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Crossing functionality allows CME Group customers to submit cross orders that are the result of pre-execution communications pursuant to Rule 539.

Info

Customers can call the CME Global Command Center (GCC) to obtain the Broker Match Guarantee (BMG) percentage for a given product.

Please see the Market Regulation Advisory Notice for a complete description of each exchange-supported crossing protocol.

The list of eligible products and cross types is available here.

CME Globex currently supports four types of Cross orders: Committed Cross (C-Cross), Globex Cross (G-Cross)Agency Cross (A-Cross)RFQ + RFC Cross (R-Cross)which have the following attributes:

 C-Cross (Committed Cross)G-Cross (Globex Cross)A-Cross (Agency Cross)R-Cross (RFQ + RFC Cross)
Customer sends RFQNoNoYesYes
Customer sends RFCNoNoYes

Yes

Note: Upon receipt of the Request for Cross (tag 35-MsgType=s) message, CME Globex will automatically publish an RFQ (tag 35-MsgType=R) message with tag 54-Side equal to '8' (Cross).

Cross Market State

Yes

Note: The five (5) second period begins when the market data Pre-Cross state (tag 35-MsgType=f, tag-326-SecurityTradingStatus=24) is disseminated.

No

Note: The five (5) second period begins when the first message is entered.

No

Note: The order entry process and timing for A-Cross is slightly different from the other protocols, and should be followed in accordance with the Market Regulation Advisory Notice link above for Pre-Execution Communications Rule 539.

Yes

See also:

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