directConnect - High Frequency Trading for CME Globex
CME support is available pre-certified with the exchange for FAST market data and FIX order entry, thus providing a solid, fully maintained and ready-to-use implementation.
Features include:
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CME AutoCert+ FIX/FAST 2.0 pre-certified
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Supports both session and application level requirements
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Easy-to-use API.
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Flexible logging.
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Multithreaded architecture.
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Low latency, low CPU load.
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Incremental Book Management.
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Security Status, Security Definition, Trade and News Messages are reported.
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Arbitration between A and B feeds.
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Synchronization of client systems to the latest market state.
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Recovery of missed (lost) messages (both "TCP Replay" and "Market Recovery" feeds are supported).
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Instruments Recovery.
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Supported instrument book depth level is identified dynamically (multiple-depth order books are supported).
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Per-symbol and sub-channel filtering.
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Multiple channels are supported simultaneously.
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Ability to handle multi-homed hosts.
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Supports CME-specific week-long session and audit requirements.
Please also see the specifications for the NYSE Euronext Liffe implementation.