Enhanced Cross Type
This topic provides information on CME Enhanced Cross Type (ECT) for select options products. ECT offers customers the choice to enable either Committed Cross (C-Cross) or RFQ+RFC Cross (R-Cross).
The ECT implementation provides customers with increased flexibility in order execution depending on market conditions.
This functionality is subject to Rule 539 of all CME Group Exchanges. For guidance or more information, including the complete list of eligible products and associated crossing protocols, see the CME Group Market Regulation Advisory Notice (“MRAN”) regarding Rule 539: Pre-Execution Communications.
For a comprehensive understanding of each exchange-supported crossing protocol, please review the Cross on CME Globex topic.
Contents
Product Availability
Enhanced Cross Type will be available for the following options products:
Product Class | Market Segment ID | iLink / MDP 3.0 tag 1151-Security Group | Current Cross Type | New Cross Type |
|---|---|---|---|---|
CME Agriculture options (except Dairy) | 60 | 0H, 0O, 1G, 1H, CY, F0, F1, K3, K4, KW, KX, L0, L1, L2, L3, M1, M2, ML, MY, O9, OC, OK, OO, OW, OZ, P8, P9, PZ, Q1, Q2, Q3, Q4, R0, R6, RK, RR, SQ, SV, SW, U1, U2, U3, U4, U5, U6, W1, W2, W3, W4, W6, WZ, X1, X2, Y1, Y2, Z2, Z6, Z7 | C-Cross Only | C-Cross or R-Cross |
CBOT Agriculture options | C-Cross Only | C-Cross or R-Cross | ||
CME Dairy options | A2, A3, A6, A9, C0, C3, CQ, CX, D8, N7, N8, Y0, Y3 | R-Cross Only | C-Cross or R-Cross |
Customer wishing to specify a cross type must adopt the RequestforCross566 template.
Customers can specify the CrossType (FiX tag 549) selection in addition to the default cross type (3: Cross)
20: R-Cross
21: C-Cross
The default Cross Type is 3 = Cross
The CrossType field will support the following enumerations:
Enum Value | Description | Notes |
|---|---|---|
3 | Cross | Default Cross Type. |
20 | R-Cross | RFQ+RFC Cross |
21 | C-Cross | Committed Cross |
When clients submit a cross order with the value '3' for tag 549-CrossType, the default cross type configured for that specific product group will be used.
Additional Resources:
Please see the Market Regulation Advisory Notice for a complete description of each exchange-supported crossing protocol.
The list of eligible products and default cross types is available.
Cross type scenarios are available.
The following iLink outbound messages will have tag 549-CrossType optionally present and may contain new enumerations--20, 21--in addition to a current value 3:
ExecutionReportNew522
ExecutionReportModify531
ExecutionReportCancel534
ExecutionReportReject523
ExecutionReportElimination524
ExecutionReportTradeOutright525
ExecutionReportTradeSpread526
ExecutionReportStatus532
Scenarios
Scenario | Product | Default Cross Type | From Client System to CME Globex | From CME Globex to Client System |
|---|---|---|---|---|
Scenario 1 - Current template NewOrderCross544 with R-Cross product
| RFC eligibility=Y | R-Cross
|
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Scenario 2 - Current template NewOrderCross544 with C-Cross product | RFC eligibility=Y | C-Cross
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Scenario 3 - Current template NewOrderCross544 sent for product not eligible for cross | RFC eligibility=N | N/A |
| ExecutionReportReject with tag 549=3 |
Scenario 4 - New template RequestForCross566 sent for product not eligible for cross
| RFC eligibility=N | N/A |
| ExecutionReportReject with tag549=<inbound value>
|
Scenario 5 - New template RequestForCross566 with CrossType=3 sent for R-Cross default product | RFC eligibility=Y | R-Cross |
|
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Scenario 6 - New template RequestForCross566 with CrossType=20 sent for R-Cross default product |
| RFC eligibility=Y |
|
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Scenario 7 - New template RequestForCross566 with CrossType=21 sent for R-Cross default product | RFC eligibility=Y | R-Cross |
|
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Scenario 8 - New template RequestForCross566 with CrossType=3 sent for C-Cross default product | RFC eligibility=Y | C-Cross |
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Scenario 9 - New template RequestForCross566 with CrossType=20 sent for C-Cross default product | RFC eligibility=Y | C-Cross |
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Scenario 10 - New template RequestForCross566 with CrossType=21 sent for C-Cross default product | RFC eligibility=Y | C-Cross |
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Scenario 11 - New template RequestForCross566 with CrossType=3 sent for R-Cross default product not eligible for the new order cross enrichment | RFC eligibility=Y
| R-Cross |
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Scenario 12 - New template RequestForCross566 with CrossType=20 sent for R-Cross default product not eligible for the new order cross enrichment | RFC eligibility=Y
| R-Cross |
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Scenario 13 - New template RequestForCross566 with CrossType=21 sent for R-Cross default product not eligible for the new order cross enrichment | RFC eligibility=Y
| R-Cross |
| ExecutionReportReject
|
Scenario 14 - New template RequestForCross566 with CrossType=3 sent for C-Cross default product not eligible for the new order cross enrichment | RFC eligibility=Y
| C-Cross |
|
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Scenario 15 - New template RequestForCross566 with CrossType=20 sent for C-Cross default product not eligible for the new order cross enrichment | RFC eligibility=Y
| C-Cross |
| ExecutionReportReject
|
Scenario 16 - New template RequestForCross56 with CrossType=21 sent for C-Cross default product not eligible for the new order cross enrichment | RFC eligibility=Y
| C-Cross |
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