CME STP Notices: April 8, 2021

CME STP

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.

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BrokerTec Production Service Availability 

CME STP service for BrokerTec markets is available in production beginning 2 PM Central Time Sunday through 10 PM Central Time Friday. Internal testing could occur on weekends in the production environment (10 PM Central Time Friday through 2 PM Central Time Sunday).

Customers should only connect during the time of service availability.

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UpdateUpdate - Changes to Italian Repo Collateral Clean Price - Postponed

† Denotes update to the article

†Changes to Italian repo collateral clean price previously scheduled for Sunday, April 11, have been postponed. A new date will be published in future notices.

†With this change, CME Group will support increased price granularity on Trade Capture Report (/TrdCaptRpt/Undly/@Px) and Collateral Report (/CollRpt/@Px) for the Clean Price of all Italian Repo collateral of up to 6 decimals.

†Currently, CME Group supports a maximum of 2 decimals.

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

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Update on Enhancements for Exercise and Assignment Trades on CME STP - April 12

Effective Monday, April 12, 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:

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 Transformation 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.

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NewNew - Enhancement to Security Sub Type for Exercise and Assignments on Options - June 6

Effective Sunday, June 6 (trade date Monday, June 7), to clearly represent fee and grouping criteria for Exercise and Assignments on options, the TrdCaptRpt/Instrmt/@SubTyp values will be populated as applicable when customer initiates an allocation.

Currently, TrdCaptRpt/Instrmt/@SubTyp values are not populated when customer initiates an allocation.

This change will be available in New Release on Wednesday, April 21.

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CME STP FIX

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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BrokerTec Production Service Availability 

CME STP FIX service for BrokerTec markets is available in production beginning 2 PM Central Time Sunday through 10 PM Central Time Friday. Internal testing could occur on weekends in the production environment (10 PM Central Time Friday through 2 PM Central Time Sunday).

Customers should only connect during the time of service availability.

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UpdateUpdate - Changes to Italian Repo Collateral Clean Price - Postponed

† Denotes update to the article

†Changes to Italian repo collateral clean price previously scheduled for Sunday, April 11, have been postponed. A new date will be published in future notices.

†With this change, CME Group will support increased price granularity on Trade Capture Report (tag 810- UnderlyingPx) and Collateral Report (tag 44-Price) for the Clean Price of all Italian Repo collateral of up to 6 decimals.

†Currently, CME Group supports a maximum of 2 decimals.

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

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Update on Enhancements for Exercise and Assignment Trades on CME STP FIX - April 12

Effective Monday, April 12, 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:

FIX Tag	Field Name	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 FIX are not required to recertify.

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

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CME STP FIX Migration and Messaging Enhancements - May 17

On Friday, May 14, CME Group support for the parallel migration of CME STP FIX in Production will be concluded. Starting Monday, May 17, to access CME STP FIX, customers must connect to new source IP addresses and URLs.

• Session migrations (in Production only)
• Changes to tag ordering in message header
• Changes to STP Loss of Connection behavior
• Changes to Trade Capture Report Request (AD) and Response (AQ)
  • Unauthorized Party IDs
  • Enhanced Reject message text for missing mandatory tags
  • Changes to MLegRptTyp (Tag 442) implementation
  • Trade Date Validation of Trade Capture Report Request (AD) message

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

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

Session Migrations

Please note: This parallel migration does not apply to CME STP FIX service for BrokerTec Markets.

Production: Starting Monday, May 17, customers must connect to new source IP addresses and URLs to access CME STP FIX. Please contact your Global Account Manager with for additional 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 STP Loss of Connection Behavior
With this migration, in the event of an internal CME STP connectivity loss, client application submitting requests will receive applicable reject messages. These use cases are documented.

Changes to Trade Capture Report (AD) and Response (AQ) Messages

Unauthorized Party IDs

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 is sent to clients. CME STP FIX will send 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”

Enhanced 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: field=<Tag Number>

Changes to MLegRptTyp (Tag 442) Implementation

Currently the tag 442-MLegRptTyp in the Trade Capture Report Request message (tag 35-MsgType=AD) is a required field.

With this change, CME STP FIX tag 442-MLegRptTyp in the Trade Capture Report Request message (tag 35-MsgType=AD) is optional and will default to ‘2’ if not sent. If tag 442 is sent on the request with a value of 2 or 3, CME STP FIX will respond according to the submitted value. If tag 442 is sent on the request with a value of 1, CME STP FIX will reject the request.

Trade Date 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 trades for the  first trade date.

With this change, CME STP FIX Trade Capture Report Request (tag 35-MsgType=AD) is restricted to one trade date in repeating group (tag 580-NoTradeDates). If the Client system requests more than one trade date, the request will be rejected with Trade Capture Report Request Ack (tag 35-MsgType=AQ) with tag 58-Text= Found multiple trade dates. Only one trade date is allowed with the request.

Note: This change is not available in New Release for customer testing. Availability will be published in future notices.

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NewNew - Enhancement to Security Sub Type for Exercise and Assignments on Options - June 6

Effective Sunday, June 6 (trade date Monday, June 7), to clearly represent fee and grouping criteria for Exercise and Assignments on options, the tag 762-SecuritySubType of TradeCaptureReport (tag 35-MsgType=AE) values will be populated as applicable when customer initiates an allocation.

Currently, tag 762-SecuritySubType values are not populated when customer initiates an allocation.

This change will be available in New Release on Wednesday, April 21.

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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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