Exchange connectivity for energy trading

ICE & CME FIX trade capture.
From execution to booked deal.

BlackLight Connect is a production-grade FIX 4.4 adapter for ICE and CME STP trade capture, built by BlackLight Systems for energy trading firms. Capture fills, spreads, and multi-leg structures — standalone or integrated with BlackLight CTRM.

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FIX 4.4 Protocol
TLS 1.2 Transport
ICE + CME Exchanges
.NET 10 Runtime

Supported venues

ICE and CME STP connectivity

One unified adapter handles both exchanges with exchange-specific session management, security definition loading, and trade capture semantics.

ICE

Intercontinental Exchange

Full FIX session to ICE with TLS on port 443. Security definitions requested via FIX Security Definition Request (MsgType c) for futures and multi-leg strategies across configured market types.

  • Target Comp ID: ICE
  • Transport: FIX 4.4 over TLS 1.2
  • Secdef: FIX request per market type (FUT, MLEG)
  • Trade capture: Trade Capture Report Request (MsgType AD)
  • Heartbeat: Configurable (typically 10s)
  • Party mapping: Clearer mnemonic, executing firm, trader ID, contra firm
Energy futures Spreads Multi-leg Strips
CME

CME Group STP

CME STP FIX connectivity to CMESTPFIX gateways. CME does not support inline security definition requests — Connect downloads the official secdef.dat.gz file from CME FTP and processes 1M+ contract definitions daily.

  • Target Comp IDs: CMESTPFIX1, CMESTPFIX6
  • Transport: FIX 4.4 over TLS 1.2
  • Secdef: Daily FTP download from CME Group
  • Trade capture: All trades since date with party filter
  • Heartbeat: Configurable (typically 30s)
  • Venues: XNYM, XCME, XCBT, XCOM
Globex TAS Minute Marker Block trades

FIX message coverage

Category MsgType Description Direction
SessionALogonBoth
Session0HeartbeatBoth
Session1Test RequestBoth
Session2Resend Request / gap fillBoth
Session4Sequence ResetBoth
Session5LogoutBoth
Applicationc / dSecurity Definition Request / ResponseICE outbound/inbound
ApplicationUDSStrategy & spread definitionsInbound
ApplicationADTrade Capture Report RequestOutbound
ApplicationAETrade Capture ReportInbound
ApplicationAQTrade Capture Request AckInbound
ApplicationjBusiness Message RejectInbound

Capabilities

Built for production trade capture

01

Session management

Daily session reset at configurable UTC time, automatic reconnect, sequence gap detection with resend requests, and heartbeats during long processing.

02

Security definitions

ICE definitions via FIX requests across market types. CME definitions via daily FTP download with streaming parse of secdef.dat.gz and product enrichment.

03

Deal parsing

Trade Capture Reports parsed into structured deals with legs, sides, and parties. Supports spreads, multi-month strips, quarter splits, and block trades.

04

Lifecycle handling

Cancel/bust detection archives linked deals. Adjust, replace, and fill aggregation handled with client order ref grouping for multi-leg structures.

05

Reference data mapping

Automatic mapping of FIX parties to trader, broker, clearer, and counterparty. Auto-creation of missing reference data with email notification.

06

Monitoring & logging

Raw FIX and parsed JSON stored for audit. Session errors logged with stack traces. Email alerts for missing reference data during deal upload.

07

Processing status

Track each deal through Unprocessed, Processing, Completed, Duplicate, Failed, or Ignored states with re-process capability from the web UI.

08

Multi-exchange

Run ICE and CME adapters in parallel from a single process. One deployment per enabled exchange session, singleton WebJob per instance.

09

UAT & production

Separate configuration for CME AUTOCERT/UAT and production gateways. Environment-specific credentials, hosts, and session parameters.

How it works

End-to-end straight-through processing

Trades flow from the exchange FIX gateway through parsing, deduplication, and optional booking into your CTRM — with full message audit at every step.

Exchange FIX Gateway

ICE or CME STP over TLS

BlackLight Connect

Session mgmt, parse AE messages

FixDeal Store

Dedupe, legs, parties, sides

Service Bus

fix-deals queue

CTRM Booking

Deals, spreads, PnL, fees

Deal semantics

  • Client order ref (ClOrdId) groups multi-leg deals
  • Spread and multi-month strip decomposition
  • Quarter splits and block trade handling
  • CME TAS (_Z) and Minute Marker symbols
  • ICE instrument matching by exchange code
  • Cancel/bust via OrdStatus with linked deal archival

Data model

  • FixMessage — raw and JSON FIX audit trail
  • FixDeal — parsed trade capture with status
  • FixLeg — spread and strip legs
  • FixSide — side repeating groups
  • FixParty — party IDs and roles
  • FixSecurityDefinition — contract and strategy defs
  • FixError — adapter errors and diagnostics

Integration options

Standalone or fully integrated

BlackLight CTRM

Primary integration path

Connect writes to your tenant database and queues deals via Azure Service Bus for automatic booking into BlackLight CTRM — including books, instruments, spreads, brokerage, and exchange fees.

  • Multi-tenant via Azure App Configuration
  • Web UI for deal monitoring and re-processing
  • Real-time updates via SignalR hub

REST API

Read access to FIX data

Swagger-documented API endpoints for deals, messages, errors, security definitions, legs, sides, and parties. Authenticated via standard user role policy.

  • GET /api/FixDeals
  • GET /api/FixMessages
  • GET /api/FixSecurityDefinitions
  • GET /api/FixErrors

Database / direct

Bring your own downstream

Connect persists all FIX data to SQL Server or PostgreSQL. Query deals, messages, and definitions directly — or build your own processing pipeline on top.

  • SQL Server or PostgreSQL
  • EF Core shared schema
  • Console executable for batch/standalone

Technical specifications

Platform and configuration

Runtime & platform

Runtime
.NET 10.0
Deployment
Console executable or Azure WebJob (singleton)
Database
SQL Server or PostgreSQL (tenant-configured)
Messaging
Azure Service Bus (fix-deals queue)
Configuration
JSON + Azure App Configuration + environment variables
Email alerts
SendGrid
Monitoring
Application Insights

Protocol

FIX version
FIX.4.4
Transport
TCP + TLS 1.2
Port
443
Session reset
Daily at configurable UTC time (default 03:00)
Post-reset wait
Configurable (default 600 seconds)
Reconnect
Automatic (30s failed logon, 1 min disconnect)

Per-exchange configuration

Enabled
Start/stop adapter per session
Client
Tenant name for database lookup
FixExchangeType
Ice or Cme
SenderCompId / SenderSubId
FIX session identifiers
TargetCompId
ICE, CMESTPFIX1, or CMESTPFIX6
FixHostIPAddress
Exchange gateway host
UserName / Password
FIX logon credentials (tags 553/554)
MktTypesForSecurityDefinition
Market type IDs (ICE) or product codes (CME)
HeartbeatInterval
Seconds between heartbeats
DailyDefinitionReloadTime
Secdef refresh schedule

Processing status

Unprocessed
Awaiting queue processing
Processing
Being converted to CTRM deal
Completed
Successfully booked
Duplicate
Already exists
Failed
Error during upload
Ignored
Excluded from processing

Deployment

Azure-hosted or on-premises

Azure (recommended)

Production deployments run as singleton Azure WebJobs on dedicated App Service instances — one per client/exchange combination (e.g. STP-Client-ICE, STP-Client-CME).

  • Azure App Service with WebJob (Triggered, singleton)
  • Azure App Configuration for tenant connection strings
  • Azure Service Bus for deal queue processing
  • Application Insights for monitoring and diagnostics
  • MSDeploy publish profiles for CI/CD

On-premises / private cloud

Connect runs as a self-contained .NET 10 console application. Only outbound HTTPS/TLS to exchange gateways is required — no inbound ports needed.

  • Self-contained console deployment
  • Direct database connection (SQL Server or PostgreSQL)
  • Local configuration files or your own config service
  • Alternative message queue in place of Service Bus
  • --cme-secdef flag for standalone definition download

In production with leading energy trading firms across ICE and CME venues.

FAQ

Frequently asked questions

Common questions about BlackLight Connect, ICE FIX, and CME STP trade capture.

What is BlackLight Connect?

BlackLight Connect is a commercial FIX 4.4 trade capture adapter for ICE and CME STP, made by BlackLight Systems. It receives Trade Capture Reports from the exchange, parses them into structured deals with legs and parties, and optionally books them into the BlackLight CTRM platform.

Which exchanges does BlackLight Connect support?

BlackLight Connect supports Intercontinental Exchange (ICE) and CME Group STP. ICE uses FIX Security Definition Requests and Trade Capture Report Requests. CME STP uses daily secdef.dat.gz downloads from CME FTP plus FIX trade capture to CMESTPFIX gateways.

What FIX protocol version does BlackLight Connect use?

BlackLight Connect uses FIX 4.4 over TLS 1.2 on port 443. It handles session messages (logon, heartbeat, resend, sequence reset) and application messages including Trade Capture Reports (MsgType AE), Security Definitions (MsgType d), and Business Message Rejects (MsgType j).

Can BlackLight Connect run without BlackLight CTRM?

Yes. BlackLight Connect can run standalone as a .NET 10 console or Azure WebJob, persisting FIX messages and parsed deals to SQL Server or PostgreSQL. A REST API provides read access to deals, messages, security definitions, and errors. Integration with BlackLight CTRM is optional via Azure Service Bus.

Who is BlackLight Connect designed for?

BlackLight Connect is designed for energy trading firms, brokers, and operations teams that need reliable ICE or CME STP trade capture — whether as a standalone connectivity layer or as part of a full CTRM stack.

How is BlackLight Connect deployed?

Production deployments typically run as singleton Azure WebJobs on dedicated App Service instances — one per client and exchange. On-premises deployment is supported as a self-contained console application requiring only outbound TLS to exchange gateways. No inbound ports are needed.

Does BlackLight Connect handle spreads and multi-leg trades?

Yes. BlackLight Connect parses Trade Capture Reports into deals with legs, sides, and parties. It supports spreads, multi-month strips, quarter splits, block trades, CME TAS symbols, and cancel/bust lifecycle handling using client order reference grouping.

Get started

Request a demo or technical discussion

Whether you need standalone FIX connectivity or full integration with BlackLight CTRM, our team can walk you through configuration, certification, and deployment.