R-Cross for Agricultural Products

An R-Cross is a crossing protocol allowed on CME Globex which gives brokers who engage in allowable pre-execution communications the ability to enter a two-sided order on CME Globex, while benefiting from improving the market in the central limit order book.

All CME Group Agricultural futures and options allow for R-Cross transactions starting January 8, 2018 pending CFTC approval.

R-Cross for pre-execution communications are allowable, pursuant to Rule 539, to discuss size, price and direction prior to the entry of orders into CME Globex.

Benefits of R-Cross

With CME Globex crosses, you have the ability to:

  • Ensure the full quantity of an aggressing order will be executed in the central limit order book
  • Ensure execution of an aggressing order at the cross price or better in the central limit order book
  • Notify select market participants around interest in a specific instrument type like a farther-dated contract or less liquid strike

R-Cross Requirements

Subsequent to pre-ex communications, a Request For Quote (RFQ) must be entered to notify the market that there is interest in the specific instrument.

The RFQ message starts a 5-second pre-cross period, providing an opportunity for all market participants to populate the CME Globex order book with their best prices.

Following the 5-second pre-cross period, the R-cross order is permitted for a 25-second period.

If the cross betters the current market, the entire cross order will be executed instantly upon submission to CME Globex. If the cross is equal to, or worse than, the current market, CME Globex orders will be honored first, then the balance of the non-aggressing order will be crossed.

Access to R-Cross Functionality

Request for Cross (RFC) functionality is supported by numerous trading front-ends, including CME Direct, which offers a specialized R-Cross ticket that automatically ensures observance of the waiting period after entry of the required RFQ.

CME Direct R Ticket

  • Automatically sends an RFQ from the ticket before you can submit the RFC
  • User may cancel the R-Cross process any time prior to execution
  • Submit button is only enabled within the waiting period.
  • If more than 30 seconds elapses, the RFQ must be resubmitted

Executing an R-Cross on CME Direct 

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