New BrokerTec GTC-GTD Order Qualifiers
- CME Group
Effective January 12, 2025, two new order qualifiers will be supported for BrokerTec US Treasury Actives:
Good 'till Cancelled (GTC) - order remains working until cancelled or a new on-the-run security is auctioned.
Good 'till Date (GTD) - order remains working until the end of the trading session of the local market date specified in tag 432-ExpireDate or a new on-the-run security is auctioned.
Currently, these order types are supported for futures markets and they will work in the same way for BrokerTec markets. Messaging and functionality information is available in iLink - Order Qualifiers.
With the launch, the Pre-open timing on Sundays for the BrokerTec US Treasury Actives will be expanded from 15 minutes to 1 hour to accommodatethe order maintenance.
The new BrokerTec GTC-GTD order qualifier will not be supported on BrokerTec Global Front End (GFE) for this release.
Contents
- 1 Revision History
- 2 Key Customer Events and Dates
- 3 Testing and Certification
- 4 Product Availabilty
- 5 Supported Order Types & Order Qualifiers
- 6 BrokerTec GTC/GTD Order Qualifier
- 6.1 Pre-Open
- 6.2 Only Best
- 6.3 Cancel on Disconnect
- 7 BrokerTec API and Message Impacts
- 7.1 CME Reference Data API
- 7.1.1 New Reject Code/Text
- 7.1.2 New Order Qualifier
- 7.2 MDP 3.0 Market Data
- 7.2.1 Security Definition
- 7.1 CME Reference Data API
- 8 Contact Information
Revision History
Date | Description |
|---|---|
October 10, 2024 | Added Certification with AutoCert+ available on November 3, 2024. |
October 9, 2024 | Initial publication. |
Key Customer Events and Dates
Date | Milestone |
|---|---|
October 20, 2024 | New Release |
November 3, 2024 | AutoCert+ |
January 12, 2025 | Production |
Testing and Certification
The GTC and GTD order qualifiers for BrokerTec US Treasury Actives will be available for customer testing in New Release on Sunday, October 20.
Certification in AutoCert+ is only required for BrokerTec client systems which opt to support the new GTC/GTD order qualifiers. A new iLink certification test will be available in AutoCert+ on Sunday, November 3.
Product Availabilty
The GTC/GTD will be available for the BrokerTec US Treasury Actives products.
Products | Market Segment ID | Market Identifier Code (MIC CODE) |
|---|---|---|
BrokerTec US Treasury Actives | 40 | BTEC |
BrokerTec EGBs, US Repo, EU Repo are out of scope.
Supported Order Types & Order Qualifiers
With this launch, BrokerTec US Treasury Actives will support the following order types and qualifiers:
BrokerTec Summary | Description | Available Combinations |
|---|---|---|
Order Types | Limit | Limit + Day Limit + Day + Display Quantity Limit + FOK Limit + FAK Limit + GTC Limit + GTD Limit + GTC + Display Quantity Limit + GTD + Display Quantity
|
Duration Qualifiers | Day FOK FAK GTC GTD | |
Quantity Qualifiers | Display Quantity |
BrokerTec GTC/GTD Order Qualifier
BrokerTec GTC/GTD has the following order entry and market data considerations.
Pre-Open
With the launch, client systems will see their open orders resting on the book after the close and available for trading after the market open. To accommodate the order maintenance, the Pre-open timing on Sundays for the BrokerTec US Treasury Actives will be expanded from 15 minutes to 1 hour. The following is for US Actives and the Time Zone City is New York.
Season | Market | State | Time |
|---|---|---|---|
Summer | Sunday | Pre-Open | 6:30 p.m. ET |
Open | 7:30 p.m. ET | ||
Close | 5:30 p.m. ET | ||
Monday - Friday | Pre-Open | 7:15 p.m. ET | |
Open | 7:30 p.m. ET | ||
Close | 5:30 p.m. ET | ||
Winter | Sunday | Pre-Open | 5:30 p.m. ET |
Open | 6:30 p.m. ET | ||
Close | 5:30 p.m. ET | ||
Monday - Friday | Pre-Open | 6:15 p.m. ET | |
Open | 6:30 p.m. ET | ||
Close | 5:30 p.m. ET |
GTC/GTD Order Elimination
All GTC/GTD orders will be eliminated at the pre-open when the new US Treasury Actives instruments are listed.
When any GUS/trader access is removed, open GT orders will be persisted until the end of the week. Firm admins must cancel any open orders to ensure they are removed before the end of the week.
Only Best
Only Best orders are not GTC/GTD eligible.
If clients submit Only Best order with GTC/GTD order qualifier, the order will be rejected with the Execution Report=Reject (tag 35-MsgType=8, tag 39-OrdStatus -8) message. The reject message will include reject code (tag 103-OrdRejReason) = 5011 and reject text(tag 58-Text)="ExecInstruction Only Best and TimeInForce GTC or GTD are not eligible/allowed."
Cancel on Disconnect
Cancel On Disconnect (COD) does not include GTC and GTD orders. If involuntary lost connection between iLink users and the CME Globex platform is detected, COD cancels all resting US Treasury Actives orders for the disconnected registered iLink user, except GTC and GTD orders. It is the user's responsibility to reenter all orders that have been cancelled by COD.
BrokerTec API and Message Impacts
CME Reference Data API
To support the new GTC and GTD order qualifiers forBrokerTec US Treasury Actives, the GT Orders Eligibility attribute in CME Reference Data API Version 3 will be updated:
CME Reference Data API Attribute | |||
|---|---|---|---|
API Endpoint | Attribute Name | Current Value | New Value |
Product | globexGtEligible | N | Y
|
iLink Order Entry
Order Entry messaging for GTC and GTD order qualifiers for BrokerTec Markets are standard iLink 3 order entry except where noted.
New Reject Code/Text
New values will be added to Cancel Reason on the iLink 3 Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus -8) message.
Error Code | Tag 58-Text |
|---|---|
Sent in tag 103-OrdRejReason of the Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) | Text explanation of error code. |
5011 | ExecInstruction Only Best and TimeInForce GTC or GTD are not eligible/allowed. |
New Order Qualifier
Add new values to tag 59-TimeInforce:
1=Good 'till Cancelled (GTC)
6=Good 'till Date (GTD)
New tag 59 values will be added to the following messages:
From Client System to CME Globex
From CME Globex to Client System
This table illustrates how to define order type and order qualifier for BrokerTec US Treasury Actives:
Types of Orders | Tag 59 | Tag 40 | Tag 18 | Tag 110 | Tag 1138 | Tag 5806 | Other Type Combinations Allowed |
|---|---|---|---|---|---|---|---|
Limit | 0 (Day) | 2 | n/a | Optional | Optional | A or null = Aggressive | OB |
Good 'till Cancelled (GTC) | 1 (GTC) | 2 | n/a | Optional | Optional | A | n/a |
Good 'till Date (GTD) | 6 (GTD) | 2 | n/a | Optional | Optional | A | n/a |
Fill And Kill (FAK) | 3 (FAK) | 2 | n/a | n/a | Optional | A | OB |
Fill Or Kill (FOK) | 4 (FOK) | 2 | n/a | n/a | Optional | A | OB |
Only Best (OB) | 0 (Day) | 2 | 00000010 (only best) | n/a | Optional | A | FAK |
MDP 3.0 Market Data
New GTC and GTD order qualifiers for BrokerTec Markets have the following market data considerations.
Security Definition
The BrokerTec US Treasury Actives security definition (35=d) messages, tag 872-InstAttrbValuetemplate value, will be changed to indicate GTC/GTD orders are eligible.
→872 | InstAttribValue | InstAttribValue | MultipleCharValue | Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain. Bitmap field of 32 Boolean type indicators: 18: GT Orders Eligibility |
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).
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