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

Effective Q4 2020, subject to applicable regulatory approvalsto 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 RepoEU 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.
US Treasury Off the Run securities are offered by ICAP Securities USA LLC.

Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of contract value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade.
All references to options refer to options on futures.
CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Chicago Mercantile Exchange, Globex, iLink, E-mini, CME EOS Trader, Galax-C, FirmSoft, CME DataSuite, and CME DataMine are trademarks of Chicago Mercantile Exchange Inc. New York Mercantile Exchange, NYMEX, miNY, and ClearPort are registered trademarks of the New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc.
FIX™ and FAST™ are trademarks of FIX Protocol Limited. FIX/FASTsm is a service mark of FIX Protocol Limited.
Dow Jonessm, Dow Jones AIG Commodity Indexsm, The Dowsm, Dow Jones Industrial Averagesm, and DJIAsm are service marks of Dow Jones & Company, Inc. and American International Group, Inc. (AIG) and have been licensed for use for certain purposes by the Board of Trade of the City of Chicago, Inc (CBOT®). CBOT futures and options on futures contracts based on the Dow Jones Industrial Averagesm are not sponsored, endorsed, sold or promoted by Dow Jonessm, and Dow Jonessm makes no representation regarding the advisability of trading such product(s).
BM&FBOVESPA™ is a trademark of BM&FBOVESPA, KRX™ is a trademark of Korea Exchange, DME™ is a trademark of Dubai Mercantile Exchange, BMD™ is a trademark of Bursa Malaysia, BMV™ is a trademark of Bolsa Mexicana De Valores.
Standard & Poor’s, S&P®, S&P 500®, S&P-GSCI™, S&P-GSCI Spot Index™, S&P-GSCI Excess Return Index™, S&P-GSCI Total Return Index™, S&P-GSCI Non-Energy Excess Return Index™, S&P-GSCI Light Energy Excess Return Index™, S&P-GSCI Livestock Excess Return Index™, S&P-GSCI Industrial Metals Excess Return Index™, S&P-GSCI Energy Excess Return Index™, S&P-GSCI WTI Oil Excess Return Index™, S&P-GSCI Natural Gas Excess Return Index™, S&P-GSCI Grains Excess Return Index™, S&P-GSCI Agricultural Excess Return Index™, Standard & Poor’s®, Standard & Poor’s 500™, 500™, S&P 100®, Standard & Poor’s 100™, S&P MidCap 400™ Index, S&P SmallCap 600™ Index, S&P 500/CITIGROUP Growth Index™, S&P 500/CITIGROUP Value Index™, Standard & Poor’s 500/CITIGROUP Value Index™, S&P Energy Stock Price Index™, Standard & Poor’s Energy Stock Price Index™, Standard & Poor’s Financial Stock Price Index™, S&P High Technology Stock Price Index™, Standard & Poor’s High Technology Stock Price Index™, S&P Public Utility Stock Price Index™, Standard & Poor’s Public Utility Stock Price Index™, S&P Consumer Staple Stock Price Index™, Standard & Poor’s Consumer Staple Stock Price Index™, S&P Transportation Stock Index™, Standard & Poor’s Transportation Stock Price Index™, S&P Euro Index™, S&P Euro Plus Index™, S&P 500 GICS Sector Indices™, SPDR®, Standard & Poor’s Depositary Receipts™, S&P Asia™, Bxy Trakrs™ are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Chicago Mercantile Exchange Inc.
Eris Exchange and the Eris Logo are registered trademarks of Eris Exchange, LLC. Eris SwapBook, Eris BlockBox, and Eris PAI are trademarks of Eris Exchange, LLC.
All other trademarks are the property of their respective owners.
The information within this site has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience.
All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT, and NYMEX rules. Current rules should be consulted in all cases concerning contract specifications.
For details of how we process personal data, please see our updated privacy policy.
Copyright © 2019 CME Group Inc. All rights reserved.

  • No labels