CME trading interface
The CME trading interface connects the QUIK broker system to futures and options trading at the venues of CME Group (Chicago Board of Trade, Chicago Mercantile Exchange, Commodity Exchange, New York Mercantile Exchange).
- Delivery of reference data,
- Transmission of Level I and Level II quotes as well as anonymous trades,
- Forwarding/cancellation of orders and transmission of information on trades,
- On-exchange replacement of orders and cancellation of trades.
Connection to the CME trading system is established both for market data and transactions:
- The market data connection comprises several data channels with each transmitting data for a particular market segment. The connection is established through UDP and TCP network protocols.
- The transaction connection is used to send/cancel orders and transmit transaction data. The connection is established through TCP and FIX network protocols.
Supported Order Types
- 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 is not executed after the limit was reached in the Level II Quotes, the order remains active at the limit price,
- market to limit — orders are executed at the best bid/offer price. In case of partial execution the unfilled balance remains ‘active at the venue at the execution price’,
- limit orders,
- iceberg orders,
- day — to put on the queue,
- immediate or Cancel (IOC) — orders with a condition ‘cancel the rest’.
The interface is installed on the broker’s PC connected to the QUIK server via the TCP/IP protocol. The interface software may be installed on the same PC as the QUIK server software.
To perform pre-trade control of transactions and keep client positions for operations with CME instruments, the QUIK server configuration requires the ‘Unified cash position module for spot and derivatives markets’.
Hardware and Software Requirements
Processor Intel Xeon Gold 5118 or better,
2 GB RAM,
20 GB available hard disk space.
OS Windows Server 2008/2012/2016/2019 (x64).
The indicated hardware and software requirements are minimal. With sufficient resources the interface can be installed on one PC with the QUIK server. For additional information, please contact QUIK Technical Support.
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