R-Cross Processing Rules apply during each phases of the RFC process.
- 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).
- 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.
- 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.
- Upon acknowledgment of the Cross order, the Cross Window starts.
- CME Globex broadcasts a Security Status (tag 35-MsgType=f,tag 326-SecurityTradingStatus=24) Pre-Cross message.
- 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
- 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.
- 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:
- 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.
- 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).
- 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 .
- 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.