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  • A Common Trade ID that links each trade execution across CME Globex and through CME Clearing as follows:
    • iLink tag 37711-MDTradeEntryID
    • MDP 3.0 tag 37711-MDTradeEntryID
    • CME STP and CME STP FIX MdtradeentryID
  • Real-time trade price adjustments reporting to participating traders and market as a whole via iLink and MDP 3.0 messages.
Noteinfo
  • Trade Correction can only be initiated by a customer calling the GCC.
  • The GCC reserves the right to change spread leg prices for all legs or some of the legs—for example affected legs in an implied trade—to minimize market disruption and preserve trade integrity.
  • Trade corrections are only performed for current session transactions on CME Globex. Trades from a prior session cannot be corrected once the new session starts.

Contents

Table of Contents

Common Identifier

A common identifier tag 37711-MDTradeEntryID associates order routing, market data, and Clearing messages for a given trade.

Trade Adjustment for Outrights and Spreads

Trade price adjustments for trades can be performed by CME Operations during a given trading session and are communicated to customers via iLink and MDP 3.0 messages.

iLink Messaging

Tag 9703-OriginalSecondaryExecID will contain the tag 527-SecondaryExecID value from the original trade.

Of the four trade correction scenarios listed below, tag 527-SecondaryExecID will increment in scenarios 1 and 2 in the Trade Correction message.

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  1. Spread and all legs
  2. Spread and some legs
  3. All legs only
  4. Some legs only

A trade correction is assigned a new tag 17-ExecID value, with the 9 right-most characters from the previous tag 17-ExecID value sent in tag 19-ExecRefID.

Spread Trade Adjustment Illustrated Example

The following diagram shows an example of a Trade Correction for a spread and one leg and how the new common identifier and other trade correction values populate across iLink order entry and MDP 3.0 market data messages.

Noteinfo

This diagram depicts only the order entry messages for Trader A to demonstrate the new order entry message values, and does not show the related trade counterparties.

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Gliffy
nameiLink-Trade-Correction-Spread-and-One-leg
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Trade Correction Scenarios and Messaging Examples

The following examples show how trade summary data is sent according to various types of order matching scenarios.

Given the following:

  • The instrument has traded four times since the beginning of the session:
    • TradeID=1, TradePx =100, TradeQty=5, MDTradeEntryID=1123
    • TradeID=2, TradePx =99, TradeQty=25, MDTradeEntryID=1179
    • TradeID=3, TradePx =92, TradeQty=31, MDTradeEntryID=1267
    • TradeID=4, TradePx =99, TradeQty=29, MDTradeEntryID=1399
  • Market data statistics prior to modification:

    • electronic volume=90

    • high trade px=100

    • low trade px=92

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  • electronic volume=90
  • high trade px=99
  • low trade px=92

Previously adjusted trade is later canceled by GCC.

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