CME Rule 536.E. (“Records for Orders and Personal Transactions During Regular Trading Hours – Customers’ Orders”) requires that every order received from a customer for pit execution must be in writing and must be timestamped when received (“timestamp in”) on the front of the order ticket.  Additionally, orders that are flashed to the pit in their entirety upon receipt must be submitted with an “F” indicator to denote that the order was flashed.  Firms must also ensure that they timestamp the back of the order ticket when the order execution is confirmed or the order is cancelled (“timestamp out”).

If an order is not immediately entered in its entirety and some portion is entered into the pit in increments based on the customer ’s instructions , firms must record separate timestamps to reflect when each portion of the order is entered into the pit.  This is necessary to preserve the integrity of the audit trail and to establish the approximate time the executing broker(s) received each portion of the order.  Firms must have established procedures that correctly and clearly document the process.  For example, firms may provide for multiple timestamps on the front of the order that correspond to each portion that is entered incrementally as well as multiple timestamps on the back of the order that correspond to each execution confirmed.  In doing so, it is important that the relationship between each timestamp and the corresponding incremental piece of the order be unambiguous.  As an alternative to multiple timestamps in on a single order ticket, firms may create a single master order reflecting the terms of the order and additional order tickets corresponding to each portion of the order entered incrementally into the pit.  Please note that the master order and any additional order tickets must be appropriately timestamped in and timestamped out in accordance with CME requirements , and must accurately reflect the specific instructions given by the customer.

Further, firms must submit to CME the appropriate order type indicator (“OTI”) reflecting the customer’s instructions, e.g. DRT= D, Limit = L, Other = Q, etc.  In addition, members and firms are reminded that non-member trading floor employees involved in the receipt and transmission of orders may do so only in a clerical capacity and may not exercise any discretion with respect to the terms of an order.

If you have any questions about this matter, please call Rich Gustafson, Manager, at (312) 930-8512, or the Market Regulation Hotline at (312) 930-3333.