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In Q1 2019, CME Group will launch Consolidated iLink Fill Messages on CME Globex, which streamlines iLink Execution Report-Fill messaging.

Currently, when an aggressor order matches with multiple resting orders, CME Globex sends Execution Reports to the aggressor for each individual resting order. With this launch, CME Globex will consolidate Fill Execution Reports to reduce the number of iLink Execution Report - Fill messages.

Resting order fills can also be consolidated in non-FIFO markets and when Display Quantity orders are used.

Consolidated iLink fill messages provide:

  • reduced order entry message processing
  • improved CME Globex performance

Client system impacts of consolidated iLink fill messages are:

  • reduced number of order entry Execution Report - Fill messages
  • change to message publishing sequence in certain match scenarios

There will be no change to order matching priority.

  • new repeating group for fill reason

Please review the FAQ page for additional information on Consolidated iLink Fill Messages.

Contents

Revision History

DateDescription
October 15 2018Added video overview
October 11 2018Added Message Identifier – Tag 17-ExecID section.
September 27 2018Initial publication

Key Events and Dates

GroupMarket Segment IDMarket Segment DescriptionNew Release LaunchProduction Launch

1

50

68

CME Eurodollar Options

CBOT and CME Equity Futures excluding E-mini S&P

Monday, October 22, 2018

Sunday, February 3, 2019

GroupMarket Segment IDMarket Segment DescriptionNew Release LaunchProduction Launch

2

54

64

72

CBOT and CME Equity Options

CME E-mini S&P 500 Futures

CBOT Commodity Futures

Monday, October 29, 2018

Sunday, February 24, 2019

GroupMarket Segment IDMarket Segment DescriptionNew Release LaunchProduction Launch

3

52

60

70

82

88

CME Globex FX Futures and Options II

CBOT and CME Commodity Options

CME Commodity Futures

CME Eurodollar Futures

CME Globex FX Futures and Options

Monday, November 19, 2018

Sunday, March 3, 2019

GroupMarket Segment IDMarket Segment DescriptionNew Release LaunchProduction Launch

4

56

58

76

78

80

84

NYMEX and COMEX Options

CBOT Treasury Options

NYMEX and COMEX Metals and Alternative Market Futures

NYMEX Non-Crude Energy Futures

NYMEX Crude Energy Futures

CBOT Treasury Futures

Monday, January 14, 2019

Sunday, March 10, 2019

574BMD Futures and OptionsAvailableSunday, May 19 (trade date Tuesday, May 21)
674KRX FuturesAvailableSunday, June 2 (trade date Monday, June 3)

Testing and Certification

Certification in Autocert+ is not required for Consolidated iLink Fill Messages.

Product Availability

All CME Group products will support Consolidated iLink Fill Messages, except the following products:

Product

MDP3.0 Security Definition message (tag 35-MsgType=d):

tag 762- SecuritySubType

CBOT Treasury Invoice SwapsIN
Invoice Swap Calendar SpreadSC
Invoice Swap Switch SpreadSW

Video Overview

Watch this video for an overview of current state versus future state of iLink Execution Report - Fill messaging behavior.

Consolidated iLink Fill Messages Video

iLink Fill Message Behavior Change

This section describes the functional impacts clients must be aware of in this release.

Consolidated iLink Fill Parameters

iLink fill reports will be consolidated when an aggressing order matches with multiple resting orders at the same price level and will be sent:

  • per aggressor order
  • per trade price
  • per liquidity source

Liquidity Source

A liquidity source is the order or orders that provide the matching quantity to the aggressing order.

  • Multiple customer orders at the same price level are considered a single liquidity source.
  • An implied order may have multiple liquidity sources.

Example

In this example, the total GEZ9 bid size is 1500, 1000 of which is customer order resting quantity. The other 500 lots are implied from two other liqudity sources.

The liquidity sources are:

  1. GEZ9 resting, 1000 lots
  2. GEZ9-GEH0 and GEH0, 200 lots
  3. GEZ9-GEM0 and GEM0, 300 lots

consolidated-fills-liquidity-source-2

Aggressor Order

These examples depict current and future state iLink Execution Report - Fill messaging.

Examples 1 and 2 use the following order book scenario:

consolidated-fills-current-vs-future-state-1

Example 1: Current State - Non-Consolidated ModelExample 2: Future State - Consolidated Model

Currently, when the aggressor order matches with the resting orders in the order book, each counterparty receives Execution Report - Fill messages as follows:

Trader X

  • Fill Report 10 @ 1.0
  • Fill Report 10 @ 1.0
  • Fill Report 20 @ 1.0
  • Fill Report 50 @ 2.0
  • Fill Report 10 @ 2.0

Trader A

  • Fill Report 10 @ 1.0
  • Fill Report 50 @ 2.0

Trader B

  • Fill Report 10 @ 1.0
  • Fill Report 10 @ 2.0

Trader C

  • Fill Report 20 @ 1.0

When the aggressor order matches with the resting orders in the order book, each counterparty receives Execution Report - Fill messages as follows:

Trader X

  • Fill Report 40 @ 1.0
  • Fill Report 60 @ 2.0

Trader A

  • Fill Report 10 @ 1.0
  • Fill Report 50 @ 2.0

Trader B

  • Fill Report 10 @ 1.0
  • Fill Report 10 @ 2.0

Trader C

  • Fill Report 20 @ 1.0

For stop orders, each triggered stop order will be treated as a new aggressor and the order fills will be consolidated based on trade price and liquidity source.

Resting Order

This section describes the impacts to resting order behaviors when matched with an aggressing order.

FIFO vs Non-FIFO

  • For all order types other than Display Quantity, there will be no change in message structure or sequence in reporting trades for resting orders filled in First-In First-Out (FIFO) markets.

  • For all order types, a single Fill Execution Report will be sent with the trade quantity aggregated from all match algorithm steps for resting orders filled in non-FIFO markets.
Resting order fills in non-FIFO markets will be consolidated per aggressor order, trade price and liquidity source.

In the following example, these steps are used to match trades:

  • TOP - 100%
  • Pro-Rata with a minimum allocation
  • FIFO for any residual quantity

consolidated-fills-resting-orders

When the Trader X aggressor order to Buy 250 @ 9710 arrives at the order book:

  • 1st Step - TOP

    • Trader A (TOP Order) = 200

    2nd Step - Pro rata

    • Trader C (50/85 x 50) = 29
    • Trader B (25/85 x 50) = 14
    • Trader D (10/85 x 50) = 5

    3rd Step - FIFO

    The 2-lot is assigned to the order with the highest priority, which is Trader B.

    • Trader B = 2
Current State - Non-Consolidated ModelFuture State - Consolidated Model

Currently, when the aggressor order matches with the resting orders in the order book, each counterparty receives Execution Report - Fill messages as follows:

Trader X

  • Fill Report 200 @ 9710
  • Fill Report 14 @ 9710
  • Fill Report 29 @ 9710
  • Fill Report 5 @ 9710
  • Fill Report 2 @ 9710

Trader A

  • Fill Report 200 @ 9710

Trader B

  • Fill Report 14 @ 9710
  • Fill Report 2 @ 9710

Trader C

  • Fill Report  29 @ 9710

Trader D

  • Fill Report 5 @ 9710

When the aggressor order matches with the resting orders in the order book, each counterparty receives Execution Report - Fill messages as follows:

Trader X

  • Fill Report 250 @ 9710 (Aggressor)

Trader A

  • Fill Report 200 @ 9710 (TOP)

Trader B

  • Fill Report 16 @ 9710 (Pro-rata + FIFO)

Trader C

  • Fill Report  29@ 9710 (Pro-rata)

Trader D

  • Fill Report 5 @ 9710 (Pro-rata)

Display Quantity Order

With this release, in any matching scenario involving Display Quantity orders, the Execution Report - Fill messages for the Display Quantity order will be consolidated and sent after the non-display quantity order fills resulting from the match.

Currently, Fill reports for Display Quantity orders are sent for each refresh and are interleaved with Fill Reports from regular orders.

Display Quantity resting order fills will be consolidated per aggressor order, trade price and liquidity source.

There is no change to display quantity order matching priority, only to the iLink Execution Report - Fill message publishing sequence.
Example: Hidden Quantity Filled

An incoming aggressor order matches with 2 resting orders, including a Display Quantity order and a regular order in the order book.

consolidated-fills-display-quantity-ii

When the aggressor order matches with the resting orders in the order book, each counterparty receives Execution Report - Fill messages as follows:

Trader X

  • 1 Fill Report  100 @ 1.0 (Instead of 10 Fill Reports 10 @ 1.0)

Trader B

  • 1 Fill Report  10 @ 1.0

Trader A (Display Quantity Order)

  • 1 Fill Report  90 @ 1.0 (Instead of 9 Fill Reports 10 @ 1.0)

    • Display Quantity Order gets the fill report after regular order fills regardless of their display quantity refresh status
Example: Aggressor Quantity = price level displayed quantity

An incoming aggressor order matches with multiple resting orders (aggressor quantity = price level total displayed quantity, excluding any hidden quantity).

Given the following order book:

consolidated-fills-display-quantity-1

Current State

Future State

iLink fills are sent in the following order:

Trader A - 1 @ 1.0
Trader B - 1 @ 1.0
Trader A - 1 @1.0
Trader C - 1 @ 1.0
Trader A - 5 @ 1.0
Trader D - 5 @ 1.0

iLink fills will be sent in the following order:

Trader A - 7 @ 1.0 (Aggressor)
Trader C - 1 @ 1.0
Trader D - 5 @ 1.0
Trader B - 1 @ 1.0

Example: Aggressor total quantity = price level total quantity

An incoming aggressor order matches with multiple resting orders (aggressor total quantity = price level total book quantity,  including any hidden quantity).

Given the following order book:

consolidated-fills-display-quantity-2

Current StateFuture State

iLink fills are sent in the following order:

Trader A - 2 @ 1.0
Trader B - 2 @ 1.0
Trader A - 1 @ 1.0
Trader C - 1 @ 1.0
Trader A - 5 @ 1.0
Trader D - 5 @ 1.0

iLink fills will be sent in the following order:

Trader A - 8 @ 1.0 (Aggressor)
Trader C - 1 @ 1.0
Trader D - 5 @ 1.0
Trader B - 2 @ 1.0

Example: Display Quantity Refresh

An incoming aggressor order matches with 2 Display Quantity resting orders.

Given the following order book:

consolidated-fills-display-quantity-3

iLink fills will be sent in the following order:

Current StateFuture State

Trader A - 2 @ 1.0

Trader B - 2 @ 1.0

Trader A - 3 @ 1.0

Trader C - 3 @ 1.0

Trader A - 7 @ 1.0

Trader D - 7 @ 1.0

Trader A - 5 @ 1.0

Trader E – 5 @ 1.0 

Trader A - 2 @ 1.0

Trader B - 2 @ 1.0

Trader A - 1 @ 1.0

Trader E – 1 @ 1.0 

Trader A - 20 @ 1.0

Trader C - 3 @ 1.0

Trader D - 7 @ 1.0

Trader B - 4 @ 1.0

Trader E - 6 @ 1.0 

Opening Trade

Currently, for the opening trade, BUY and SELL Execution Report - Fill messages are sent as the orders are filled and are distributed into equal quantities by counterparty.

With this release, for the opening trade, BUY and SELL Execution Report - Fill messages will be sent for each order in alternating sequence (i.e., BUY/SELL, BUY/SELL, etc.).

Example

Beginning with the following order book:

consolidated-fills-opening-trade

With an Indicative Opening Price (IOP) of 100, Bid 1, Bid 2, Ask 1 and Ask 2 are completely filled, Ask 3 is partially filled for qty 12

Current State - Non-Consolidated ModelFuture State - Consolidated Model
  • Bid1 Fill 5@100
  • Ask1 Fill 5@100
  • Bid1 Fill 3@100
  • Ask2 Fill 3@100
  • Bid2 Fill 3@100
  • Ask2 Fill 3@100
  • Bid2 Fill 12@100
  • Ask3 Fill 12@100
  • Bid1 Fill 8@100
  • Ask1 Fill 5@100
  • Bid2 Fill 15@100
  • Ask2 Fill 6@100
  • Ask3 Fill 12@100

RFC Order

Currently, if the RFC order matches with other resting orders prior to the other side of the cross order, the aggressor fills are not consolidated.

With this release, the aggressor fills matched with other resting orders are consolidated per trade price and liquidity source.  The aggressor fills matched with the cross orders are not aggregated.

Beginning with the following order book:

  consolidated-fills-request-for-cross-rfc

Comparison of Consolidated iLink Fill Messages and Non-Consolidated iLink Fill Messages Processing

Scenario

Current (Non-Consolidated)

Consolidated

Aggressing OrderOne fill per counterparty order's trade quantityOne fill per trade price and per liquidity source regardless of how many counter-parties traded with
Resting Order (FIFO Market)One fill for each orderFor all order types other than Display Quantity, no change from today.
Resting Order (Non-FIFO Market)One fill per match algorithm step (TOP, LMM, FIFO%, Pro-Rata, Leveling, Residual FIFO)One fill with trade quantity aggregated from all match algorithm steps
Display Quantity (DQ) OrderOne fill for each refreshOne fill with trade quantity aggregated from all refreshes

Opening Trade

Bids and Asks are distributed into equal quantities by counterparty

All bids and asks receive one fill for each order in alternating sequence (i.e., BUY/SELL, BUY/SELL, etc.)

iLink Fill Message Sequence Scenarios

This table gives the iLink Execution Report - Fill message publishing sequence for the matching scenarios that may occur on CME Globex.

Outright TradesSpread Outright TradesImplied Trades (Aggressor Outright Contract)Implied Trades (Aggressor Spread Contract)Resting Orders
  • AGGRESSOR order fills always published first
  • RESTING order fills published based on match algorithm allocation steps
  • AGGRESSOR spread order fills and their legs always published first
  • RESTING spread order fills and their legs published based on match algorithm allocation steps


  • AGGRESSOR order fills always published first per liquidity source
  • RESTING order fills on other outright contracts published next
  • RESTING spread order fills and their leg fills published last


  • AGGRESSOR spread order fills and their legs always published first per liquidity source
  • RESTING order fills on other outright contracts published next
  • RESTING order fills on other spread contracts and their leg fills published last

  • For Non-Display Quantity order fills,
    • FIFO → Sequenced by time priority

    • TOP → TOP order always published first
    • LMM → Sequenced by time priority
    • Pro-Rata → Sequenced by size
  • Display Quantity orders fills always published last after the non-display quantity order fills

The MDP 3.0 - Trade Summary message will reflect the iLink fill message publishing sequence.

Example: Aggressor Matches with Implied Orders

Given the markets below, with an aggressing Bid for 180 @9805 in GEH9:

  • The aggressing order matches with multiple orders at price level 9805.
  • The liquidity sources are:
    • customer orders A and B
    • implied order i1
    • implied order i2

consolidated-fills-liquidity-sources

Current State - Non-Consolidated Model

Future State - Consolidated Model

Currently, when the aggressor order matches with the resting orders in the order book, each counterparty receives Execution Report - Fill messages as follows:

Trader X

  • Fill Report 60 @ 9805
  • Fill Report 40 @ 9805
  • Fill Report 15 @ 9805
  • Fill Report 35 @ 9805
  • Fill Report 10 @ 9805
  • Fill Report 20 @ 9805

Trader A

  • Fill Report 60 @ 9805

Trader B

  • Fill Report40 @ 9805

Trader C

  • Fill Report 15@ 3.0

Fill Report 15 @ 9805

Fill Report 15 @ 9802

  • Fill Report 35 @ 3.0

Fill Report 35 @ 9805

Fill Report 35 @ 9802

Trader E

  • Fill Report 15 @ 9802

Trader F

  • Fill Report 35 @ 9802

Trader G

  • Fill Report 10 @ 2.0
  • Fill Report 10 @ 9805
  • Fill Report 10 @ 9803

Trader H

  • Fill Report 20 @ 2.0
  • Fill Report 20 @ 9805
  • Fill Report 20 @ 9803

Trader J

  • Fill Report 10 @ 9803
  • Fill Report 20 @ 9803

When the aggressor order matches with the resting orders in the order book, each counterparty receives Execution Report - Fill messages as follows:

Trader X

  • Fill Report 100 @ 9805
  • Fill Report 50 @ 9805
  • Fill Report 30 @ 9805

 

 

Trader A

  • Fill Report 60 @ 9805

Trader B

  • Fill Report40 @ 9805

Trader C

  • Fill Report 50 @ 3.0
  • Fill Report 50 @ 9805
  • Fill Report 50 @ 9802

Trader E

  • Fill Report 15 @ 9802

Trader F

  • Fill Report 35 @ 9802

Trader G

  • Fill Report 10 @ 2.0
  • Fill Report 10 @ 9805
  • Fill Report 10 @ 9803

Trader H

  • Fill Report 20 @ 2.0
  • Fill Report 20 @ 9805
  • Fill Report 20 @ 9803

Trader J

  • Fill Report 30 @ 9803

An off-tick implied is considered a different liquidity source from an on-tick implied order that is from the same spread + outright combination. For example:

SIH9 and SIM9 with a tick of 5 and SIH9-SIM9 spread with a tick of 1

Buy SIM9@10 + Buy spread@2 generate an implied bid in SIH9@12 which is rounded down to 10
Buy SIM9@10 + Buy spread@3 generate an implied bid in SIH9@13 which is rounded down to 10

Although the same spread and leg combination is used to generate multiple implieds at the same price, these are not consolidated and considered as a different liquidity source.

iLink Messaging Impacts

This section describes the iLink messaging changes required to support Consolidated iLink Fill Messages.

Fill Reason

A new repeating group will be  returned on the following iLink messages to communicate the Fill reason and quantity for each allocation

  • Execution Report: Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)
  • Execution Report: Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H)
  • Execution Report: Trade Correction (tag 35-MsgType=8, tag 39-OrdStatus=G)

Tag

FIX Name

Req

Format

Valid Values

Description

1362

NoFills

Y

NumInGroup(1)

--

Specifies the number of fill reasons or allocations included in this Execution Report

Maximum number of fill reasons is 6

Note: The number of fill reason is always '1' for spread leg fills

→1363

FillExecID

Y

String(2)

--

Used as an identifier for each fill reason or allocation reported in single Execution Report

Required if tag 1362-NoFills > 0

Append tag 17-ExecID with tag 1363-FillExecID to derive the unique identifier for each fill reason

→1364

FillPx

Y

Price(20)

--

Price of this fill reason or allocation

Required if tag 1362-NoFills > 0

Same as tag 31-LastPx

→1365

FillQty

Y

Qty(9)

--

Quantity bought/sold for this fill reason or allocation

Required if tag 1362-NoFills > 0

→1622

FillYieldType

Y

String(2)

0 – Future Hedge

1 – Pro Rata

2 – LMM

3 – TOP

4 – FIFO

5 – Cross BMG

8 – Covering

9 – Cross BPM

10 – Leveling

11 – Aggressor

14 – Leg

16 – Opening

18 – Implied Opening

19 – FIFO Percent

Fill reason

Sample iLink Fill Reason repeating group:

The fill reason repeating group is sent in the Execution Report - Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) message upon fill or partial fill of a client order.

Given the following order book:

consolidated-fills-reason

iLink fills will be sent in the following order:

Current State - Non-Consolidated ModelFuture State - Consolidated Model

Trader A - 15 @ 1.0
Trader D - 15 @ 1.0
Trader A - 7 @ 1.0
Trader B - 7 @ 1.0  
Trader A - 7 @ 1.0
Trader C - 7 @ 1.0  
Trader A - 1 @ 1.0
Trader B - 1 @ 1.0  

  • Trader A - 30 @ 1.0 (Aggressor)
    tag 1362-NoFills=1 |
    tag 1363-FillExecID=Y1 I tag 1364-FillPx=1.0 I tag 1365-FillQty=30 I tag 1622-FillYieldType=11
  • Trader D - 15 @ 1.0 (Pro-Rata)
    tag 1362-NoFills=1 |
    tag 1363-FillExecID=Y2 I tag 1364-FillPx=1.0 I tag 1365-FillQty=15 I tag 1622-FillYieldType=1
  • Trader B - 8 @ 1.0 (Pro-Rata + FIFO)
    tag 1362-NoFills=2 |
    tag 1363-FillExecID=Y3 I tag 1364-FillPx=1.0 I tag 1365-FillQty=7 I tag 1622-FillYieldType=1 |
    tag 1363-FillExecID=Y4 I tag 1364-FillPx=1.0 I tag 1365-FillQty=1 I tag 1622-FillYieldType=4
  • Trader C - 7 @ 1.0 (Pro-Rata)
    tag 1362-NoFills=1 |
    tag 1363-FillExecID=Y5 I tag 1364-FillPx=1.0 I tag 1365-FillQty=7 I tag 1622-FillYieldType=1

Message Identifier – Tag 17-ExecID

There are no changes to  tag 17 –ExecID in the iLink Execution Report – Fill Notice.

For example, where tag 17=5081:M:45601TN0000001

  1. Unique random identifier (i.e. 5081:M:45601)
  2. 'TN' = delimiter
  3. Trade number - the trade number will be an integer (i.e.0000001)

Exception

In a scenario where the same iLink session has multiple working orders that match with a single aggressor, it is possible to receive the same Trade Number in the Execution Report - Fill messages for those orders.

Tag 17-ExecID Example: Multiple Resting Orders from Single Client match with Single Aggressor

This example illustrates the above scenario.

Tag-17-consolidated-fills

Current State - Non-Consolidated Model

Future State - Consolidated Model

Trader A

  • Fill Report 10 @ 1.0 → TN0000001
  • Fill Report 10 @ 1.0 TN0000002
  • Fill Report 20 @ 1.0 TN0000003

Trader B

  • Fill Report 10 @ 1.0 TN0000001
  • Fill Report 20 @ 1.0 TN0000003

Trader C

  • Fill Report 10 @ 1.0 TN0000002

Trader A

  • Fill Report 40 @ 1.0  TN0000001

Trader B

  • Fill Report 10 @ 1.0 → TN0000001
  • Fill Report 20 @ 1.0 → TN0000001

Trader C

  • Fill Report 10 @ 1.0 TN0000001


Mass Quote Protections (MQP)

Currently, for Mass Quote Protections, the Execution (Y) protection increments each time a quote’s bid or ask trades; each partial fill of a quote increments towards Execution Protection (Y).

With this release, Execution (Y) protection will tally only once per aggressor order.

  • For a resting quote - Execution (Y) is incremented by one for trades with a single aggressor, regardless of partial fills
  • For an aggressing quote - Execution (Y) is incremented by one for the entire event that this quote traded as aggressor, regardless of partial fills
Customers must evaluate current usage of MQP - Execution (Y) and adjust their thresholds after the Consolidated Fill Reports Launch.

Drop Copy

Drop Copy messages will reflect the iLink fill consolidation.

MDP 3.0

The MDP 3.0 - Trade Summary message will reflect the iLink fill message publishing sequence.

Contact Information

Certification Support for Electronic Trading (CSET)

Phone: 1 312 930 2322 (US)
Phone: 44 20 3379 3803 (London)
Phone: 65 6593 5593 (Asia)
Email: cset@cmegroup.com

Global Account Management (GAM)

Email: GAM@cmegroup.com

CME Global Account Management – North America

20 S. Wacker Dr.                    
Chicago, IL 60606
Phone: 1 312 634 8700
Fax: 1 312 604 9451

CME Global Account Management – Europe

One New Change, 4th Floor EC4M 9AF London UK
Phone: 44 203 379 3754
Fax: 44 203 379 3888

CME Global Account Management – Asia

One Raffles Quay
#27-10 South Tower
Singapore 048583
Phone: 65 6593 5555
Fax: 65 6550 9898

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