Crossing functionality allows CME Group customers to submit cross orders that are the result of pre-execution communications pursuant to Rule 539.
Customers can call the CME Global Command Center (GCC) to obtain the Broker Match Guarantee (BMG) percentage for a given product.
Please see the Market Regulation Advisory Notice for a complete description of each exchange-supported crossing protocol.
The list of eligible products and cross types is available here.
CME Globex currently supports four types of Cross orders: Committed Cross (C-Cross), Globex Cross (G-Cross), Agency Cross (A-Cross), RFQ + RFC Cross (R-Cross), which have the following attributes:
|C-Cross (Committed Cross)||G-Cross (Globex Cross)||A-Cross (Agency Cross)||R-Cross (RFQ + RFC Cross)|
|Customer sends RFQ||No||No||Yes||Yes|
|Customer sends RFC||Yes||No||No|
Note: To initiate the R-Cross Sequence, the client system submits an iLink Quote Request (tag 35-MsgType=R) message with tag 54-Side=8 (cross) and tag 9943-QuoteType=1 (Tradable).
The client system then submits the Request for Cross (tag 35-MsgType=s) message.
Upon receipt of the Request for Cross (tag 35-MsgType=s) message, CME Globex will automatically publish a market data RFQ (tag 35-MsgType=R) message with tag 54-Side equal to '8' (Cross).
|Cross Market State|
Note: The five (5) second period begins when the market data Pre-Cross state (tag 35-MsgType=f, tag-326-SecurityTradingStatus=24) is disseminated.
Note: The five (5) second period begins when the first message is entered.
Note: The order entry process and timing for A-Cross is slightly different from the other protocols, and should be followed in accordance with the Market Regulation Advisory Notice link above for Pre-Execution Communications Rule 539.