CME STP FIX Support for BrokerTec Trades

Transactions executed on CME Globex, BrokerTec Direct, and registered external deals are available for consumption on CME STP in both FIX and FIXML formats. 

CME STP FIX supports a variety of fixed income transactions, including cash transactions on bonds as well as repurchase transactions (repos) on bonds. These include the CME Globex trades on:

• US Treasury (UST) Actives

• US Repos

• EU Repos

• European Government Bonds (EGBs)

Customers may entitle vendors to access their data, which will be controlled through entitlement and account configuration.

CME STP FIX also supports Listed Derivative CME Group products and CME Bilateral and Cleared Elsewhere products. See current specifications.

For the Curve Ratio (RV) Spreads for US Treasury Actives, CME STP supports:

• Tag 442-MultiLegReportingType=2 (leg of spread) messages for both implied and non-implied trades.

• Tag 442-MultiLegReportingType=3 (spread) messages are only published for non-implied trades

Contents

Production Service Availability 

CME STP service is available in PRODUCTION beginning 2 PM Central Time Sunday Afternoon, through 10 PM Central Time Friday. Internal testing could occur on weekends in the Production Environment (10 PM Friday – 2 PM Sunday Central Time).

Customers should only connect during the time of service availability.

CME STP FIX Features for BrokerTec Trades

Access to Trade Capture and Collateral Reports

Cash trades will be available from CME STP for 31 calendar days, based on the trade date.  Repo trades and collateral allocations will be available from CME STP for 31 calendar days or the term of trade plus 7 calendar days, whichever is greater.

If a trade is corrected during this cycle, that trade will reflect the most recent information with a new transaction date and time.

Subscriptions

BrokerTec exchanges, security types, and input sources will be supported on the subscription.

The Trade Capture Report Request (AD) message will be used to control the feed of trades and collateral. 

Entitlement are not available for instrument attributes. Customers may use the existing instrument attributes for filtering or filter on the client side.  

CME STP FIX supports replay by sequence number within FIX sessions. For recovery/replay following the establishment of a new FIX session, customers use the start/end timestamp to control the range of time for replay. FIX session/sequence numbers are not maintained across the weekend, so when a customer re-connects Sunday night or Monday morning, the replay by sequence number for message from the previous week will not be available.

Connectivity

Customers can connect to CME STP FIX API via the following options:

New Release Connectivity (Internet Only)

To access CME STP FIX API over the internet, customers must connect to the following URL over secure TCP: fixstpnr.cmegroup.com:443

Production Connectivity

Clients must create a Domain Name Service (DNS) record in their systems to associate the DNS name and following IPs to access the STP services or they will receive certificate errors:

Disaster Recovery Considerations

During a disaster recovery (DR) event clients will automatically be directed to the DR instance of CME STP FIX. Clients do not need to make any connectivity changes.

See also: CME Group connectivity options.

Session Connectivity and Session Layer Management

The FIX session layer must be compatible with CME STP standards. Specifically, customers will need to connect using TCP/IP over TLS (Transport Layer Security) 1.2, use CME Logon for authentication and establish connectivity using FIX 4.4.

BrokerTec Transactions

Identifying BrokerTec Transactions

BrokerTec transactions will be distinguishable on the API by the Security Exchange and Security Type fields. The input source will distinguish between transactions on CME Globex, BrokerTec Direct, and externally-registered deals. 

General collateral (GC) repos require the post-trade allocation of specific bonds as collateral. To distinguish these collateral allocations from original trades, the API supports a Collateral Report message.

Supporting Messages and Fields for BrokerTec Products

Collateral Allocations for General Collateral Repos

CME STP does not directly support allocating collateral for securities that support these BrokerTec General Collateral repos. This must be done through the CME GC Allocator API or BrokerTec GFE.

CME STP supports these allocations using the Collateral Report message.

Collateral allocation messages are sent individually.  Grouping and chaining is not supported.

General Collateral Repo Transactions

CME STP supports submission of collateral allocation transactions through the CME GC Allocator API on General Collateral (GC) repo transactions for the US and EU markets.

After a GC repo trade has been completed, the Trade Capture Report and a shell Collateral Report record are available in near real-time in CME STP. The Collateral Report and Trade Capture Report will have the same Secondary Trade ID (TrdID2).

Collateral Allocations are submitted using the CME GC Allocator API. Subsequent Collateral Reports are available in near real-time in CME STP, and have the same TrdID2 as the Trade Capture Report and initial Collateral Report.

Identifiers for collateral allocations on the GC Allocator API will be common with CME STP identifiers.

Substitutions can be made for US GC transactions by submitting a Collateral Substitution using CME GC Allocator API. Upon the completion of a Collateral Substitution, subsequent Collateral Reports are available in near real-time in CME STP, and will have the same TrdID2 as the Trade Capture Report and initial Collateral Report.

All-or-None General Collateral Repo Trade Reconciliation

The All-or-None (AON) Repos and Repos are distinct instruments with their own independent SecurityIDs & GUIDs on order entry and market data messaging.

• On MDP 3.0, a Repo AON instrument is identified in the Security Definition (tag 35-MsgType=d) message by tag 872=InstAttribValue bit 23=1 (All or None instrument).

• For related AON and parent instruments, the counterpart instrument is identified in the Security Definition message repeating group tag 1650-RelatedSecurityID.

• In RD API for Brokertec, the attribute relatedInstrumentGuidInt at the instrument level will identify relationship between AON and parent AON instruments

In CME STP, the TradeCaptureReport for AON Repo reflects the Non-AON instrument SecurityID & GUID.

GC Repo Trade example

1. A GC Repo trade was executed on Instrument 11111.

2.  

   1. TradeCaptureReport (AE) with SecondaryTradeID (1040) = 1234 is sent along with GC Shell (BA).

3. A related AON Repo trade was executed on Instrument 99999.

4.  

   1. TradeCaptureReport (AE) with SecondaryTradeID (1040) = abcd reported as None-AON GC Repo instrument 11111 along with a GeneralCollateral Shell (BA)

CME GC Allocator API trade search (/trades/search) result will reflect both of the Repo and AON trades; CME STP will only reflect the Repo instrument details.

To reconcile CME GC Allocator API trade records with CME STP TradeCaptureReport (AE), customers use the Related Instrument attributes for AON Repo to identify the Repo.

Supporting Technical Documentation

These pages contain technical information required to implement the enhancements. These include message specifications, use cases, and examples of how to connect to CME STP FIX.