend Request (MsgType=2) message. For all resend requests, CME requires that the client system request the maximum limit of 2500 messages.

  • ConsiderRejectOnResendRequestAsGapFill

    By default, the FIX Engine disconnects the session when the "Session Level Reject" message is received in reply on the "Resend Request" message. However, CME services (e.g. Drop Copy) send the "Session Level Reject" message in some cases, in which the session should not be disconnected. Therefore, in such cases, the option should be true.

Migration to MSGW

CME MSGW does not require any new functionalities from the FIX Engine. There is only one main change on the application level. For MSGW, if you want to trade two different products on different Market Segment Gateways, then you need to create two FIX sessions with the same SenderCompId, SenderSubId and TargetCompId, but with different TargetSubId in accordance with the particular Market Segment Gateway. After that, FIX sessions need to be connected to the corresponding IP address and port of the particular Market Segment Gateway. With the old CGW you could do it by the one FIX session.

Note Note
In order to create two FIX sessions with the same SenderCompId and TargetCompId, you should use the constructor with the additional customSessionKey parameter.