In Q1 2025, BrokerTec on CME Globex will introduce the new Top of Stack (TOS) priority feature for U.S. Repo instruments. TOS prioritizes the passive managed order of the TOS owner based on the pre-defined TOS requirements. 

TOS provides priority to the last trader who has: 

1. A passive managed order (tag 6881-ManagedOrder=1) in the order book.

2. A Fill and Kill (FAK) order that is executed against all available quantity at the end of the workup.

3. Remaining FAK quantity.

The passive managed order that meets all the above criteria at the end of the workup will be prioritized to the TOS at the same price level.

BrokerTec TOS functionality is designed to:

• Increase U.S. Repo trading velocity 

• Support deeper liquidity

Contents

Revision History

Key Events and Dates

Testing and Certification

This change will be available in the New Release environment for customer testing on Thursday, October 10.

Certification is not required.

Product Availability

Managed Order Enrichment will be available on all BrokerTec U.S. Repo products.

BrokerTec TOS Scenarios

At the end of the workup, the passive managed order will be prioritized as follows:

• Remaining Managed FAK Quantity Is Less Than Passive Managed Order Quantity

• Remaining Managed FAK Quantity Is Greater Than Passive Managed Order Quantity

• Remaining Leave FAK Quantity Is Greater Than Passive Managed Order Quantity

Remaining Managed FAK Quantity Is Less Than Passive Managed Order Quantity

If the remaining managed FAK quantity is less than the passive managed order quantity, then move the passive managed order for the same quantity (i.e., the quantity that was in the order book) to the top of stack at the same price level.

Example 1

Remaining Managed FAK Quantity Is Greater Than Passive Managed Order Quantity

If the remaining managed FAK quantity is greater than the passive managed order quantity, then move the passive managed order with the remaining FAK quantity to the top of stack at the same price level. 

Example 2

Remaining Leave FAK Quantity Is Greater Than Passive Managed Order Quantity

If the remaining FAK quantity is from a leave order (tag 6881-ManagedOrder=0) , then move the passive managed order for the same quantity to the top of stack at its price level.

iLink 3 Message Impacts

Unsolicited Modify Acknowledgment Messages

In the case of TOS reprioritization with adjusted order quantity, CME Globex will send an unsolicited  iLink 3 Execution Report - Modify (tag 35-MsgType=8, tag 39-OrdStatus=5) message.

See Example 2 in 'Remaining Managed FAK Quantity Is Greater Than Passive Managed Order Quantity' for more details.

Sample Message

If an FAK order has remaining quantity of 10 and the passive managed order has a quantity of 5, then the passive managed order will receive an unsolicited modify with the quantity of 10.

|FIXMessage=8=FIX.4.2|9=437|35=8|34=0|49=CME|50=G|52=20240813-02:01:02.000|56=TR1BBBP|57=TR1BBB|129=234568|143=CA|1=TESTACC3|6=0|11=clord3|14=0|17=5027:7|20=0|37=50100004|38=10|39=5|40=2|44=1|48=10700|54=2|55=USR|59=0|60=20240813-02:01:02.000|107=US_REPO|150=5|151=10|167=REPO|204=1|432=20240813|819=1|1028=Y|1031=C|1598=1|1731=GRP|5149=testmemo3|5409=1|5906=P|5979=1723514462000000124|6881=1|9373=N|9702=2|9707=UPp|9708=SX|2668=1|2669=2|2670=12|78=1|79=TESTALLOC3|10=230|

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).