Effective Sunday, December 15 (trade date Monday, December 16), BrokerTec
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on CME Globex will introduce the new Top of Stack (TOS)
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priority feature for
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U.S. Repo
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instruments. TOS prioritizes the passive managed order of the TOS owner based on the pre-defined TOS requirements.
TOS provides priority to the last trader who has:
- A passive managed order (tag 6881-ManagedOrder=1) in the order book.
- A Fill and Kill (FAK) order that is executed against all available quantity at the end of the workup.
- Remaining FAK quantity.
The passive managed order that meets all the above criteria at the end of the workup will be prioritized to the TOS at the same price level.
BrokerTec TOS benefits includefunctionality is designed to:
- Increased Increase U.S. Repo trading velocity
- Enhanced Support deeper liquidity and increase volume
Contents
Table of Contents
Revision History
| Date | Description |
|---|---|
| October 4, 2024 | Added bullet list under BrokerTec TOS Scenarios. |
| September 25, 2024 | Initial publication. |
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Products | Marker Segment ID | Market Data Channel | Market Identifier Code (MIC CODE) |
|---|---|---|---|
BrokerTec U.S. Repo | 42 | MDP Conflated TCP - 516 | BTEC |
BrokerTec TOS
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Scenarios
At the end of the workup, the passive managed order will be prioritized as follows:
- Remaining Managed FAK Quantity Is Less Than Passive Managed Order Quantity
- Remaining Managed FAK Quantity Is Greater Than Passive Managed Order Quantity
- Remaining Leave FAK Quantity Is Greater Than Passive Managed Order Quantity
Remaining Managed FAK Quantity Is Less Than Passive Managed Order Quantity
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If the remaining FAK quantity is from a leave order (tag 6881-ManagedOrder=0) , then move the passive managed order for the same quantity to the top of stack at its price level.
iLink 3 Message Impacts
Unsolicited Modify
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Acknowledgment Messages
In the case of TOS reprioritization with adjusted order quantity, CME Globex will send an unsolicited iLink 3 Execution Report - Modify (tag 35-MsgType=8, tag 39-OrdStatus=5) message.
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