New - CME ClearPort API Support for Additional OTC FX Trade Quantity

Effective Sunday, January 11 (trade date Monday, January 12), CME ClearPort API will support the submission of a second OTC FX notional quantity at the Trade and Allocation levels. With this enhancement, customers will have the ability to submit notional quantity in both base and settlement currency terms. Currently, CME Clear API accepts submission of notional quantity in either base or settlement terms.

To support this enhancement, the CalcCcyLastQty attribute will be supported on:

• Inbound Trade Capture Report messages at the Trade Capture Report and Allocation Levels
  • If both submitted notional quantities do not pass the currency tick validation check, the trade submission will be rejected.
  • For single-sided deals, the second quantity is a valid match criteria, so both sides must be submitted with two quantities and both quantities (as well as the price) must match for the sides to match.
• Outbound Trade Capture Report messages at the Allocation Level

Submission of second OTC FX quantity is optional.

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

Sample messages for the second OTC FX notional quantity are available online.

If you have questions, please contact 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.