Effective January 12, 2025, two new order qualifiers will be supported for BrokerTec US Treasury Actives:
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The GTC/GTD will be available for the BrokerTec US Treasury Actives products.
| Products | Market Segment ID | Market Identifier Code (MIC CODE) |
|---|---|---|
| BrokerTec US Treasury Actives | 40 | BTEC |
| Info |
|---|
BrokerTec EGBs, US Repo, EU Repo are out of scope. |
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With the launch, client systems will see their open orders resting on the book after the close and available for trading after the market open. To accommodate the order maintenance, the Pre-open timing on Sundays for the BrokerTec US Treasury Actives will be expanded from 15 minutes to 1 hour.
| US Actives | ||||
|---|---|---|---|---|
| Season | Market | State | Time | Time Zone City |
| Summer | Sunday | Pre-Open | 6:30 p.m. ET | New York |
Open | 7:30 p.m. ET | |||
Close | 5:30 p.m. ET | |||
| Monday - Friday | Pre-Open | 7:15 p.m. ET | ||
Open | 7:30 p.m. ET | |||
Close | 5:30 p.m. ET | |||
| Winter | Sunday | Pre-Open | 5:30 p.m. ET | |
Open | 6:30 p.m. ET | |||
Close | 5:30 p.m. ET | |||
| Monday - Friday | Pre-Open | 6:15 p.m. ET | ||
Open | 6:30 p.m. ET | |||
Close | 5:30 p.m. ET | |||
GTC/GTD Order Elimination
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If clients submit Only Best order with GTC/GTD order qualifier, the order will be rejected with the Execution Report=Reject (tag 35-MsgType=8, tag 39-OrdStatus -8) message. The reject message will include reject code (tag 103-OrdRejReason) = 5011 and reject text(tag 58-Text)="ExecInstruction Only Best and TimeInForce GTC or GTD are not eligible/allowed."
Cancel on Disconnect
Cancel On Disconnect (COD) does not include GTC and GTD orders. If involuntary lost connection between iLink users and the CME Globex platform is detected, COD cancels all resting US Treasury Actives orders for the disconnected registered iLink user, except GTC and GTD orders. It is the user's responsibility to reenter all orders that have been cancelled by COD.
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To support the new GTC and GTD order qualifiers forBrokerTec US Treasury Actives, the GT Orders Eligibility attribute in CME Reference Data API Version 3 will be updated:
| CME Reference Data API Attribute | |||
|---|---|---|---|
| API Endpoint | Attribute Name | Current Value | New Value |
Product | globexGtEligible | N | Y |
iLink Order Entry
Order Entry messaging for GTC and GTD order qualifiers for BrokerTec Markets are standard iLink 3 order entry except where noted.
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- New values will be added to Cancel Reason on the iLink 3 Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus -8) message.
Error Code | Tag 58-Text |
|---|---|
Sent in tag 103-OrdRejReason of the Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) | Text explanation of error code. |
| 5011 | ExecInstruction Only Best and TimeInForce GTC or GTD are not eligible/allowed. |
New Order Qualifier
Add new values to tag 59-TimeInforce:
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- iLink 3 Execution Report - Modify
- iLink 3 Execution Report - Cancel
- iLink 3 Order Mass Action Report
- iLink 3 Execution Report - Reject
- iLink 3 Execution Report - Elimination
- iLink 3 Execution Report - Trade Spread Leg
- iLink 3 Execution Report - Trade Spread
- iLink 3 Execution Report - Trade Outright
- iLink 3 Execution Report - Cancel
- iLink 3 Execution Report - Status
This table illustrates how to define order type and order qualifier for BrokerTec US Treasury Actives:
Types of Orders | Tag 59 | Tag 40 | Tag 18 | Tag 110 | Tag 1138 | Tag 5806 | Other Type Combinations Allowed |
|---|---|---|---|---|---|---|---|
Limit | 0 (Day) | 2 | n/a | Optional | Optional | A or null = Aggressive | OB |
Good 'till Cancelled (GTC) | 1 (GTC) | 2 | n/a | Optional | Optional | A | n/a |
Good 'till Date (GTD) | 6 (GTD) | 2 | n/a | Optional | Optional | A | n/a |
Fill And Kill (FAK) | 3 (FAK) | 2 | n/a | n/a | Optional | A | OB |
Fill Or Kill (FOK) | 4 (FOK) | 2 | n/a | n/a | Optional | A | OB |
Only Best (OB) | 0 (Day) | 2 | 00000010 (only best) | n/a | Optional | A | FAK |
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| →872 | InstAttribValue | InstAttribValue | MultipleCharValue | Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. Bitmap field of 32 Boolean type indicators: 18: GT Orders Eligibility |
Contact Information
For technical development support, contact Certification Support for Electronic Trading (CSET).
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