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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.  

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Types of OrdersTag 59
TimeInForce
Tag 40
OrdType
Tag 18
ExecInst
Tag 110
MinQty
Tag 5906
ExecutionMode
(Passive vs Aggressive)
Other Type
Combinations Allowed

Limit

0 (Day)

2

n/a

Optional: can 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

Optional

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)

Optional

P or A

Limit, FAK, AON
All Or None (AON)

0 (Day)

2

00000001 (AON)

n/a

P or A

Limit, OB
Info

For BrokerTec US 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 

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Tag 5290 (Executor) and/or Tag 36023Expected BehaviorAcknowledge Value

Not present

Accept

  • For Cancel message - Value from the resting order
  • For Mass Cancel/Quote Cancel message - N/A

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 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 the cancel acknowledgment.  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:

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Info

The following fields are required for CME Group futures and options, but optional for BrokerTec products:

  • tag 1693-PartyDetailRole=24 (Customer Account)
  • tag 582-CTI Code
  • tag 1816-ClearingAccountType
  • tag 1031-CustOrderHandlingInst

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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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