This topic illustrates how an order will behave once accepted for each order type available on CME Globex.
When an order is accepted by CME Globex, that order will execute according to the behavior defined in the New Order (tag 35-MsgType=D) message. Specifically, the order type defined in tag 40-OrdType and the order qualifier defined in tag 59-TimeInForce.
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- The client sends a iLink 2 New Order message to the CME Group, Bid, ESZ8, Market-Limit, quantity of 15.
- CME Globex responds with an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType=8).
- The Market-Limit order becomes a Limit order at the best available market price (90025).
- CME Globex sends an Execution Report - Fill Notice (tag 35-MsgType=8) for a partial fill 2-Lot @ 90025.
- The remaining quantity rests on the book at 90025.
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Market-Limit Orders will be rejected anytime:
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- The client sends a New Order (tag 35-MsgType=D) message, Bid, ESZ8, Market order (with protection), quantity 15.
- CME Globex responds with an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType=8) message.
- At this point, Best Offer = 90025 and Protection Points = 600.
- Protection Price Limit = 90025 + 600 = 90625.
- CME Globex sends an Execution Report - Fill Notice (tag 35-MsgType=8) for a partial fill for 2-Lot @ 90025.
- CME Globex sends an Execution Report – Fill Notice for a partial fill for 3-Lot @ 90300
- CME Globex sends an Execution Report – Fill Notice for a partial fill for 3-Lot @ 90550
- Next Best Offer = 90675. This value exceeds the Protection Price Limit. CME Group places the remaining quantity on the order book at a Protection Price Limit of 90625.
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Market Orders with Protection will be rejected:
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The following diagram illustrates this example.
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Stop orders should not be submitted with tag 44-Price. CME Globex will reject a New Order message with a Stop Order submitted with If client system submits a Stop Order with Protection with tag 44-Price, CME Globex will ignore the value in tag 44-Price. |
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Stop orders will be rejected during any market state except Pre-Open, Open, and No Cancel. |
All Execution Report messages, including order elimination messages, sent in response to Stop orders (with protection) include tag 44-Price populated with the Protection Price Limit (best available price +/- the protection points). If the order is not completely filled, the Protection Price Limit is the price that the remaining Open Quantity rests on the order book.
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