CME MSGW Trade Connector

Features

cme-msgwConnector Key

Instruments

OPTIONFUTURESYNTHETIC

Request Types

SUBMITCANCELREPLACE

Order Types

MARKETLIMITSTOPSTOP_LIMIT

Time In Force

DAYGTCIOCFOKGTD

Order ID Mapper

SEQUENCE

✓

Order Status Request

✓

Cancel On Disconnect

✓

Commission

✗

Post Only

✓

Fast Cancel

✓

Fast Replace

Notes

Common CME Connectors Settings

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-MCGW: ${template.connector.cme.msgw}{
    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
          }
        ]
      }
    }
  }
}

Multiple Connectors

To simplify manual connector configuration, leverage HOCON templating. This is especially helpful for managing multiple MSGW connectors. Since settings across different market segments are usually identical except for hosts, you can define common configurations just once within a template.

Configuration Example

template {
  connector {
    acme {
      msgw: ${template.connector.cme.msgw} {
        settings {
          port = <PRIMARY_PORT>
          backupPort = <BACKUP_PORT>

          session = "<SESSION_ID>"
          firm = "<FIRM_ID>"

          accessKey = "<ACCESS_KEY_ID>"
          secretKey = "<SECRET_KEY_ID>"

          senderId = "<SENDER_ID>"
          senderLocationId = "ML,US" # default

          orderEntryService {
            host = "<OESG_PRIMARY_HOST>"
            backupHost = "<OESG_BACKUP_HOST>"

            declaredPartyDetails = [
              {
                account = "<ACCOUNT>"
                operator = "<OPERATOR_ID>"
                orderHandling = ELECTRONIC
                clearingAccountType = CUSTOMER
                customerOrderCapacity = CTI_4
              }
            ]
          }
        }
      }
    }
  }
}

connectors {
  # connector config for market segment 64
  MSGW_64: ${template.connector.acme.msgw} { # use template above
    settings {
      host = "<PRIMARY_HOST_64>"
      backupHost = "<BACKUP_HOST_64>"
    }
  }

  # connector config for market segment 82
  MSGW_82: ${template.connector.acme.msgw} { # use template above
    settings {
      host = "<PRIMARY_HOST_82>"
      backupHost = "<BACKUP_HOST_82>"
    }
  }
}

Tools

Message Log To Json Converter

Converts CME binary logs (*.messages) to JSON format.
Usage: cme-msgw-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-msgw-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-msgw-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-msgw-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-msgw-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-msgw-audit-log.bat --connector CGW-2X4 --session 2X4 --start-date 20250218 --end-date 20250227

Features​

Notes​

Symbology​

Schedule​

Config sample​

Multiple Connectors​

Tools​

Message Log To Json Converter​

AuditLog Generator​