Globex Orders Transaction Speed Limits

The CME states the following:

Extraordinary and excessive messaging rates generated by a client system can negatively impact all market participants (for example, by creating performance latencies). The CME Globex messaging controls are designed to address this risk by:

  • supporting valid trading activity, and
  • preventing a malfunctioning trading system from impacting the markets

To protect all market participants from the negative effects of excessive messaging, CME Group has implemented the messaging controls for iLink Order Entry as described below.

Application Messaging Thresholds

Message
Reject Threshold
Logout Threshold
Interval
Cancel 1000 MPS 1500 MPS Three-second window.

All other application messages

500 MPS 750 MPS Three-second window.
Message
Reject Threshold
Logout Threshold
Interval
New Order (tag 35-MsgType=D)

Order Cancel/Replace (tag 35-MsgType=G)

Order Status Request (tag 35-MsgType=H)

Quote Request (tag 35-MsgType=R)

New Order Cross (tag 35-MsgType=s)

100 MPS 150 MPS Three-second window.

 

The number of active or queued Order Status Requests (OSR) per iLink session is limited to 50.

 

Message
Reject Threshold
Logout Threshold
Interval
Mass Quote and Quote Cancel Messages 350 MPS 750 MPS Three-second window.
Source: CME Group Messaging Controls