• CME STP Notices: January 28, 2021

      • To
      • CME STP Customers
      • From
      • Global Market Solutions & Services (GMSS)
      • #
      • 20210128
      • Notice Date
      • 28 January 2021

    • Topics in this issue include:

    • For the latest roadmap of CME Group technology initiatives:

      See the Development Launch Schedule.

      CME STP

      CME STP Support of US BrokerTec Markets - February 1

      To support the integration of US BrokerTec markets with CME Group technology and subject to applicable regulatory approvals, transactions executed on CME Globex, BrokerTec Stream, and registered external deals will be available for consumption on CME STP and CME STP FIX on February 1.

      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 Assessment.

      The following enhancements are currently available for customer testing in New Release:

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

      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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      BrokerTec Stream on CME STP - February 1

      Effective Monday, February 1, 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
      Field Name FIXML
      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 are currently available in the New Release for customer testing.

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      UpdateUpdate - New Aggressor Indicator Flag on CME STP - February 21

      † Denotes update to the article

      Effective Sunday, February 21 (trade date Monday, February 22), CME Group will add a new field Aggressor Indicator (TrdCaptRpt/RptSide/@AgrsrInd) to the CME STP TradeCaptureReport (AE) message.

      New Aggressor Indicator Flag on CME STP
      Field Name FIXML Attribute Name Data Type Description Supported Values
      AggressorIndicator AgrsrInd Boolean Used to identify whether or not the order initiator is an aggressor in the trade Y - Order initiator is aggressor
      N - Order initiator is passive

      This enhancement will be available for customer testing in New Release on †Wednesday, February 10.

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      Enhancements for Exercise and Assignment Trades on CME STP - February 22

      Effective Monday, February 22, exercise and assignment for options trades will be supported on CME STP with new trade Exercise and Assignment values in the TradeCaptureReport (/TrdCaptRpt) message as follows:

      Enhancements for Exercise and Assignment Trades on CME STP
      Field Name FIXML Abbr Required Format Description Enumerations
      Trade Type TrdTyp N char Transformation Trades values 45-Exercise/Assignment Transformation
      Clearing Transformation Type ClrTransTyp N char Indicates the type of Clearing Transformation that generated this Trade 1- Exercise
      2-Assignment
      3-General Transformation
      4-Delivery
      5-Fungible
      Contrary Instruction Indicator CntraryInstrctnInd N char Used to indicate when a contrary instruction for exercise or abandonment is being submitted Y-YES

      N-NO
      Option Exercise Time Frame OptExerTmFm N char For Exercise/Assignment Transformation, this indicates whether or not the resulting Future was the result of an Early Exercise Instruction (Prior to Settlement Date) 1-Early

      2-Expiration

      Clients are strongly encouraged to test the messaging enhancements in New Release. Client systems certified for CME STP are not required to recertify.

      This change is currently available for customer testing in New Release.

      Back to Top

      CME STP FIXML API Connectivity Documentation 

      The CME STP FIXML documentation have been updated with enriched network configuration information. To access CME STP APIs, clients must create a Domain Name Service (DNS) record in their systems to associate the DNS name and IP address or they will receive certificate errors.

      The CME STP FIXML API use certificates signed by a trusted Certificate Authority (CA) and customers do not need to install additional certificates.

      For details see the CME STP FIXML API connectivity.

      Back to Top

      CME STP FIX

      CME STP FIX Support of US BrokerTec Markets - February 1

      To support the integration of US BrokerTec markets with CME Group technology and subject to applicable regulatory approvals, transactions executed on CME Globex, BrokerTec Stream, and registered external deals will be available for consumption on CME STP and CME STP FIX on February 1.

      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 Assessment.

      The following enhancements are currently available for customer testing in New Release:

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

      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

      Back to Top

      BrokerTec Stream on CME STP FIX - February 1

      Effective Monday, February 1, 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 Field Name 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 are currently available in the New Release for customer testing.

      Back to Top

      UpdateUpdate - Flag on CME STP FIX - February 21

      † Denotes update to the article

      Effective Sunday, February 21 (trade date Monday, February 22), CME Group will add a new field Aggressor Indicator (TrdCaptRpt/RptSide/@AgrsrInd) to the CME STP TradeCaptureReport (AE) message.

      New Aggressor Indicator Flag on CME STP FIX
      FIX Tag Field Name FIXML Attribute Name Data Type Description Supported Values
      1057 AggressorIndicator AgrsrInd Boolean Used to identify whether or not the order initiator is an aggressor in the trade Y - Order initiator is aggressor
      N - Order initiator is passive

      This enhancement will be available for customer testing in New Release on †Wednesday, February 10.

      Back to Top

      Enhancements for Exercise and Assignment Trades on CME STP FIX - February 22

      Effective Monday, February 22, exercise and assignment for options trades will be supported on CME STP with new trade Exercise and Assignment values in the TradeCaptureReport (MsgType 35=AE) message as follows.

      Enhancements for Exercise and Assignment Trades on CME STP FIX
      FIX Tag FIXML Abbr Required Format Description Enumerations
      828 Trade Type N char Transformation Trades values 45-Exercise/Assignment Transformation
      99400 Clearing Transformation Type N char Indicates the type of Clearing Transformation that generated this Trade 1- Exercise
      2-Assignment
      3-General Transformation
      4-Delivery Transformation
      5-Fungible
      719 Contrary Instruction Indicator N char Used to indicate when a contrary instruction for exercise or abandonment is being submitted Y-YES

      N-NO
      99401 Option Exercise Time Frame N char For Exercise/Assignment Transformation, this indicates whether or not the resulting Future was the result of an Early Exercise Instruction (Prior to Settlement Date) 1-Early

      2-Expiration

      Clients are strongly encouraged to test the messaging enhancements in New Release. Client systems certified for CME STP are not required to recertify.

      This change is currently available for customer testing in New Release.

      Back to Top

      CME STP FIX API Connectivity Documentation 

      The CME STP FIX documentation have been updated with enriched network configuration information. To access CME STP APIs, clients must create a Domain Name Service (DNS) record in their systems to associate the DNS name and IP address or they will receive certificate errors.

      The CME STP FIX API use certificates signed by a trusted Certificate Authority (CA) and customers do not need to install additional certificates.

      For details see the CME STP FIX API connectivity.

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      Contacts

      Please contact the following support teams for:

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