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CBOE Market Interface 2 (CMi2)CBOE

OnixS directConnect: CBOE Market Interface 2 (CMi2) Order Routing Handler is a C++ library that provides ultra-low latency access to CBOEdirect - the electronic trading system for CBSX, CBOE, CFE, and One Chicago.

CMi2 is a binary asynchronous message-based application programming interface implemented over TCP/IP that is used to access CBOEdirect.

Key Features

  • Low latency, high throughput.
  • High-level and easy-to-use API that enable quick integration of CBOE CMi2 Order Routing without deep involvement in the specific protocols.
  • Supports order routing and market making.
  • Supports mass quoting, product information retrieval and status updates.
  • Supports the ability to define and trade multiple leg instruments, such as options strategies and futures calendar spreads.
  • Highly configurable logging.
  • Getting Started, Benchmark and Log Replay samples designed to get up and running rapidly.
  • Light hardware and deployment requirements.

CBOE CMi2 Order Routing Handler

Supported Message Types

Session Layer Messages:

  • Logon
  • Logon Response
  • Heartbeat
  • Logout
  • Session Level Reject
  • Sequence Reset Notification
  • Rate Information

Application Layer Messages:

  • Trading Session Status Request
  • Trading Session Status Response
  • Product Download Request for Trading Session
  • Product Download Response for Trading Session
  • Product Download Request for Class
  • Product State Update Message
  • Product Download Response for Class - Options
  • Product Download Response for Class – Futures
  • Product Download Response for Class – Strategy
  • Product Download Response for Class – Equity
  • Strategy Definition Request
  • Quote / Mass Quote
  • Quote Acknowledgement
  • Quote Cancel Request
  • Quote Cancel Response
  • Quote Bust Report
  • Quote Fill Report
  • Request For Quote / Response For Quote Request
  • QRM Enablement and Settings
  • QRM Control Update Initialization
  • Auction Subscription
  • Auction Notification
  • Order Format 1 Order Entry
  • Order Format 1 Order Cancel
  • Order Format 1 Order Cancel / Replace
  • Strategy Order
  • Strategy Order Cancel / Replace
  • Paired Order
  • Paired Strategy Order
  • Order Response
  • Order Format 2 Order Entry
  • Order Format 2 Order Cancel
  • Order Format 2 Order Cancel/Replace
  • Order Format 2 Order Response
  • Order Fill Report
  • Order Bust Report
  • Order Bust Reinstate Report
  • GMD Acknowledgement
  • Business Reject
  • Text Message
  • Accept Floor Trade
  • Accept Floor Trade Response
  • Delete Floor Trade
  • Request Acknowledgement
  • Quote / Mass Quote With Clearing Information
  • QRM Query Response
  • Product Download Request for Trading Session with Underlying
  • Product Download Response for Trading Session with Underlying
  • Trading Session Business Day Request
  • Trading Session Business Day Response