Average Pricing System

The Average Pricing System (APS) lets you group multiple orders together and assign them a single average price across the group. All orders designated for averaging in a group must be for the same contract. There are two ways to signal post-trade instruction for the APS:

Use special characters in tag 1-Account to designate CME Globex platform trades for the Average Price System:

Group and average multiple orders together. Enter a "$" in the first position of the Account number field (tag 1) of each order, followed by a space, followed by an APS Group ID selected by the user. The Group ID enables APS to identify the multiple orders that are to be grouped and averaged together.
Assign an average price to all partial fills associated with a single order. Enter a "#" in the first position of the Account number field (tag 1), followed by any ad-hoc number that you select.

2. Add clearing instruction tags to iLink messages to allow customers to group their trades so that they can be calculated and processed as average price trades for Clearing:

Tag	FIX Name	Req	Valid Values	FIX Type	Binary Type	Description

Tag

FIX Name

Req

Valid Values

FIX Type

Binary Type

Description

819

AvgPXIndicator

N

0 – No Average Pricing (Default)
1 – Trade is part of an Average Price Group Identified by the AvgPxGroupID

3=Trade is part of a notional value average price group

A notional value average price (NVAP) group is effectively closed and available for allocation as long as the NVAP of the group is non-zero

String (3)

AvgPxInd (1)

Indicates if the resulting trade is to be average priced or not.

This tag is also used to indicate type of average price grouping.

1731

AvgPxGroupID

N

--

String (20)

String20 (20)

Used to identify account numbers or orders for grouping trades together for average price calculations.

If incoming value is greater than max length, iLink will return the right most twenty bytes.

Both clearing instruction tag and special character in tag 1-Account will be supported until further notice. If both tags are submitted, new clearing instruction tag will take precedence.

Fills for orders that are designated clearing instruction tag and special character in tag 1-Account as described above are sent to APS. For the average price to be calculated and assigned to the fills, the clearing firm must use APS to "complete the group."

APS is now available for TAS and TAM orders. However, due to delayed price discovery in the TAS and TAM products, the APS group containing the TAS or TAM product will not be completed until the settlement price is determined.