Answering Your Questions about Committed Cross on FX Link

CME Group is launching Committed Cross functionality on CME FX Link – the only cleared, electronic, bilateral swap – effective Sunday, July 26, 2020 for trade date Monday, July 27, 2020*.

In summary: Increasing functionality, expanding access to liquidity

We will enable pre-execution communications for Request for Cross (“RFC”) protocols to permit Committed Cross (“C-Cross”) transactions for CME FX Link on the CME Globex electronic trading platform (“CME Globex”) with a Better Price or Volume Match (“BPVM”) percentage equal to 50%.

Explore our resources to find out more:

Learn about the functionality

See different use cases

Below is a detailed FAQ regarding Committed C-Cross transactions on CME FX Link

  1. What is a Committed Cross?
  2. What are pre-execution communications?
  3. What is CME FX Link?
  4. Does C-Cross require additional fees?
  5. What does the acronym BPVM percentage mean?
  6. How does BPVM percentage work?
  7. What is the BPVM percentage for CME FX Link?
  8. What quantity of the RFC order is eligible for the BPVM percentage where the price is not improved upon?
  9. What happens if the RFC price matches or is outside the best bid or offer in the CME Globex central limit order book after the five (5) seconds following submission of the RFC?
  10. When can C-Cross be entered into CME Globex?
  11. Do I need a broker to execute a C-Cross transaction?
  12. How are C-Cross trades communicated to market participants?
  13. How does BPVM work if the price and quantity are bettered?
  14. How does BPVM work if the quantity was improved on submission but another market participant uses the five second pre-cross window to improve the quantity in the order book to some or all of the RFC ticket?
  15. What is the five (5) pre-cross window?
  16. Can a C-Cross order be cancelled during five second pre-cross window?
  17. Can a C-Cross order be amended during five second pre-cross window?
  18. Why use C-Cross in FX Link?
  19. What platforms support C-Cross functionality?
  20. Where can I find the Market Regulation Advisory Notice on Pre-Execution Communications?
  21. Where can I find a complete list of eligible products and associated crossing protocols?

1. What is a Committed Cross?

A Committed Cross (“C-Cross”) is a method of execution that permits market participants transacting financial futures and options to engage in pre-execution communications pursuant to CME Rule 539 to discuss trade size, price, and direction prior to order entry into the CME Globex electronic trading system.

In a C-Cross, subsequent to the pre-execution communication, a Request for Cross order must contain both the buy and the sell orders and be entered into CME Globex. Upon entry of the RFC, CME Globex will display an indication that a cross has been committed to the market and will occur in five seconds.


2. What are pre-execution communications?

Pre-execution communications are defined as communications between market participants for the purpose of discerning interest in the execution of a transaction prior to the exposure of the order to the market. Any communication that involves discussion of the size, side of market or price of an order, or a potentially forthcoming order, constitutes a pre-execution communication.

CME Rule 539.C. allows parties to engage in pre-execution communications with regard to transactions executed on the CME Globex platform where one party wishes to be assured that a contra party will take the opposite side of the order provided they follow the appropriate guidance protocols for execution.


3. What is CME FX Link?

CME Group introduced CME FX Link in 2018 as the first-ever electronic central limit order book that permits basis spread trading between over-the-counter (“OTC”) spot FX and CME FX futures markets, providing OTC FX market participants with a more efficient way to access and use CME FX futures as part of their overall trading activity.  The current product set includes eight (8) basis trade transactions covering the Australian dollar (“AUD”), Canadian dollar (“CAD”), Swiss franc (“CHF”), Euro (“EUR”), British pound (“GBP”), Japanese yen (“JPY”), Mexican peso (“MXN”), and New Zealand dollar (“NZD”).


4. Does C-Cross require additional fees?

C-Cross does not require additional clearing or trading fees.  C-Cross fees are identical to the clearing and trading fees for regular FX Link transactions on CME Globex.  For more information, please see the CME Foreign Exchange Product Fee Schedule.


5. What does the acronym BPVM percentage mean?

Better Price or Volume Match percentage


6. How does BPVM percentage work?

CME Group is enhancing the Better Price Matching (“BPM”) algorithm to adopt a volume component in addition to the existing best price level component, becoming a Better Price or Volume Match (“BPVM”).  If the price of the Request for Cross (“RFC”) represents a new best price level (both a bid price higher than the current bid and an offer price lower than the current offer), or if the price of the RFC is equal to the best bid or offer and the quantity of the RFC is greater than the quantity at that current best bid or offer at the time of submission of the RFC to CME Globex, and, during the five (5) second period between the entry of the RFC and the cross occurring, a better price for either the buy or sell order has not been entered into CME Globex, fifty (50) percent of the quantity (“BPVM allocation”) on the RFC will cross at the RFC price.


7. What is the BPVM percentage for CME FX Link?

CME FX Link has a BPVM percentage of 50 percent.


8. What quantity of the RFC order is eligible for the BPVM percentage where the price is not improved upon?

In circumstances where the price of the RFC is equal to the best bid or offer and the quantity of the RFC is greater than the quantity at that current best bid or offer, the quantity eligible for the BPVM is the difference between the RFC quantity and the quantity at that current best bid or offer.


9. What happens if the RFC price matches or is outside the best bid or offer in the CME Globex central limit order book after the five (5) seconds following submission of the RFC?

The applicable side of the RFC order will match against the orders in the book at a price better than or equal to the RFC price. Immediately thereafter, 100%of the smaller quantity remaining on one side of the RFC will match against the order on the opposite side of the RFC at the RFC price.


10. When can C-Cross be entered into CME Globex?

C-Cross transactions in financial futures and options can be entered into CME Globex during CME Globex trading hours:  Sunday – Friday, 5 p.m. – 4 p.m. Central Time or 6 p.m. – 5 p.m. Eastern Time.


11. Do I need a broker to execute a C-Cross transaction?

No. Whilst a broker can be used to enter a trade on behalf of two clients, a client who has made arrangements with their clearing member firm to access a give-up account to trade a C-Cross with another counterparty with the same clearing member firm can directly enter a C-Cross order into CME Globex themselves.


12. How are C-Cross trades communicated to market participants?

Once a C-Cross ticket is submitted by a broker on behalf of a client or by the client into CME Globex, CME Globex displays a message notifying all market participants that a cross transaction has been committed to the market for execution in five seconds.


13. How does BPVM work if the price and quantity are bettered?

If the C-Cross price and quantity do not improve the price and quantity of the CME Globex central limit order book, then the C-Cross is not BPVM eligible.


14. How does BPVM work if the quantity was improved on submission, but another market participant uses the five second pre-cross window to improve the quantity in the order book to some or all of the RFC ticket?

If the quantity of the C-Cross is greater than the quantity at that current best bid or offer at the time of submission of the C-Cross to CME Globex, and if during the five (5) second period between the entry of the C-Cross and the cross transaction occurring, a better quantity has been entered into CME Globex, then the C-Cross is not BPVM eligible.


15. What is the five (5) second pre-cross window?

The 5-second pre-cross window is the period between the submission of a C-Cross order into CME Globex and its subsequent execution.


16. Can a C-Cross order be cancelled during the five second pre-cross window?

No, a C-Cross transaction is an order committed for execution. Once a C-Cross order is entered into CME Globex, it cannot be cancelled.


17. Can a C-Cross order be amended during the five second pre-cross window?

No, a C-Cross transaction is an order committed for execution. Once a C-Cross ticket is entered into CME Globex, a C-Cross order cannot be amended.


18. Why use C-Cross in FX Link?

By introducing C-Cross functionality to CME FX Link, CME Group is providing market participants with the opportunity to engage in pre-execution communications on size, price, and direction prior to entry of orders into CME Globex.

For example, it will be useful during periods when the market resiliency of the CME Globex central limit order book makes it difficult to work a CME FX Link order over a period of time or when aggressing a CME FX Link order into the CME Globex CLOB across at multiple levels makes it impractical to trade size cost-effectively.

In these situations, CME FX Link market participants could choose to use C-Cross functionality on CME Globex to execute large transactions at single prices. This method of execution provides additional optionality to further bolster liquidity in CME FX Link, while offering a new channel to support participants and access to the marketplace.


19. What platforms support C-Cross functionality?

C-Cross functionality is supported on CME Direct.

See the full list of Independent Software Vendors (“ISVs”) here


20. Where can I find the Market Regulation Advisory Notice on Pre-Execution Communications?

It can be found here.


21. Where can I find a complete list of C-Cross eligible products and associated crossing protocols?

It can be found here



For more information or to discuss any of the detail here, please contact us at fxteam@cmegroup.com


*Pending all relevant Commodity Futures Trading Commission (“CFTC”) regulatory review periods