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To trade BrokerTec products on the CME Globex platform customers must implement the order entry functionality described in iLink 3 Binary Order Entry, and, if applicable, the market data functionality described in MDP 3.0. Customers with this functionality in place can refer to the BrokerTec-specific functionality described in this topic.


Contents

BrokerTec Market Functionality

This section summarizes iLink 3 considerations specific to BrokerTec markets.

For a complete description of BrokerTec market functionality, please refer to the BrokerTec on CME Globex Market Functionality available in the BrokerTec Support Portal.   

To access the BrokerTec Support Portal you must be an existing customer or vendor with a signed Non-Disclosure Agreement (NDA) in place with BrokerTec.  

BrokerTec Markets on CME Globex

Customers developing applications to trade BrokerTec products on CME Globex must be aware of the following:

Market Access

  • BrokerTec markets are only available through iLink 3 Binary Order Entry
  • BrokerTec markets are only available through dedicated Market Segment Gateways (MSGWs)

Supported Order Types & Qualifiers

The following order types and order type qualifiers are supported:

Order Types (tag 40-OrderType)
  • OrderType=2 (Limit order)
Order Qualifiers (tag 59-TimeInForce)
  • TimeInForce=0 (Day order)
  • TimeInForce=3 (Fill And Kill order)
  • TimeInForce=4 (Fill Or Kill order)
Fill And Kill (FAK)

For BrokerTec products that are not workup-eligible, an FAK order is executed against any available quantity and any remaining quantity is immediately eliminated.

For workup-eligible products, 

  • FAK order is executed against any available quantity and any remaining quantity will be eliminated at the end of workup
  • FAK Immediate (FAKi) order is executed against any available quantity and any remaining quantity is immediately eliminated.
  • FAKi with Minimum Quantity (FAKi / Min)  order is  executed at least minimum quantity and any remaining quantity is immediately eliminated.

FAKi is only applicable to Workup-eligible instruments

Order Type & Qualifiers

US Treasuries

US Repo

EU Repo

UK Gilt

EU EGB

LimitYYYYY
Fill And Kill (FAK)YYYYY
Fill And Kill Immediate (FAKi)
Y


Fill And Kill with Min (FAK / Min)Y
YYY
Fill And Kill Immediate with Min (FAKi / Min)
Y


Fill Or Kill (FOK)YYYYY
Only BestYYYYY
Passive Orders
YY

The following order types and order type qualifiers are not supported for BrokerTec products.

  • Market Protect (tag 40-OrderType=1)
  • Market Limit (tag 40-OrderType=K)
  • Stop Protect (tag 40-OrderType=3)
  • Stop Limit (tag 40-OrderType=4)
  • GTC (tag 59-TimeInForce=1)
  • GTD (tag 59-TimeInForce=6)

This table illustrates how to define order type and order qualifier:

Types of Orders

Tag 59

TimeInForce

Tag 40

OrdType

Tag 18

ExecInst

Tag 110

MinQty

Tag 5906

ExecutionMode

(Passive vs Aggressive)

Order Type

Combinations Allowed

Limit

0 (Day)

2

n/a

Optional: can also include Min Qty

P = Passive

A or null = Aggressive

AON, OB

Fill And Kill (FAK)

3 (FAK)

2

n/a

n/a

A

OB

FAK Immediate (FAKi)

3 (FAK)

2

00000100 (not held)

n/a

A


FAK Immediate w/ MinQty (FAKi / Min)

3 (FAK)

2

00000100 (not held)

Qty > Min qty > 0

A


Fill Or Kill (FOK)

4 (FOK)

2

n/a

n/a

A

OB

Only Best (OB)

0 (Day)

2

00000010 (only best)

n/a

P or A

Limit, FAK, AON
All Or None (AON)

0 (Day)

2

00000001 (AON)

n/a

P or A

Limit, OB
For BrokerTec products, modification of orders from display quantity (tag 1138-DisplayQuantity >0) to non-display quantity (tag 1138-DisplayQuantity =0), and vice versa, is not allowed.

BrokerTec on CME Globex Display Quantity 

Display Quantity is submitted via iLink 3 tag 1138-DisplayQty for the order to control the portion of the order’s quantity that is displayed to the market. The display quantity is the quantity shown to the market as specified by the customer, gradually exposing the remaining quantity until the entire order quantity is depleted.

BrokerTec on CME Globex Mass Quote

The Mass Quote message is used for European Government Bonds (EGBs) only.

In the event of Unsolicited Quote Cancels, all resting quotes are cancelled on behalf of the Mass Quoted customers. The unsolicited cancel code is contained in tag 9775-UnsolicitedCancelTypes; the reason text will not be sent in the message.

Customers can also receive unsolicited Quote Acknowledgment messages in response to quote cancels due to a resting quantity that is less than the minimum allowed quantity (tag 9775 = I).

More information regarding Mass Quotes for BrokerTec on CME Globex can be found in CME Globex BrokerTec Market Functionality.

Order Entry Messages

The following sections contain the tag-level client system messaging impacts that must be accommodated in order to trade BrokerTec products on CME Globex.

FIX Tags

The following new FIX tags will be added for BrokerTec markets:

  • Tag 18-ExecInst
  • Tag 5906-ExecutionMode
  • Tag 6881-Managed
  • Tag 9373-LiquidityProvision
  • Tag 5409-ShortSaleType

Tag

Field Name

Binary Type

Binary Length

Req

Value

Description

18ExecInstExecInst1N

Bit 0: (least significant bit) All Or None

Bit 1: Only Best

Bit 2: Not Held

Bit 3: Reserved for future use

Bit 4: Reserved for future use

Bit 5: Reserved for future use

Bit 6: Reserved for future use

Bit 7: (most significant bit) Reserved for future use

Instructions for order handling for fixed income markets.

Only Best may be applied to resting and aggressing orders and:

  • Prevents submission of an order if the order’s price is not equal to or better than the best price on the book.
  • Cancels an order from the book if a new order with a better price enters the queue.
  • This order condition permits the order to be alone at the best price level or join other orders at the best price level.

Not Held (applies only to US Repo) eliminates quantity remaining from an FaKi order (tag 59=3) and ensures it will it not be included in a work-up session; however, the order can still trigger a work-up session.

AONs will have a separate book with a separate ISIN. The AON orders that cannot trade immediately can rest in the AON book. They can only trade with AON orders on the other side of the AON book that have the SAME PRICE and SAME QUANTITY.

Applicable only for BrokerTec Markets;

  • should not be used for future and options markets (i.e. tag 18=00000000)

New orders submitted with tag 18 instructions for futures and options markets will be rejected with 35=j, except:

  • Limit FAK orders submitted with Not Held instruction
  • Market FAK orders submitted with Not Held instruction
5906ExecutionModeExecMode1N
  • A=Aggressive
  • P=Passive

Instruction for whether the order should rest on the book upon entry or match as an aggressor.

A Passive Order will rest in the market without executing unless matched with an Aggressive Order on the other side.

An Aggressive Order will match against any other order on the opposite side.

Applicable for US & EU Repos.

New Orders submitted with tag 5906 = P will be rejected for futures and options markets.

6881ManagedOrderBooleanNULL
N
  • 0=False
  • 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

New Orders submitted with tag 6881 = 1 will be rejected for futures and options markets.

9373LiquidityFlagBooleanNULL1N
  • 0=False
  • 1=True

Indicates if an order was submitted for market making obligation as required for MiFID.

Applicable only for EU fixed income markets.

5409ShortSaleTypeShortSaleType1N

0=Long Sell

1=Short Sale With No Exemption (SESH)

2=Short Sale With Exemption (SSEX)

3=Undisclosed Sell (Information not available – UNDI)

Indicates the type of short sale on Sell orders only as required for MiFID.

Should not be used for Buy orders.

Applicable only for EU fixed income markets.

These new tags will be added to the following iLink messages:

  • New Order Single
  • Order Cancel Replace Request
  • Order Cancel Request
  • Order Mass Action Request
  • Order Mass Action Report
  • Mass Quote
  • Quote Cancel
  • Mass Quote Acknowledgment
  • Quote Cancel Acknowledgment
  • Execution Report - Status
  • Execution Report - Reject
  • Execution Report - New
  • Execution Report - Elimination
  • Execution Report Modify
  • Execution Report - Cancel
  • Order Cancel Reject
  • Order Cancel Replace Reject
  • Execution Report - Trade Outright
  • Execution Report - Trade Spread 
  • Execution Report - Trade Addendum Outright
  • Execution Report - Trade Addendum Spread 
All fields may not be applicable to all messages—for example, Order Cancel Request has only tag 9373-Liquidity Flag added.

The following tags relate to Workup functionality:

  • Tag 820-TradeLinkID and Tag 7191-Ownership will be added to the Execution Report - Trade Outright message for US Repos

Tag

Field Name

Binary Type

Binary Length

Req

Description

820TradeLinkIDUInt32NULL4N

Contains the workup ID; unique per instrument per day.


7191OwnershipUint81N

Specifies the owner of the work up private phase.

  • 0 – Aggressive owner included in workup
  • 1 – Passive owner included in workup
  • 2 – Aggressive owner fill price from order excluded from workup during sweep
  • 3 – Passive owner fill price from order excluded from workup during sweep
  • 9 - Not Applicable 

Customers can leverage the following tags to detect whether they are aggressive or passive owners of the workup without waiting for the market data security status message.

  • tag 7191-Ownership
  • tag 1057-AggressorIndicator
  • tag 820-TradeLinkID

More information regarding Workup functionality can be found in the CME Globex BrokerTec Market Functionality.

The following tags are required for all EU fixed income products, but optional for CME Group futures and options. 

  • Tag 5290-Executor and tag 36023-IDMShortcode are added to the Party Details Definition Request, Party Details Definition Request Acknowledgment, and Party Details List Report messages.

CME Globex will validate the Exceutor and IDMShortCode presence, and reject if tag 5290 and/or tag 36023 is not a registered value for all iLink 3 BrokerTec EU application messages, except Order Cancel, Order Mass Cancel, and Quote Cancel messages.

Tag 5290 and tag 36023 will be accepted and acknowledged if sent on Order Cancel, Order Mass Cancel, and Quote Cancel messages. If not populated on these message types, the message will be accepted and acknowledged with the values as follows:

Tag 5290 (Executor) and/or Tag 36023 (IDMShortcode)

Expected Behavior

Acknowledge Value

Not present

Accept

  • For Cancel message - Value from the resting order
  • For Mass Cancel/Quote Cancel message - N/A

Present with an unregistered value 

Reject

N/A

Present with a registered value 

Accept

Value from Cancel/Mass Cancel/Quote Cancel message

The short codes are part of the Party Details Definition. Pre-registered cancel acknowledgement contains tag 1505-PartyDetailsListRequestID from the original order submission.  

If the pre-registered cancel request contains different tag 1505-PartyDetailsListRequestID, the short code may not match with tag 1505-PartyDetailsListRequestID from the cancel acknowledgement.  In this case, customers must be aware the cancel is accepted and acknowledged with the value from cancel request.

For example, given that PartyDetailID 1 and PartyDetailID 2 belong to the same session and firm:

  • PartyDetailID  1 with executor EXEC1 and IDMShortCode IDM1
  • PartyDetailID  2 with executor EXEC2  and IDMShortCode IDM2

If customer submits new order with PartyDetailID = 1, and cancel this same order with PartyDetailID = 2,  CME Globex will return PartyDetailID = 1 on the cancel acknowledgement. 

Messages missing the tags or containing an unregistered value will be rejected with:

  • Business Reject message with tag 380=5 (required field missing) and
    • Tag 58='Tag 5290 (Executor) required field missing'
    • Tag 58='Tag 36023 (IDMShortCode) required field missing'
    • Tag 58='Tag 5290 (Executor) not registered'
    • Tag 58='Tag 36023 (IDMShortCode) not registered

Tag 5290-Executor and tag 36023-IDMShortcode are available in New Release for customer testing. To facilitate client development and certification, in New Release the presence of these tags will be validated but the values are not required to be registered.

Tag

Field Name

Binary Type

Binary Length

Req

Description

5290ExecutoruInt64NULL8N

Will be populated with the MIFID short code for the person or algo responsible for the execution of the order within firm. Short Code will be referring to a person or algo which will be mapped to National ID or Algo at reporting time.

Applicable for EU BrokerTec and EBS MiFID.

36023IDMShortcodeuInt64NULL8N

Represents the MIFID Short Code of the Investment Decision Maker.

Applicable for EU BrokerTec and EBS MiFID.

  • Tag 5677-SourceRepoID and Tag 37715-MaxNoOfSubstitutions will be added to the Security Definition Request and Security Definition Response messages:

Tag

Field Name

Binary Type

Binary Length

Req

Description

37715MaxNoOfSubstitutionsuInt8NULL1NMax number of substitutions allowed. The value '0' indicates substitutions are not allowed.
5677SourceRepoIDInt32NULL4NRepresents the source Repo instrument on which the new custom Repo should be modeled.

New Repeating Group

A new repeating group for MIFID reporting will be added to the following messages:

  • Party Details Definition Request 
  • Party Details Definition Request Acknowledgment
  • Party Details List Report

Tag

Name

Binary Type

Binary Length

Req

Enumeration

Description

2668

NoTrdRegPublications

groupSize

3

N


Number of regulatory publication rules in repeating group

Used to indicate that an ESCB customer can exempt from disclosure any activity that is related to central banking activity

Should always be "1" if used; otherwise set to '0'

→2669

TrdRegPublicationType

uInt8

1

Y

2=Exempt from Publication

Specifies the type of regulatory trade publication

Additional reasons for the publication type will be specified in tag 2670-TrdRegPublicationReason

Represents allowable exemptions for the post-trade publication of trade transactions

Should always be "2"

→2670

TrdRegPublicationReason

uInt8

1

Y

12=Exempted due to European System of Central Banks (ESCB) policy transaction

Additional reason for trade publication type specified in tag 2669-TrdRegPublicationType (2669)

Reasons may be specific to regulatory trade publication rules

Should always be "12"

A new repeating group will be added to the following message types to support binary trade reporting:

  • Execution Report Trade Outright
  • Execution Report Trade Spread
  • Execution Report Trade Spread Leg

Tag

Name

Req

Binary Type

Binary Length

Description

1795

NoOrderEvents

N

groupSize

3

Number of fills which comprise fill quantity

→1799

OrderEventPx

Y

PRICE9

8

Refers to the fill price; same as tag 31-LastPx

→1802

OrderEventText

N

String5

5

Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades

→1797

OrderEventExecID

Y

uInt32

4

This is a unique ID which ties together a specific fill between two orders; It will be unique per instrument per day

→1800

OrderEventQTY

Y

uInt32

4

Refers to the specific fill quantity between this order and the opposite order

→1796

OrderEventType

Y

OrderEventTye

1

The type of event affecting an order

  • 4=Partially Filled
  • 5=Filled

→1798

OrderEventReason

Y

uInt8

1

Action that caused the event to occur. 100=Binary Trade Reporting

For more information please see also: iLink 3 STP Reconciliation.

A new repeating group will be added to the following message types to support Trade Cancel and Trade Adjustments:

  • Execution Report Trade Addendum Outright 
  • Execution Report Trade Addendum Spread
  • Execution Report Trade Addendum Spread Leg

Tag

Name

Req

Binary Type

Binary Length

Description

1795

NoOrderEvents

N

groupSize

3

Number of fills which comprise fill quantity

→1799

OrderEventPx

Y

PRICE9

8

For Trade Cancel, refers to price of the canceled trade.

For Trade Correction, refers to the new fill price.

→1802

OrderEventText

N

String5

5

Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades

→1797

OrderEventExecID

Y

uInt32

4

This is a unique ID which ties together a specific fill between two orders; It will be unique per instrument per day

→1800

OrderEventQTY

Y

uInt32

4

Refers to the specific fill quantity between this order and the opposite order

→1796

OrderEventType

Y

TradeAddendum

1

The type of event affecting an order

  • 4=Partially Filled
  • 5=Filled
  • 100=Trade Cancel
  • 101=Trade Correction

→1798

OrderEventReason

Y

uInt8

1

Action that caused the event to occur. 100=Binary Trade Reporting

→6555

OriginalOrderEventExecID

N

uInt32NULL

4

Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted.

Will not be present on the following message types

  • Execution Report Trade Outright
  • Execution Report Trade Spread
  • Execution Report Trade Spread Leg

The following fields are required for CME Group futures and options, but optional for BrokerTec products:

The following fields are required for BrokerTec products. iLink3 will reject BrokerTec messages when these tags are not populated, even though they are not a regulatory requirement for BrokerTec markets.  

  • tag 1693-PartyDetailRole=118 (Operator)
  • tag 5392-SenderID
  • tag 9537-Location

New Message Type

Execution Acknowledgement Message (35=BN)

The Execution Report Acknowledgment message notifies CME Globex that a particular fill has either been accepted or rejected by a counterparty for EU bilateral trades.

More information regarding Bilateral Accept/Reject Trading can be found in the "CME Globex BrokerTec Market Functionality" document, which is available in the BrokerTec Support Portal.

Duplicate Order Validation

This topic provides information about iLink 3 duplicate order check. The Securities Exchange Act Rule 15c3­5 – Risk Management Controls for Brokers or Dealers with Market Access requires that financial risk management controls and supervisory procedures be reasonably designed to systematically limit the financial exposure of the broker­ dealer that could arise as a result of market access.  The iLink 3 duplicate order check is designed to address this risk by:

  • Supporting valid trading activity, and
  • Preventing the entry of erroneous orders by rejecting orders that that indicate duplicative orders over a short period of time
The duplicate order check functionality is only applicable to BrokerTec US and not BrokerTec EU.

To protect market participants from the negative effects of erroneous orders messaging, CME Globex has implemented the duplicate order check for iLink 3 Binary Order Entry as described below.

Message submitted by the client system on an iLink 3 session are monitored by the number of duplicate messages sent over a predefined time interval with the same:

  • Tag 35-MsgType
  • Tag 48-SecurityID
  • Tag 54-Side
  • Tag 44-Price
  • Tag 38-Order Quantity
  • Tag 59-Time in force (0 or 3)
  • Tag 110-Minimum Quantity
  • Tag 1138-Display Quantity
  • Tag 1693 (PartyDetailRole =1)-Executing Firm
  • Tag 39006-Session
  • Tag 5392-SenderID

The time interval begins with the first duplicate message processed. At the end of the interval, if no violation has occurred, the message count and interval reset pending the next duplicate message processed. 

  • The trigger for rejecting a duplicate order/modify is receiving consecutive messages with the same information in the fields as outlined above for API users (Tag 1028=N) that has exceeded the configurable threshold of duplicate orders allowed over a rolling window.

If an iLink 3 session exceeds the duplicate orders threshold, subsequent new order messages will be rejected via a Business Level Reject (tag 35-MsgType=j) message with tag 380-BusinessRejectReason = 119 - Duplicate Order Threshold Exceeded until the duplicate order messages allowed over a rolling window falls below the threshold.

  • For Automated Duplicate Order Threshold Exceeded (tag 1028-ManualOrderIndicator= 0), the Business Level Reject message will be sent with tag 58-Text = Automated Duplicate Order Threshold Exceeded Reject. Current Duplicate Order Count
  • For Manual Duplicate Order Threshold Exceeded (tag 1028-ManualOrderIndicator r=1), the Business Level Reject message will be sent with tag 58-Text = Manual Duplicate Order Threshold Exceeded Reject. Current Duplicate Order Count: x

The duplicate order check will include only this message type:

  • New Order Single

The following messages types will reset the duplicate message count and interval reset back to 0

  • Order Cancel Replace Request
  • Order Cancel Request
  • Order Mass Action Request
  • Order Mass Status Request
  • Order Status Request
  • Mass Quote
  • Security Definition Request

The duplicate order thresholds for New Order Single message are:

New Order Single

Tag 1028-Manual OrderIndicator

Reject Threshold

Interval

Automated  Order

N

100

100 millisecond window

Manual Order

Y

20

One-second window

Cancel on Disconnect

All iLink 3 sessions are Cancel on Disconnect (CoD) mandatory. The COD functionality allows users to have working orders automatically canceled upon an ungraceful session disconnect. Detailed information on CoD is available in Risk Management Services.

The existing BrokerTec CoD allows users to have working orders automatically canceled upon any session disconnect. The new BrokerTec CoD on CME Globex will NOT be invoked for a graceful disconnect – a voluntary termination performed by the client system which initiate termination of the connection. This involves the successful completion of each of the following steps:

  • Client system sends Terminate request
  • CME Group sends Terminate response
  • Client system receives the Terminate response

For a graceful session disconnect, it is the Client's responsibility to cancel all working orders before sending a Terminate message in order to have all working orders cancelled. 

On BrokerTec Global Front End Application (GFE) on CME Globex, all working orders are cancelled on behalf of GFE customers in the event of any customer disconnect, even when graceful disconnect.  Upon reconnect, the customer will receive an iLink 3 Execution Report - Cancel or iLink 3 Order Mass Action Report message confirming cancellation.
CME Globex BrokerTec  does not support route-through functionality. For information on route-throughs refer to section 1.6 of the iLink Session ID Policy.
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