CME Globex Self- Match Prevention Functionality - Frequently Asked Questions


What is CME Globex Self-Match Prevention functionality?

Self-Match Prevention functionality, or SMP, is optional CME Globex functionality that allows market participants to prevent, where appropriate, buy and sell orders for the same account, or accounts with common beneficial ownership, from matching with each other.

 

How does the SMP functionality work?

Parties that wish to employ the functionality will be required to populate FIX tags SelfMatchPrevention ID on all orders sent to CME Globex.  When the Globex trading engine detects buy and sell orders with the same SMP ID and the Executing Firm ID at the same executable price level, CME Globex automatically cancels the resting or incoming (aggressing) order(s) based on Self Match Prevention Instruction.

  • For FIFO markets, CME Globex will automatically cancel the order(s) if they are on the same executable price level as a match only if actual fills would occur
  • For non FIFO markets, the orders will be cancelled when an allocation could occur at a price regardless of quantity.

If the Self Match Prevention Instruction is not submitted, CME Globex will cancel the resting order(s) by default and continues processing the incoming order(s). Please visit the CME Globex Self Match Prevention for more information.

SMP functionality is not enabled during PreOpen and the New Price Indication.

  • Pre-Open: Market Data Security Status (tag 35-MessageType=f) message with tag 326-SecurityTradingStatus = 21
  • New Price Indication: Market Data Security Status (tag 35-MessageType=f) message with tag 326-SecurityTradingStatus = 15.

Participants have flexibility in how to apply the SMP functionality based upon their particular business structure, but in all cases, the firm must register to use the functionality.

 

At what firm level will the SMP ID operate?

The SMP ID operates only within an Executing Firm. An Executing Firm is identified in the three-character alpha-numeric value transmitted in positions 4 through 6 of iLink tag 49 -SenderCompID on the message to CME Globex, and in iLink tag 56 - TargetCompID on the message from CME Globex. SMP functionality does not apply across execution firms or across Clearing Firms.

What are the new iLink tags that will be used for the submission of the SMP ID?

The new FIX tag for the SMP ID is Tag 7928 – SelfMatchPrevention ID.

For more details on the SMP functionality, please refer to the Client Systems Wiki.

What is the iLink tag that must be used in order for a party to choose whether to cancel the resting order or the aggressing order?

The FIX tag for the SMP instructions is Tag 8000-SelfMatchPreventionInstruction.

For more details on the SMP instruction, please refer to the Client Systems Wiki.

If SMP functionality is employed, will it add latency relative to orders that do not utilize SMP functionality?

No. All orders submitted to Globex, irrespective of whether or not they contain an SMP ID, are subject to the same SMP ID check at the trading engine. Therefore, whether or not a participant employs the functionality has no impact on latency.

 

Will SMP functionality prevent self-matching of buy and sell orders entered through different Sessions?

Yes, The order that will be cancelled will be the resting order unless instructions to the contrary are contained in Fix Tag 8000 regardless of whether the orders were entered through different Sessions.

How does SMP functionality operate with respect to products that employ implied spreading functionality?

SMP functionality does not prevent self-matches where the trade would involve an implied order. The SMP functionality will prevent opposing spread orders at the same executable price level from matching. For example, if a March-June spread order to buy the spread at 10 is resting and an order with the same SMP ID is entered to sell the same spread at 10, then the resting buy order would be entirely cancelled, preventing the self-match. However, if the order to buy the March-June spread creates an implied bid or offer and an outright order with the same SMP ID is entered on the opposite side of the market and at the same executable price level as the implied bid or offer, the SMP functionality will not prevent the trade, and the party’s outright order could match against a leg of the party’s spread order.

 

How do I register for a SMP ID, and what information is required to register?

In June 2013, CME Group will be launching a user interface screen on the Firm Administration Dashboard that will allow clearing firm administrators to register to obtain one or more SMP IDs for a particular execution firm number under that clearing firm. CME Group will also provide a registration service for clearing firms that do not have access to the Firm Administration Dashboard.

For each SMP ID, the registration requires the executing firm, the identity of the beneficial owner of the account(s) subject to the SMP functionality, and the specific account number(s) and account owner(s) under that beneficial owner. If the party wishes to use the SMP functionality for all operators/Tag 50s that trade the accounts, the specific Tag 50s will not need to be identified. However, if the party needs to assign different SMP IDs to different traders or trading groups so that independent trading activity across groups is not impacted, the firm must also identify the specific Tag 50 IDs under each requested SMP ID.

 

Is there a fee for the use of SMP functionality?

CME is not charging a fee for the use of SMP functionality at this time.

 

Are there any restrictions on the use of SMP functionality?

Yes. SMP IDs may be used to prevent the matching of orders only if the buy and sell orders are for the same account or for accounts that have common beneficial ownership.

 

Is the use of SMP required by CME Group Exchanges?

No, the use of SMP functionality is optional. Each firm can tailor its use of SMP in ways that are appropriate for its business provided that the firm adheres to all SMP requirements and relevant exchange rules. Although use of SMP functionality is optional, market participants are reminded that the rules of all CME Group exchanges prohibit illegal wash trades, and firms should carefully review the CME Group Market Regulation advisory for additional guidance regarding prohibited wash trades.

Will the usage of SMP be monitored?

Yes, the CME Group Market Regulation Department will monitor the use of SMP functionality for proper registration and proper usage. Market participants are reminded that the use of SMP functionality for any non-bona fide purpose may constitute a violation of CME Group exchanges’ rules.

 

Should you have any questions on the registration or operation of SMP functionality, please contact CME Global Account Management in the U.S. at (312) 634-8700, in Europe at 44 203 379 3754, or in Asia at 65 6593 5574. Regulatory questions should be directed to the CME Group Market Regulation Department at (312) 341-7970.


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