CME Group is consolidating iLink execution reports and clearing trade confirmations to improve performance, and increase capacity:

• Reduce the number of order entry and clearing messaging
• Reduce message processing demands for CME Group and customers
• Improve CME Globex performance

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The MDP 3.0 Trade Summary Message was fully consolidated in 2017 with the launch of Market by Order (MBO). Consolidated Fills brings iLink execution reports into alignment with the existing trade reporting behavior on market data.

• While the Trade Summary message itself won’t change, the sequence of the order ids in the NoOrderIDEntries will be re-ordered to match the iLink execution reports publish sequence.

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Although we are reducing the number of execution reports, we are also focused on maintaining the existing market structure dynamics.

• The aggressing order will know how many individual orders they matched against by comparing their total traded quantity to the MBO book on MDP
• Resting order(s) will know of their executions similar to today
• The dynamics of individual fill messages vs the MDP Trade Summary Message will remain largely the same as today

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• Per aggressor order
• At a single trade price
• Within the same liquidity source
  • Customer Orders
  • Implied Orders
    • The entire implied quantity is treated as a single unit for the aggressing order

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Yes!

• Resting Display Quantity orders
  • Today, DQ orders receive an Execution Report for each quantity refresh within a single match event.
  • With this launch, DQ orders will receive a single execution report with their total traded quantity across all quantity refreshes
•  Non-FIFO markets
  • Today, in markets with multipass match algorithms (like TOP/ProRata), resting orders receive an Execution Report for every match step.
  • With this launch, orders will receive consolidated execution reports reflecting their total traded quantity across all match algorithm steps.

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Today, resting DQ orders receive an Execution Report for each quantity refresh. For example, when a DQ order for 100 lots showing 10 is aggressed by an order for 90 lots, it receives 9 Execution Reports; one for each refresh.

With Consolidated Fills, we can no longer send multiple execution reports for a single order in a match event. Therefore, resting DQ orders will get their iLink Execution Report at the end of the match event, regardless of their place in the queue or the number of refreshes the order goes through.

• There is no change to DQ order matching priority, only to the iLink Execution Report message publishing sequence.

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Since synthetic orders are managed on the customers’ front-end systems, and exist on the trading engine as a regular (non-DQ) order, they are not impacted by this change.

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The execution reports for customer orders in other markets that trade in an implied event will be re-ordered according to the specific trade scenario. These are laid out in detail in the Client Impact Assessment.

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No. The trading engine completes the entire match event before publishing the first iLink execution report. There is no opportunity to make a change to resting orders intra-event.

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With Consolidated Fills we expect to maintain the current market dynamics

• Aggressor ack will be sent before the trade summary message is published on market data
• In our Internal testing
  • Trades involving only a single, outright instrument will maintain their current dynamic
  • Trades on spreads/combinations, and trades involving implied orders will change to more closely align with the existing behavior for outright instrument trades.  Please see example in the Client Impact Assessment.

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No. Because the Swap leg of the CBOT Treasury Invoice Swaps Swap Calendar, and Swap Switch Spreads isn’t cleared at CME Clearing House, these markets will not be consolidated.

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Currently, customers make “best guess” efforts to understand why they got a specific fill or fill quantity, especially in non-FIFO markets. With this launch we are making that information transparent to support customer analytics by publishing it on the execution reports in the new repeating group 1362-NoFills.

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Tag 17-ExecID will continue to be unique per trading session per instrument for each match event. However, if the same session has two different resting orders participating in a single match event, the fills for both orders will contain the same trade number (TN) value of tag 17. Customers should make sure they can handle this scenario and do not rely on absolute uniqueness.  These are laid out in detail in the Client Impact Assessment.

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Because we are consolidating the execution reports, the Execution (Y) protection has been enhanced so that it only tallies once per aggressor order. Currently, the Y protection tallies once for each Execution Report sent. Mass Quote users should examine their current Y settings to ensure quoting ability is not affected and protections are accurately set.

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No, this change will only affect trades that occur on the CME Globex Central Limit Order Book. However, the reduced number of messages will flow all the way through clearing systems and CME STP, benefiting clearing customers as well.

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The original purpose was to provide participants with the total numbers of orders that participated in a match event. However, it was determined this would provide resting orders with additional information that may impact market dynamics. To maintain production timelines, it was decided to remove tag 9700 from both aggressing and resting execution reports.

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