This topic illustrates how an order will behave once accepted for each order type available on CME Globex.   

When an order is accepted by CME Globex, that order will execute according to the behavior defined in the New Order (tag 35-MsgType=D) message. Specifically, the order type defined in tag 40-OrdType and the order qualifier defined in tag 59-TimeInForce.

Available order types include:

Limit Order

A Limit order , tag 40-OrdType=2, defines the upper price limit at which to buy an instrument and lower price limit at which to sell an instrument. The price limit is defined in tag 44-Price. If the price is not immediately available, the Limit order will rest until filled or cancelled.

The following diagram illustrates a Limit order that will rest on the book.

Market-Limit Order (Bid) with Market

1. The client sends a iLink 2 New Order message to the CME Group, Bid, ESZ8, Market-Limit, quantity of 15.
2. CME Globex responds with an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType=8).
3. The Market-Limit order becomes a Limit order at the best available market price (90025).
4. CME Globex sends an Execution Report - Fill Notice (tag 35-MsgType=8) for a partial fill 2-Lot @ 90025.
5. The remaining quantity rests on the book at 90025.

The following diagram illustrates this example.

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Market-Limit Order (Bid) with No Market

The following diagram displays CME Globex actions when a market-limit order (bid) is placed with no market.

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CME Globex returns a Execution Report - Reject (tag 35-MsgType=8) message.

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Market Order with Protection

The following example illustrates  Market order with protection interaction with the CME Globex platform . In the example the Protection Points are 600.

1. The client sends a New Order (tag 35-MsgType=D) message, Bid, ESZ8, Market order (with protection), quantity 15.
2. CME Globex responds with an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType=8) message.
3. At this point, Best Offer = 90025 and Protection Points = 600.
4. Protection Price Limit = 90025 + 600 = 90625.
5. CME Globex sends an Execution Report - Fill Notice (tag 35-MsgType=8) for a partial fill for 2-Lot @ 90025.
6. CME Globex sends an Execution Report – Fill Notice for a partial fill for 3-Lot @ 90300
7. CME Globex sends an Execution Report – Fill Notice for a partial fill for 3-Lot @ 90550
8. Next Best Offer = 90675. This value exceeds the Protection Price Limit. CME Group places the remaining quantity on the order book at a Protection Price Limit of 90625.

The following diagram illustrates this example.

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Stop-Limit Order

A  Stop-Limit order is activated when the trigger price of the order is traded in the market. The Stop-Limit order is then executed at all price levels between the trigger price and the limit price.

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The following diagram illustrates at Stop-Limit order that is triggered and filled.

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Stop-Limit Order Triggered but not Filled Example

The following figure illustrates a Stop-Limit order triggered but not filled.

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Stop Order

When Stop orders (with protection) are sent, customers should be aware of the response:

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All Execution Report messages, including order elimination messages, sent in response to Stop orders (with protection) include tag 44-Price populated with the Protection Price Limit (best available price +/- the protection points). If the order is not completely filled, the Protection Price Limit is the price that the remaining Open Quantity rests on the order book.

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Stop Order with Protection Bid

The following example illustrates  Stop order (with protection) behavior on the CME Globex platform. In this example the Protection Points are 600.

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