Page tree
Skip to end of metadata
Go to start of metadata

This topic describes market functionality for BrokerTec Order Driven Market (ODM) on the CME Globex platform.

Contents

Supported Functionality

FunctionalityUS TreasuriesUK BillsEU EGBUS RepoEU Repo
Inverted Yield PricingWhen Issued(tick)Some(error)(error)
Inverted Repo Rate Pricing(error)(error)(error)(tick)(tick)
FIFO Matching Algorithm(tick)(tick)(error)(tick)(tick)
Bilateral Trading(error)(tick)(tick)

(error)

(tick)
Mandatory Self-Match Prevention(error)(tick)(tick)(tick)(tick)
Workup(error)(error)(error)(tick)(error)
MiFID II and/or SFTR(error)(tick)(tick)(error)(tick)
Mid-Session Expirations on Last Trade Date(error)(error)(error)(tick)(tick)
All or None (AON)(error)(error)(error)

(tick)

Binary Trade
Reporting

(tick)
Calculation of Considerations(error)(error)(error)(tick)(tick)

Inverted Pricing

Due to market conventions, the US Treasury When Issued (WI) and some EGB Bills trade in Yield pricing, where bids are higher than offers. Additionally, the US and EU Repo markets trade in Rates, where bids are higher than offers. See: MDP 3.0 - Inverted Price Book Processing for BrokerTec.

Statistics

BrokerTec on CME Globex supports the following statistics:

Collateral Market Value Message

BrokerTec on CME Globex supports collateral market values for all fixed income products that leverage collateral in Repo markets. The Collateral MDP message supports clean and dirty prices. The message is sent via the SBE CollateralMarketValue template in the core schema. Collateral messages are not conflated and are sent real-time. Collateral prices are published every 10 minutes.

The Collateral Market Value message is sent for Repo markets. This message maps to the Collateral Market Value template in the SBE MDP Core schema.


Workups

A Workup is a period during which all trades on an individual instrument can only occur at the Workup price. A Workup occurs upon an initial match of an aggressive and passive order (on the contra‐side). Buyers and sellers join the Workup anonymously, match orders, and execute transactions based on the initial matched trade price. The initial trade price is held for a fixed period of time after the last match on the system at that price and the matched trade price; direction of the trade and available size on either side of the order book is disseminated to all participants during the Workup.

iLink 3 Workup FIX Tag Values

The following tags relate to iLink 3 Workup processing.

More information regarding BrokerTec order entry processing can be found in the iLink 3 Binary Order Entry - BrokerTec Markets document.

Tag 820-TradeLinkID, tag 7191-Ownership and tag 6881-ManagedOrder will be added to the Execution Report - Trade Outright message for Workup processing: 

TagField
Name
Binary
Type
Binary
Length
ReqDescription
820TradeLinkIDUInt32NULL4N

Contains the workup ID; unique per instrument per day. TradeLinkID is also
available in the market data workup Security Status (35=f) message.

7191OwnershipUint81N

Specifies the owner of the workup private phase.

  • 0 – Aggressive owner included in workup
  • 1 – Passive owner included in workup
  • 2 – Aggressive owner fill price from order excluded from workup during sweep
  • 3 – Passive owner fill price from order excluded from workup during sweep
  • 9 - Not Applicable
6881ManagedOrderBooleanNULL1N

Boolean: flags a managed order.

Applicable only to repo fixed income markets.

MDP3 Workup FIX Tag Values

A Workup is triggered when a trade occurs on any Workup-eligible instrument. The Workup security status (tag 35-MsgType=f) functionality is supported by the SBE template SecurityStatusWorkup60. During the private stage of a workup, the owner(s) are identified by their Order IDs (tag 37-OrderID).

More information regarding market data processing can be found in the CME Globex BrokerTec Market Data document.
MDP FIX Syntax for Security Status (35=f) Workup Processing
Tag

FIX Name

Type

Semantic
Type

Valid Values
for BrokerTec

Description

270MDEntryPxPRICENULL9Price
Workup price.
48SecurityIDInt32int
A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
820TradeLinkIDuInt32int

Contains the workup ID; unique per instrument per day.  TradeLinkID is also available on the iLink execution report for workups.

5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue
Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex event.
326SecurityTradingStatusWorkupTradingStatusint

17=Ready to trade (start of session)
18=Not available for trading
201=PrivateWorkup
202=PublicWorkup

Identifies the trading status applicable to the instrument.   


327HaltReasonHaltReasonint

0=Group schedule (default)
2=Market event

Indicates halt reason status due to surveillance activity.

1174SecurityTradingEventSecurityTradingEvent

int

0=No Event (default)
7=End Of Workup

Indicates the trading status applicable to the transaction.

Repeating Group
37OrderIDuInt64int
Unique ID assigned by CME Globex to identify orders.
54Side

Side

int1=Buy
2=Sell
Side of order.
1057AggressorIndicator

AggressorFlag

int

0=Not Aggressor
1=Aggressor

Aggressor Indicator.

Workup Processing Rules

The following section outlines workup processing rules. BrokerTec on Globex allows US Repo traders to match orders via "workups." 

Workup Ownership

The following section outlines workup ownership rules.  

  • A workup will always have exactly one private phase owner on the passive (resting) side.
  • The submitter of the first matched order on the passive side always becomes workup owner on that side, regardless of other orders behind in the queue at that price or whether the first match is a full or partial fill.
  • On a sweep, the submitter of the first resting order matched still becomes the passive owner, even though workup occurs at the least aggressive price (price of the last trade) on the sweep.
  • A workup can have zero or one private phase owner on the aggressive side.
  • The aggressor becomes workup owner only if they match against all available displayed quantity of all resting orders at the best price level.
  • When there is a sweep, not all orders at the last matched price need to be taken for the full displayed quantity for the aggressor to be an owner, even though the workup occurs at that final price.
  • Workup ownership is at the level of iLink session and tag 5392-SenderID.  
  • Workup owners are denoted to customers sending the order via iLink tag 7191-Ownership on the private feed. 
Workup Phases

A workup consists of four phases.

1 - Initial Trade/Workup Initiation Phase

This section summarizes the initial trade/workup initiation phase rules. 

  • A trade/match event for a product enabled workup must kick off a workup period with the workup price equal to the price of the trade that has just occurred.  Exceptions that will not result in a workup include:

-Trades that occur at an interim price on a sweep – the workup instead will happen at the last traded price on the sweep

-Trades in All Or None (AON) instruments in Repo will not start a workup, as those instruments are not configured for workup.

-Trades in for all other products except US Repo do not match using workups.  

More information regarding AON can be found in the CME Globex BrokerTec Market Data document.
  • As part of the workup initiation, the workup owner(s) are determined (see the previous workup ownership section for more information). 
  • Workup status is at the individual tradable instrument level. A workup in one instrument has no impact on any other (related or unrelated) instruments. Workups can occur on multiple instruments at the same time. 
  • During a workup, orders must only meet the minimum order increment for that instrument, and not the normal minimum order size. For example, a US Repo instrument may have a minimum order size 500 and minimum order increment of 50. However, during the workup, new orders submitted only need a minimum of 50For orders that use display quantity (iLink tag 1138-DisplayQty), the display quantity must meet the minimum increment during the workup instead of the order quantity meeting the minimum increment. The workup order size is determined when market data tags 1093-LotType=2 & MinLotSize are on the security definition message (tag 35-MsgType=d).

2 - Private Phase

This section summarizes the private phase rules.

  • During the private phase, the workup owner(s) can add additional orders on their respective side, and if enough quantity exists, additional matches can occur only between the workup owners.
  • Any bids and offers entered by traders other than the workup owners will not match during the private phase and are queued for matching in the public phase.
  • Any unmatched quantity from the workup owners entered during the private phase retains priority at the top of book, even if added during the workup with a later timestamp than other resting orders at the best price.
  • The private phase has a fixed timer configured by product
  • The private phase is denoted by the market data security status message (tag 326-SecurityTradingStatus=201 in tag 35-MsgType=f) via the SBE template SecurityStatusWorkup60.  Additionally, the security status includes workup price (tag 270-MDEntryPx), the side (tag 54-Side) and order ID (tag 37) of the workup owner(s).  
  • Additional “first and third” benefits for the passive workup owners occur when iLink orders are submitted with tag 6881-ManagedOrder=Y. When multiple managed orders are resting at the workup price for a passive workup owner, and there are orders from other participants in between when the private phase begins, the resting managed orders from the workup passive owner move above resting orders from other participants. Any remaining quantity for managed orders which improve priority during the private phase retain their improved priority after the workup ends.
  • Additional orders entered by the workup owner on the aggressive side during the private phase will be placed, at the top of the book, or if any residual left after the initial workup order.
3 - Public Phase

This section summarizes the public phase rules.

  • After the private phase expires, a public phase begins in which all participants can join the workup and any new orders, along with any queued orders which couldn’t match during the private phase, can now match at the workup price.
  • The public phase is denoted by MDP security status message (tag 35-MsgType=f & tag 326-SecurityTradingStatus=202) via the SBE template SecurityStatusWorkup60.  
  • The public phase has a fixed timer configured by product.
  • Any trade which occurs during the public phase can extend the workup if product is configured with an extension timer.   The public extension timer configuration will be available via Reference Data API.
  • iLink 3 Binary Order Entry - Business Layer orders live for the remainder of the workup, including extensions, so can last on the book like a resting order for some duration. Fill and Kill Immediate (FAKI) and FOK orders areeither executed immediately or are eliminated.
  • Orders entered during the workup with prices better than workup price are converted to the workup price, and are only available for matching at the workup price.
4 - Workup Termination (Come-down) Phase

This section summarizes the termination phase rules.

  • Workup termination is the end of the workup
  • A workup will end naturally when all timers are expired (private -> public -> any public extensions)
  • The termination phase is denoted by the MDP security status (tag 35-MsgType=f & tag 1174-SecurityTradingEvent=7) via the SBE template SecurityStatusWorkup60 unless end of the trading session occurs.  
  • A workup will terminate at the end of day trading for an instrument, and is denoted by MDP security status message (tag 35-MsgType=f , tag 1174-SecurityTradingEvent=7, tag 326-SecurityTradingStatus=18, 327-HaltReason=2) via the SBE template SecurityStatusWorkup60. 
  • At the end of the workup, the following occurs:
    -Any remaining quantity on FAK orders will be automatically eliminated
    -Any orders which have a remaining quantity below the minimum order size are automatically eliminated
    -Any Limit orders which were originally submitted at a price better than the workup price are converted back to their original limit price and will enter the book at that price – which could match with another resting order at that price and trigger a new spontaneous workup.

More information regarding BrokerTec STP can be found in the CME STP and CME STP FIX documents.

Workup Examples

The following section provides examples for workup processing.  

The workup examples below assume there are no other updates within a conflation interval. More information regarding conflation can be found in the CME Globex BrokerTec Market Data document.
Example 1 - Full Workup Life Cycle

The following example provides a fully phased workup life cycle for a workup eligible instrument.  The example has the following sections:

  • Initial Trade/Workup Initiation Phases
  • Private Phase
  • Public/Termination Phases
Initial Trade/Workup Initiation Phases

This section outlines the initial trade and workup initiation phases. Below trader anonymously A123 sends an order that matches orders from M456 and Z789 which causes the workup private phase to begin. A123 matches all the displayed quantity for all resting orders at the best price level.  Consequently, A123 anonymously becomes the aggressor owner. Z789 is the first matched order on the passive side. Therefore, trader Z789 anonymously becomes the passive owner. A workup price of 100 is assigned.

Workup Initial Private

Private Phase

In this section, traders A123 and Z789 are able to trade orders due to their workup ownership. Next, trader M456 submits an order, however it does not trade because M456 is not a workup owner.

Workup-Private-2

Public/Termination Phases

In this section, once the private phase ends and the public phase begins, existing non-ownership quantity from trader M456 matches with an open order from trader A123.

Workup Public and Termination

Example 2 - Passive Ownership Only

In this example, trader A123 sends an order that trades with M456 and Z789.  The trade begins a private phase with Z789 becoming the passive owner.  There is no aggressive owner due to trader A123 only matching a partial size of the bid orders at the best price.

Workup Owner Passive Ony

Example 3 - Sweep Processing

In this example, a sweep occurs and passive ownership is assigned the passive side with the best price of 2.03 despite assigned workup price of 2.04.

Workup Sweep

Example 4 - Private Phase Order Priority

In this example, unmatched quantity from the workup owners entered during the private phase retains priority at the top of book, even though it has a later timestamp than other resting non-owner orders at the best price.

Workup Private Priority

Example 5 - Managed Orders (“First and Third”)

In this example trader Z789 sends a managed order (tag 6881-ManagedOrder=Y).   After trader Z789 becomes the passive owner, the managed orders improve their book priority.

Workup Managed Orders

Example 6 - Spontaneous Workup 

In the example below, trader A123 sends a bid price (2.01) that is better than the workup price (2.02).  Consequently, A123's order price is updated from 2.01 to 2.02.  Once the workup is terminated, A123's order price is reverted to 2.01 which causes a trade with P321 and a new workup.

Workup Spontaneous

BrokerTec on CME Globex Display Quantity Processing

BrokerTec on CME Globex allows display quantity orders. The display quantity is the quantity shown to the market as specified by the customer, gradually exposing the remaining quantity until the entire order quantity is depleted. This section outlines display quantity behavior for workup and non-workup processing for CME Globex, iLink 3, and MDP3 systems. 

More information regarding iLink and MDP3 for BrokerTec on CME Globex can be found in iLink 3 Binary Order Entry - BrokerTec Markets and CME MDP 3.0 Market Data.

Terminology

TermDefinition
Display Quantity

A client-defined representing the portion of the order quantity to display to the market. Display quantity is submitted via iLink tag 1138-DisplayQty in a new order message. Display quantity is sent to market data consumers. 

Remaining QuantityThe portion of the order quantity that is not displayed to the market.  
Total QuantityThe sum of display quantity and remaining quantity. The total order quantity is submitted via iLink tag 38-OrderQty in a new order message and tag 151-LeavesQty in subsequent fill messages.  
ReplenishA process which moves an order’s remaining quantity to its display quantity.

Display Quantity Processing Rules

The following are rules for display quantity processing:

Non-Workup

Outside of a workup, BrokerTec on CME Globex uses the following methodology for fills:

  • for an aggressing order, fills occur first for all available display quantity at the top price level
  • for additional quantity, fills occur for the remaining order quantity order by order, regardless of shown size amount
  • a display quantity increase causes a loss of priority
  • if an order is submitted with the display quantity lower than the instrument's minimum order quantity (tag 969-MinPriceIncrement) the order will be rejected.   
  • remaining quantity can be increased at any time without loss of priority (exception: US Repo)  

Workup

If a workup has been initiated, BrokerTec on CME Globex uses the following fill methodology:

  • for subsequent aggressing orders inside the workup, fills occur for total quantity (display quantity plus remaining quantity) order by order, regardless of shown size amount.

  • the remaining order quantity replenishes to the full display quantity (if enough order quantity is available) immediately on all fills, without loss of priority. A full market data book refresh occurs regardless of whether the display quantity is fully matched or partially matched.
  • total quantity can be decreased without loss of priority.
  • display quantity can be decreased without loss of priority.
  • if the total quantity falls below the display quantity, the display quantity and total quantity will be equal.
  • For US Repo workup owner(s) during the private phase, any new orders added are inserted above resting orders for other participants. Accordingly, the passive workup owner during a private phase can also increase the display quantity or remaining quantity on orders at the top of the book without any loss of priority. 
  • The following minimum order quantity rules apply to a workup:
    • For incoming orders, if a fill causes the total quantity, and therefore remaining display quantity, to be below the product's minimum order quantity (tag 969-MinPriceIncrement) via the MDP3 security definition message (35=d), it is immediately removed from the market.
    • For workup products, during the private phase for workup owners, incoming and resting orders can have a display quantity less than the product's minimum order size, and must only be validated against the minimum increment (tags 1093-LotType=2 & 1231-MinLotSize) via the MDP3 security definition message (35=d).
    • At the end of the workup, if and order's total quantity is lower than the minimum order quantity, then the order will be removed from the market. 

Display Quantity Examples

The examples below illustrate how display quantity is processed for BrokerTec on CME Globex. 

Example 1 - Display Quantity Fill Outside of Workup

The following example illustrates display quantity fill behavior outside of a workup.  

Starting Ask Side Book

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
11232.04102030
24562.04252550
37892.0415015
414792.0454045
Totals:5585140

New Order Entered

A new bid side order is entered for a quantity of 80 at a price of 2.04.

The following updates occur: 

Pass 1 - Fill Display Quantity

Results in the entire display quantity (55) getting filled.  

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
11232.0410 02030 20
24562.0425 02550 25
37892.0415 0015 0
414792.045 04045 40 
Totals:55 085140 85

Pass 2 - FIFO Fill Remaining Quantity

Next, the remaining bid order quantity of 25 will be fulfilled with the remaining quantity.

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
11232.04020 020 0
24562.04025 2025 20
37892.04000
414792.0404040
Totals:085 6085 60

Replenish Display Quantity 

Finally, the display quantity is replenished from the remaining quantity. The resulting display quantity is sent to market data consumers.  

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
14562.040 2020 020
214792.040 540 3540
Totals:0 2560 3560
Example 2 - Display Quantity Fill within Workup

The following example illustrates display quantity fill behavior after a workup has been initiated.  

Starting Ask Side Book

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
12542.01102030
23952.01252550
36802.0115015
424712.0154045
Totals:5585140

New Order Entered

A new bid side order is entered for a quantity of 80 at a price of 2.01.

Fill Display and Remaining Quantity

A fill occurs for the total quantity order by order, regardless of shown size amount.

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
12542.0110 020 030 0
23952.0125 025 050 0
36802.011500
424712.0154045
Totals:55 2085 40140 60

Resulting Book Update

The following display quantity is sent to market data consumers. 

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
16802.0115015
224712.0154045
Totals:204060
Example 3 - Partial Match Display Quantity Replenish 

In this example, the remaining order quantity replenishes to the full display quantity immediately on a partial fill, without any loss of priority. A market data book replenish occurs regardless of whether the display quantity is fully matched or partially matched.

Starting Ask Side Book

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
17272.06102030
29752.06252550
317822.0615015
429972.0654045
Totals:5585140

New Order Entered

A new bid side order is entered for a quantity of 5 at a price of 2.06.

Replenish Display Quantity

The order matches with the bid side. Consequently, a trade update is sent to market data consumers. 

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
17272.0610 (Replenished)20 1530 25
29752.06252550
317822.0615015
429972.0654045
Totals:5585 80140 135
Example 4 - BrokerTec Remaining Quantity Increase with No Priority Loss (Non-US Repo)

In this example, the client system anonymously modifies the total quantity from 30 to 60 for a non-US Repo BrokerTec instrument. Remaining quantity increases from 20 to 50. No loss of order priority occurs.  

Starting Ask Side Book

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
12532.00102030
24692.00252550
38922.0015015
49242.0054045
Totals:5585140

Order Modified

The existing Order ID 253 total quantity is increased from 30 to 60.

Increase Total Quantity

Order priority is not lost and the update is not communicated to market data consumers.

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
12532.001020 5030 60
24692.00252550
38922.0015015
49242.0054045
Totals:5585 115140 170
Example 5 - BrokerTec Remaining Quantity Increase with Priority Loss (US Repo)

In this example, the client system modifies the total quantity from 30 to 70 for a US Repo instrument. The remaining quantity increases from 20 to 60. There is an immediate loss of priority because the total quantity increases for a client system that is not a workup owner. 

Starting Ask Side Book

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
13121.98102030
27731.98252550
39271.9815015
410221.9854045
Totals:5585140

Order Modified

The existing Order ID 312 total quantity is increased from 30 to 70.

Increase Total Quantity

The change in priority is communicated to market data consumers.

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
2 17731.98252550
3 29271.9815015
4 310221.9854045
1 4 3121.981020 6030 70
Totals:5585 125140 
Example 6 - BrokerTec Remaining Quantity Increase with No Priority Loss (US Repo Workup Owner)

In this example, a workup owner modifies order 117 to decrease the display quantity (tag 1138-DisplayQty) from 20 to 10 which increases the remaining quantity from 40 to 50.  Consequently, there is no loss of priority because the total quantity does not increase.  

Starting Ask Side Book

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
1117 (Workup Owner)2.00204060
23642.00252550
37522.0015015
410222.0054045
Totals:65105170

Order Modified

The display quantity for Order ID 117 decreases from 20 to 10.

Increase Remaining Quantity

The remaining quantity increases from 40 to 50 for order ID 117. Order priority is not lost and the display quantity update is communicated to market data consumers.

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
1117 (Workup Owner)2.0020 1040 5060
23642.00252550
37522.0015015
410222.0054045
Totals:65 55105 115170
Example 7 - BrokerTec Display Quantity Increase Outside of Workup with Priority Loss

In this example, the client system modifies the display quantity from 10 to 20 outside of a workup. Consequently, a loss of order priority occurs.  

Starting Ask Side Book

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
12532.0710100110
24692.07252550
38922.0715015
49242.0754045
Totals:55165220

Order Modified

The existing Order ID 253 display quantity is increased from 10 to 20.

Increase Remaining Quantity

The display quantity increases from 10 to 20 for order ID 253. Consequently, order priority is lost.  

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
2 14692.07252550
3 28922.0715015
4 39242.0754045
1 42532.0710 20100 90110
Totals:55 65165 155220
Example 8 - BrokerTec Display Quantity Increase within a Workup

In this example, a workup owner within the private phase increases the display quantity from 5 to 10. Consequently, no loss of order priority occurs.  

Starting Ask Side Book

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
11122.095105110
23972.09252550
35512.0915015
410222.0954045
Totals:50170220

Order Modified

The existing Order ID 112 display quantity is increased from 5 to 10.

Increase Display Quantity

The remaining quantity increases from 5 to 10 for order ID 112. Order priority is not lost and the display quantity update is communicated to market data consumers.

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
11122.095 10105 100110
23972.09252550
35512.0915015
410222.0954045
Totals:50 55170 165220
Example 9 - BrokerTec Display Quantity Increase After Fill

In this example, Order ID 727 has the highest order priority and has a display quantity of 10. Order ID 727 receives a fill which updates the display quantity to 5. Next, Order ID 727 is modified to increase the total quantity to 20 and increase the display quantity to 10. Consequently, order priority is lost due to the display quantity increase from 5 to 10.
Starting Ask Side Book

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
17272.0610515
29752.06252550
317822.0615015
429972.0654045
Totals:5570125

New Order Entered

A new bid side order is entered for a quantity of 10 at a price of 2.06.

Replenish Display Quantity

The order matches with the ask side and an update is sent to market data consumers. The Order ID 727 display quantity is reduced from 10 to 5. iLink sends tag 151-LeavesQty equal to 5 in the fill report to Order ID 727 to denote the quantity left in the market. If the LeavesQty is lower than the previously set display quantity then a client iLink system can leverage the LeavesQty value to determine the quantity displayed to market data consumers.  

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
17272.0610 5 (Replenished)5 015 5
29752.06252550
317822.0615015
429972.0654045
Totals:55 5070 65125 115

Order Modification 

Order ID 727 is modified to increase the total quantity (iLink tag 38-OrderQty) to 20 and results in the display quantity (iLink tag 1138-DisplayQty) being increased to 10.  

Order Modification Result

The order modification causes the display quantity to increase from 5 to 10. Consequently, order priority is lost. The updated book priority and display quantity are sent to market data consumers.

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
2 19752.06252550
3 217822.0615015
4 329972.0654045
1 47272.065 100 100 20
Totals:50 5565 75 115 130
Example 10 - BrokerTec Display Quantity Decrease with No Priority Loss (Workup Owner)

In this example, a workup owner modifies order 189 to decrease the display quantity (tag 1138-DisplayQty) from 20 to 10. This modification increases the remaining quantity from 50 to 60.  Consequently, there is no loss of priority.  

Starting Ask Side Book

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
11892.03205070
22642.03252550
35272.0315015
49142.0354045
Totals:65115180

Order Modified

For Order ID 189, the display quantity decreases from 20 to 10.

Increase Remaining Quantity

The remaining quantity increases from 50 to 60 for Order ID 189. Order priority is not lost and the display quantity update is communicated to market data consumers.

Priority

Order ID

Price

Display Quantity

Remaining QuantityTotal Quantity
11892.0320 1050 6070
22642.03252550
35272.0315015
49142.0354045
Totals:65 55115 125

180


BrokerTec Trade Cancel and Correction Functionality

CME Globex supports in-session trade correction for outright and spread trades and provides a common messaging identifier that links trades across order entry and market data.

For MDP3 the trade summary, electronic volume, high/low, and Intraday VWAP statistics will be updated for canceled and corrected trades.

  • If the cancelled trade is the only trade of the day, trade statistics are deleted [279MdUpdateAction=2 (Delete)].
  • If the cancelled trade is not the only trade of the day,trade statistics are adjusted [tag 279-MDUpdateAction=0 (New)]. 

MDP3 daily average VWAP will reflect cancellations/corrections disseminated; however, already published daily average VWAP are not resent.

More information regarding these MDP3 messages can be found in the CME Globex Broker Market Data document.

iLink3 trade cancel and corrections are communicated via the iLink 3 Execution Report - Trade Addendum Outright, iLink 3 Execution Report - Trade Addendum Spread, iLink 3 Execution Report - Trade Addendum Spread Leg messages. Additionally, EU Repo and Gilt markets support Bilateral accept/reject trade capabilities via iLink. US Repo markets do not send iLink execution reports.

Tag 37711-MDTradeEntryID associates order routing and market data messages for a given trade.

Trade Cancel and Correction Examples

The following section provides examples for trade cancels and corrections.

Scenario 1 - Trade Cancel 

In this example, an ask side aggressor order trades with a bid side order. Next the trade is canceled and an update is sent to market data participants.

bilateral cancel

Scenario 2 -  Partial Trade Cancel

In this example, an ask side aggressor order trades with two bid side orders. Next, trade (37=3434) is canceled and trade (37=1212) remains filled. After the cancellation, an update is sent to market data participants.

Trade Cancel Part 1

Trade Cancel Part 2

Scenario 3 - Partial Trade Quantity Correction

In this example, an ask side aggressor order trades with two bid side orders. Next, the trade quantity for Order ID 1212 is reduced from 300 to 100. After the quantity adjustment, an update is sent to market data participants.

Trade Quantity Adjust 1

Trade Quantity Adjust 2

Scenario 4 - Spread Trade With Quantity Correction

In this example, an ask side aggressor order trades with a bid side orders. Next, the spread trade quantity for Order ID 1212 is reduced from 200 to 100. After the quantity adjustment, an update is sent to market data participants for the spread and associated legs.

Spread Trade Cancel 1

Spread Trade Cancel 2

Scenario 5 - Price Correction

In this example, an ask side aggressor order trades with a side order. Next, the trade price for Order ID 1212 is reduced from 100 to 99.  After the price correction, an update is sent to market data participants.

Bilateral Quantity Adjust 1

Bilateral Accept/Reject Trading

EU Repo and Gilt Repo markets support bilateral trade accept/reject capabilities via the iLink 3 Execution Acknowledgment (35=BN) message.

The following processing rules apply to bilateral trade accept/reject:

  • A client session can only reject a trade within a configured time interval.  The time interval is available via the bilAccRejTimer attribute in Reference Data API.
  • If a trade is not rejected within the time interval, the trade is automatically accepted
  • Client systems can reject a previously accepted trade if still within the time interval
  • Once a trade has been rejected, it cannot be re-accepted
  • A trade rejection sent by a client system outside of the time interval will be rejected with a Business Level Reject (35=j, 380=0) message

Per rule 7.2.2 of the BrokerTec EU MTF Rulebook, trade reject is allowed only in circumstances where Participant has a legitimate credit related reason for not entering into a Repo Transaction with another Participant after its identity is disclosed.

iLink Bilateral Accept/Reject FIX Message

Following a trade, the counterparty client system sends an iLink 3 Execution Acknowledgment to CME Globex indicating the given trade has been accepted or rejected.

More information regarding BrokerTec on CME Globex order entry processing can be found in iLink 3 Binary Order Entry - BrokerTec Markets.

Bilateral Accept/Reject Trading Examples

The following section provides examples for Bilateral Accept/Reject Trading.  

Example 1 - Trade Acknowledgment 

In this example, session ABC sends a limit order with a quantity of 500 that matches with an order from session XYZ. Once the trade occurs, the trade reject countdown begins. In this example both sessions ABC and XYZ accept the trade. When the reject time interval ends, neither session can reject the trade.

Bilateral Time Runs Out 1

Example 2 - Trade Reject

In this example, session ABC sends a limit order with a quantity of 500 that matches with an order from session XYZ and both sessions accept the trade. Next, session ABC rejects the trade, which cancels the trade.

Bilateral Reject 1

Example 3 - Partial Trade Reject 

In this example, session ABC sends a limit order with a quantity of 500 that matches with order from sessions MNO (200) and XYZ (300). Next, session MNO rejects the trade, which causes a partial trade cancel. Traded quantities for sessions ABC and XYZ are not canceled.

Bilateral Reject Partial 1

Bilateral Reject Partial 2

Market Integrity and Risk Controls

BrokerTec markets on CME Globex have the following CME Globex Market Integrity and Risk Controls enabled.

Cancel on Disconnect

Cancel on Disconnect (COD) monitors for involuntary lost connections between iLink sessions and the CME Globex platform. If a lost connection is detected, COD cancels all resting orders for the affected session on a best-efforts basis.

COD only cancels Day/Session orders. Good Till Cancel (GTC) and Good Till Date (GTD) orders are not cancelled by COD

It is the user's responsibility to reenter all orders that have been cancelled by COD.

Automated Port Closure

CME Globex will automatically logout and close both the primary and backup ports for any iLink or Drop Copy session on the fifth invalid Logon (tag 35=A) attempt in 60 seconds. Logon messages may be invalid due to:

  • Incorrect sequence number
  • Invalid password
  • Invalid heartbeat interval
  • Malformed message
  • Required tag missing or sent with invalid value
  • Invalid SenderCompID (iLink tag 49)

Automated Port Closure can also be triggered by customers sending messages other than a Logon when the session has not been successfully logged in.

Messaging Controls

Extraordinary and excessive messaging rates generated by a client system can negatively impact all market participants (for example, by creating performance latencies). CME Globex Messaging Controls address this risk by:

  • supporting valid trading activity, and
  • preventing a malfunctioning trading system from impacting the markets.

Messages submitted by the client system on an iLink session are monitored by the number of messages sent over a predefined time interval. The time interval begins with the first message processed. At the end of the interval, if no violation has occurred, the message count and interval reset pending the next message processed.

If an iLink session exceeds one or more of the thresholds, subsequent messages are rejected via a Session Level Reject (tag 35-MsgType=3) message until the messages per second (MPS) rate falls below the threshold. Exceeding a larger predefined threshold will result in a logout of the offending iLink session.

Messaging Thresholds for BrokerTec Markets

Message TypeReject ThresholdLogout ThresholdInterval

Cancel Request (tag 35-MsgType=F)

Order Mass Action Request (tag 35=CA)

1000MPS1500MPSThree seconds
All other application messages500MPS750MPSThree seconds
Mass Quote and Quote Cancel messages350MPS750MPSThree seconds
Administrative messages100MPS200MPSThree seconds
Drop Copy messages100MPS200MPSThree seconds

More information on CME Globex Messaging Controls is available in the Client Systems Wiki.

Price Banding

Price Banding automatically monitors new orders and order modifies to help prevent erroneous or unintended trades, using a price reasonability calculation.

A Price Band Variation (PBV) is a static value that varies by product. It is symmetrically applied to orders on both sides of the market to determine the Price Band Variation Range (PBVR). With each price change, the PBVR is recalculated and the new range is applied. The CME Globex platform rejects all bids and offers outside the PBVR.

Only US Treasury Active outright instruments use Price Banding.

More information on Price Banding is available in the Client System Wiki here and here.

Price Limits

Price Limits are the maximum price range permitted for an instrument during a single trading session. Trading limits are set by CME Group for all BrokerTec markets on CME Globex. The Daily Limit Adjustment (DLA) program calculates and applies new high and low price limits during a trading session.

More information on Price Limits is available in the Client System Wiki.

In-Flight Mitigation

In-flight mitigation (IFM) is an optional feature on CME Globex that allows client systems submitting cancel/replace messages to prevent overfilling in the event that the original order is filled while the cancel/replace message is "in-flight" during processing.

More information on IFM is available in the Client Systems Wiki.

Order Size

CME Globex enforces minimum and maximum order sizes for all BrokerTec instruments. The minimum and maximum order sizes for each instrument is available in the CME Reference Data API (RD API). Orders that exceed the maximum size, or are smaller than the minimum size, will be rejected. Some BrokerTec instruments also support a mid-trading-session change to minimum or maximum order size, which is also detailed in the RD API.

More information on using CME Reference Data API for product and instrument information is available in the Client Systems Wiki.

Duplicate Order Prevention

The Securities Exchange Act Rule 15c3­5 – Risk Management Controls for Brokers or Dealers with Market Access requires that financial risk management controls and supervisory procedures be reasonably designed to systematically limit the financial exposure of the broker­ dealer that could arise as a result of market access. The iLink 3 duplicate order check is designed to address this risk by:

  • Supporting valid trading activity, and
  • Preventing the entry of erroneous orders by rejecting orders that that indicate duplicative orders over a short period of time.

Only BrokerTec US Markets use the Duplicate Order Prevention functionality.

Market and Instrument States

The following Security Status messages (tag 35-MsgType=f) will be supported on BrokerTec on CME Globex. More information regarding market and instrument states can be found here.  

Market

Security Status Type

US Actives

Ready to trade (start of session)

Close

Trading Halt

Not available for trading

EGBs

Ready to trade (start of session)

Close

Trading Halt

Not available for trading

US Repo

Ready to trade (start of session)

Close

Trading Halt

Private Workup

Public Workup

Not available for trading

EU Repo

Ready to trade (start of session)

Close

Trading Halt

Not available for trading

Self-Match Prevention

BrokerTec markets on CME Globex support four different Self-Match Prevention (SMP) variants:

ProductSelf-Match Prevention Variant
US Treasury ActivesClassic SMP
EGBMandatory GFID with SMP Instructions
US RepoMandatory GFID with Locked Markets
EU RepoMandatory GFID with Cancel Resting

Classic SMP

US Treasury markets offer the classic Self-Match Prevention feature, including tag 2362-SelfMatchPreventionID and tag 8000-SelfMatchPreventionInstruction. With Self-Match Prevention Instruction, clients can choose if, in a self-match, the resting or the aggressing order should be cancelled. If no instruction is provided, the resting order is cancelled.

Clients can configure as many Self-Match Prevention IDs as desired for their business structure.

For full details, please review the Client System Wiki topic.

Mandatory GFID with SMP Instructions

EGB markets prohibit orders from the same GFID from trading against each other. In the event that two orders from the same GFID would match, the Self-Match Prevention Instruction on the aggressing order is triggered. If the aggressing order does not include an Self-Match Prevention Instruction, the resting order will be cancelled and the match event will proceed. More information on tag 8000-SelfMatchPreventionInstruction is available here.

Only tag 8000-SelfMatchPreventionInstruction is supported in EGB markets.

Mandatory GFID with Locked Markets

US Repo markets prohibit orders from the same GFID from trading against each other. In the event that two orders from the same GFID would match, the trade is prevented and both orders will rest on the book. The market data will reflect a "locked" market, where the bid and ask top of book are at the same price level.

Neither tag 2362-SelfMatchPreventionID nor tag 8000-SelfMatchPreventionInstruction are supported in US Repo Markets.

Mandatory GFID with Delete Resting

EU Repo markets prohibit orders from the same GFID from trading against each other. In the event that two orders from the same GFID would match, the resting order will be cancelled.

Neither tag 2362-SelfMatchPreventionID nor tag 8000-SelfMatchPreventionInstruction are supported in EU Repo Markets.

Unexecuted Order to Transaction Ratio

BrokerTec calculates the ratio of unexecuted orders to transaction for each of its participants at the end of every trading session in both (i) volume terms and (ii) number terms:

Volume terms: (Total volume of orders/Total volume of transactions) - 1

Number terms: (Total number of orders/Total number of transactions) - 1

Unexecuted orders to transaction ratios are monitored against the maximum thresholds set out in the below table, which have been determined taking into account the nature and liquidity of instruments on the BrokerTec and normal trading patterns.

Product

Maximum ratio in terms of numbers

Maximum ratio in terms of volume

EGB Cash

3,500,000

3,400,000

Repo GC

900

8,000

Repo Specials

900

8,000

BSB

900

8,000

GC BSB

900

8,000

These thresholds are subject to ongoing review and calibration. Participants will be notified via the appropriate channels of any changes to these thresholds.


  • No labels