Page tree

Versions Compared

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

...

CME Group customers use the iLink Security Definition Request (tag 35-MsgType=c) message to create a UDS on the CME Globex platform. The iLink Security Definition Request message requires a repeating group of user-populated tags for instruments included in the UDS.

...

For a UDS, a GTD order qualifier for an iLink New Order (tag 35-MsgType=D) or a Order Cancel/Replace Request (tag 35-MsgType=G) message cannot have a date later than the earliest expiring leg of the spread or combination.

Market State Validation

The iLink iLink Security Definition Request (tag 35-MsgType=c) message is accepted in all market states and will not be accepted if submitted during CME Globex maintenance windows.

The Security Definition Request (tag 35-MsgType=c) message  message is only accepted during the Pre-Open, Open and , and No Cancel market  market states as indicated by the market data Security data Security Status (tag 35-MsgType=f) message.

UDS Options instruments defined in the iLink Security Definition Request (tag 35-MsgType=c) message are valid accepted only during the Open market state Pre-OpenOpen, and No Cancel market states.

A UDS instrument either expires with the earliest expiration of its component leg instruments or at the end of the trading session, as specified in tag 200-MaturityMonthYear of the Security Definition (tag 35-MsgType=d) message.

UDS Covered Validation

The iLink Security Definition Request (tag 35-MsgType=c) message is used to define a composition of option outright, options spread or combination instruments, futures instrument(s), future side(s) and delta value(s) to create Covered instruments on CME Globex.

...

Covered Security Definition Request Message Repeating Groups

The iLink iLink 2 Security Definition Request message requires a repeating group of user-populated tags for each option and future instrument comprising the Covered instrument. Repeating groups are blocks of tags that define the outright option or options spread or combination and the future or futures covering the option instrument.

...

Market State Validation

The iLink iLink 2 Security Definition Request message is accepted during the Pre-Open, No-Cancel, and Open market states only.

...

In cases when an iLink message is submitted with erroneous content or structure, the CME Globex platform will reject the message with a iLink 2 Business Level Reject message. In such an instance, tag 380-BusinessRejectReason will contain the reason for the rejection.

Info
If an iLink iLink 2 New Order message sent on a Covered instrument is rejected with a Business Level Reject message and the client system subsequently submits an iLink 2 Order Status Request message for the rejected New Order, The Execution Report - Order Status Request Acknowledgment (tag 35-MsgType=8) message will contain a value of 'N/A' in tag 55-Symbol.

Security Definition Acknowledgment

The iLink iLink 2 Security Definition message is sent by CME Globex in response to an iLink Security Definition Request (tag 35-MsgType=c) message.

...

When a Covered instrument trades, CME Globex sends Execution Reports for the Covered instrument and each leg of the Covered instrument to the trade counterparties and broadcasts resulting market data messages.

...