An R-Cross is a crossing protocol allowed on CME Globex which gives brokers who engage in allowable pre-execution communications the ability to enter a two-sided order on CME Globex, while benefiting from improving the market in the central limit order book.
All CME Group Dairy futures and options allow for R-Cross transactions.
R-Cross for pre-execution communications are allowable, pursuant to Rule 539, to discuss size, price and direction prior to the entry of orders into CME Globex.
With CME Globex crosses, you have the ability to:
Subsequent to pre-ex communications, a Request For Quote (RFQ) must be entered to notify the market that there is interest in the specific instrument.
The RFQ message starts a 5-second pre-cross period, providing an opportunity for all market participants to populate the CME Globex order book with their best prices.
Following the 5-second pre-cross period, the R-cross order is permitted for a 25-second period.
If the cross betters the current market, the entire cross order will be executed instantly upon submission to CME Globex. If the cross is equal to, or worse than, the current market, CME Globex orders will be honored first, then the balance of the non-aggressing order will be crossed.
Request for Cross (RFC) functionality is supported by numerous trading front-ends, including CME Direct, which offers a specialized R-Cross ticket that automatically ensures observance of the waiting period after entry of the required RFQ.