As you were previously notified in our notice CMO#0426, dated November 10, 2003, on Monday, December 22, 2003CME will implement a minor change in our ACS/API TREX messaging for sub-allocations. Firms requested this change to enable their systems to handle sub-allocation trade id sequence numbering. Sub-allocations are done when a carry firm re-allocates their give-in trades to themselves or other firms (also known as Third Party give-ups). Below, are examples of the current trade id sequencing method, followed by the proposed method.

Current Sub-allocation Method:  The firm first sends via the API an accept message for a give-up (GC message). The firm receives back a GCC message confirming the acceptance. When a firm performs a sub-allocation via the API, the firm would then submit a ‘GU’ message. A corresponding GUC message is produced to confirm the sub-allocation.    The following example summarizes the sequence of events that occur when carry firm claims and then sub-allocates a give-up trade to a third party. Assume that the accepting give-up is for firm 999, and the third-party firm is 777.

1.      Carry firm 999 submits a GC message to claim a give-up trade. The GC trade id sequence number 500001.

2.      CME replies with a confirmation message GCC using the same trade id 500001.  

3.      Firm 999 submits a GU message to sub-allocate the trade to firm 777. The same trade id, 500001 is submitted on GU message.

4.      CME replies to firm 999 and sends a confirmation GUC message to the firm with a new assigned trade id, 500002. This new trade-id is supposed to be the trade-id of the new order created due to the sub-allocation.

Note: Some firms have indicated that they need to ‘tie-back’ the trade-id of the allocation to the trade-id of the sub-allocation, and that’s why there is a proposed solution.

Proposed solution:

Using the prior example, in step 4, the CME will pass back the identical trade-id 500001 on the GUC message. Additionally on the GUC message a newly assigned trade-id 500002, would be passed back in the APS Group ID field on main block. This new trade-id is the ID of the order created due to the sub-allocation. The ‘GSA’ message (alert message for newly created order) which follows the GUC message will have the newly assigned Trade ID 500002, in Firm Trade ID and APS Group ID field. This would allow the new order to be tied-back to the sub-allocation record.

Please advise if this change will have any impact on your API sub-allocations processing. For questions or concerns, please contact Client Management Operations at (312) 930 8159.

Thank you.