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

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  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.

Info

Market-Limit Orders will be rejected anytime:

  • an opposing bid/offer is not working in the market

  • during any market state except Open. 

  • A designated limit is farther than price bands from current Last Best Price.

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  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.

Info

Market Orders with Protection will be rejected:

  • when an opposing bid/offer is not working in the market

  • during any market state except Open.

The following diagram illustrates this example.

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Info

Stop orders should not be submitted with tag 44-Price. If client system submits a Stop Order with Protection with tag 44-Price, CME Globex will ignore the value in tag 44-Price.

Info

Stop orders will be rejected during any market state except Pre-Open, Open, and No Cancel.

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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