Starting Sunday, June 15, CME Group will launch a new risk management feature that will allow BrokerTec clients to cancel and modify resting orders using FIX tag 11-ClOrdID, without providing tag 37-OrderID. This feature will be enabled for all BrokerTec markets on CME Globex.
BrokerTec Global Front End (GFE) client does not support Order Cancel and Cancel-Replace Requests by ClOrdID.
Contents
Revision History
Date | Description |
---|---|
April 3, 2024 | Initial publication of this client impact topic. |
Key Customer Events and Dates
Date | Milestone |
---|---|
April 18, 2024 |
|
June 16, 2024 June 30, 2024 |
Testing and Certification
Certification in AutoCert+ is required for client systems which support the new Order Cancel and Cancel/Replace Requests by ClOrdID functionality.
Production Launch Schedule
iLink 3 Order Cancel and Cancel/Replace Requests by ClOrdID | |||
---|---|---|---|
Market Segment ID | Description | Production Date | |
44 | BrokerTec EGB | June 16, 2024 | |
46 | BrokerTec EU Repo | ||
40 | BrokerTec US Treasury Actives | June 30, 2024 | |
42 | BrokerTec US Repo and TBAs |
Order Cancel and Cancel/Replace Requests by ClOrdID
BrokerTec markets will support cancellation and modification of orders by ClOrdID (tag 11). Client systems can cancel and/or modify their orders without providing an OrderID (tag 37).
EBS Market and CME Group Futures and Options on Futures on CME Globex already support cancel and modify by ClOrdID.
iLink 3 Impacts
All iLink 3 sessions will be enabled for Order Cancel and Cancel/Replace by ClOrdID functionality. Clients who intend to use this feature must complete an AutoCert+ certification before using the functionality. Clients must have completed their migration to the new iLink 3 v8 schema in order to access this feature. Please see additional client system impacts for iLink 3 below.
Rejects for ClOrdID (tag 11) Uniqueness
To support order cancellation and order modification by tag 11-CIOrdID, this value must be unique per SenderComp (Session ID + Firm ID) for all working orders on a single market segment.
For an iLink 3 New Order tag 11-ClOrdID:
- CME Globex will reject an order having the same ClOrdID and SenderComp as a currently working order on the given market segment. A duplicate ClOrdID will generate an iLink 3 Business Reject (tag 35-MsgType=j) message with tag 380-BusinessRejectReason = 133 and tag 58-Text = Duplicate ClOrdID: X not allowed.
A ClOrdID value can be re-used on the same Market Segment only when the prior order is no longer resting, for instance:
- the prior order has been completely filled, or
- the prior order has been cancelled, or
- the prior order has been eliminated.
Processing for ClOrdID and OrderID Values
Effective with iLink 3 schema v8, FIX tag 37-OrderID is an optional tag in iLink 3 Order Cancel Request and iLink 3 Order Cancel/Replace Request messages for BrokerTec markets.
- If an Order Cancel Request or Order Cancel Replace Request contains both CIOrdID and OrderID, the OrderID will be used to look up the original order.
- If a ClOrdID in an Order Cancel Request or Order Cancel/Replace Request is changed from what was in the original order,
- the client should send an Order Cancel Request or Order Cancel/Replace Request with the latest CIOrdID accepted by CME Globex.
- the client sending an Order Cancel Request or Order Cancel/Replace Request with the previous CIOrdID must provide an OrderID as well; otherwise, the Order Cancel/Replace Request will be rejected as order not found.
- An Execution Report - Cancel and Execution Report - Modify message will return both ClOrdID and OrderID values.
- An Order Cancel Reject and Order Cancel Replace Reject message will return both ClOrdID and OrderID values.
Contact Information
For technical development support, contact Certification Support for Electronic Trading (CSET).
For production requests, please contact the Global Command Center (GCC).
For all other inquiries, please contact Global Account Management (GAM).