This topic describes market functionality for the BrokerTec market on the CME Globex platform.

Contents

1 Supported Functionality
- 1.1 Inverted Pricing
- 1.2 Statistics
- 1.3 Collateral Market Value Message
- 1.4 Workups
  - 1.4.1 iLink 3 Workup FIX Tag Values
  - 1.4.2 MDP3 Workup FIX Tag Values
    - 1.4.2.1 MDP FIX Syntax for Security Status (35=f) Workup Processing
  - 1.4.3 Workup Processing Rules
    - 1.4.3.1 Workup Ownership
    - 1.4.3.2 Workup Phases
      - 1.4.3.2.1 1 - Initial Trade/Workup Initiation Phase
      - 1.4.3.2.2 2 - Private Phase
      - 1.4.3.2.3 3 - Public Phase
      - 1.4.3.2.4 4 - Workup Termination (Come-down) Phase
  - 1.4.4 Workup Examples
    - 1.4.4.1 Example 1 - Full Workup Life Cycle
      - 1.4.4.1.1 Initial Trade/Workup Initiation Phases
      - 1.4.4.1.2 Private Phase
      - 1.4.4.1.3 Public/Termination Phases
    - 1.4.4.2 Example 2 - Passive Ownership Only
    - 1.4.4.3 Example 3 - Sweep Processing
    - 1.4.4.4 Example 4 - Private Phase Order Priority
    - 1.4.4.5 Example 5 - Managed Orders (“First and Third”)
    - 1.4.4.6 Example 6 - Spontaneous Workup
  - 1.4.5 BrokerTec on CME Globex Display Quantity Processing
    - 1.4.5.1 Display Quantity Processing Rules
    - 1.4.5.2 Display Quantity Examples
      - 1.4.5.2.1 Example 1 - Display Quantity Fill Outside of Workup
    - 1.4.5.3 Trade Cancel and Correction Examples
      - 1.4.5.3.1 Scenario 1 - Trade Cancel
      - 1.4.5.3.2 Scenario 2 - Partial Trade Cancel
      - 1.4.5.3.3 Scenario 3 - Partial Trade Quantity Correction
      - 1.4.5.3.4 Scenario 4 - Spread Trade With Quantity Correction
      - 1.4.5.3.5 Scenario 5 - Price Correction
  - 1.4.6 Bilateral Accept/Reject Trading
    - 1.4.6.1 iLink Bilateral Accept/Reject FIX Message
    - 1.4.6.2 Bilateral Accept/Reject Trading Examples
      - 1.4.6.2.1 Example 1 - Trade Acknowledgment
      - 1.4.6.2.2 Example 2 - Trade Reject
      - 1.4.6.2.3 Example 3 - Partial Trade Reject
2 Market Integrity and Risk Controls
- 2.1 Cancel on Disconnect
- 2.2 Automated Port Closure
- 2.3 Messaging Controls
  - 2.3.1 Messaging Thresholds for BrokerTec Markets
- 2.4 Price Banding
- 2.5 Price Limits
- 2.6 In-Flight Mitigation
- 2.7 Order Size
- 2.8 Duplicate Order Prevention
- 2.9 Market and Instrument States
- 2.10 Self-Match Prevention
  - 2.10.1 Classic SMP
  - 2.10.2 Mandatory GFID with SMP Instructions
  - 2.10.3 Mandatory GFID with Locked Markets
  - 2.10.4 Mandatory GFID with Delete Resting
- 2.11 Unexecuted Order to Transaction Ratio

Supported Functionality

Functionality	US Treasuries	UK Bills	EU EGB	US Repo	EU Repo

Functionality	US Treasuries	EU EGB	US Repo
Inverted Yield Pricing	When Issued	Some
Inverted Repo Rate Pricing
FIFO Matching Algorithm
Bilateral Trading
Mandatory Self-Match Prevention
Workup
MiFID II and/or SFTR
Mid-Session Expirations on Last Trade Date
All or None (AON)			Binary Trade Reporting
Calculation of Considerations

Inverted Pricing

Due to market conventions, the US Treasury When Issued (WI) and some EGB Bills trade in Yield pricing, where bids are higher than offers. Additionally, the US and EU Repo markets trade in Rates, where bids are higher than offers. See: MDP 3.0 - Inverted Price Book Processing.

Statistics

BrokerTec on CME Globex supports the following statistics:

Collateral Market Value Message

BrokerTec on CME Globex supports collateral market values for all fixed income products that leverage collateral in Repo markets. The Collateral MDP message supports clean and dirty prices. The message is sent via the SBE CollateralMarketValue template in the core schema. Collateral messages are not conflated and are sent real-time. Collateral prices are published every 10 minutes.

The Collateral Market Value message is sent for Repo markets. This message maps to the Collateral Market Value template in the SBE MDP Core schema.

Workups

A Workup is a period during which all trades on an individual instrument can only occur at the Workup price. A Workup occurs upon an initial match of an aggressive and passive order (on the contra‐side). Buyers and sellers join the Workup anonymously, match orders, and execute transactions based on the initial matched trade price. The initial trade price is held for a fixed period of time after the last match on the system at that price and the matched trade price; direction of the trade and available size on either side of the order book is disseminated to all participants during the Workup.

iLink 3 Workup FIX Tag Values

The following tags relate to iLink 3 Workup processing.

More information regarding BrokerTec order entry processing can be found in the iLink 3 Binary Order Entry - BrokerTec Markets document.

Tag 820-TradeLinkID, tag 7191-Ownership and tag 6881-ManagedOrder will be added to the Execution Report - Trade Outright message for Workup processing:

Tag	Field Name	Binary Type	Binary Length	Req	Description

Tag

Field Name

Binary Type

Binary Length

Req

Description

820

TradeLinkID

UInt32NULL

4

N

Contains the workup ID; unique per instrument per day. TradeLinkID is also
available in the market data workup Security Status (35=f) message.

7191

Ownership

Uint8

1

N

Specifies the owner of the workup private phase.

0 – Aggressive owner included in workup
1 – Passive owner included in workup
2 – Aggressive owner fill price from order excluded from workup during sweep
3 – Passive owner fill price from order excluded from workup during sweep
9 - Not Applicable

6881

ManagedOrder

BooleanNULL

1

N

Boolean: flags a managed order.

Applicable only to repo fixed income markets.

MDP3 Workup FIX Tag Values

A Workup is triggered when a trade occurs on any Workup-eligible instrument. The Workup security status (tag 35-MsgType=f) functionality is supported by the SBE template SecurityStatusWorkup60. During the private stage of a workup, the owner(s) are identified by their Order IDs (tag 37-OrderID).

See CME MDP 3.0 Market Data for more information regarding market data processing.

MDP FIX Syntax for Security Status (35=f) Workup Processing

Tag	FIX Name	Type	Semantic Type

CME Group Client Systems Wiki

BrokerTec on CME Globex Market Functionality