To trade BrokerTec products on the CME Globex platform customers 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.
Contents
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BrokerTec Market Functionality
This section summarizes iLink 3 considerations specific to BrokerTec markets.
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See also: BrokerTec on CME Globex Market Functionality To access the BrokerTec Support Portal you must be an existing customer or vendor with a signed Non-Disclosure Agreement (NDA) in place with BrokerTec. |
BrokerTec Markets on CME Globex
Customers developing applications to trade BrokerTec products on CME Globex must be aware of the following:
Market Access
- BrokerTec markets are only available through iLink 3 Binary Order Entry
- BrokerTec markets are only available through dedicated Market Segment Gateways (MSGWs)
Supported Order Types & Qualifiers
The following order types and order type qualifiers are supported:
Order Types (tag 40-OrderType)
- OrderType=2 (Limit order)
Order Qualifiers (tag 59-TimeInForce)
- TimeInForce=0 (Day order)
- TimeInForce=3 (Fill And Kill order)
- TimeInForce=4 (Fill Or Kill order)
Fill And Kill (FAK)
For BrokerTec products that are not workup-eligible, an FAK order is executed against any available quantity and any remaining quantity is immediately eliminated.
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- FAK order is executed against any available quantity and any remaining quantity will be eliminated at the end of workup
- FAK Immediate (FAKi) order is executed against any available quantity and any remaining quantity is immediately eliminated.
- FAKi with Minimum Quantity (FAKi / Min) order is executed at least minimum quantity and any remaining quantity is immediately eliminated.
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FAKi is only applicable to Workup-eligible instruments |
Order Type & Qualifiers | US Treasuries | US Repo | EU Repo | UK Gilt | EU EGB |
|---|---|---|---|---|---|
| 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 Qtycan 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/aOptional | 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/aOptional | 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 MarketsUS and EU Repo markets, tag 5392-SenderID modification is not allowed. Order Cancel-Replace Request to modify tag 5392 value will be rejected. CME Globex will send an Order Cancel Replace Reject (tag 35-MsgType=9, tag 434-CxlRejResponseTo=2) message including tag 102-CxlRejReason=2103 and tag 58-Text=<Attempt to modify an order with a different TraderID than the original order 'Order: XXXXXXXXXX SenderCompID: XXXXXXXX>. 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. |
BrokerTec on CME Globex Display Quantity
Display Quantity is submitted via iLink 3 tag 1138-DisplayQty for the order to control the portion of the order’s quantity that is displayed to the market. The display quantity is the quantity shown to the market as specified by the customer, gradually exposing the remaining quantity until the entire order quantity is depleted.
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| For BrokerTec products, Display Quantity orders with FAK are allowed. |
BrokerTec on CME Globex Mass Quote
The Mass Quote message is used for European Government Bonds (EGBs) only.
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More information regarding Mass Quotes for BrokerTec on CME Globex can be found in BrokerTec on CME Globex Market Functionality.
Order Entry Messages
The following sections contain the tag-level client system messaging impacts that must be accommodated in order to trade BrokerTec products on CME Globex.
FIX Tags
The following new FIX tags will be added for BrokerTec markets:
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| Tag 5290 (Executor) and/or Tag 36023 | Expected Behavior | Acknowledge Value |
|---|---|---|
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 acknowledgment 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 PartyDetailsListRequestID from the cancel acknowledgementacknowledgment. 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:
- PartyDetailID 1 with executor EXEC1 and IDMShortCode IDM1
- PartyDetailID 2 with executor EXEC2 and IDMShortCode IDM2
If customer submits new submits new order with PartyDetailID = 1, and cancel this same order with PartyDetailID = 2, CME Globex will return PartyDetailID = 1 on the cancel acknowledgementacknowledgment.
Messages missing the tags or containing an unregistered value will be rejected with:
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Tag | Field Name | Binary Type | Binary Length | Req | Description |
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| 37715 | MaxNoOfSubstitutions | uInt8NULL | 1 | N | Max number of substitutions allowed. The value '0' indicates substitutions are not allowed. |
| 5677 | SourceRepoID | Int32NULL | 4 | N | Represents the source Repo instrument on which the new custom Repo should be modeled. |
New Repeating Group
A new repeating group for MIFID reporting will be added to the following messages:
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Tag | Name | Req | Binary Type | Binary Length | Description |
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1795 | NoOrderEvents | N | groupSize | 3 | Number of fills which comprise fill quantity |
→1799 | OrderEventPx | Y | PRICE9 | 8 | For Trade Cancel, refers to price of the canceled trade. For Trade Correction, refers to the new fill price. |
→1802 | OrderEventText | N | String5 | 5 | Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades |
→1797 | OrderEventExecID | Y | uInt32 | 4 | This is a unique ID which ties together a specific fill between two orders; It will be unique per instrument per day |
→1800 | OrderEventQTY | Y | uInt32 | 4 | Refers to the specific fill quantity between this order and the opposite order |
→1796 | OrderEventType | Y | TradeAddendum | 1 | The type of event affecting an order
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→1798 | OrderEventReason | Y | uInt8 | 1 | Action that caused the event to occur. 100=Binary Trade Reporting |
→6555 | OriginalOrderEventExecID | N | uInt32NULL | 4 | Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted. Will not be present on the following message types
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The following fields are required for CME Group futures and options, but optional for BrokerTec products:
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- tag 1693-PartyDetailRole=118 (Operator)
- tag 5392-SenderID
- tag 9537-Location
New Message Type
Execution Acknowledgement Acknowledgment Message (35=BN)
The Execution Report Acknowledgment message notifies CME Globex that a particular fill has either been accepted or rejected by a counterparty for EU bilateral trades.
More information regarding Bilateral Accept/Reject Trading can be found in the "CME Globex BrokerTec Market Functionality" document, which is available in the BrokerTec Support Portal.
Duplicate Order Validation
This topic provides information about iLink 3 duplicate order check. The Securities Exchange Act Rule 15c35 – Risk Management Controls for Brokers or Dealers with Market Access requires that financial risk management controls and supervisory procedures be reasonably designed to systematically limit the financial exposure of the broker dealer that could arise as a result of market access. The iLink 3 duplicate order check is designed to address this risk by:
- Supporting valid trading activity, and
- Preventing the entry of erroneous orders by rejecting orders that that indicate duplicative orders over a short period of time
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The duplicate order check functionality is only applicable to BrokerTec US and not BrokerTec EU. |
To protect market participants from the negative effects of erroneous orders messaging, CME Globex has implemented the duplicate order check for iLink 3 Binary Order Entry as described below.
Message submitted by the client system on an iLink 3 session are monitored by the number of duplicate messages sent over a predefined time interval with the same:
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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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| New Order Single | Tag 1028-Manual OrderIndicator | Reject Threshold | Interval | |
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| Production | NR | |||
Automated Order | N | 100 | 10 | 100 millisecond window |
Manual Order | Y | 20 | 3 | One-second window |
Cancel on Disconnect
All iLink 3 sessions are Cancel on Disconnect (CoD) mandatory. The COD functionality allows users to have working orders automatically canceled upon an ungraceful session disconnect. Detailed information on CoD is available in Risk Management Services.
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