• CME STP Notices: August 27, 2020

      • To
      • CME STP Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20200827
      • Notice Date
      • 27 August 2020

    • Topics in this issue include:

    • For the latest roadmap of CME Group technology initiatives:

      See the Development Launch Schedule.

      CME STP

      Enhancement to CME STP Transaction Type - Postponed

      The previously announced changes for new trades on CME STP submitted through CME ClearPort to be reported using TransTyp=”0” (New) has been postponed.

      A new production launch date for this change on CME STP will be announced in future CME STP notices.

      Name Abbr Datatype Description Enumerations
      TransactionType TransTyp int Indicates the action being taken on a trade. 0 - New
      1 - Cancel
      2 - Replace

       

      This enhancement is available in the New Release for customer testing.

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      BrokerTec Stream on CME STP  - December 7

      Effective Monday, December 7, to support the integration of BrokerTec markets with CME Group technology, US Treasury trades executed on the BrokerTec Stream platform will be published on CME STP and CME STP FIX.

      These trades will be identified by the following new enumerations on CME STP:

      • Venue type indicator for quote-driven market
      • Input source identifying the BrokerTec Stream platform
      Name Abbr Datatype Description Enumerations
      Venue Type VenuTyp char Identifies the type of venue where the trade was executed. Q - Quote-driven market
      Input Source InptSrc String The original system from which the trade originated. BTD - BrokerTec Stream

      Please Note: All CME STP users entitled for BrokerTec are automatically entitled to receive both BrokerTec markets and BrokerTec Stream trades.

      These changes will be available in the New Release for customer testing on Monday, October 5.

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      CME STP Support of BrokerTec Markets - Q4

      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 Note: Client systems that submit subscriptions for trades with dates covering the cut-over weekends will receive trades executed in the previous week.

      For more information, including specifications and workflows, please review the Client Impact Assessments.

      These enhancements will be available for customer testing in New Release as follows:

      New Release Availability
      Functionality Availability
      BrokerTec US Active, EGB and Gilts Markets
      • Trade Capture Reports
      		 Available
      BrokerTec US and EU Repo Markets
      • Trade Capture Reports
      		 Available
      All BrokerTec markets
      • Trade Capture Reports and Collateral reports
      		 Available

      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

      CME STP FIX Migration and Messaging Enhancements - August 30

      Starting this Sunday, August 30 (trade date Monday, August 31), CME Group will implement the following changes to CME STP FIX.

      • Session migrations (in Production only)
      • Changes to tag ordering in message header
      • Changes to unauthorized request response
      • Enhancing the Reject message text for missing mandatory tags
      • Changes to MLegRptTyp (Tag 442) default behavior
      • Validation of Trade Capture Report Request (AE) message

      These changes ware currently available for client testing in the New Release.

      Details of these changes to CME STP FIX are provided below:

      Session Migrations

      Production: Starting Monday, August 31, in a phased migration, customers will need to connect to new source IP addresses and URLs to access CME STP FIX. Please contact your Global Account Manager with for additonal information.

      New Release: There are no migrations required for New Release sessions. Clients will not experience source IP or URL changes. To ensure a smooth migration, customers are strongly encouraged to test the following messaging enhancements in New Release.

      Changes to tag ordering in message header

      The tag ordering for all CME STP FIX messages will be harmonized to simplify client support. Previously specific message types (Logon Ack, Logoff Ack, Heartbeat, Reject, TradeCaptureReport Ack, TradeCaptureReport and CollateralReport) used a different ordering.

      Current STP FIX message Header New STP FIX message header
      49 (SenderCompId)
      56 (TargetCompId)
      34(SeqNum)
      50 (SenderSubId)
      57 (TargetSubId)
      52 (SendingTm)

       

      		 34(SeqNum)
      49 (SenderCompId)
      50 (SenderSubId)
      52 (SendingTm)
      56 (TargetCompId)
      57 (TargetSubId)

       

      Changes to unauthorized request response

      Currently, CME STP FIX does not publish a response message to queries for unentitled Party IDs.

      With this change, the query for unentitled Party IDs will be rejected and an authorization failed message sent to clients. CME STP FIX sends Trade Capture Report Request Ack (tag 35-MsgType=AQ) – Reject with tag 750-TradeRequestStatus = 2 (Rejected) and tag 749-TradeRequestResult = 9 (Unauthorized for Trade Capture Report Request) Tag 58-Text ="Authorization FAILED”

      Enhancing the Reject Message text for missing mandatory tags

      Currently, the reject message text in tag 58-Text in the Trade Capture Report Request Ack (tag 35-MsgType=AQ) reject message for invalid messages describes the high-level FIX error. For example: tag 58=Unsupported Request Type: Illegal Request Type

      With this launch, the reject message will explicitly identify the missing mandatory tag in the Reject message.

      Example 1: 58=Field was not found in message, field=<Tag Number>

      Example 2: 58=Field not valid: 452=77

      Changes to MLegRptTyp (Tag 442) implementation

      Currently the value in Tag 442-MLegRptTyp in the Trade Capture Report Request message resolves to a default value of ‘2’ for clients using 3rd party client applications even when submitted as ‘3’.

      With this change, CME STP FIX will harmonize behavior for MLegRptTyp so that 442 will be optional for all users and will only default to ‘2’ if not sent. If tag 442 is sent on the request, CME Group will respond accordingly to the submitted value.

      Validation of Trade Capture Report Request (AD) message

      Currently, a client system Trade Capture Report Request (tag 35-MsgType=AD) for trades (tag 580-NoTradeDates) spanning more than one trade date (tag 75-TradeDate), will be acknowledged with only one trade for the given trade date.

      With this change, CME STP FIX will only send the first trade message for requested trade date (tag 75-TradeDate) and also send a reject message with Trade Capture Report Request Ack (tag 35-MsgType=AQ) – Reject with tag 750-TradeRequestStatus = 2 (Rejected) and Tag 58-Text =” 58=Field not valid” for a subscription request with more than one trade date.

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      Enhancement to CME STP FIX Transaction Type - Postponed

      The previously announced changes for new trades on CME STP FIX submitted through CME ClearPort to be reported using TransTyp=”0” (New) has been postponed.

      A new production launch date for this change on CME STP FIX will be announced in future CME STP notices.

      Name FIXML Abbr Req Format Description Enumerations
      TradeReportTransType TransTyp N int Indicates the action being taken on a trade.
      • 0 - New
      • 1 - Cancel
      • 2 - Replace

      This enhancement is available in the New Release for customer testing.

      Back to Top

      BrokerTec Stream on CME STP FIX - December 7

      Effective Monday, December 7, to support the integration of BrokerTec markets with CME Group technology, US Treasury trades executed on the BrokerTec Stream platform will be published on CME STP and CME STP FIX.

      These trades will be identified by the following new enumerations on CME STP FIX:

      • Venue type indicator for quote-driven market
      • Input source identifying the BrokerTec Stream platform
      FIX Tag Required Format Description New Enumeration
      1430-VenueType N char Identifies the type of venue where a trade was executed. Q - Quote-driven market
      578-TradeInputSource N String Used to limit snapshot and subscription requests to a specific trade input source BTD - BrokerTec Stream

      Please Note: All CME STP users entitled for BrokerTec are automatically entitled to receive both BrokerTec markets and BrokerTec Stream trades.

      These changes will be available in the New Release for customer testing on Monday, October 5.

      Back to Top

      CME STP FIX 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 Note: Client systems that submit subscriptions for trades with dates covering the cut-over weekends will receive trades executed in the previous week.

      For more information, including specifications and workflows, please review the Client Impact Assessments.

      These enhancements will be available for customer testing in New Release as follows:


      New Release Availability
      Functionality Availability
      BrokerTec US Active, EGB and Gilts Markets
      • Trade Capture Reports
      		 Available
      BrokerTec US and EU Repo Markets
      • Trade Capture Reports
      		 Available
      All BrokerTec markets
      • Trade Capture Reports and Collateral reports
      		 Available

      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:

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