Effective Q4 2020, subject to applicable regulatory approvals, to support the integration of BrokerTec markets with CME Group technology, transactions executed on CME Globex, BrokerTec Direct, and registered external deals will be available for consumption on CME STP in both FIX and FIXML formats.

CME STP FIX will support a variety of fixed income transactions, including cash transactions on bonds as well as repurchase transactions (repos) on bonds. These include:

CME Globex-matched:
- US Treasury (UST) Actives
- US Repos
- EU Repos
- European Government Bonds (EGBs)

Customers may entitle vendors to access their data, which will be controlled through entitlement and account configuration.

CME STP FIX will continue to support existing CME Group products and CME Bilateral and Cleared Elsewhere products. See current specifications.

CME STP supports non-implied Curve Ratio (RV) Spreads for US Treasury Actives.

Trade cancels and adjusts will be addressed in future iterations of this documentation.

Contents

Key Events and Dates

For key events and dates please see the BrokerTec Integration time table.

Onboarding

Contact CME Group to get started with CME STP FIX.

Testing and Certification

Certification using Autocert+ is required for all STP FIX users.

Client System Impacts and Supporting Information

Access to Trade Capture and Collateral Reports

Cash trades will be available from CME STP for 31 calendar days, based on the trade date. Repo trades and collateral allocations will be available from CME STP for 31 calendar days or the term of trade plus 7 calendar days, whichever is greater.

If a trade is corrected during this cycle, that trade will reflect the most recent information with a new transaction date and time.

Subscriptions

BrokerTec exchanges, security types, and input sources will be supported on the subscription.

The Trade Capture Report Request (AD) message will be used to control the feed of trades and collateral.

Entitlement will not be available for instrument attributes and that customers may use the existing instrument attributes for filtering or filter on the client side.

Recovery/replay by sequence number from the original FIX session in the new FIX session (as supported by INET FIX) will not be supported.

CME STP FIX supports replay by sequence number within FIX sessions. For recovery/replay following the establishment of a new FIX session, customers use the start/end timestamp to control the range of time for replay.

FIX session/sequence numbers are not maintained across the weekend, so when a customer re-connects sunday night or monday morning, the replay by sequence number for message from the previous week will not be available.

Connectivity and Session Layer

The FIX session layer must be compatible with CME STP standards. Specifically, customers will need to connect using TCP/IP over TLS (Transport Layer Security) 1.2, use CME SmartClick identifiers for authentication and establish connectivity using FIX 4.4.

The minimum supported version of Transport Layer Security (TLS) for CME STP FIX is TLS 1.2.

Password changes via the API and a User Notification (CB) message will not be supported.

BrokerTec Transactions

Identifying BrokerTec Transactions

BrokerTec transactions will be distinguishable on the API by the Security Exchange and Security Type fields. The input source will distinguish between transactions on CME Globex, BrokerTec Direct, and externally-registered deals.

General collateral (GC) repos require the post-trade allocation of specific bonds as collateral. To distinguish these collateral allocations from original trades, the API will support a new Collateral Report message.

Supporting Messages and Fields for BrokerTec Products

Collateral Allocations for General Collateral Repos

CME STP does not directly support allocating collateral for securities that support these BrokerTec General Collateral repos. This must be done through the CME GC Allocation API.

CME STP will support these allocations using the Collateral Report message.

Collateral allocation messages will be sent individually. Grouping and chaining will not be supported.

Trade and Allocation Identifiers

Existing CME Group Futures and Options trade and allocation identifiers will continue to be used.

Trade Capture Report Modifications

To harmonize between BrokerTec and CME STP the following fields and / or values will be supported:

The Commission Group block will be used for commissions
The Execution Timestamp will be included in the Report Side Block
A globally-unique identifier (GUID) will be included in the Secondary Trade ID field (TradeCaptureReport/@TrdID2) to guarantee a unique identifier across all business days and CME asset classes.

Customers can only leverage the workup ID to associate products participating in workup (non-AON US Repo) across APIs.

The Exec IDs on iLink correspond to the individual trades which occur during the workup, while the STP values correspond to the summary sent at the end of workup.

For non-workup repos (US AON, all EU) the IDs can be associated across APIs leveraging the combination of ExecID and TrdNum e.g. UST actives/EGBs).

Fields that support futures and options trading will be present on the Trade Capture Report including: Multi-Leg Reporting Type, Trade Report Status, Venue Type, Client Order ID, and Execution ID.
For AON US and EU Repos on STP, the InstrumentGUID resolves to the standard (non-AON) instrument value.

General Collateral Repo Transactions

CME STP supports General Collateral (GC) repo transactions for the US and EU markets through the CME GC Allocation API with submission of collateral allocation transactions through the CME GC Allocation API.

After a GC repo trade has been completed, the Trade Capture Report and a shell Collateral Report record will be available in near real-time in STP. The Collateral Report and Trade Capture Report will have the same Secondary Trade ID (TrdID2).

Collateral Allocations are submitted using the CME GC Allocation API. Subsequent Collateral Reports will be available in near real-time in STP, and have the same TrdID2 as the Trade Capture Report and initial Collateral Report.

Identifiers for collateral allocations on the GC Allocation API will be common with STP identifiers.

Substitutions can be made for US GC transactions by submitting a Collateral Substitution using CME GC Allocation API. Subsequent CollateralReports will be available in near real-time in STP, and have the same TrdID2 as the Trade Capture Report and initial Collateral Report.

For BTEC EU Repos the clearing organization on the repo and the bond may be different.

For STP, the clearing organization is provided on the repo trades shell Collateral Report (Party Role = 21 and instrument reference) and the GC instrument is referenced on the allocations

Collateral Processing

CME STP Cancel/Replace Messaging Behavior for BrokerTec Markets

Cancel/Amend messaging behavior has the following dependencies:

Market dependencies:

US market
EU market

Clearing model dependencies:

Offset
Cancel Model

Market Dependencies

US Repo

EU Repo

No Cancel/Replace message published on API

Top Day: Cancel Message for Repo and Cash instruments

Not Top Day: No message published via API

Clearing Model Dependencies

Offset Clearing Model

Cancel Clearing Model

EU market supports trade cancel

US market supports in-place trade cancel, allows opposite trade i.e. offset or amend

customer receives 2 messages trade cancel and amend messages

TradeCaptureReport Tag 487=1 (Cancel)
TradeCaptureReport Tag 487=2 (Replace)

Customer receives 1 message for trade cancel

TradeCaptureReport Tag 487=1 (Cancel)

Bilateral trade rejects result in two Trade Capture Report (tag 35-MsgType=AE): trade confirmation and tag 487-TradeReportTransType=0 and Reject/Reverse message tag 487-TradeReportTransType=4.

Certain transactions can be cancelled and not published on API for example if BrokerTec changes terms of the deal.

Supporting Technical Documentation

These pages contain technical information required to implement the enhancements. These include message specifications, as well as use cases, and examples of how to connect to CME STP FIX.

“The order of non-repeating group tags is subject to change however the order of repeating group tags will be fixed.”

Contact Information

For technical development support, contact Certification Support for Electronic Trading (CSET).

For production requests, please contact the Global Command Center (GCC).

For all other inquiries, please contact Global Account Management (GAM).

Disclaimer

Disclaimer
All information contained herein (“Information”) is for informational purposes only and is the intellectual property of CME Group Inc. or one of its subsidiaries (together, “CME”), including NEX Group Ltd (“NEX”) or third parties. Access to the Information by anyone other than the intended recipient is unauthorised and any disclosure, copying or redistribution is prohibited without CME’s prior written approval. In no circumstances will CME be liable for any indirect or direct loss, or consequential loss or damages including without limitation, loss of business or profits arising from the use of, any inability to use, or any inaccuracy in the Information. NEX is a private limited company registered in England and Wales under number 10013770 and certain of its affiliates are authorised and regulated by regulatory authorities. All Information contained herein is subject to change and subject to applicable regulatory approvals. NEX subsidiaries that are regulated by the UK Financial Conduct Authority ("FCA") are required to retain records of telephone conversations and other electronic communications for a period of 5 years (7 years at the request of the FCA), copies of which are available on request (which may be subject to a fee). BrokerTec Americas LLC is a registered broker-dealer with the U.S. Securities and Exchange Commission, is a member of the Financial Industry Regulatory Authority, Inc. (www.FINRA.org), and is a member of the Securities Investor Protection Corporation (www.SIPC.org). For further regulatory information please see
www.NEX.com.
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CME STP FIX Support for BrokerTec Trades