This topic describes market functionality for the BrokerTec market on the CME Globex platform.
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Due to market conventions, the US Treasury When Issued (WI) and some EGB Bills trade in Yield pricing, where bids are higher than offers. Additionally, the US and EU Repo markets trade in Rates, where bids are higher than offers. See: MDP 3.0 - Inverted Price Book Processing.
Statistics
BrokerTec on CME Globex supports the following statistics:
- Indicative Opening
- Opening Price
- Session High and Low Trade Price
- Electronic Volume
- Session Statistics Reset
- Volume Weighted Average Price (VWAP)
Collateral Market Value Message
BrokerTec on CME Globex supports collateral market values for all fixed income products that leverage collateral in Repo markets. The Collateral MDP message supports clean and dirty prices. The message is sent via the SBE CollateralMarketValue template in the core schema. Collateral messages are not conflated and are sent real-time. Collateral prices are published every 10 minutes.
The Collateral Market Value message is sent for Repo markets. This message maps to the Collateral Market Value template in the SBE MDP Core schema.
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Tag 820-TradeLinkID, tag 7191-Ownership and tag 6881-ManagedOrder will be added to the Execution Report - Trade Outright message for Workup processing:
| Tag | Field Name | Binary Type | Binary Length | Req | Description |
|---|---|---|---|---|---|
| 820 | TradeLinkID | UInt32NULL | 4 | N | Contains the workup ID; unique per instrument per day. TradeLinkID is also |
| 7191 | Ownership | Uint8 | 1 | N | Specifies the owner of the workup private phase.
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| 6881 | ManagedOrder | BooleanNULL | 1 | N | Boolean: flags a managed order. Applicable only to repo fixed income markets. |
MDP3 Workup FIX Tag Values
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- A workup will always have exactly one private phase owner on the passive (resting) side.
- The submitter of the first matched order on the passive side always becomes workup owner on that side, regardless of other orders behind in the queue at that price or whether the first match is a full or partial fill.
- On a sweep, the submitter of the first resting order matched still becomes the passive owner, even though workup occurs at the least aggressive price (price of the last trade) on the sweep.
- A workup can have zero or one private phase owner on the aggressive side.
- The aggressor becomes workup owner only if they match against all available displayed quantity of all resting orders at the best price level.
- When there is a sweep, not all orders at the last matched price need to be taken for the full displayed quantity for the aggressor to be an owner, even though the workup occurs at that final price.
- Workup ownership is at the level of iLink session and tag 5392-SenderID.
- Workup owners are denoted to customers sending the order via iLink tag 7191-Ownership on the private feed.
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1 - Initial Trade/Workup Initiation Phase
This section summarizes the initial trade/workup initiation phase rules.
- A trade/match event for a product enabled workup must kick off a workup period with the workup price equal to the price of the trade that has just occurred. Exceptions that will not result in a workup include:
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- After the private phase expires, a public phase begins in which all participants can join the workup and any new orders, along with any queued orders which couldn’t match during the private phase, can now match at the workup price.
- The public phase is denoted by MDP security status message (tag 35-MsgType=f & tag 326-SecurityTradingStatus=202) via the SBE template SecurityStatusWorkup60.
- The public phase has a fixed timer configured by product.
- Any trade which occurs during the public phase can extend the workup if product is configured with an extension timer. The public extension timer configuration will be available via Reference Data API.
- iLink 3 Binary Order Entry - Business Layer orders live for the remainder of the workup, including extensions, so can last on the book like a resting order for some duration. Fill and Kill Immediate (FAKI) and FOK orders areeither executed immediately or are eliminated.
- Orders entered during the workup with prices better than workup price are converted to the workup price, and are only available for matching at the workup price.
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- Workup termination is the end of the workup
- A workup will end naturally when all timers are expired (private -> public -> any public extensions)
- The termination phase is denoted by the MDP security status (tag 35-MsgType=f & tag 1174-SecurityTradingEvent=7) via the SBE template SecurityStatusWorkup60 unless end of the trading session occurs.
- A workup will terminate at the end of day trading for an instrument, and is denoted by MDP security status message (tag 35-MsgType=f , tag 1174-SecurityTradingEvent=7, tag 326-SecurityTradingStatus=18, 327-HaltReason=2) via the SBE template SecurityStatusWorkup60.
- At the end of the workup, the following occurs:
-Any remaining quantity on FAK orders will be automatically eliminated
-Any orders which have a remaining quantity below the minimum order size are automatically eliminated
-Any Limit orders which were originally submitted at a price better than the workup price are converted back to their original limit price and will enter the book at that price – which could match with another resting order at that price and trigger a new spontaneous workup.
| Info |
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| More information regarding BrokerTec STP can be found in the CME STP and CME STP FIX documents. |
Workup Examples
The following section provides examples for workup processing.
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| The workup examples below assume there are no other updates within a conflation interval. See CME MDP 3.0 Market Data for more information regarding market data processing. |
Example 1 - Full Workup Life Cycle
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Example 4 - Private Phase Order Priority
In this example, unmatched quantity from the workup owners entered during the private phase retains priority at the top of book, even though it has a later timestamp than other resting non-owner orders at the best price.
Gliffy displayName Workup Private Priority name Workup Private Priority pagePin 2
Example 5 - Managed Orders (“First and Third”)
In this example trader Z789 sends a managed order (tag 6881-ManagedOrder=Y). After trader Z789 becomes the passive owner, the managed orders improve their book priority.
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| Term | Definition |
|---|---|
| Display Quantity | A client-defined representing the portion of the order quantity to display to the market. Display quantity is submitted via iLink tag 1138-DisplayQty in a new order message. Display quantity is sent to market data consumers. |
| Remaining Quantity | The portion of the order quantity that is not displayed to the market. |
| Total Quantity | The sum of display quantity and remaining quantity. The total order quantity is submitted via iLink tag 38-OrderQty in a new order message and tag 151-LeavesQty in subsequent fill messages. |
| Replenish | A process which moves an order’s remaining quantity to its display quantity. |
Display Quantity Processing Rules
The following are rules for display quantity processing:
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- for an aggressing order, fills occur first for all available display quantity at the top price level
- for additional quantity, fills occur for the remaining order quantity order by order, regardless of shown size amount
- a display quantity increase causes a loss of priority
- if an order is submitted with the display quantity lower than the instrument's minimum order quantity (tag 969-MinPriceIncrement) the order will be rejected.
- remaining quantity can be increased at any time without loss of priority (exception: US Repo)
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- the remaining order quantity replenishes to the full display quantity (if enough order quantity is available) immediately on all fills, without loss of priority. A full market data book refresh occurs regardless of whether the display quantity is fully matched or partially matched.
- total quantity can be decreased without loss of priority.
- display quantity can be decreased without loss of priority.
- if the total quantity falls below the display quantity, the display quantity and total quantity will be equal.
- For US Repo workup owner(s) during the private phase, any new orders added are inserted above resting orders for other participants. Accordingly, the passive workup owner during a private phase can also increase the display quantity or remaining quantity on orders at the top of the book without any loss of priority.
- The following minimum order quantity rules apply to a workup:
- For incoming orders, if a fill causes the total quantity, and therefore remaining display quantity, to be below the product's minimum order quantity (tag 969-MinPriceIncrement) via the MDP3 security definition message (35=d), it is immediately removed from the market.
- For workup products, during the private phase for workup owners, incoming and resting orders can have a display quantity less than the product's minimum order size, and must only be validated against the minimum increment (tags 1093-LotType=2 & 1231-MinLotSize) via the MDP3 security definition message (35=d).
- At the end of the workup, if and order's total quantity is lower than the minimum order quantity, then the order will be removed from the market.
- For incoming orders, if a fill causes the total quantity, and therefore remaining display quantity, to be below the product's minimum order quantity (tag 969-MinPriceIncrement) via the MDP3 security definition message (35=d), it is immediately removed from the market.
Display Quantity Examples
The examples below illustrate how display quantity is processed for BrokerTec on CME Globex.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 1 | 123 | 2.04 | 10 | 20 | 30 |
| 2 | 456 | 2.04 | 25 | 25 | 50 |
| 3 | 789 | 2.04 | 15 | 0 | 15 |
| 4 | 1479 | 2.04 | 5 | 40 | 45 |
| Totals: | 55 | 85 | 140 | ||
New Order Entered
A new bid side order is entered for a quantity of 80 at a price of 2.04.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 1 | 456 | 2.04 | 20 | ||
| 2 | 1479 | 2.04 | 40 | ||
| Totals: | 60 | ||||
Example 2 - Display Quantity Fill within Workup
The following example illustrates display quantity fill behavior after a workup has been initiated.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 1 | 254 | 2.01 | 10 | 20 | 30 |
| 2 | 395 | 2.01 | 25 | 25 | 50 |
| 3 | 680 | 2.01 | 15 | 0 | 15 |
| 4 | 2471 | 2.01 | 5 | 40 | 45 |
| Totals: | 55 | 85 | 140 | ||
New Order Entered
A new bid side order is entered for a quantity of 80 at a price of 2.01.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 1 | 680 | 2.01 | 15 | 0 | 15 |
| 2 | 2471 | 2.01 | 5 | 40 | 45 |
| Totals: | 20 | 40 | 60 | ||
Example 3 - Partial Match Display Quantity Replenish
In this example, the remaining order quantity replenishes to the full display quantity immediately on a partial fill, without any loss of priority. A market data book replenish occurs regardless of whether the display quantity is fully matched or partially matched.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 1 | 727 | 2.06 | 10 | 20 | 30 |
| 2 | 975 | 2.06 | 25 | 25 | 50 |
| 3 | 1782 | 2.06 | 15 | 0 | 15 |
| 4 | 2997 | 2.06 | 5 | 40 | 45 |
| Totals: | 55 | 85 | 140 | ||
New Order Entered
A new bid side order is entered for a quantity of 5 at a price of 2.06.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
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| 1 | 727 | 2.06 | 10 (Replenished) | ||
| 2 | 975 | 2.06 | 25 | 25 | 50 |
| 3 | 1782 | 2.06 | 15 | 0 | 15 |
| 4 | 2997 | 2.06 | 5 | 40 | 45 |
| Totals: | 55 | ||||
Example 4 - BrokerTec Remaining Quantity Increase with No Priority Loss (Non-US Repo)
In this example, the client system anonymously modifies the total quantity from 30 to 60 for a non-US Repo BrokerTec instrument. Remaining quantity increases from 20 to 50. No loss of order priority occurs.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 1 | 253 | 2.00 | 10 | 20 | 30 |
| 2 | 469 | 2.00 | 25 | 25 | 50 |
| 3 | 892 | 2.00 | 15 | 0 | 15 |
| 4 | 924 | 2.00 | 5 | 40 | 45 |
| Totals: | 55 | 85 | 140 | ||
Order Modified
The existing Order ID 253 total quantity is increased from 30 to 60.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 1 | 253 | 2.00 | 10 | ||
| 2 | 469 | 2.00 | 25 | 25 | 50 |
| 3 | 892 | 2.00 | 15 | 0 | 15 |
| 4 | 924 | 2.00 | 5 | 40 | 45 |
| 55 | |||||
Example 5 - BrokerTec Remaining Quantity Increase with Priority Loss (US Repo)
In this example, the client system modifies the total quantity from 30 to 70 for a US Repo instrument. The remaining quantity increases from 20 to 60. There is an immediate loss of priority because the total quantity increases for a client system that is not a workup owner.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
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| 1 | 312 | 1.98 | 10 | 20 | 30 |
| 2 | 773 | 1.98 | 25 | 25 | 50 |
| 3 | 927 | 1.98 | 15 | 0 | 15 |
| 4 | 1022 | 1.98 | 5 | 40 | 45 |
| Totals: | 55 | 85 | 140 | ||
Order Modified
The existing Order ID 312 total quantity is increased from 30 to 70.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 773 | 1.98 | 25 | 25 | 50 | |
| 927 | 1.98 | 15 | 0 | 15 | |
| 1022 | 1.98 | 5 | 40 | 45 | |
| 312 | 1.98 | 10 | |||
| Totals: | 55 | 140 | |||
Example 6 - BrokerTec Remaining Quantity Increase with No Priority Loss (US Repo Workup Owner)
In this example, a workup owner modifies order 117 to decrease the display quantity (tag 1138-DisplayQty) from 20 to 10 which increases the remaining quantity from 40 to 50. Consequently, there is no loss of priority because the total quantity does not increase.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
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| 1 | 117 (Workup Owner) | 2.00 | 20 | 40 | 60 |
| 2 | 364 | 2.00 | 25 | 25 | 50 |
| 3 | 752 | 2.00 | 15 | 0 | 15 |
| 4 | 1022 | 2.00 | 5 | 40 | 45 |
| Totals: | 65 | 105 | 170 | ||
Order Modified
The display quantity for Order ID 117 decreases from 20 to 10.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 1 | 117 (Workup Owner) | 2.00 | 60 | ||
| 2 | 364 | 2.00 | 25 | 25 | 50 |
| 3 | 752 | 2.00 | 15 | 0 | 15 |
| 4 | 1022 | 2.00 | 5 | 40 | 45 |
| Totals: | 170 | ||||
Example 7 - BrokerTec Display Quantity Increase Outside of Workup with Priority Loss
In this example, the client system modifies the display quantity from 10 to 20 outside of a workup. Consequently, a loss of order priority occurs.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
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| 1 | 253 | 2.07 | 10 | 100 | 110 |
| 2 | 469 | 2.07 | 25 | 25 | 50 |
| 3 | 892 | 2.07 | 15 | 0 | 15 |
| 4 | 924 | 2.07 | 5 | 40 | 45 |
| Totals: | 55 | 165 | 220 | ||
Order Modified
The existing Order ID 253 display quantity is increased from 10 to 20.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 469 | 2.07 | 25 | 25 | 50 | |
| 892 | 2.07 | 15 | 0 | 15 | |
| 924 | 2.07 | 5 | 40 | 45 | |
| 253 | 2.07 | 110 | |||
| Totals: | 220 | ||||
Example 8 - BrokerTec Display Quantity Increase within a Workup
In this example, a workup owner within the private phase increases the display quantity from 5 to 10. Consequently, no loss of order priority occurs.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
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| 1 | 112 | 2.09 | 5 | 105 | 110 |
| 2 | 397 | 2.09 | 25 | 25 | 50 |
| 3 | 551 | 2.09 | 15 | 0 | 15 |
| 4 | 1022 | 2.09 | 5 | 40 | 45 |
| Totals: | 50 | 170 | 220 | ||
Order Modified
The existing Order ID 112 display quantity is increased from 5 to 10.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
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| 1 | 112 | 2.09 | 110 | ||
| 2 | 397 | 2.09 | 25 | 25 | 50 |
| 3 | 551 | 2.09 | 15 | 0 | 15 |
| 4 | 1022 | 2.09 | 5 | 40 | 45 |
| Totals: | 220 | ||||
Example 9 - BrokerTec Display Quantity Increase After Fill
In this example, Order ID 727 has the highest order priority and has a display quantity of 10. Order ID 727 receives a fill which updates the display quantity to 5. Next, Order ID 727 is modified to increase the total quantity to 20 and increase the display quantity to 10. Consequently, order priority is lost due to the display quantity increase from 5 to 10.
Starting Ask Side Book
| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 1 | 727 | 2.06 | 10 | 5 | 15 |
| 2 | 975 | 2.06 | 25 | 25 | 50 |
| 3 | 1782 | 2.06 | 15 | 0 | 15 |
| 4 | 2997 | 2.06 | 5 | 40 | 45 |
| Totals: | 55 | 70 | 125 | ||
New Order Entered
A new bid side order is entered for a quantity of 10 at a price of 2.06.
Replenish Display Quantity
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 1 | 727 | 2.06 | |||
| 2 | 975 | 2.06 | 25 | 25 | 50 |
| 3 | 1782 | 2.06 | 15 | 0 | 15 |
| 4 | 2997 | 2.06 | 5 | 40 | 45 |
| Totals: | |||||
Order Modification
Order ID 727 is modified to increase the total quantity (iLink tag 38-OrderQty) to 20 and results in the display quantity (iLink tag 1138-DisplayQty) being increased to 10.
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The order modification causes the display quantity to increase from 5 to 10. Consequently, order priority is lost. The updated book priority and display quantity are sent to market data consumers.
| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
|---|---|---|---|---|---|
| 975 | 2.06 | 25 | 25 | 50 | |
| 1782 | 2.06 | 15 | 0 | 15 | |
| 2997 | 2.06 | 5 | 40 | 45 | |
| 727 | 2.06 | ||||
| Totals: | |||||
Example 10 - BrokerTec Display Quantity Decrease with No Priority Loss (Workup Owner)
In this example, a workup owner modifies order 189 to decrease the display quantity (tag 1138-DisplayQty) from 20 to 10. This modification increases the remaining quantity from 50 to 60. Consequently, there is no loss of priority.
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| Priority | Order ID | Price | Display Quantity | Remaining Quantity | Total Quantity |
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| 1 | 189 | 2.03 | 20 | 50 | 70 |
| 2 | 264 | 2.03 | 25 | 25 | 50 |
| 3 | 527 | 2.03 | 15 | 0 | 15 |
| 4 | 914 | 2.03 | 5 | 40 | 45 |
| Totals: | 65 | 115 | 180 | ||
Order Modified
For Order ID 189, the display quantity decreases from 20 to 10.
Increase Remaining Quantity
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For MDP3 the trade summary, electronic volume, high/low, and Intraday VWAP statistics will be updated for canceled and corrected trades.
- If the cancelled trade is the only trade of the day, trade statistics are deleted [279MdUpdateAction=2 (Delete)].
- If the cancelled trade is not the only trade of the day,trade statistics are adjusted [tag 279-MDUpdateAction=0 (New)].
MDP3 daily average VWAP will reflect cancellations/corrections disseminated; however, already published daily average VWAP are not resent.
More information regarding these MDP3 messages can be found in the CME Globex Broker Market Data document.
iLink3 trade cancel and corrections are communicated via the iLink 3 Execution Report - Trade Addendum Outright, iLink 3 Execution Report - Trade Addendum Spread, iLink 3 Execution Report - Trade Addendum Spread Leg messages. Additionally, EU Repo and Gilt markets support Bilateral accept/reject trade capabilities via iLink. US Repo markets do not send iLink execution reports.
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- A client session can only reject a trade within a configured time interval. The time interval is available via the bilAccRejTimer attribute in Reference Data API.
- If a trade is not rejected within the time interval, the trade is automatically accepted
- Client systems can reject a previously accepted trade if still within the time interval
- Once a trade has been rejected, it cannot be re-accepted
- A trade rejection sent by a client system outside of the time interval will be rejected with a Business Level Reject (35=j, 380=0) message
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Per rule 7.2.2 of the BrokerTec EU MTF Rulebook, trade reject is allowed only in circumstances where Participant has a legitimate credit related reason for not entering into a Repo Transaction with another Participant after its identity is disclosed. |
iLink iLink Bilateral Accept/Reject FIX Message
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| Message Type | Reject Threshold | Logout Threshold | Interval |
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Cancel Request (tag 35-MsgType=F) Order Mass Action Request (tag 35=CA) | 1000MPS | 1500MPS | Three seconds |
| All other application messages | 500MPS | 750MPS | Three seconds |
| Mass Quote and Quote Cancel messages | 350MPS | 750MPS | Three seconds |
| Administrative messages | 100MPS | 200MPS | Three seconds |
| Drop Copy messages | 100MPS | 200MPS | Three seconds |
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Mass Cancel Request Type=”Account” (Tag 6115=101) is not supported for BrokerTec Markets on CME GLobex. |
For more information on CME Globex Messaging Controls, refer to: Messaging Controls.
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