R-Cross Processing Rules apply during each phases of the RFC process.

RFC Authorization

  1. 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).
  2. Upon receipt of an iLink Quote Acknowledgment – Accept (tag 35-MsgType=b) with tag 297-QuoteAckStatus=0 Accept message from CME Globex, the client system can initiate the Cross Order process.

RFC Submission

  1. The client system observes the designated waiting period where applicable, then submits an iLink New Order Cross (tag 35-MsgType=s, tag 549-CrossType=3) message.
  2. Upon acknowledgment of the Cross order, the Cross Window starts.
  3. CME Globex broadcasts a Security Status (tag 35-MsgType=f,tag 326-SecurityTradingStatus=24) Pre-Cross message.
  4. CME Globex broadcasts a Quote Request (tag35-MsgType=R, tag 54-Side=8) Cross message to notify market of the Cross order.

The Market Data Incremental Refresh (tag 35-MsgType=X) Best Limits data block message is not broadcast and the Cross order is not visible to the market; however, orders can appear on the book.

Processing Rules for Tag 962-SideTimeInForce

The value submitted in the iLink New Order Cross message tag 962-SideTimeInForce determines if a cross order side with remaining quantity stays on the book beyond the Cross Window as follows:

  • A value of '0' in tag 962-SideTimeInForce=Day order, i.e., the side remains in the book as a regular order if quantity remains after the RFC order process ends.
  • A value of '3' in tag 962-TimeInForce=FAK, i.e., the side is eliminated if quantity remains after RFC order process ends.

RFC Pre-Cross State

  1. The Pre-Cross state initiates and persists for a CME Group-configurable n seconds.
    • Only one Cross order is allowed during the Cross Window for the given instrument; any subsequent Cross order will be rejected until the state returns to 'Resume Trading'.
    • RFQs will be rejected during the Cross Window for the given instrument.
    • Cancellation of a Cross order during the Pre-Cross state will be rejected with a Order Cancel Reject (tag 35-MsgType=9) message.
    • At the Pre-Cross state, the CME Globex platform moves the Cross order to the book and determines if orders on the book can match with either side of the RFC order.
    • If the new Cross order betters the existing bid/ask, the cross matches 100% immediately.
    • If the new Cross order can match a resting bid and/or ask:
      • Cross order first matches 100% against the resting order quantity.
      • Remaining cross order quantity is matched to itself at BMG percent of the smallest side.
  2. Pre-Cross state ends and a Security Status (tag 35-MsgType=f, tag 326-SecurityTradingStatus=25) is sent indicating transition to the Cross state.

RFC Cross State

The RFC - Processing Rules during the Cross state are:

  1. If the Cross order is not fully matched on one side after the Pre-cross state, the CME Globex platform broadcasts a Security Status (tag 35-MsgType=f, tag 326-SecurityTradingStatus=25) Cross message. The Cross state for the given instrument persists for a CME Group-configurable number of seconds.
  2. The Cross order appears on the book and, if applicable, is executed at price or better against resting orders.
    • If either side of the Cross order is filled completely, the Cross Window closes and the CME Globex platform transmits a Security Status (tag 35-MsgType=f, tag 326-SecurityTradingStatus=17) Resume (Normal) Trading message. The remaining Cross order behaves according to the value set in tag 962-SideTimeInForce (see Section SideTimeInForce below). 
  3. If both sides of the Cross order have remaining quantities, the CME Globex platform matches 100 percent of the common quantity.
    • If a Cross order side remains with quantity, the order behaves according to the value set in tag 962 - SideTimeInForce.
  4. The CME Globex platform transmits the Execution Report and and a Security Status (tag 35-MsgType=f, tag 326-SecurityTrading Status =17) Resume (Normal) Trading.

RFC Processing Rules for Cancel-Replace Request

For Cross orders, Cancel/Replace on a Cross side is allowed only after the Cross Window process ends and one side of the Cross order remains working.

  • CME Globex platform will reject Cancel/Replace of a cross side when both sides are still working (i.e. the Cross Window is in process) using a Cancel Reject (tag 35-MsgType=9) with tag 102-CxlRejectReason=99 (Other) message.
  • The Cross side that remains working after the instrument state returns to Resume (Normal) Trading is treated as a regular order, and follows the current Cancel/Replace rules.