The following section presents the different steps composing the Request for Cross process. Note that the duration of each state is configurable and may be entirely skipped if configured to 0 seconds.
Step 1: Client system submits an iLink Quote Request message with the Side, signaling intent to next submit a cross order which establishes the Pre-Cross state.Pre-Cross State
Step 2: Upon receipt of the iLink Quote Acknowledgment message, the client system observes the designated waiting period where applicable and then sends a New Order Cross message with a specific Cross Type.
Step 3: CME Globex broadcasts a Security Status message with the Security Trading Status indicating the Pre-Cross state to market participants.
Step 4: During the Pre-Cross state, orders can appear on the book that will match with the cross order during the Cross state.
Step 5; : After the configured Pre-Cross time period, CME Globex sends a Security Status message with the Security Trading Status indicating that the RFC state has changed to Cross.
Step 6: CME Globex will broadcast market data associated with the RFC order and the order book will be updated.
Step 7: During the Cross state, other orders are allowed to match with the cross order and any remaining cross order quantity matches against itself at the Broker Match Guarantee percent.
Step 8: After a CME Globex configurable time period, a Security Status message is sent with the Security Trading Status indicating Resume (Normal) Trading state.
Resume Trading State