User Defined Spread Types and Characteristics
This topic provides an overview of the types of User Defined Spreads that can be created and the message submission process for each type of UDS. For UDS message-level validation rules, see: UDS - Validation and Messaging Rules.
Exchange-Recognized UDS
If the spread requested by the user is identified as one of the CME Globex standard futures spread or options spread types, that instrument will be created, assigned the recognized spread type code, and its availability disseminated to the market with the market data Security Definition (35=d) message.
All UDS contracts are defined from the buy side perspective (i.e. buying the spread) with the exceptions of the exchange-recognized options spread types:
If the spread requested by the user is not identified as an exchange recognized spread type, the instrument is created exactly as the user requested, designated 'generic' spread type code (GN), and a notice of instrument availability disseminated to the market.
The order entry iLink Security Definition (tag 35-MsgType=d) message and the market data Security Definition (tag 35-MsgType=d) message are significantly different. CME Group strongly recommends using the TCP order entry iLink Security Definition (tag 35-MsgType=d) as an acknowledgment, and the market data Security Definition (tag 35-MsgType=d) REPLAY message as the instrument definition.
Procedure to Create an Exchange Recognized UDS
Client system submits an iLink Security Definition Request (tag 35-MsgType=c) message.
If the iLink Security Definition Request (tag 35-MsgType=c) message is accepted, CME Globex sends the client system an iLink Security Definition (tag 35-MsgType=d) message with tag 323-SecurityResponseType=2 (accept).
Accepted
3. After accepting the iLink Security Definition Request (tag 35-MsgType=c) message and the creation of the options spread instrument, CME Globex broadcasts a market data Security Definition (tag 35-MsgType=d) message containing the tag 55-Symbol and tag 48-SecurityID code of the new instrument. The market data Security Definition (tag 35-MsgType=d) message contains the spread type code in tag 762-SecuritySubType.
4. CME Globex also broadcasts a market data Quote Request (tag 35-MsgType=R) message for the options spread immediately following the market data Security Definition (tag 35-MsgType=d) message.
5. The client system submits an iLink New Order message for the newly created unrecognized spread type.
6. CME Globex sends an Execution Report - New Order Acknowledgment (tag 35-MsgType=8, tag 39-OrdStatus=0) for the new order.
If a client system submits a valid Security Definition Request in a non-open state, the RFQ will not be generated. Also:
The implied book will not be generated, as it is sent only during market open state.
The client system must send the RFQ request after the market transitions to open.
Rejected
If rejected, for example, due to a Paused or Closed market or because the options spread instrument already exists, the iLink Security Definition (tag 35-MsgType=d) message will contain tag 323-SecurityResponseTyp=5, Reject and the reject reason in tag 58-Text. No market data Security Definition (tag 35-MsgType=d) message is broadcast.
If rejected due to invalid message format or content, the client system will receive an iLink Business Level Reject (tag 35-MsgType=j).
Example
In the following example, the user submits two vertical spreads in the iLink Security Definition Request message to create a user-defined Butterfly options spread. The iLink Security Definition Request (tag 35-MsgType=c) is submitted via iLink. The resulting market data Security Definition (tag 35-MsgType=d) message is broadcast over the appropriate Market Data Platform channel.
Generic UDS
If the spread requested by the user is not identified as a CME Globex exchange recognized spread type, the instrument will be created exactly as the user requested, designated 'generic' (GN), and instrument availability disseminated to the market with the market data Security Definition (35=d) message.
Procedure to Create a Generic UDS
Client system submits an iLink Security Definition Request (tag 35-MsgType=c) message containing one or more user-defined options spreads and one or more option outrights or unrecognized option spreads.
If the iLink Security Definition Request (tag 35-MsgType=c) message is accepted, CME Globex sends the client system an iLink Security Definition (tag 35-MsgType=d) message with tag 323-SecurityResponseType=2, Accept.
Accepted
After accepting the iLink Security Definition Request (tag 35-MsgType=c) message and the creation of the options spread instrument, CME Globex broadcasts a market data Security Definition (tag 35-MsgType=d) message containing the tag 55-Symbol and tag 48-SecurityID code of the new instrument. The market data Security Definition (tag 35-MsgType=d) message contains the spread type code in tag 762-SecuritySubType.
CME Globex also broadcasts a market data Quote Request (tag 35-MsgType=R) message for the options spread immediately following the market data Security Definition (tag 35-MsgType=d) message.
The client system submits an iLink New Order - Single (tag 35-MsgType=D) message for the newly created unrecognized spread type.
CME Globex sends an Execution Report - New Order Acknowledgment (tag 35-MsgType=8, tag 39-OrdStatus=0) for the new order.
Rejected
If rejected, for example, due to a Paused or Closed market or because the options spread instrument already exists, the iLink Security Definition (tag 35-MsgType=d) message will contain tag 323-SecurityResponseType=5 (reject) and the reject reason in tag 58-Text. No market data Security Definition (tag 35-MsgType=d) message is broadcast.
If rejected due to invalid message format or content, the client system will receive an iLink Business Level Reject (tag 35-MsgType=j).
Example
In this example, the user combines a spread with an exchange recognized option outright and creates a CME Globex unrecognized spread type (GN).
Recursive UDS
A recursive spread is a UDS that contains at least 1 which is an existing user defined spread. Only one level of recursion is allowed (i.e., a UDS cannot contain a UDS that contains a UDS).
The following is an example of a recursive spread:
Side | Quantity | Leg |
|---|---|---|
Buy | 1 | OZQF0 P9818 |
Sell | 2 | OZQF0 P9812 |
Buy | 1 | UD:FO: BO 0506960673 |
See UDS - Recursive Spread Type Display Name.
Example
Step 1: a user creates a three-leg SA UDS as:
+1 LNE Jan2025 320C
+1 LNE Feb2025 320C
+1 LNE March2025 320C
Step 2: a user uses the resulting Step1 SA and adds two more legs so that all five legs are consecutive. The two added legs would be:
+1 LNE April 2025 320C
+1 LNE May 2025 320C
The resulting 5-leg SA would be one level of UDS recursion (i.e., the 5-leg UDS uses one simpler version of itself, which is the 3-leg SA from Step 1).
Step 3: Globex will not allow a second level of UDS recursion. For example, the SA that has 5 legs from Step 2 cannot, in turn, be used to create a longer SA (e.g., adding a sixth leg of +1 LNE June 2025 320C would be rejected). If the user wanted to create the 6-leg SA UDS that could either: a) create the 6-leg SA UDS or b) use the 3-leg SA UDS from Step 1 and then add the other three legs, which would be one level of recursion.
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