CME STP Notices: September 26, 2019

CME STP

BTIC+ and TACO+ Futures Supported on CME STP - October 6

Effective Sunday, October 6 (trade date Monday, October 7), and pending all relevant CFTC regulatory review periods, CME STP will support new BTIC+ and TACO+ futures products. These products introduce T-plus (T+) trading to the futures market, and allow execution of a basis trade relative to an upcoming official index close or open multiple days ahead of the settlement (t+settlement). These products can be traded via CME Globex or submitted using CME ClearPort.

In CME STP, the conversion from BTIC+/TACO+ to standard BTIC/TACO will be identified by:

• TrdCaptRpt/@TrdTyp=”3” (Transfer)
• TrdCaptRpt/@TrdSubTyp =“43” (TAM, BTIC, TACO)

Additionally, an offset message to the BTIC+/TACO+ will be available, which will be identified as follows:

• TrdCaptRpt/@TrdTyp=”3” (Transfer)
• /TrdCaptRpt/RptSide/@ClOrdID=”DLVR”

Please review the Special Executive Report and Frequently Asked Questions (FAQ) for additional information.

For more on the clearing process, see the Clearing House Advisory.

These products are currently available in New Release for customer testing.

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Mandatory Order Handling Flag on CME STP - Tag 1031 

Trades on CME Globex

As previously announced, effective Sunday, November 17, 2019 (trade date Monday, November 18), in conjunction with the Futures Industry Association (FIA) Execution Code Schema initiative, all orders on CME Globex must include the Customer Order Handling Instruction. CME STP already includes the CustOrderHandlingInst (TrdCaptRpt/RptSide/@CustOrdHdlInst) when available; with this change, all Trade Capture Reports for CME Globex trades will include this tag.

This enhancement is currently available for testing in New Release.

Additonal information is available in the CME Globex Notice.

Learn more on the FIA guidelines on how to identify the source of any order:

• Press Release
• Summary
• White paper

CME Direct Orders for CME Globex

This field is now populated for all trades from CME Direct orders on CME Globex.

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UpdateUpdate- CME STP Updates - Q4 2019

† Denotes update to the article

Effective Q4, 2019, the following CME STP Enhancements will be implemented:

• For greater accuracy in reporting:
  • Cleared Indicator (TrdCaptRpt/@Clrd) will be available for all trades at the Trade Capture Report level.
  • OrderID (TrdCaptRpt/RptSide@OrdID) will be available at the Report Side level to provide a unique Order identifier as assigned by broker. Uniqueness must be guaranteed within a single trading day. 

• To more easily identify the CME Globex Firm ID (GFID), Party Role 1 (R=1) will be populated with the GFID for all trades executed through CME Globex, and for group allocations that share a single SenderCompID.
  • The Trading Member Firm ID, previously found on Party Role 1, will be present on Party Role 1001 (R=1001).
  • Party Role 7 (Trading Firm) will continue to be populated for all trades and allocations provided on CME STP.

• For increased timestamp accuracy and consistency, the following timestamp enhancements will be implemented:
  • All timestamps will be sent in UTC+0 format.
  • All timestamps will be in nanosecond format. The timestamps will be populated with the maximum available precision and padded with zeros to 9 digits after the decimal point as needed.
  • Example:

     †2019-09-25T02:44:05.761-05:00

    Will become:

    †2019-09-25T07:44:05.761123456

These enhancements will be available for customer testing in New Release starting Tuesday, September 24.

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CME STP Support of BrokerTec Markets - Q4 2020

Effective Q4 2020 subject to applicable regulatory approvals, to support the integration of BrokerTec markets with CME Group technology, transactions executed on CME Globex, BrokerTec Direct, and registered external deals will be available for consumption on CME STP and CME STP FIX.

Please review the Client Impact Assessments for more information, including specifications and workflows.

• CME STP FIX Support for BrokerTec Trades
• CME STP FIXML Support for BrokerTec Trades

These enhancements will be available for customer testing in New Release Q4 2019.

For further information, contact CME STP Onboarding and General Information:

US: 1 212 299 2445
Europe: 44 20 3379 3797
Asia: 65 6593 5582
Email:STP@cmegroup.com

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CME STP FIX

BTIC+ and TACO+ Futures Supported on CME STP FIX - October 6

Effective Sunday, October 6 (trade date Monday, October 7), and pending all relevant CFTC regulatory review periods, CME STP will support new BTIC+ and TACO+ futures products. These products introduce T-plus (T+) trading to the futures market, and allow execution of a basis trade relative to an upcoming official index close or open multiple days ahead of the settlement (t+settlement). These products can be traded via CME Globex or submitted using CME ClearPort.

In CME STP FIX, the conversion from BTIC+/TACO+ to standard BTIC/TACO will be identified by:

• tag 828-TrdTyp=3 (Transfer)
• tag 829-TrdSubTyp=43 (TAM, BTIC, TACO)

Additionally, an offset message to the Forward BTIC +/TACO+ will be available, which will be identified as follows:

• tag 828-TrdTyp=3 (Transfer)
• tag 11-ClOrdID=”DLVR”

Please review the Special Executive Report and Frequently Asked Questions (FAQ) for additional information.

For more on the clearing process, see the Clearing House Advisory.

These products are currently available in New Release for customer testing.

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Mandatory Order Handling Flag on CME STP - Tag 1031 

Trades on CME Globex

As previously announced, effective Sunday, November 17, 2019 (trade date Monday, November 18), in conjunction with the Futures Industry Association (FIA) Execution Code Schema initiative, all orders on CME Globex must include the Customer Order Handling Instruction. CME STP FIX already includes the FIX tag 1031-CustOrderHandlingInst when available; with this change, all Trade Capture Reports for CME Globex trades will include this tag.

This enhancement is currently available for testing in New Release.

Additonal information is available in the CME Globex Notice.

Learn more on the FIA guidelines on how to identify the source of any order:

• Press Release
• Summary
• White paper

CME Direct Orders for CME Globex

This tag is now populated for all trades from CME Direct orders on CME Globex.

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UpdateUpdate - CME STP FIX Updates - Q4 2019

† Denotes update to the article

Effective Q4, 2019, the following CME STP FIX Enhancements will be implemented:

• To improve FIX compliancy, the following tags will be modified:
  • New tag 1853-SideAvgPxInd at the Report Side level will indicate if the trade is marked for average pricing allocation. Tag 819 will be deprecated.
  • New tag 1154-SideCurrency at the Report Side level will identify the currency of the trade side. Tag 15 will be deprecated.
    • Please Note: this tag is not sent for IRS or FRA trades.
  • New tag 37-OrderID at the Report Side level will provide a unique Order identifier as assigned by broker. Uniqueness must be guaranteed within a single trading day. 
  • Tag 1832-ClearedIndicator will be populated at the Trade Capture Report level for all trades. Currently this tag is only sent for Bilateral and Cleared Elsewhere (BaCE) trades.
• For increased timestamp accuracy and consistency, the following timestamp enhancements will be implemented:
  • All timestamps will be sent in UTC+0 format.
  • All timestamps will be in nanosecond format. This timestamps will be populated to the maximum available precision and padded with zeros to 9 digits after the decimal point as needed.
  • Example:

      †20190925-09:08:06.017

    Will become:

     †20190925-09:08:06.017123456

  To more easily identify the CME Globex Firm ID (GFID), Party Role 1 (R=1) will be populated with the GFID for all trades executed through CME Globex, and for group allocations that share a single SenderCompID:

  • The Trading Member Firm ID, previously found on Party Role 1, will be moved to Party Role 1001 (R=1001).
  • arty Role 7 (Trading Firm) will continue to be populated for all trades and allocations provided on CME STP FIX.

These enhancements will be available for customer testing in New Release starting Wednesday, September 25.

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CME STP Support of BrokerTec Markets - Q4 2020

Effective Q4 2020 subject to applicable regulatory approvals, to support the integration of BrokerTec markets with CME Group technology, transactions executed on CME Globex, BrokerTec Direct, and registered external deals will be available for consumption on CME STP and CME STP FIX.

Please review the Client Impact Assessments for more information, including specifications and workflows.

• CME STP FIX Support for BrokerTec Trades
• CME STP FIXML Support for BrokerTec Trades

These enhancements will be available for customer testing in New Release Q4 2019.

For further information, contact CME STP Onboarding and General Information:

US: 1 212 299 2445
Europe: 44 20 3379 3797
Asia: 65 6593 5582
Email:STP@cmegroup.com

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Contacts

Please contact the following support teams for:

• New Release Environment Support:
  Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593.
• Production Environment Support:
  CME Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010.

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