Committed Cross
- Space Sync for Confluence
A C-Cross order is processed as follows:
CME Globex automatically publishes an RFQ (tag 35-MsgType=R) message with tag 54-Side equal to '8' (Cross) upon receipt of the Request for Cross (tag 35-MsgType=s) message. No Request for Quote (tag 35-MsgType=R) message is required.
Extended Pre-Cross state
Better Price or Volume Match (BPVM) guaranteed execution - BPVM is a certain percentage of the quantity on the RFC that will cross at the RFC price.
In a rejection scenario, the RFC message will be rejected with a Business Level Reject (tag 35-MsgType=j) message or an Execution Report Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message.
Additional Resources:
Please see the Market Regulation Advisory Notice for a complete description of each exchange-supported crossing protocol.
The list of eligible products and cross types is available.
Cross trade scenarios are available.
Contents
Client systems certified to standard RFC functionality in AutoCert+ do not need to certify for C-Cross.
New and uncertified customers intending to use C-Cross must certify to iLink and C-Cross.
Overview of Committed Cross Process
Submitting a Cross order is a staged process between the client system and CME Globex. The table below outlines the C-cross implementation and the related messages by comparison to the standard RFC implementation for CME FX options and CME and CBOT Interest Rate and Equity Index options.
Attribute | R-Cross RFC Process | C-Cross RFC Process |
|---|---|---|
Cross Eligibility | Tag 871-InstAttrbType=24 and tag 872-InstAttrbValue (Bit 13 set to 1=RFQ Cross Eligible) | Tag 871-InstAttrbType=24 and tag 872-InstAttrbValue (Bit 13 set to 1=RFQ Cross Eligible) |
Cross Process Trigger | New Order Cross (35=s) message after RFQ message | New Order Cross (35=s) message to initiate Cross sequence |
RFQ Requirement | Regulatory mandate to send RFQ before submitting Cross Order | RFQ is not required. RFQ is allowed (no regulatory penalty or messaging reject) |
Pre-Cross Period | 0 (zero) seconds | 5 seconds |
Better Price or Volume Match Percentage (BPVM%) | 0% for all cross eligible contracts | Equity Options: BPVM = 0% FX Options: BPVM = 20% Interest Rate Options: BPVM = 45% Interest Rates Futures (Deliverable Swap Future): BPVM = 40% Interest Rates Futures: BPVM = 0% CME Globex Invoice Spreads: BPVM = 50% or 0% CME FX Futures: BPVM = 40% or 0% |
Cross Process | 1. Submit RFQ during Open/Continuous Trading State | 1. Submit RFC during Open/Continuous Trading State |
Tag 871-InstAttrbType=24 and tag 872- InstAttrbValue (Bit 13 set to 1=RFQ Cross Eligible) in the Security Definition (tag 35-MsgType=d) message are used to identify instruments that are eligible for cross orders.
Only one Cross order is allowed during the Cross sequence for the given instrument; any subsequent Cross order will be rejected until the state returns to 'Resume Trading'.
The Pre-Cross state initiates and persists for 5 seconds
Clients may enter orders
Cancellation of a Cross order during the Pre-Cross state will be rejected with an Order Cancel Reject (tag 35-MsgType=9) message.
The committed Cross sent for these instruments allows pre-execution communications, and does NOT require a Request For Quote (tag 35-MsgType=R) prior to submission of the Cross (tag 35-MsgType=s) order.
See Cross - Supported iLink Functionality for Cross orders.
Better Price or Volume Match (BPVM) Allocation - New Percentages
The submission of a C-Cross order immediately triggers the Pre-Cross state. If the cross price betters the existing market at the time of entry to CME Globex, and new orders submitted during the Pre-Cross do not improve on the C-Cross price, the C-Cross order will be eligible for a Better Price Match allocation at the beginning of the Cross-Period.
For BPVM Percentages refer to the list of eligible products and cross types.
C-Cross Messaging and Book Update Example
The following diagram provides a generic example of the message flow and book updates for the C-Cross process.
Committed Cross Scenarios
Example 1: Partial trade with aggressing order
BPVM: 20%
Pre-cross duration: 5 seconds
Market is 6 - 8
New Order Cross (RFC) entered for 100 at 7
Pre-Cross starts
BidA entered for 50 at 7
Pre-Cross ends
Cross matches 20 at 7
Since the RFC price betters the resting bid and ask prices upon receipt and no aggressing order improved the RFC price at the conclusion of the Pre-Cross state, the BPVM is applied first.
Cross’ ask side is matched with the BidA for 50 at 7
Cross matches remaining quantity of 30
Ask side is completely filled
Bid side is partially filled
Cross bid side rests or eliminates 50 at 7 (depending on RFC tag 962-SideTimeInForce value)
Example 2: Full trade with aggressing order
BPVM: 20%
Pre-cross duration: 5 seconds
Market is 6 - 8
New Order Cross (RFC) entered for 100 at 7
Pre-Cross starts
BidB entered for 100 at 7
Pre-Cross ends
Cross matches 20 at 7
Since the RFC price betters the resting bid and ask prices upon receipt and no aggressing order improved the RFC price at the conclusion of the Pre-Cross state, the BPVM is applied first.
Cross’ ask side is matched with the BidB for 80 at 7
Cross’ bid side rests or eliminates 80 at 7 (depending on RFC tag 962-SideTimeInForce setting)
BidB rests 20 at 7
Example 3: Partial trade with aggressing order
BPVM: 0%
Pre-cross duration: 5 seconds
Market is 6 - 8
New Order Cross (RFC) entered for 100 at 7
Pre-Cross starts
BidC entered for 50 at 7
Pre-Cross ends
Cross’ ask side is matched with BidC for 50 at 7
Since the BPVM is 0% and an aggressing order meets the RFC price, the Cross is first matched with the aggressing order
Cross matches remaining 50
Cross bid side rests or eliminates 50 at 7 (depending on RFC tag 962-SideTimeInForce setting)
Example 4: Aggressing order betters the market
BPVM: 20%
Pre-cross duration: 5 seconds
Market is 5 - 8
New Order Cross (RFC) entered for 100 at 6
Pre-Cross starts
BidD entered for 50 at 7
Pre-Cross ends
Cross’ ask side is matched with BidD for 50 at 7
Since the cross does not better the bid and ask prices upon receipt, and the aggressing order bettered the market over the RFC price at the conclusion of the Pre-Cross state, the BPVM is not applied.
Cross matches remaining 50
Cross bid side rests or eliminates 50 at 6 (depending on RFC tag 962-SideTimeInForce setting)
Feature Files
Expand the Feature File below for a logical example of each type of Committed Cross scenario.
RFCOption.feature
# Scenarios:
# Eliminate RFC if there is any state change intervention during pre cross
# During Pre cross state, Non RFC order matching will continue
# RFC is best upon entry, but not at better bid due to orders during pre cross so it is not BPVM eligible
# RFC trades as BPVM, resting order and BMG with BPVM set as 25%, pre cross duration as 5 seconds & BMG as 100%
# RFC trades with eligible resting order and BMG, no BPVM trades when BPVM % set to zero
Background:
Given the following:
* Instrument Group Configurations:
| groupName |
| E2 |
* Contracts:
| symbol |
| GE2U1 P9225 |
* the following attributes are updated for contract(s):
| securityDescription | settlementPrice |
| GE2U1 P9225 | 175.0 |
Scenario: Eliminate RFC if there is any state change intervention during pre cross
Given update instrument group with RFC configuration:
# duration in seconds
| group | preCrossDuration | crossDuration | bmgPercentage | BPVMPercentage |
| E2 | 5 | 0 | 100 | 25 |
#RFC entered
And these "rfc" message(s) are sent to Globex:
| Identifier | securityDescription | price | timeInForce | ordType |
| cross1 | GE2U1 P9225 | 175.0 | session | limit |
And with orders for rfc:
| sideForRfc | side | orderQty |
| cross1 | bid | 100 |
| cross1 | ask | 100 |
#During pre cross, close group
When the group(s) "E2" is put in "closed" with reset statistics "off"
Then expect execution message(s) with values:
| messageType | securityDescription | price | side | orderQty | leavesQty |
| rfc ack | GE2U1 P9225 | 175.0 | bid | 100 | 100 |
| rfc ack | GE2U1 P9225 | 175.0 | ask | 100 | 100 |
# Due to group close RFC is eliminated, buy & sell eliminations are sent
And expect execution message(s) with values:
| messageType | OrderQty | Side |SecurityDescription | OrdStatus | Price |
| order elimination | 100 | bid | GE2U1 P9225 | C | 175 |
| order elimination | 100 | ask | GE2U1 P9225 | C | 175 |
#_______________________________________________________________________________________________
Scenario: During Pre cross state, Non RFC order matching will continue
# pre cross duration set to 5 seconds
Given update instrument group with RFC configuration:
| group | preCrossDuration | crossDuration | bmgPercentage | BPVMPercentage |
| E2 | 5 | 0 | 100 | 25 |
# Resting buy order@176
And these "new order" message(s) are sent to Globex:
| securityDescription | price | side | orderQty | timeInForce | identifier |
| GE2U1 P9225 | 176.0 | bid | 10 | SESSION | newOrder1 |
When the following events occur:
# RFC is entered @175, state change to pre-cross
* these "rfc" message(s) are sent to Globex:
| Identifier | securityDescription | price | timeInForce | ordType |
| cross1 | GE2U1 P9225 | 175.0 | session | limit |
* with orders for rfc:
| sideForRfc | side | orderQty |
| cross1 | bid | 100 |
| cross1 | ask | 100 |
# Sell order @176 is entered during pre cross
* these "new order" message(s) are sent to Globex:
| securityDescription | price | side | orderQty | timeInForce | identifier |
| GE2U1 P9225 | 176.0 | ask | 10 | SESSION | newOrder2 |
# Resting Buy and Incoming Sell will trade @176
Then expect execution message(s) with values:
| messageType | securityDescription | price | side | leavesQty | lastqty |
| fill | GE2U1 P9225 | 176.0 | ask | 0 | 10 |
| fill | GE2U1 P9225 | 176.0 | bid | 0 | 10 |
# End of cross RFC trades with itself
And expect execution message(s) with values:
| messageType | securityDescription | price | side | leavesQty | lastqty |
| rfc fill | GE2U1 P9225 | 175.0 | bid | 0 | 100 |
| rfc fill | GE2U1 P9225 | 175.0 | ask | 0 | 100 |
#_______________________________________________________________________________________________
Scenario: RFC is best upon entry, but not at better bid due to orders during pre cross so it is not BPVM eligible
Given update instrument group with RFC configuration:
| group | preCrossDuration | crossDuration | bmgPercentage | BPVMPercentage |
| E2 | 5 | 0 | 100 | 25 |
When the following events occur:
# RFC entered - state change to pre-cross
# 100@175, which is best upon entry as there were no resting orders
* these "rfc" message(s) are sent to Globex:
| Identifier | securityDescription | price | timeInForce | ordType |
| cross1 | GE2U1 P9225 | 175.0 | session | limit |
* with orders for rfc:
| sideForRfc | side | orderQty |
| cross1 | bid | 100 |
| cross1 | ask | 100 |
# Enter a buy order - 10@176 during pre cross
# RFC is not equal to or better on buy side
# RFC is not eligible for BPVM
* these "new order" message(s) are sent to Globex:
| securityDescription | price | side | orderQty | timeInForce | identifier |
| GE2U1 P9225 | 176.0 | bid | 10 | SESSION | newOrder1 |
# RFC sell trades with the resting buy order for qty 10
Then expect execution message(s) with values:
| messageType | securityDescription | price | side | orderQty | leavesQty | lastqty |
| fill | GE2U1 P9225 | 176.0 | bid | 10 | 0 | 10 |
| rfc partial fill | GE2U1 P9225 | 175.0 | ask | 100 | 90 | 10 |
# remaining 90 of RFC sell as BMG
| rfc partial fill | GE2U1 P9225 | 175.0 | bid | 100 | 10 | 90 |
| rfc fill | GE2U1 P9225 | 175.0 | ask | 100 | 0 | 90 |
#_______________________________________________________________________________________________
Scenario: RFC trades as BPVM, resting order and BMG with BPVM set as 25%, pre cross duration as 5 seconds & BMG as 100%
# pre cross duration of 5 seconds with BPVM % set to 25
Given update instrument group with RFC configuration:
| group | preCrossDuration | crossDuration | bmgPercentage | BPVMPercentage |
| E2 | 5 | 0 | 100 | 25 |
When the following events occur:
# RFC - 100@175 state change to pre cross
* these "rfc" message(s) are sent to Globex:
| Identifier | securityDescription | price | timeInForce | ordType |
| cross1 | GE2U1 P9225 | 175.0 | session | limit |
* with orders for rfc:
| sideForRfc | side | orderQty |
| cross1 | bid | 100 |
| cross1 | ask | 100 |
# Sell order - 20@175 placed during pre cross
* these "new order" message(s) are sent to Globex:
| securityDescription | price | side | orderQty | timeInForce |
| GE2U1 P9225 | 175.0 | ask | 20 | SESSION |
# RFC is best upon entry & at better price at the end of pre cross
# RFC trades with iteself for a qty of 25 (BPVM)
Then expect execution message(s) with values:
| messageType | securityDescription | price | side | leavesQty | lastqty |
| rfc partial fill | GE2U1 P9225 | 175.0 | bid | 75 | 25 |
| rfc partial fill | GE2U1 P9225 | 175.0 | ask | 75 | 25 |
# Then RFC buy trades with resting sell for qty 20
| rfc partial fill | GE2U1 P9225 | 175.0 | bid | 55 | 20 |
| fill | GE2U1 P9225 | 175.0 | ask | 0 | 20 |
# The remaining RFC qty trades with itself as part of BMG (which is 100%)
| rfc fill | GE2U1 P9225 | 175.0 | bid | 0 | 55 |
| rfc partial fill | GE2U1 P9225 | 175.0 | ask | 20 | 55 |
#_______________________________________________________________________________________________
Scenario: RFC trades with eligible resting order and BMG, no BPVM trades when BPVM % set to zero
# BPVM % set to 0 with pre cross duration of 5 seconds
Given update instrument group with RFC configuration:
| group | preCrossDuration | crossDuration | bmgPercentage | BPVMPercentage |
| E2 | 5 | 0 | 100 | 0 |
When the following events occur:
# RFC - 100@175 state change to pre cross
* these "rfc" message(s) are sent to Globex:
| Identifier | securityDescription | price | timeInForce | ordType |
| cross1 | GE2U1 P9225 | 175.0 | session | limit |
* with orders for rfc:
| sideForRfc | side | orderQty |
| cross1 | bid | 100 |
| cross1 | ask | 100 |
# Sell order - 20@175 placed during pre cross
* these "new order" message(s) are sent to Globex:
| securityDescription | price | side | orderQty | timeInForce |
| GE2U1 P9225 | 175.0 | ask | 20 | SESSION |
# RFC is best upon entry & at better price at the end of pre cross
# RFC is BPVM eligible but BPVM % is set to zero, so no BPVM trades
# RFC buy trades with resting sell for qty 20
Then expect execution message(s) with values:
| messageType | securityDescription | price | side | orderQty | leavesQty | lastqty |
| rfc partial fill | GE2U1 P9225 | 175.0 | bid | 100 | 80 | 20 |
| fill | GE2U1 P9225 | 175.0 | ask | 20 | 0 | 20 |
# The remaining RFC qty trades with itself as part of BMG (which is 100%)
| rfc fill | GE2U1 P9225 | 175.0 | bid | 100 | 0 | 80 |
| rfc partial fill | GE2U1 P9225 | 175.0 | ask | 100 | 20 | 80 |
#_______________________________________________________________________________________________
How was your Client Systems Wiki Experience? Submit Feedback
Copyright © 2024 CME Group Inc. All rights reserved.