In an A-Cross (Agency Cross), following pre-execution communication, a broker submits an RFQ to CME Globex for the given instrument, followed by a Cross Sequence (CS) to submit the buy and the sell orders to CME Globex.
A-Cross Sequence is the submission of a day-limit order followed immediately by the entry of a fill-and-kill order. The orders must be submitted within the designated time interval for the instrument.
No Request for Cross (RFC) is used in a A-Cross.
A-Cross functionality is currently supported solely on CME Direct. While A-Cross functionality on CME Direct allows the broker to populate the opposing buy and sell orders in a single ticket, those orders will result in two discrete CME Globex order entries, which will be handled according to the algorithm applicable to the product.
A-Cross requires creation of a ClearPort account in Account Management Service with Agency Cross enabled and the broker permissioned for the appropriate accounts.
Please see the Market Regulation Advisory Notice for a complete description of each exchange-supported crossing protocol.
The list of eligible products and cross types is available here.