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
          }
        ]
      }
    }
  }
}

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

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

Windows

set EMBER_INSTALL=C:/ember
set EMBER_WORK=C:/ember-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

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

Windows

set EMBER_INSTALL=C:/ember
set EMBER_WORK=C:/ember-work

%EMBER_INSTALL%/lib/custom/tools/cme-msgw-audit-log.bat --connector CGW-2X4 --session 2X4 --start-date 20250218 --end-date 20250227