Clearing House Advisory Notices
To | Clearing Member Firms, Back Office Managers, and Bookkeeping and Service Providers
From | Clearing House Department
Subject | "Modified-Contra" Trade Matching for CBOT Pit Trades
Notice Date | 2004-05-05
Notice Number | 04-78
Effective Date |
CBOT and the CME Clearing House have been working to re-introduce "modified-contra" trade matching for pit trades in CBOT products. We plan to begin the roll-out of modified-contra matching for non-SLEDS pit trades on Friday, May 28th. Modified-contra trade matching can be summarized as follows: both parties to the trade submit a special value -- the modified-contra ID -- in the opposite firm field. The trade matching system detects that this is a special value, and uses it as a preferential match criteria. If product, price, quantity and brokers match, and if the special value provided by one side matches the special value provided by the other side, then the trades will match. The modified-contra match process will include many-to-many matches and will also key on time bracket through out the trading day. When modified-contra matching is re-introduced, the special values to be submitted in the opposite firm field will be three-digit numbers not currently in use as actual CBOT firm numbers. A set of these numbers will be made available for such use, and CBOT will indicate which such numbers should be used in which pit. (Previously, modified-contra matching relied on the use of alphanumeric values in the opposite firm field to identify a modified-contra ID. Please note that this practice will not be continued, and modified-contra ID's will all be three numeric digits not currently in use.) There should be no systems impacts for firms, since the modified-contra ID's will simply be three-digit numbers exactly like real opposite firm numbers. The special set of firm numbers will be included in the CBOT "firm master file" and "edit file" which firms use to load their bookkeeping systems with valid firm numbers. Member firms will have the ability to review the modified-contra trades in a separate section of their out-trade reports. This will help them in assessing risk and monitoring out-trades in the case of primary clearing firms. We will provide testing opportunities for firms in the second half of May. Additional details on the roll-out schedule for modified-contra trade matching will be published by CBOT in the near future.