CME trading interface
The CME trading interface connects the broker system QUIK to futures and options trading at the venues of CME Group (Chicago Board of Trade, Chicago Mercantile Exchange, Commodity Exchange, New York Mercantile Exchange).
- Reference data,
- Level I and as Level II quotes as well as anonymous transactions,
- Forwarding/cancellation of orders and transmission of information on trades,
- Exchange order replacement and transaction cancellation.
Connection to the CME trading system is established both for Market Data and transaction flows:
- Market Data connection comprises several data channels that transmit data for a particular market segment. Connection is established through network protocols UDP and TCP.
- The transaction connection is used to send/cancel orders and transmit transaction data. The transaction employs TCP and FIX network protocols.
Types of supported orders
- Market (with protection) — orders are executed as market ones at prices equal to or above the level of protection limit calculated by the system. If an order has not been executed it remains ‘working’ at the limit price,
- Market to limit — orders are executed at the best market price. If not executed fully the remainder stays ‘working at the venue at the execution price’,
- Iceberg orders,
- Day – to put in queue,
- Immediate or Cancel (IOC) — orders with a condition ‘cancel the rest’.
Hardware and software requirements
Processor Intel Xeon E5504 or better.
2 GB RAM.
20 GB available hard disk space.
OS Windows Server 2008/2012/2016 (x64).
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