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This topic provides information on pending CME Group trading and clearing platform launches that will require client system development, including functional and messaging changes.

See the Development Launch Schedule for a roadmap of upcoming and historical CME Group technology launches and GTC/GTD order eliminations. 

Use this search bar to search within Pending Client System Impacts.

Pending Impact Platforms and Services

Pending Impacts Revision History

This list collects the Revision History for each Pending Client Systems Impact topic. Expand to view the entire history.

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    CME Reference Data API Version 2
     Expand
    DateDescription
    Friday, November 20, 2020

    "Query Samples" - Added v#/products? globexGroupCode=USBD& globexEligible=Y


    Tuesday, November 17, 2020

    "Instrument Parameters"

    Added line 29: lastTradedBefore

    Thursday, November 12, 2020

    "Product Attributes"

    42ilinkEligibleiLink Mass Quote Eligible ProductsN
    StringF&OALL
    Wednesday, November 11, 2020

    "Product Parameters"

    19ebfEligible

    Y,N

    Query for products eligible or ineligible for iLink order entry on mass quotes on CME Globex

    Query for products eligible for iLink Mass Quote order entry on CME Globex.

    May be null for some BrokerTec products

    "Product Attributes"

    42ilinkEligible

    iLink Mass Quote Eligible Products

    N
    StringALL F&O
    Monday, November 2, 2020

    Introduction:

    • Clients should start polling CME Reference Data API version 2 for the instruments after 4:30pm CST after 3:00pm CST
    Tuesday, October 20, 2020

    Added the following to Instrument Parameters

    • firstTradedAfter
    • firstTradedBefore
    • lastTradedAfter
    • lastTradedBefore

    Added the following to Query Samples

    /v2/instruments?lastTradedAfter=Tuesday, September 15, 2020 7:00:00 PM CST&lastTradedBefore=Wednesday, September 16, 2020 7:00:00 PM CST

    /v2/instruments?lastTradedAfter=1600214400000&lastTradedBefore=1600300800000

    Instrument Attributes

    • Added floatOffset
    • Updated finalSettlementDate
    finalSettlementDateFinal settlement date.YSettlement

    Date

    Format:
    "YYYY-MM-DD"

    ALL

    F&O

    Added Special Characters

    Monday, September 14, 2020

    Attributes Without Tick Information -

    • Added note above table
    • Added the following attributes:
      • priceRatio
      • baseIndexType
      • minGlobexOrdQty
      • maxGlobexOrdQty
      • minIncrementalOrder
      • minIntraGlobexOrdQty
      • maxIntraGlobexOrdQty
      • minIntraIncrementalOrder
      • minInitialOrder
      • parValue
      • maxSubstitutionCnt
      • isAONInstrument
      • relatedInstrumentGuidInt
      • firstCouponDate
    Tuesday, September 9, 2020

    Product Parameters

    • Removed govBondType
    • Added
      • globexMatchAlgo

      • gcBasketIdentifier

    Instrument Parameters

    • Added govBondType
    • Changed issuerLEI to issuerLei
    Wednesday, September 2, 2020
    • Added:
    • Product and Instrument Attribute Details - added "Spread Attributes"
    • Product Attributes - added:
      • Attributes for Daily Options on Futures, Combos, TAS, TAM, TACO and BTIC Products
      • Default Attributes - Minimum Tick, Listing Rules, Trading Schedules and Termination of Trade Default Values
      • repoYearDays
      • dirtyPriceTick
      • dirtyPriceRounding
      • contractNotionalAmount
    • Reorganized sections. Changed heading levels.
    Thursday, August 6, 2020

    New Release Endpoints:

    • /v2/Pproducts
    Wednesday, August 4, 2020"Query Parameters" - removed CLBSKT value.
    Thursday, July 16, 2020Added CME Reference Data API Government Bond Type Query Parameters page.
    Tuesday, July 7, 2020

    "Product Attributes" - Updated globexProductCode description.

    "Instrument Parameters" and "Instrument Attributes" - Added instrumentType.

    Wednesday, July 1, 2020Removed maxSubstitionCnt from "Product Attributes" table and added it to the end of the "Instrument Attributestable.
    Thursday, June 11, 2020"Query Parameters" → "Instrument Parameters" -  Removed (Under Development) from isAONInstrument description.
    Friday, May 29, 2020
    • Added new sections:
      • "Query Searches"
        • "Query Samples
      • "Query Parameters"
        • "Product Parameters"
        • "Instrument Parameters"
      • "Product and Instrument Attribute Details"
        • "Product Attribues" 
        • "Instrument Attributes"
        • "Attributes Without Tick Information"
      • "Hours of Availability"
      • "Returned Attributes"
      • "Sorted Results"
      • "Pagination and Scrolling Links"
      • "Collection Header"
      • "Errors"
      • "Searches"
    • Deleted "BrokerTec Specific Attributes"
    • "Instrument Attributes"
      • Indicated that globexFirstTradeDate is under development.
      • Added the following to lowLimit description: For a negative low limit the first character will be an alphabet A - J denoting a negative value of -1 through -10.
    Monday, May 18, 2020
    • "New Release Endpoints" and "Production Endpoints" - changed /v2/DisplayGroup to /v2/displayGroups
    • "BrokerTec Display Groups" - removed "Display Group endpoint" query parameter from displayGroups
    • "BrokerTec Specific Attributes" - changed userDefined to IsUserDefined
    Friday, May 15, 2020
    • "Requesting for Entitlement" - Added link to registration form for Production.
    • Changed relatedInstrumentGuid to relatedInstrumentGuidInt and updated description.
    Thursday, May 7, 2020Initial release
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    CME STP FIX Support for BrokerTec Trades
     Expand
    ServiceDateDescription
    STP FIX for
    BrokerTec






















    11/3/2020Simplified & added clarity to connectivity section.
    11/3/2020Added Internet IP.
    11/2/2020Added CME STP FIX and FIXML Cancel and Amend behavior 
    10/22/2020CME STP API Connectivity - removed the URL stpfixapinr.cmegroup.com.
    10/21/2020

    CME STP FIX Data Dictionary

    BrokerTec Supplement to STP Message Specification:

    10/20/2020Updated IP information for BrokerTec legacy line connectivity
    10/13/2020Updated STP FIX Data Dictionary
    10/13/2020

    Added tag 30-LastMkt for TradeCaptureReport(AE) and Collateral Report(BA)

    10/11/2020

    CME STP FIX - TradeCaptureReportRequest for BrokerTec Trades

    Added note for Tag 779-LastUpdateTime timestamp  value

    10/9/2020

    Added CME STP API Connectivity

    10/1/2020

    CME STP FIX - TradeCaptureReport - Parties for BrokerTec Trades

    tag 452 description added for value 44:

    For Brokertec, this value is iLink SenderID, also known as GUS (Global User Signature)

    CME STP FIX - TradeCaptureReport for BrokerTec Trades

    • updated description for tag1003

    The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty. 

    However it's not unique across all BTEC products i.e. Repo GC, Repo Special/GCF, and cash.

    • Replace description for tag 1040

    Globally unique across different BrokerTec products and recommended to be used to uniquely identify a trade.

    For GC Repo, this tag in TradeCaptureReport (35=AE) ties to it's CollateralReport (35=BA).

    9/30/2020

    Updated:

    CME STP FIX - CollateralReport - Parties for BrokerTec Trades

    CME STP FIX - CollateralReport for BrokerTec Trades

    CME STP FIX - TradeCaptureReport - SideRegulatoryTradeIDGrp for BrokerTec Trades

    9/30/2020Updated STP FIX Data Dictionary
    9/21/2020

    CME STP FIX - FIX Message Specifications for BrokerTec Trades

    Updated  CME STP FIX Data Dictionary

    9/8/2020

    Updated

    Service Availability – Internal Errors

    9/1/2020

    CME STP FIX - TradeCaptureReport - Parties for BrokerTec Trades

    added the following enumeration to tag 803:

    • 16 - BIC (Bank Identification Code - SWIFT managed)
    9/1/2020

    CME STP FIX - TradeCaptureReport - TrdCapRptSideGrp for BrokerTec Trades

      • Added enumeration to tag 803 - PartySubIDType
      • 16 - BIC (Bank Identification Code - SWIFT managed)

    CME STP FIX - TradeCaptureReport - TrdCapRptSideGrp for BrokerTec Trades

      • Added tag 9373-Liquidity Flag
    8/31/2020Updated use case scenarios with CME Internal Error scenarios
    8/4/2020Added note regarding timing and availability of Collateral reports and a Collateral substitution
    7/9/2020Added sample messages for Collateral Assignment, Repo General Collateral (GC) Trades and General Collateral trade’s
    6/12/2020Removed note - Trade cancels and adjusts will be addressed in future iterations of this documentation.
    3/17/2020CME STP supports non-implied Curve Ratio (RV) Spreads for US Treasury Actives.
    3/16/2020Updated key events and dates section and link directed  to the BTec portal
    2/28/2020For BTEC EU Repos the clearing organization on the Repo and the bond may be different.
    2/19/2020Added note - CME STP supports non-implied Curve Ratio (RV) Spreads for US Treasury Actives.
    2/19/2020Removed note on US treasury matched and traded through CME workstation
    1/28/2020Added logon messages Logon, Logon Ack, Logon Request and Logout Ack
  • Page:
    CME STP FIXML Support for BrokerTec Trades
     Expand
    ServiceDateDescription
    STP FIXML for
    BrokerTec
    11/3/2020Simplified & added clarity to connectivity section.
    11/3/2020Added Internet IP.
    10/23/2020Added information on x-cme-token size limit
    10/20/2020Updated IP information for BrokerTec legacy line connectivity
    10/13/2020Added tag 30-LastMkt for TradeCaptureReport(AE) and Collateral Report(BA)
    10/11/2020

    CME STP FIX - TradeCaptureReportRequest for BrokerTec Trades

    Added note for Tag 779-LastUpdateTime timestamp  value

    10/9/2020CME STP API Connectivity
    9/30/2020

    CME STP - FIXML CollateralReport for BrokerTec Trades

    reinstated 20016 MaximumCollateralCount

    9/1/2020

    CME STP - FIXML CollateralReport for BrokerTec Trades

    removed 20016 MaximumCollateralCount

    8/14/2020

    Added topic Trade Messaging Behavior for BrokerTec - Cancel/Amend/Bilateral Reject

    6/12/2020Removed note - Trade cancels and adjusts will be addressed in future iterations of this documentation
    5/22/2020Updated party block use cases
    1/29/2020

    In Subscription Parameters, removed the following:

    • IncludeUpdateIndicator (UpdInd) - Can be set to No to prevent receipt of updated records.
    1/29/2020Removed reference to TBA
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    Drop Copy Impacts - iLink 3 Binary Order Entry
     Expand
    ServiceDateDescription
    Drop Copy for iLink35/20/2020Updated key events and dates
    3/20/2020Updated key events and dates
    2/03/2020Added FIX tag 5979-RequestTime→Binary tag 7552-DelayToTime to Message Body Mapping
    10/31/2019Initial publication
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    Drop Copy Service for iLink - BrokerTec Markets
     Expand
    ServiceDateDescription
    Drop Copy for iLinkMarch 17, 2020Initial publication
    September 30, 2020Added note regarding BrokerTec Global Front End (GFE) application
  • Page:
    iLink 3 Binary Order Entry
     Expand
    ServiceDateDescription

    11/25/2020Added Note regarding tag 39012 to Terminate message layout.
    iLink311/10/2020

    iLink 3 Execution Report - Modify

    iLink 3 Order Cancel Replace Reject

    iLink 3 Order Cancel Replace Request

    for tag 9537 description: the tag 142 9537 value submitted in the original New Order will not persist for the lifetime of the order.


    10/28/2020

    iLink 3 Binary Order Entry - Business Layer

    added per-registration Note to introduction

    updated On-demand administrative information to MSGW section


    9/28/2020

    iLink 3 Binary Order Entry - Business Layer from CME Globex to Client System

    added tag 5904-DelayDuration converted to tag 7552-DelayToTime


    9/1/2020

    iLink 3 Order Cancel Replace Request

    • Updated tag 1138-DisplayQty description to:
    • The quantity to be displayed. Required for Display Quantity.
    • Note: on orders, this value specifies  the qty to be displayed; on Execution Reports this value indicates the currently displayed quantity.

    iLink 3 Binary Order Entry - BrokerTec Reject Codes

    • Updated tag 58-Text for error code 5102.

    9/1/2020

    iLink 3 Binary Order Entry - BrokerTec Reject Codes

    corrected

    Sent in response to New Order - Single (tag 35-MsgType=D)
    in tag 103-OrdRejReason of the Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=9)

    to

    Sent in response to New Order - Single (tag 35-MsgType=D)
    in tag 103-OrdRejReason of the Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8)


    8/19/2020

    iLink 3 Quote Cancel








    295NoQuoteEntriesgroupSize3Y
    • minValue=1
    • maxValue=10015

    The number of quote entries for quote sets, instruments, product group, or cancel all.

    298=1 → 1 to 10015

    298=3 → 1

    298=4 → 1

    298=100 → 1 (for cancel by quote set a product group has to be specified here)


    8/13/2020iLink 3 Order Cancel Reject - Added link to reject codes in tag 102-CxlRejReason description.

    8/12/2020

    Added:

    iLink 3 Binary Order Entry - BrokerTec Reject Codes


    8/10/2020

    updated tag 1031-CustOrderHandlingInst enumerations and description in:

    iLink 3 Party Details Definition Request Acknowledgment

    iLink 3 Party Details List Report

    iLink 3 Party Details Definition Request Acknowledgment


    8/3/2020

    iLink Order Entry - Business Layer

    Messaging Changes for iLink 3

    Tag 9717-CorrelationCIOrdID is replaced with new tag 2422-OrderRequestID deprecated

    • Tag 2422-OrderRequestID will be leveraged to tie back responses to requests
    • Tag 11-ClOrdID is to be used only as an entity identifier of an order in so that customers could provide their own order ID but not as a message identifier
      • Tag 11 value remains can remain the same through the life of an order

    Summary of FIX Tag Changes from iLink 2.X to iLink 3

    • Removed tag 9717 row from both tables: inbound and outbound messages.
    • Added tag 9717 to the Delete row for both inbound and outbound tables.

    7/16/2020

    Updated tag 527-SecExecID description:


    7/10/2020Negotiation Response - Added "Sent in number of days since Unix epoch." to tag 39022-SecretKeySecureIDExpiration description.

    6/24/2020

    iLink 3 Business Reject - Removed reject code "1 – Unknown PartyDetailsListReqID being referenced in business message"

    Retransmit Request - Updated tag 39019 description.


    5/15/2020

    iLink 3 Order Mass Action Report

    iLink 3 Execution Report - Status

    for tag 60-TransactTime - UNDER DEVELOPMENT. Currently sent in microseconds.


    5/14/2020iLink 3 Binary Order Entry - Session Layer - Added note after first paragraph under "Session Negotiation."

    5/11/2020

    iLink 3 Binary Order Entry - Business Layer

    updated iLink 3 Party Details Definition Request Acknowledgment description


    5/11/2020

    iLink 3 Binary Order Entry - BrokerTec Markets

    Supported Order Types & Qualifiers - updated table showing how to define order type and order qualifier


    5/11/2020

    From CME Globex to Client System

    for all messages except those noted below updated tag 7552-DelayToTime description to: Represented as number of nanoseconds in UNIX epoch format (since Jan 1, 1970). Subtracting this number from Tag 60-TransactTime will represent original received time of delayed message.

    for:

    updated tag 7552-DelayToTime description to: Represented as number of nanoseconds in UNIX epoch format (since Jan 1, 1970). Subtracting this number from Tag 5979-RequestTime will represent original received time of delayed message.


    4/30/2020

    iLink 3 Binary Order Entry - BrokerTec Markets

    updated tag 18, 5906, and 6881 descriptions

    iLink 3 - Simple Binary Encoding

    iLink 3 Business Reject

    • updated tag 45 description

    iLink 3 Binary Order Entry - Business Layer

    • updated tag 45 note
    • updated Encoding Type Field verbiage: Please note that the encoding type is a reserved keyword represented as a hexadecimal digits in Little-Endian byte order.

    4/16/2020iLink 3 Binary Order Entry - Session Layer: Sequence Gap Fill - Changed MsgCount from 9 to 10 in diagram.

    4/15/2020

    Updated iLink 3 Automated Port Closure section.

    Updated Messaging Controls section.


    4/3/2020

    iLink 3 Binary Order Entry - Business Layer

    tag 60 conversion added:

    Note - the following application messages will continue to use tag 5979:


    4/3/2020

    iLink 3 Binary Order Entry - Message Specification

    Global update to tag 5392-SenderID updated description and tag 1693-PartyDetailRole=118:

    In FirmSoft and Global Command Center queries for order status and cancellations, this value must be exact, including preceding and following spaces (“ “).


    3/24/2020

    iLink 3 Binary Order Entry - BrokerTec Markets

    New:

    A new repeating group will be added to the following message types to support binary trade reporting:

    • ExecutionReportTradeOutright
    • ExecutionReportTradeSpread
    • ExecutionReportTradeSpreadLeg

    Tag

    Name

    Req

    Binary Type

    Binary Length

    Description

    1795

    NoOrderEvents

    N

    groupSize

    3

    Number of fills which comprise fill quantity

    →1799

    OrderEventPx

    Y

    PRICE9

    8

    Refers to the fill price; same as tag 31-LastPx

    →1802

    OrderEventText

    N

    String5

    5

    Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades

    →1797

    OrderEventExecID

    Y

    uInt32

    4

    This is a unique ID which ties together a specific fill between two orders; It will be unique per instrument per day

    →1800

    OrderEventQTY

    Y

    uInt32

    4

    Refers to the specific fill quantity between this order and the opposite order

    →1796

    OrderEventType

    Y

    OrderEventTye

    1

    The type of event affecting an order

    ·       4=Partially Filled

    ·       5=Filled

    →1798

    OrderEventReason

    Y

    uInt8

    1

    Action that caused the event to occur. 100=Binary Trade Reporting

    A new repeating group will be added to the following message types to support Trade cancel and trade adjustments:

    • ExecutionReportTradeAddendumOutright 
    • ExecutionReportTradeAddendumSpread
    • ExecutionReportTradeAddendumSpreadLeg

    Tag

    Name

    Req

    Binary Type

    Binary Length

    Description

    1795

    NoOrderEvents

    N

    groupSize

    3

    Number of fills which comprise fill quantity

    →1799

    OrderEventPx

    Y

    PRICE9

    8

    Refers to the fill price; same as tag 31-LastPx

    →1802

    OrderEventText

    N

    String5

    5

    Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades

    →1797

    OrderEventExecID

    Y

    uInt32

    4

    This is a unique ID which ties together a specific fill between two orders; It will be unique per instrument per day

    →1800

    OrderEventQTY

    Y

    uInt32

    4

    Refers to the specific fill quantity between this order and the opposite order

    →1796

    OrderEventType

    Y

    TradeAddendum

    1

    The type of event affecting an order

    ·       4=Partially Filled

    ·       5=Filled

    ·       100=Trade Cancel

    ·       101=Trade Correction

    →1798

    OrderEventReason

    Y

    uInt8

    1

    Action that caused the event to occur. 100=Binary Trade Reporting

    →6555

    OriginalOrderEventExecID

    N

    uInt32NULL

    4

    Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted.

    Will not be present on the following message types

    ·       ExecutionReportTradeOutright

    ·        ExecutionReportTradeSpread

    ·        ExecutionReportTradeSpreadLeg


    3/24/2020

    iLink 3 Execution Report - Trade Spread Leg

    iLink 3 Execution Report - Trade Outright

    iLink 3 Execution Report - Trade Spread

    New

    →1796

    OrderEventType

    OrderEventTye

    1

    Y

    ·       4=Partially Filled

    ·       5=Filled

    The type of event affecting an order

    remove tag →6555OriginalOrderEventExecID


    3/20/2020Updated Order Entry Timeline and Mock Trading Schedule.

    3/19/2020

    iLink 3 - Simple Binary Encoding

    iLink 3 has its own  max values for integer fields.  CME Globex limits the range of unsigned  integer to signed  integer because that is the maximum value supported by java long data type 64 bit integer.


    3/19/2020

    iLink 3 Execution Report - Status

    Tag 432 is not a require tag for OSR ack


    3/19/2020

    iLink 3 Execution Report - Trade Spread

    Tag 555 is not currently supported or listed in the trade spread execution report.


    3/19/2020

    iLink 3 Binary Order Entry - Business Layer

    • All iLink 3 tests except the iLink 3 Failover Tests –  Available Now
    • iLink 3 Failover Tests– Monday, March 23, 2020

    3/19/2020

    iLink 3 Mass Quote Acknowledgment

    DelayToTime listed before NoQuoteEntries and the repeating group. 


    3/19/2020

    iLink 3 Binary Order Entry - Business Layer

    Sequence number gap:

      1. For short format, we will receive Not Applied for a sequence number gap
      2. For long format message, we will receive:
    • Not Applied for Party Details Definition Request with a higher than expected sequence number
    • Business Reject with invalid PartyID for the new order with 380=1 and 45=null  

    Invalid PartyDetails ID:

    1. For short format, we will Business Reject for the New Order with 380=1 and 45=null  
    2. For long format message, we will receive:
      • Business Reject for Party Details Definition Request with the  partyDetailID  not equal to 0
      • Business Reject for the new order as a result of the  rejected Party Details Definition Request with 380=1 and 45=null  

    3/19/2020

    iLink 3 Binary Order Entry - Business Layer

    Add GT orders message conversion during the production iLink 2 and 3 parallel period


    3/19/2020

    SessionManagement

    During the parallel period, any MSGW sessions configured for iLink 3 must

    • send iLink 3 messages if market segments are migrated to iLink 3,
    • send iLink 2 messages if market segments have not yet migrated to iLink 3

    3/19/2020

    Link 3 Binary Order Entry

    A flag to indicate for each MSGW if it is enabled for iLink 3  will be added to the MSGW config.xml file.


    3/19/2020

    iLink 3 Binary Order Entry - Session Layer

    Remove 'optional feature' from UUID & sequence number gap 


    3/6/2020

    iLink 3 Quote Cancel

    tag 295-NoQuoteEntries update to Y for required

    tag 296-NoQuoteSets - added, "Set the groupSize to 0 when not required."


    3/6/2020

    this change has been rolled back:

    iLink 3 Execution Report - Trade Addendum Spread

    Tag 40 is not required in trade addendum spread message

    tag 40 is UNDER EVELOPMENT


    3/5/2020

    From CME Globex to Client System

    Update tag 9765 description


    3/5/2020

    iLink 3 Execution Report - Trade Addendum Spread

    Tag 40 is not required in trade addendum spread message


    3/5/2020

    iLink 3 Application Layer

    Update tag 11 description


    3/5/2020

    iLink 3 Binary Order Entry - BrokerTec Markets#NewFIXTags

    iLink 3 Execution Report - Trade Outright

    Correct tag 5290 name and add new section  on Short Code validations 

    Add link to workup and display quantity

    Update tag 7191 description


    3/5/2020

    iLink 3 Binary Order Entry - Session Layer- FaultTolerance

    As part of active-active fault tolerance on the backup connection no Negotiation is allowed period regardless of whatever UUID is being used in that message


    3/5/2020

    iLink 3 Execution Report - Elimination

    iLink 3 Execution Report - Modify

    iLink 3 Execution Report - Cancel

    Update tag 14 description


    3/5/2020

    iLink 3 Application Layer

    Update tag 9726 description


    3/5/2020

    From CME Globex to Client System

    iLink 3 Execution Report - Trade Outright

    iLink 3 Execution Report - Trade Spread

    iLink 3 Execution Report - Trade Spread Leg

    iLink 3 Execution Report - Trade Addendum Outright

    iLink 3 Execution Report - Trade Addendum Spread

    iLink 3 Execution Report - Trade Addendum Spread Leg

    Update tag 75 and tag 432  descriptions


    3/5/2020

    Retransmit Request

    Update tag 39018 description


    3/5/2020

    iLink 3 Binary Order Entry - Session Layer

    iLink 3 does not support Finish Sending and Finish Receiving  messages


    3/5/2020

    iLink 3 Binary Order Entry - Business Layer

    iLink 3 Party Details Definition Request

    iLink 3 Party Details Definition Request Acknowledgment

    iLink 3 Party Details List Report

    Update PR 118 requirement and how it is meant to be populated


    3/5/2020

    iLink 3 Binary Order Entry - Business Layer#OrderTypeQualifiers

    iLink 3 Application Layer

    Remove FOK (59=4) for futures and options markets


    2/20/2020Added On-Demand Messaging Scenarios

    2/20/2020

    NextSeqNo on backup connection must be set to zero.

    iLink 3 Binary Order Entry - Session Layer


    2/20/2020

    Add note that tag 1031 is required for futures and options only

    iLink 3 Party Details Definition Request

    iLink 3 Party Details Definition Request Acknowledgment

    iLink 3 Party Details List Report


    2/20/2020

    Update tag 1657=NoRequestiongIDs value:

    min =0

    max=1

    iLink 3 Party Details List Request


    2/20/2020

    Party Detail Restriction

    Update route-through restriction

    iLink 3 Binary Order Entry - Business Layer#BusinessLayer-Restrictions


    2/20/2020

    Tag 39012 description:

    Add Error code  '28' to Negotiation Reject.

    Change error code from 26 to 27

    Negotiation Reject

    Establishment Reject


    2/13/2020

    Added to the Execution Acknowledgment message:

    • tag 5297– SendingTimeEpoch
    • tag 9537- LocationNew
    • tag 1028-ManualOrdIndicator

    2/13/2020

    New tag 5187-Reserved added to Mass Quote message.


    2/6/2020

    Tag 1505 description (global)

    The unique identifier of the Party Details Definition Request Acknowledgment associated with this message; this is the value submitted on the inbound message.

    For pre-registered messages:

    • Unique ID from Party Details Definition Request Acknowledgment message
    • PartyDetailsListRequestID≠0.

    For on-demand messages:

    • If not registered beforehand through iLink then Party Details Definition Request Ack message will be sent along with the business message and will immediately precede it
    • PartyDetailsListRequestID=0.

    2/6/2020

    Add valid values to tag 7191 (global)

    0 – Aggressive owner's fill included in workup

    1 – Passive owner's fill included in workup

    2 – Aggressive owner's fill excluded from workup

    3 – Passive owner's fill excluded from workup


    2/6/2020

    iLink 3 Binary Order Entry - Business Layer

    Added note:

    Please note: PreviousUUID and PreviousSeqNo are not the last UUID and last SeqNo sent by the Client System to CME Globex.  They refer to the last UUID and last SeqNo sent by CME Globex to Client System.


    2/6/2020

    Tag 1362 description 

    Add max number of fill reason to all iLink 3 trade messages

    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


    2/6/2020

    Not Applied - UUID

    Update FIX type from uInt 32 to uInt 64


    2/6/2020

    iLink 3 Binary Order Entry

    OESGW - SFTP Site Information 

    The OESGW configuration information (i.e. market segments and IPs) will be added to the MSGW config file via an SFTP site (sftpng.cmegroup.com), accessed via a CME Globex network direct connection. This SFTP site contains the configuration files for all environments. The SFTP site is a secure site that requires a user name and password for access.

    New Market Segment is defined for each OESGW  as follow:

    <marketsegment id="12" label="Order Entry Service Gateway’">

    <marketsegment id="14" label="BTEC US Order Entry Service Gateway’">  

    <marketsegment id="16" label="BTEC EU Order Entry


    2/6/2020

    Add TradeAddendum to tag 1795 repeating group

    A new repeating group will be added to the following message types to support binary trade reporting:

    •  ExecutionReportTradeOutright
    •  ExecutionReportTradeSpread
    •  ExecutionReportTradeSpreadLeg
    •  ExecutionReportTradeAddendumOutright 
    •  ExecutionReportTradeAddendumSpread
    •  ExecutionReportTradeAddendumSpreadLeg

    2/6/2020

    iLink 3 Binary Order Entry - Business Layer

    Former:

    For the New Order Cross: 

    Pre-registered party information – Client registers party information in the Service Gateway in advance; in the New Order Cross message, the client identifies the party detail ID for each side in tag 1505-PartyDetailsListReqID.

    New:

    For unsolicited quote cancels:

    CME Globex will return the Party Details Definition Request Acknowledgment message with tag 1505-PartyDetailsListRequestID=0 before every Quote Cancel Acknowledgment message (tag 35-MsgType = b, tag 297-QuoteStatu= 1,3,4,100

    This is applied to unsolicited cancels from CME One (tag 378-ExecRestatementReason=105)

    For the New Order Cross: 

    Pre-registered party information – Client registers party information in the Service Gateway in advance; in the New Order Cross message, the client identifies the party detail ID for each side in tag 1505-PartyDetailsListReqID.


    2/6/2020

    iLink 3 Binary Order Entry - Business Layer

    iLink 3 Party Details List Request

    Message spec update for tag 1658 and tag 448

    was:

              Each Party Details List RequestID will be unique per firm.

    new:

              Each Party Details List RequestID will be unique per firm.   If a firm is hosted on more than one session, the same Party Details List Request ID can be used across all sessions.

      For Example: Executing Firm="123" is hosted both Session ID = "ABC" and  Session  ID = "XYZ".  PartyDetailsListRequestID = "1001", created by session ABC,  can be used on both sessions

    current:

    Restrictions

    • If a firm is hosted on more than one session, it cannot create duplicate Party Details List Request IDs on both sessions.
    • If a firm is hosted on a session that supports route-throughs, then it cannot create duplicate Party Details List Request IDs used by other firms that are part of that route-through session.

    new:

    Restrictions

    • If a firm is hosted on more than one session, it cannot create duplicate Party Details List Request IDs on both sessions.
    • If a firm is hosted on the session(s) that supports route-throughs, then it cannot create duplicate Party Details List Request IDs used by other firms that are part of that route-through session(s).

    was:

    Party Details List Request

    The new Party Details List Request message (tag 35-MsgType=CF) is used to request all of the Party Details Definition information for a particular Firm ID.

    • Party Details List Request message should be sent only to the Service Gateway
    • Party Details List Request message can be used to request all Party Details Definitions for a firm or specific Party Details Definitions belonging to that firm 
    • Customers can submit a Party Details List Request message and receive the Party Details List Report message (tag 35-MsgType=CG) detailing active Party Detail Definitions.
    • The Party Details List Request message should be used in these circumstances:
      • To confirm submission of Party Details Definition messages sent earlier to the Service Gateway. This can be done:
        • Sunday at the beginning of the week before the start of trading but after Party Details Definition messages have been sent earlier in the day
        • Before the start of each trading session
        • After the close of each trading session
        • Anytime there is a need to confirm which Party Details Definitions have been registered with CME

    new:

    Party Details List Request

    The new Party Details List Request message (tag 35-MsgType=CF) is used to request all of the Party Details Definition information for a particular Firm ID.

    • Party Details List Request message should be sent only to the Service Gateway
    • Party Details List Request message can be used to request all Party Details Definitions for a firm or specific Party Details Definitions belonging to that firm 
    • Customers can submit a Party Details List Request message and receive the Party Details List Report message (tag 35-MsgType=CG) detailing active Party Detail Definitions.
    • The Party Details List Request message should be used in these circumstances:
      • To confirm submission of Party Details Definition messages sent earlier to the Service Gateway. This can be done:
        • Sunday at the beginning of the week before the start of trading but after Party Details Definition messages have been sent earlier in the day
        • Before the start of each trading session
        • After the close of each trading session
        • Anytime there is a need to confirm which Party Details Definitions have been registered with CME
    • There are two types of the Party Details List request:
      1.  by Executing Firm - Request all Party Details for a single firm using tag 1657- NoRequestingPartyIDs repeating group
      2.  by PartyID - Request specific Party Details  using tag 453-NoPartyIDs repeating group

    Note: Customers can submit a Party Details List Request message either by Executing Firm or PartyID.  Both types cannot be presented in the same Party Details List request message


    2/6/2020

    iLink 3 Quote Cancel Acknowledgment

    Update NoQuoteEntries field on the Quote Cancel Ack from N = Not required to Y = Required.


    2/6/2020

    iLink 3 Mass Quote Acknowledgment

    Mark these 2 codes with asterisk to indicate CME defined:

    Tag 368-QuoteEntryRejectReason:

    *89 - Order price is outside daily limit

    *131 - Order price is outside bands


    1/29/2020

    Updated AutoCert+ availability dates

    Autocert+ certification for futures and options.

    Required for all client systems on MSGWs

    Updated registration verbiage:

    Customers are required to register in advance in order to participate in this mock trading session. The mock trading session script will be announced in future CME Globex Notices.  Client systems must be certified for iLink 3 session layer tests via Autocert+ prior to participate the iLink 3 mock trading sessions. 


    iLink 3 Request for Quote tag 54-Side updated to N (not required)

    • Add new tag 7552-DelayToTime to the following messages and publish the change today, 1/29.    

    7552

    DelayToTime

    uInt64NULL

    8

    N


    Indicates the amount of time that a message was delayed as a result of being split (9553=0) or as a result of being out of order due to TCP retransmission (9553=1) or as a result of being queued behind a split message (9553=2)

    Represented as number of nanoseconds in unix epoch format (since Jan 1, 1970)

    Subtracting this number from FIFO time will represent original received time of delayed message

    • 522 - Execution Report – New Order
    • 531 - Execution Report - Modify
    • 534 - Execution Report - Cancel
    • 523 - Execution Report - Reject
    • 535 - Order Cancel Reject
    • 536 - Order Cancel Replace Reject
    • 558 - Order Mass Action Report
    • 545 - Mass Quote Acknowledgment
    • 547 - Quote Cancel Acknowledgment
    • 546 – Request for Quote Acknowledgment

    • Update tag 5904 description on all iLink 3 messages

    5904

    DelayDuration

    uInt16NULL

    2

    N


    Not currently being used


    1/22/2020

    Execution Report - Modify

    Functional Spec

    was:

    Execution Report - Modify message is sent in response to Order Cancel Replace Request

    • Tag 2422-OrderRequestID  is used to tie back responses to requests

    To make the exchange FIX compliant, now current state of the order will be represented by tag 39-OrderStatus and the specific type of event will be represented in tag 150-ExecType

    • Modification of unfilled order will be 39=0 and 150=5
    • Modification of partially filled order will be 39=1 and 150=5
    • Modification of order quantity at or below filled quantity will be 39=2 and 150=5 (previously was 39=4 and 150=4)
      • This modify ack will show that the order has been replaced but it is already fully filled and therefore no longer working:
      • Tag 38-OrderQty=Tag 14-CumQty
      • tag 151-LeavesQty=0 

    Execution Report - Modify message does not contain these fields

    • Tag 6-AvgPx
    • Tag 20-TransType
    • Tag 41-OrigClOrdID

    new:

    Execution Report - Modify message is sent in response to Order Cancel Replace Request

    • Modification order will be represented by tag 39-OrderStatus = 5 and tag 150-ExecType 150=5
    • Tag 2422-OrderRequestID  is used to tie back responses to requests

    Execution Report - Modify message does not contain these fields

    • Tag 6-AvgPx
    • Tag 20-TransType
    • Tag 41-OrigClOrdID

    1/22/2020

    Message Spec

    tag 5906-ExecutionMode

    global update

    previous:

    Applicable for US & EU Repos and TBAs.

    new:

    Applicable for US & EU Repos.


    Functional Spec

    Removed all references from:

    iLink 3 Binary Order Entry - BrokerTec Markets


    Message Spec

    tag 5904-DelayDuration

    Updated the message specification to say that the delay interval for messages penalized due to message splitting will be shown in milliseconds and not nanoseconds

    impacted messages:

    • Execution Report New (35=8, 39=0)
    • Execution Report Reject (35=8, 39=8)
    • Execution Report Modify (35=8, 39=5)
    • Execution Report Cancel (35=8, 39=4)
    • Modify/Cancel Reject (35=9)
    • Mass Cancel Ack (35=BZ)
    • Mass Quote Ack/Nack (35=b)
    • Mass Quote Cancel Ack/Nack (35=b)
    • RFQ Ack/Nack (35=b)


    Message Spec

    tag 39001-UUID

    added to existing description:

    Client systems must use the same UUID for both primary and backup connections if using active-active fault tolerance to ensure that the sequence numbers will continue after a failover.

    Functional Spec

    iLink 3 Binary Order Entry - Session Layer

    Previous:

    The customer can choose to use the same UUID for both primary and backup FIXP sessions (this is the only exception to the general rule of thumb that the UUID be globally unique) and then the sequence streams would be contiguous after failure. The customer can also choose to maintain primary and backup FIXP sessions with different UUIDs with the caveat that the sequence streams will reset back to 1 after failure on the new primary.

    New:

    The customer must  use the same UUID for both primary and backup FIXP sessions (this is the only exception to the general rule of thumb that the UUID be globally unique) and then the sequence streams would be contiguous after failure.  


    1/15/2020

    updated tag 555-NoLegs description for iLink 3 Security Definition Request

    UDS cannot exceed supported max number of legs.

    • UDS on options - 40 legs
    • Recursive UDS - no more than 40 instruments that make up the Recursive
    • UDS on futures - 40 legs

    Will be set to 0 for REPO

    • An iLink Security Definition Request (tag 35-MsgType=c) is rejected as "'Too Many Legs for combo combo: <option/future leg count> Max: <max option/future leg>" due to tag 555 is more than 40
    • An iLink Security Definition Request (tag 35-MsgType=c) is rejected as "'Not Enough Legs: <leg count> Min: 2'" due to tag 555 is less than 2


    1/15/2020

    Added tag 6555-OriginalOrderEventID to:

    iLink 3 Execution Report - Trade Addendum Spread Leg

    iLink 3 Execution Report - Trade Addendum Spread

    iLink 3 Execution Report - Trade Addendum Outright


    1/6/2020

    Added new section to iLink 3 Binary Order Entry - Business Layer:

    Order Request Identifier


    10/30/2019

    Message Specification updates:


    8/27/2019Added iLink 3 Message Header

    7/30/2019Initial publication