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This topic illustrates how an order will behave once accepted for each order type available on CME Globex.  

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Available order types include:

Table of Contents

Limit Order

A Limit order , tag 40-OrdType=2, defines the upper price limit at which to buy an instrument and lower price limit at which to sell an instrument. The price limit is defined in tag 44-Price. If the price is not immediately available, the Limit order will rest until filled or cancelled.

The following diagram illustrates a Limit order that will rest on the book.

iLink-Order-Types-Limit-Order

Market-Limit Order (Bid) with Market

  1. The client sends a iLink 2 New Order message to the CME Group, Bid, ESZ8, Market-Limit, quantity of 15.
  2. CME Globex responds with an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType=8).
  3. The Market-Limit order becomes a Limit order at the best available market price (90025).
  4. CME Globex sends an Execution Report - Fill Notice (tag 35-MsgType=8) for a partial fill 2-Lot @ 90025.
  5. The remaining quantity rests on the book at 90025.
Info

Market-Limit Orders will be rejected anytime:

  • an opposing bid/offer is not working in the market
  • during any market state except Open. 
  • A designated limit is farther than price bands from current Last Best Price.

The following diagram illustrates this example.

iLink-Order-Types-market-Limit-Order

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Market-Limit Order (Bid) with No Market

The following diagram displays CME Globex actions when a market-limit order (bid) is placed with no market.

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CME Globex returns a Execution Report - Reject (tag 35-MsgType=8) message.

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Market Order with Protection

The following example illustrates  Market order with protection interaction with the CME Globex platform . In the example the Protection Points are 600.

  1. The client sends a New Order (tag 35-MsgType=D) message, Bid, ESZ8, Market order (with protection), quantity 15.
  2. CME Globex responds with an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType=8) message.
  3. At this point, Best Offer = 90025 and Protection Points = 600.
  4. Protection Price Limit = 90025 + 600 = 90625.
  5. CME Globex sends an Execution Report - Fill Notice (tag 35-MsgType=8) for a partial fill for 2-Lot @ 90025.
  6. CME Globex sends an Execution Report – Fill Notice for a partial fill for 3-Lot @ 90300
  7. CME Globex sends an Execution Report – Fill Notice for a partial fill for 3-Lot @ 90550
  8. 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.
Info

Market Orders with Protection will be rejected:

  • when an opposing bid/offer is not working in the market
  • during any market state except Open.

The following diagram illustrates this example.

iLink-Order-Types-Market-Order-with-Protection

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Stop-Limit Order

A  Stop-Limit order is activated when the trigger price of the order is traded in the market. The Stop-Limit order is then executed at all price levels between the trigger price and the limit price.

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The following diagram illustrates at Stop-Limit order that is triggered and filled.

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Stop-Limit Order Triggered but not Filled Example

The following figure illustrates a Stop-Limit order triggered but not filled.

iLink-Order-Types-Stop-Limit-Order-Not-Filled

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Stop Order

When Stop orders (with protection) are sent, customers should be aware of the response:

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Info

Stop orders should not be submitted with tag 44-Price. If client system submits a Stop Order with Protection with tag 44-Price, CME Globex will ignore the value in tag 44-Price.

Info

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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Stop Orders with Protection Bid

Stop Orders with Protection Offer

Trigger Price                   90000

Trigger Price                   90000

Protection Points             +600

Protection Points               -600

Protection Price Limits  = 90600

Protection Price Limits  = 89400

Stop Order with Protection Bid

The following example illustrates  Stop order (with protection) behavior on the CME Globex platform. In this example the Protection Points are 600.

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