R-Cross (RFQ+RFC Cross)

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

Daily R-Cross Volume Report

Pre-execution communications, pursuant to Rule 539, allow for size, price and direction to be discussed prior to the entry of orders into CME Globex for certain products.

Permissible products and time periods

  • CBOT Agricultural options: Only permitted from 7 p.m.-7:45 a.m. Central Time (CT)
  • CME Agricultural options: Permitted throughout the entire trading day
  • NYMEX Energy options: Permitted throughout the entire trading day
  • COMEX Metals options: Permitted throughout the entire trading day

R-Cross Requirements

  • Subsequent to pre-ex communications an RFQ must be entered to notify the market that there is interest in the specific option trade.
  • The RFQ message starts a 15 second pre-cross period providing an opportunity for all market participants to populate the CME Globex order book with their best prices.
  • Following the 15 second pre-cross period the R-cross order is permitted for a 15 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

  • RFC functionality is supported by numerous trading front-ends, including CME Direct, which offers a specialized R-Cross ticket which 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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