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.
...
This section summarizes iLink 3 considerations specific to BrokerTec markets.
| Noteinfo |
|---|
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:
...
- 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.
| Noteinfo |
|---|
FAKi is only applicable to Workup-eligible instruments |
...
| Tag 5290 (Executor) and/or Tag 36023 | Expected Behavior | Acknowledge Value |
|---|---|---|
Not present | Accept |
|
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 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 the cancel acknowledgement. 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:
...
Tag | Name | Req | Binary Type | Binary Length | Description |
|---|---|---|---|---|---|
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
|
→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
|
| Noteinfo |
|---|
The following fields are required for CME Group futures and options, but optional for BrokerTec products:
|
...
- 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
| Noteinfo |
|---|
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:
...
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
...