Committed Cross (C-Cross)

Committed Cross (C-Cross) is a futures and options crossing protocol for participants who engage in pre-execution communications pursuant to Rule 539. Pre-execution communications allow for size, price, and direction to be discussed prior to the entry of orders into CME Globex.

Benefits of the C-Cross protocol

  • A simplified process by removing the manual RFQ
  • An indication to the market that a cross will take place in the central limit order book
  • A five-second window before the cross takes place allowing market participants to place orders
  • Better Price or Volume Match (BPVM) allocation may provide a guaranteed percentage of the cross order if certain price improvement conditions are met, for applicable products

Resources

C-Cross examples

BPVM set at 50% - Each example assumes cross is 500 contracts @ price = 7

 

Market before
C-Cross submitted

Market after
C-Cross submitted

Matching on Cross

Notes

Example 1

6-7

 

2,000 X 2,000

6-7

 

2,000 X 2,000

Cross bid entirely filled; cross offer not filled. Cross bid will match with 7 offer currently in the market, cross offer will get 0.
Remaining cross offer will be left working or cancelled per submitter’s instruction.

RFC didn’t better the market price, so it doesn’t receive BPVM. Cross bid (offer) will face the current market first.

Example 2

6-7

 

200 X 200

6-7

 

300 x 300

Cross bid entirely filled; upon submission of the C-Cross, 150 contracts receive BPVM status due to resting quantity.  (500-200= 300 with 50% BPVM). The cross bid receives the 200-lot offer that was existing on Globex pre submission.
The cross bid will then buy the remaining 100 contracts from the Globex offer post submission and 50 from the cross offer.  Remaining 300 cross offer will be left working or cancelled per submitter’s instruction.

RFC didn’t better the market price, but the quantity of the cross offer was greater than the existing Globex offer granting BPVM eligibility on 150 contracts. 

Example 3

6-8 2,000 X 2,000

6-8 5,000 X 5,000

Both cross bid and cross offer will entirely match and receive 500 contracts.

Cross price of 7 remained best price at time of cross.

Example 4

6-8 2,000 X 2,000

6-7 2,000 X 1,000

Cross bid entirely filled; Cross offer gets 250 contracts. Both cross bid and ask will receive 50% of the cross. (250 contracts).
Bid will then match with the book 7 offer and be entirely filled. Remaining cross 250 offer will be left working or cancelled per submitter’s instruction.

Cross is eligible for 50% BPVM because it bettered the market when the RFC was submitted and is better or equal than market at close of the pre-cross state.
Following the BPVM % the cross will face the market before any remainder of the cross matches.

Example 5

6-8 2,000 X 2,000

6-7 2,000 X 100

Cross bid entirely filled; cross offer gets 400 contracts. Both cross bid and ask will receive 50% of the cross. (250 contracts).
The cross bid will then buy 100 contracts from the market.
The remaining 150 on the cross bid will then match with the cross offer. Remaining 100 cross offer will be left working or cancelled per submitter’s instruction.

Cross is eligible for 50% BPVM because it bettered the market when the RFC was submitted and is better or equal than market at close of the pre-cross state.
Following the BPVM % the cross faces the market. Following this step, the remaining smaller quantity on the cross matched.

Example 6

6-9 2,000 X 2,000

8-9 1,000 X 2,000

Cross offer gets filled entirely at 8 with the market. Cross bid does not get any fill.
Cross offer of 500 contracts will match entirely with current market bid at better price of 8. Remaining cross 7 bid will be left working or cancelled per submitter’s instruction.

Cross is ineligible for the BPVM.  The C-Cross price needs to better the current market upon entry or the price is equal to the best bid/offer and the quantity of the RFC is greater than the current quantity of the best bid/offer.
The C-Cross price also must equal or better the current market at end of the pre-cross period for BPVM eligibility. In this example the cross price was worse than the current market following the pre-cross period.