To trade BrokerTec products on the CME Globex platform customers must implement the order entry functionality described in iLink 3 Binary Order Entry, and, if applicable, the market data functionality described in MDP 3.0. Customers with this functionality in place can refer to the BrokerTec-specific functionality described in this topic.
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Order Type & Qualifiers | US Treasuries | US Repo | EU Repo | UK Gilt | EU EGB |
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Limit | Y | Y | Y | Y | Y |
Limit Aggressive with Min (Day / Min) | Y | Y | Y | Y | Y |
Fill And Kill (FAK) | Y | Y | Y | Y | Y |
Fill And Kill Immediate (FAKi) | Y | ||||
Fill And Kill with Min (FAK / Min) | Y | Y | Y | Y | |
Fill And Kill Immediate with Min (FAKi / Min) | Y | ||||
Fill Or Kill (FOK) | Y | Y | Y | Y | Y |
Only Best | Y | Y | Y | Y | Y |
Passive Orders | Y | Y |
The following order types and order type qualifiers are not supported for BrokerTec products.
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Types of Orders | Tag 59 TimeInForce | Tag 40 OrdType | Tag 18 ExecInst | Tag 110 MinQty | Tag 5906 ExecutionMode (Passive vs Aggressive) | Other Type Combinations Allowed | |
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Limit | 0 (Day) | 2 | n/a | Optional: | can also include Min Qty for Aggressive orderd (tag 5906-ExecutionMode =A) | P = Passive A or null = Aggressive | AON, OB |
Fill And Kill (FAK) | 3 (FAK) | 2 | n/a | n/a | A | OB | |
FAK Immediate (FAKi) | 3 (FAK) | 2 | 00000100 (not held) | n/a | A | ||
FAK Immediate w/ MinQty (FAKi / Min) | 3 (FAK) | 2 | 00000100 (not held) | Qty > Min qty > 0 | A | ||
Fill Or Kill (FOK) | 4 (FOK) | 2 | n/a | n/a | A | OB | |
Only Best (OB) | 0 (Day) | 2 | 00000010 (only best) | n/a | P or A | Limit, FAK, AON | |
All Or None (AON) | 0 (Day) | 2 | 00000001 (AON) | n/a | P or A | Limit, OB |
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For BrokerTec products, modification of orders from display quantity (tag 1138-DisplayQuantity >0) to non-display quantity (tag 1138-DisplayQuantity =0), and vice versa, is not allowed. For BrokerTec Markets, a resting display quantity order (tag 1138-DisplayQuantity >0) cannot be modified to a non-display quantity (tag 1138-DisplayQuantity=0), and vice versa. |
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Tag 5290 (Executor) and/or Tag 36023 | Expected Behavior | Acknowledge Value |
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Not present | Accept |
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Present with an unregistered value | Reject | N/A |
Present with a registered value | Accept | Value from Cancel/Mass Cancel/Quote Cancel message |
The short codes are part of the Party Details Definition. Pre-registered cancel acknowledgement contains tag 1505-PartyDetailsListRequestID from the original order submission.
If the pre-registered cancel request contains different tag 1505-PartyDetailsListRequestID, the short code may not match with tag 1505-PartyDetailsListRequestID from the cancel acknowledgement. In this case, customers must be aware the cancel is accepted and acknowledged with the value from cancel request.
For example, given that PartyDetailID 1 and PartyDetailID 2 belong to the same session and firm:
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Note |
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The following fields are required for CME Group futures and options, but optional for BrokerTec products:
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If an iLink 3 session exceeds the duplicate orders threshold, any subsequent duplicate messages will be rejected via a Business Level Reject (tag 35-MsgType=j) message with tag 380-BusinessRejectReason = 119 - Duplicate Order Threshold Exceeded until after a full time interval has passed without any new duplicate messages having been received.
- For Automated Duplicate Order Threshold Exceeded (tag 1028-ManualOrderIndicator= 0), the Business Level Reject message will be sent with tag 58-Text = Automated Duplicate Order Threshold Exceeded Reject. Current Duplicate Order Count
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