Discussion in 'Automated Trading' started by sanya, Aug 30, 2006.

  1. sanya


    Hello everyone,

    I'm interested in connecting to GLOBEX via iLink/MD API's for automated trading. Has anyone done this? Based on the information I've been able to find, it seems like one needs to first lease/buy a CME membership, establish an account with a "Class A" Clearing Firm, then go through Certification Process for application development, and finally arrange connectivity to GLOBEX. Is this correct?

    Because I have absolutely no experience dealing with the connectivity part of automated trading systems, any advice (perhaps alternatives) is greatly appreciated. Most importantly, I can I get a data feed that gives me CME RLC messages like M6, M0, MA in realtime without being a member of CME, through a third-party vendor? What about order routing - what are the options here?

    Thanks in advance,
  2. Are you suggesting creating your own gateway? Tha's a mammoth poposition. I'd suggest linking into the API with TT. They have an API developers network you may join where developers can share thoughts on creating new funtionality for themselves. The developers program also gives you access to samle code and learning material
  3. This is a good suggestion.
  4. As long as you have a clearing firm sponsoring your connection, you can start developing to Globex iLink and MDP (MDAPI is in the last stages of being phased out). CME publishes extensive guide for connecting first to the AutoCert (certification environment) and then the production environment.

    While it is probably simpler to access market data and order routing through a vendor like TT, Pats, etc, or access through broker proprietary system like RedSky, LimeGroup, etc, most of them do not redistribute the raw MDP feeds, rather would give you an aggregated feed from their ticker plant. I can not say all since I only have knowledge into a few of these vendors.

    Writing to Globex MDP and iLink, while certainly not for the faint of heart, is also not a huge undertaking as suggested by some of the other posters. A few ppl here, myself included, have done exactly that. Depending on how much experience you or your programmer have had in working with FIX, real-time raw feeds, the combined certification length for MDP and iLink runs anywhere from 3 months to about 9 months with 1-2 dedicated resource.

    Hope this helps.
  5. sanya


    Hello everyone,

    Thanks for your replies. The two of us looked into X-Trader and a few other properietary API's, and decided that at this point, it makes sense creating a system that connects directly to GLOBEX, as we're OK in dealing with MDP RLC message format and FIX.

    Rufus, from your experience, what level of connectivity would you normally need to recieve the data for and trade one or two e-mini products, at the same time?

  6. Problem is that under MDP, a single "channel" would consist of *all* index futures, or currency futures, or interest rate futures. The previous MDAPI 2.0 using TIB RV would let an application pick which products to subscribe. There is something called MDP-Lite (read up on it on CME site), which let "squeeze" into a single T1, by grouping M0 and M6 messages, and only give snapshot MA. The downside of MDP-Lite is obvious.

    So the level of bandwidth required just for index futures e-mini, would probably be 3-4 MB/s minimum, but looking at the current CME network setup, you are looking at the 10 MB to 20 MB/s setup. Refer to:

    Under MDP, we are talking about massive amount of data regardless, since it is now the responsibility of the MDP application to filter out only the product it requires.

    EDITED: Once you get the ball rolling with filling out CME market data subscriber form (sponsored by a clearing firm), you will get a Globex account manager, these guys would naturally have direct responsibility to answer your questions.
  7. sanya


    Hi Rufus,

    Exactly the answer I was looking for, thanks a lot!

  8. I don't know if you guys can help me with this or not:

    I'm working right now on TTSIM API.

    Does the applications have to written in C#, as opposed to C++?