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Available order types include:
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Limit Order
A Limit order , tag 40-OrdType=2, defines the upper price limit at which to buy an instrument and lower price limit at which to sell an instrument. The price limit is defined in tag 44-Price. If the price is not immediately available, the Limit order will rest until filled or cancelled.
The following diagram illustrates a Limit order that will rest on the book.
Market-Limit Order (Bid) with Market
- The client sends a iLink 2 New Order message to the CME Group, Bid, ESZ8, Market-Limit, quantity of 15.
- CME Globex responds with an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType=8).
- The Market-Limit order becomes a Limit order at the best available market price (90025).
- CME Globex sends an Execution Report - Fill Notice (tag 35-MsgType=8) for a partial fill 2-Lot @ 90025.
- The remaining quantity rests on the book at 90025.
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The following diagram illustrates this example.
Market-Limit Order (Bid) with No Market
The following diagram displays CME Globex actions when a market-limit order (bid) is placed with no market.
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CME Globex returns a Execution Report - Reject (tag 35-MsgType=8) message.
Market Order with Protection
The following example illustrates Market order with protection interaction with the CME Globex platform . In the example the Protection Points are 600.
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The following diagram illustrates this example.
Stop-Limit Order
A Stop-Limit order is activated when the trigger price of the order is traded in the market. The Stop-Limit order is then executed at all price levels between the trigger price and the limit price.
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The following diagram illustrates at Stop-Limit order that is triggered and filled.
Stop-Limit Order Triggered but not Filled Example
The following figure illustrates a Stop-Limit order triggered but not filled.
Stop Order
When Stop orders (with protection) are sent, customers should be aware of the response:
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Stop orders will be rejected during any market state except Pre-Open, Open, and No Cancel. |
All Execution Report messages, including order elimination messages, sent in response to Stop orders (with protection) include tag 44-Price populated with the Protection Price Limit (best available price +/- the protection points). If the order is not completely filled, the Protection Price Limit is the price that the remaining Open Quantity rests on the order book.
Example of Protection Price Limits Calculations for Stop Orders (with Protection) Bid and Offer.
Stop Orders with Protection Bid | Stop Orders with Protection Offer |
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Trigger Price 90000 | Trigger Price 90000 |
Protection Points +600 | Protection Points -600 |
Protection Price Limits = 90600 | Protection Price Limits = 89400 |
Stop Order with Protection Bid
The following example illustrates Stop order (with protection) behavior on the CME Globex platform. In this example the Protection Points are 600.
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