- 28 Jul 2020
- By CME Group
- What is a Committed Cross?
- What are pre-execution communications?
- What products are C-Cross eligible?
- How does a C-Cross Work?
- Does C-Cross require additional fees?
- What does the acronym BPVM percentage mean?
- How does BPVM percentage work?
- What quantity of the RFC order is eligible for the BPVM percentage where the price is not improved upon?
- 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?
- Can I bunch multiple market maker orders in an RFC?
- How are C-Cross trades communicated to market participants?
- What is the five (5) pre-cross window?
- Can a C-Cross order be cancelled during five second pre-cross window?
- Can a C-Cross order be amended during five second pre-cross window?
- What platforms support C-Cross functionality?
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.
Pre-execution communications are defined in the Market Regulation Advisory Notice on Rule 539.
A complete list of eligible products and associated crossing protocols can be found here.
Request for Cross (RFC) is sent to the market beginning a pre-cross period
- The RFC will indicate to the market that a cross has been committed to in a specific instrument, (e.g. GE Eurodollar June 21 98.50 Straddle). The indication to the market will not show size or pricing information.
- Market Participants will have a 5 second pre-cross period to respond with their best market before the cross interacts with the order book.
- A Better Price or Volume Match (BPVM) allocation may provide a guaranteed percentage of the cross order to the broker provided:
- 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.
An Example for C-Cross of 500 contacts at a price of 8
Market 7 bid 1,000 – 1,000 at 9 when C-Cross is entered. Cross is BPVM eligible as cross price of 8 bettered the market.
Market 8 bid 200 – 1,000 at 9 when C-Cross is entered. Cross is BPVM eligible as the cross quantity at the price of 8 bettered the quantity. BPVM is eligible on 300 contracts (500 cross quantity – 200 on the 8 bid).
Market 8 bid 1,000 – 1,000 at 9 when C-Cross is entered. Cross is NOT BPVM eligible as cross price of 8 didn’t improve the price or the quantity
No, C-Cross does not require additional clearing or trading fees. C-Cross fees are identical to the clearing and trading fees for regular CME Globex transactions.
Better Price or Volume Match percentage
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, a certain percentage of the quantity (“BPVM allocation”) on the RFC will cross at the RFC price.
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.
An Example for C-Cross of 500 contacts at a price of 8
Market 8 bid 200 – 1,000 at 9 when C-Cross is entered. Cross is BPVM eligible as the cross quantity at the price of 8 bettered the quantity. BPVM is eligible on 300 contracts (500 cross quantity – 200 on the 8 bid).
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 percent 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.
Yes, please see the requirements for Bunched RFC Suspense Accounts here.
Once a C-Cross ticket is submitted by a broker on behalf of a client or 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 5 seconds.
The 5-second pre-cross window is the period between the submission of a C-Cross order into CME Globex and its subsequent execution.
A C-Cross transaction is an order committed for execution. Once a C-Cross order is entered into CME Globex it cannot be cancelled.
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.
C-Cross functionality is supported on CME Direct.
A full list of Independent Software Vendors (“ISVs”) can be found here.
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