CME CGW Trade Connector
Features
cme-cgwConnector KeyNotes
Common CME Connectors Settings
24/7 Cryptocurrency Futures and Options Trading
Beginning Friday, May 29 at 4:00 p.m. CT, CME Group Cryptocurrency futures and options will trade continuously on CME Globex with at least a two-hour weekly maintenance period over the weekend. All holiday or weekend trading from Friday evening through Sunday evening will have a trade date of the following business day, with clearing, settlement and regulatory reporting processed the following business day as well.
iLink CGW users must create new 7D CGW sessions, which are now available in the Request Center (ESS).
The sequence reset happens during Saturday extended maintenance window: 2am - 4am CT.
So, the default (5D) schedule should be overridden like below:
schedule = {
zoneId = "America/Chicago"
intervals = [
{
startTime = "04:00:00",
startDay = SATURDAY,
endTime = "02:00:00",
endDay = SATURDAY
}
]
}
Existing 5 day (5D) CGW sessions may be used to trade 7 day products from Sunday at 5:00 p.m. Central Time (CT) through Friday at 4:00 p.m. CT, but will be restricted from extended weekend trading hours.
Symbology
| SMD Column Key | Required | Description |
|---|---|---|
cmeSymbol | Yes | SecurityID (numeric) |
Schedule
| Parameter | Value |
|---|---|
| Time Zone | America/Chicago |
| Start Day | Sunday |
| Start Time | 16:00:00 |
| End Day | Friday |
| End Time | 16:00:00 |
| Daily Session? | No |
Config sample
connectors {
CME-CGW: ${template.connector.cme.cgw}{
settings {
host = "<PRIMARY_HOST>"
port = <PRIMARY_PORT>
backupHost = "<BACKUP_HOST>"
backupPort = <BACKUP_PORT>
session = "<SESSION_ID>"
firm = "<FIRM_ID>"
accessKey = "<ACCESS_KEY_ID>"
secretKey = "<SECRET_KEY_ID>"
senderId = "<OPERATOR_ID>"
senderLocationId = "ML,US" # default
orderEntryService {
host = "<OESG_PRIMARY_HOST>"
backupHost = "<OESG_BACKUP_HOST>"
declaredPartyDetails = [
{
account = "<ACCOUNT>"
operator = "<OPERATOR_ID>"
orderHandling = ELECTRONIC
clearingAccountType = FIRM # FIRM or CUSTOMER
customerOrderCapacity = CTI_1 # CTI_1, CTI_2, CTI_3, CTI_4
}
]
}
}
}
}
Tools
Message Log To Json Converter
Converts CME binary logs (*.messages) to JSON format.
Usage: cme-cgw-log-to-json --log-dir <message-logs-dir> --output-dir <output-dir>
- Docker
- Windows
docker compose exec ember /opt/deltix/ember/lib/custom/tools/cme-cgw-log-to-json --log-dir /var/lib/emberwork/connectors/CME --output-dir /var/lib/emberwork
set EMBER_INSTALL=C:/Deltix/Ember
set EMBER_WORK=C:/Deltix/QuantServerHome/EmberHome/work
%EMBER_INSTALL%/lib/custom/tools/cme-cgw-log-to-json.bat --log-dir %EMBER_WORK%/connectors/CME --output-dir %EMBER_WORK%
AuditLog Generator
AuditLog generator generates Audit Trail document from connector's logs.
| Arg | Arg Short | Required | Description |
|---|---|---|---|
| --connector | -c | Yes | Connector ID |
| --session | -s | Yes | CME Session ID |
| --output-dir | -o | No | Path where logs will be generated. Default is $EMBER_WORK/audit |
| --start-date | -b | No | The date from which files should be accepted. If omitted, the current date applies. Ignored when --files is specified. Format: yyyyMMdd |
| --end-date | -e | No | The date until which files are accepted. If omitted, the current date applies. Ignored when --files is specified. Format: yyyyMMdd |
| --files | -f | No | List of files that should be converted. |
| --help | -h | No | Print usage help. |
Usage: cme-cgw-audit-log --connector <connector-id> --session <session-id> [--start-date <yyyyMMdd>] [--end-date <yyyyMMdd>] [--output-dir <output-dir>]
- Docker
- Windows
docker compose exec ember /opt/deltix/ember/lib/custom/tools/cme-cgw-audit-log --connector CGW-2X4 --session 2X4 --start-date 20250218 --end-date 20250227
set EMBER_INSTALL=C:/Deltix/Ember
set EMBER_WORK=C:/Deltix/QuantServerHome/EmberHome/work
%EMBER_INSTALL%\lib\custom\tools\cme-cgw-audit-log.bat --connector CGW-2X4 --session 2X4 --start-date 20250218 --end-date 20250227