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This topic provides an overview of the types of User Defined Spreads which can be created and the message submission process for each type of UDS. For UDS message-level validation rules, see: UDS - Validation and Messaging Rules.

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6. CME Globex sends an Execution Report - New Order Acknowledgment (tag 35-MsgType=8, tag 39-OrdStatus=0) for for the new order.

Noteinfo

If a client system submits a valid Security Definition Request in a non-open state, the RFQ will not be generated. Also:

  • The implied book will not be generated, as it is sent only during market open state.
  • The client system must send the RFQ request after the market transitions to open.

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Panel

Recursive UDS

A recursive spread is a UDS that contains at least 1 which is an existing user defined spread. Only one level of recursion is allowed (i.e., a UDS cannot contain a UDS that contains a UDS).

Noteinfo

A UDS constructed from available exchange-listed outrights only can contain a maximum of 40 outright instruments.

A recursive UDS can contain a maximum of 40 outright instruments.

 The following is an example of a recursive spread:

Side

Quantity

Leg

Buy

1

OZQF0 P9818

Sell

2

OZQF0 P9812

Buy

1

UD:FO: BO 0506960673

See UDS - Recursive Spread Type Display Name.

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In response to:

  • Mass Quote (tag 35-MsgType=i)
  • Quote Request (tag 35-MsgType=R)
Quote Acknowledgment (tag 35-MsgType=b), tag 368-QuoteEntryRejectReason =Tag 58-Text

7112

Quote exceeds limit.

Expiration

A Covered instrument either expires with the earliest expiration of its component leg instruments or at the end of the trading session.

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5. If the Covered instrument is traded, CME Globex transmits the corresponding iLink 2 Execution Report - Fill Notice and market data messages.

To format the leg price for the futures leg of a Covered instrument:
Note
title
Info
  • Obtain the market data Security Definition (tag 35-MsgType=d) message for the outright future using the value from tag 602-LegSecurityID of the Covered UDS Security Definition.This value maps to tag 48-SecurityID of the Security Definition of the outright future.
  • Multiply the value from tag 9787-DisplayConversionFactor of the outright future Security Definition with tag 566-LegPrice of the Covered UDS Security Definition.
  • Apply that value to the price sent in the iLink 2 Execution Report - Fill Notice to display the futures leg price properly.

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