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 Orders | Tag 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 |
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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 36023 | Expected Behavior | Acknowledge Value |
|---|---|---|
Not present | Accept |
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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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The following fields are required for CME Group futures and options, but optional for BrokerTec products:
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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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