iLink 3 Binary Order Entry - BrokerTec Markets
To trade BrokerTec products on the CME Globex platform customers must implement the order entry functionality described in iLink 3 Binary Order Entry, and, if applicable, the market data functionality described in MDP 3.0. Customers with this functionality in place can refer to the BrokerTec-specific functionality described in this topic.
Contents
BrokerTec Market Functionality
This section summarizes iLink 3 considerations specific to BrokerTec markets.
See also: BrokerTec on CME Globex Market Functionality
To access the BrokerTec Support Portal you must be an existing customer or vendor with a signed Non-Disclosure Agreement (NDA) in place with BrokerTec.
BrokerTec Markets on CME Globex
Customers developing applications to trade BrokerTec products on CME Globex must be aware of the following:
Market Access
- BrokerTec markets are only available through iLink 3 Binary Order Entry
- BrokerTec markets are only available through dedicated Market Segment Gateways (MSGWs)
Supported Order Types & Qualifiers
The following order types and order type qualifiers are supported:
Order Types (tag 40-OrderType)
- OrderType=2 (Limit order)
Order Qualifiers (tag 59-TimeInForce)
- TimeInForce=0 (Day order)
- TimeInForce=3 (Fill And Kill order)
- TimeInForce=4 (Fill Or Kill order)
Fill And Kill (FAK)
For BrokerTec products that are not workup-eligible, an FAK order is executed against any available quantity and any remaining quantity is immediately eliminated.
For workup-eligible products,
- FAK order is executed against any available quantity and any remaining quantity will be eliminated at the end of workup
- FAK Immediate (FAKi) order is executed against any available quantity and any remaining quantity is immediately eliminated.
- FAKi with Minimum Quantity (FAKi / Min) order is executed at least minimum quantity and any remaining quantity is immediately eliminated.
FAKi is only applicable to Workup-eligible instruments
Order Type & Qualifiers | US Treasuries | US Repo | EU Repo | UK Gilt | EU EGB |
|---|---|---|---|---|---|
| Limit | Y | Y | Y | Y | Y |
| Limit Aggressive with Min (Day / Min) | Y | Y | Y | Y | Y |
| Fill And Kill (FAK) | Y | Y | Y | Y | Y |
| Fill And Kill Immediate (FAKi) | Y | ||||
| Fill And Kill with Min (FAK / Min) | Y | Y | Y | Y | |
| Fill And Kill Immediate with Min (FAKi / Min) | Y | ||||
| Fill Or Kill (FOK) | Y | Y | Y | Y | Y |
| Only Best | Y | Y | Y | Y | Y |
| Passive Orders | Y | Y |
The following order types and order type qualifiers are not supported for BrokerTec products.
- Market Protect (tag 40-OrderType=1)
- Market Limit (tag 40-OrderType=K)
- Stop Protect (tag 40-OrderType=3)
- Stop Limit (tag 40-OrderType=4)
This table illustrates how to define order type and order qualifier:
| Types of Orders | Tag 59 TimeInForce | Tag 40 OrdType | Tag 18 ExecInst | Tag 110 MinQty | Tag 5906 ExecutionMode (Passive vs Aggressive) | Other Type Combinations Allowed |
|---|---|---|---|---|---|---|
Limit | 0 (Day) | 2 | n/a | Optional: can also include Min Qty for Aggressive orderd (tag 5906-ExecutionMode =A) | P = Passive A or null = Aggressive | AON, OB |
Fill And Kill (FAK) | 3 (FAK) | 2 | n/a | n/a | A | OB |
FAK Immediate (FAKi) | 3 (FAK) | 2 | 00000100 (not held) | n/a | A | |
FAK Immediate w/ MinQty (FAKi / Min) | 3 (FAK) | 2 | 00000100 (not held) | Qty > Min qty > 0 | A | |
Fill Or Kill (FOK) | 4 (FOK) | 2 | n/a | n/a | A | OB |
Only Best (OB) | 0 (Day) | 2 | 00000010 (only best) | n/a | P or A | Limit, FAK, AON |
| All Or None (AON) | 0 (Day) | 2 | 00000001 (AON) | n/a | P or A | Limit, OB |
For BrokerTec products, modification of orders from display quantity (tag 1138-DisplayQuantity >0) to non-display quantity (tag 1138-DisplayQuantity =0), and vice versa, is not allowed.
For BrokerTec Markets, a resting display quantity order (tag 1138-DisplayQuantity >0) cannot be modified to a non-display quantity (tag 1138-DisplayQuantity=0), and vice versa.
BrokerTec on CME Globex Display Quantity
Display Quantity is submitted via iLink 3 tag 1138-DisplayQty for the order to control the portion of the order’s quantity that is displayed to the market. The display quantity is the quantity shown to the market as specified by the customer, gradually exposing the remaining quantity until the entire order quantity is depleted.
BrokerTec on CME Globex Mass Quote
The Mass Quote message is used for European Government Bonds (EGBs) only.
In the event of Unsolicited Quote Cancels, all resting quotes are cancelled on behalf of the Mass Quoted customers. The unsolicited cancel code is contained in tag 9775-UnsolicitedCancelTypes; the reason text will not be sent in the message.
Customers can also receive unsolicited Quote Acknowledgment messages in response to quote cancels due to a resting quantity that is less than the minimum allowed quantity (tag 9775 = I).
More information regarding Mass Quotes for BrokerTec on CME Globex can be found in BrokerTec on CME Globex Market Functionality.
Order Entry Messages
The following sections contain the tag-level client system messaging impacts that must be accommodated in order to trade BrokerTec products on CME Globex.
FIX Tags
The following new FIX tags will be added for BrokerTec markets:
- Tag 18-ExecInst
- Tag 5906-ExecutionMode
- Tag 6881-Managed
- Tag 9373-LiquidityProvision
- Tag 5409-ShortSaleType
| Tag | Field Name | Binary Type | Binary Length | Req | Value | Description |
|---|---|---|---|---|---|---|
| 18 | ExecInst | ExecInst | 1 | N | Bit 0: (least significant bit) All Or None Bit 1: Only Best Bit 2: Not Held Bit 3: Reserved for future use Bit 4: Reserved for future use Bit 5: Reserved for future use Bit 6: Reserved for future use Bit 7: (most significant bit) Reserved for future use | Instructions for order handling for fixed income markets. Only Best may be applied to resting and aggressing orders and:
Not Held (applies only to US Repo) eliminates quantity remaining from an FaKi order (tag 59=3) and ensures it will it not be included in a work-up session; however, the order can still trigger a work-up session. AONs will have a separate book with a separate ISIN. The AON orders that cannot trade immediately can rest in the AON book. They can only trade with AON orders on the other side of the AON book that have the SAME PRICE and SAME QUANTITY. Applicable only for BrokerTec Markets;
New orders submitted with tag 18 instructions for futures and options markets will be rejected with 35=j, except:
|
| 5906 | ExecutionMode | ExecMode | 1 | N |
| Instruction for whether the order should rest on the book upon entry or match as an aggressor. A Passive Order will rest in the market without executing unless matched with an Aggressive Order on the other side. An Aggressive Order will match against any other order on the opposite side. Applicable for US & EU Repos. New Orders submitted with tag 5906 = P will be rejected for futures and options markets. |
| 6881 | ManagedOrder | BooleanNULL | N |
| Boolean: flags a managed order. Applicable only to Repo fixed income markets. New Orders submitted with tag 6881 = 1 will be rejected for futures and options markets. | |
| 9373 | LiquidityFlag | BooleanNULL | 1 | N |
| Indicates if an order was submitted for market making obligation as required for MiFID. Applicable only for EU fixed income markets. |
| 5409 | ShortSaleType | ShortSaleType | 1 | N | 0=Long Sell 1=Short Sale With No Exemption (SESH) 2=Short Sale With Exemption (SSEX) 3=Undisclosed Sell (Information not available – UNDI) | Indicates the type of short sale on Sell orders only as required for MiFID. Should not be used for Buy orders. Applicable only for EU fixed income markets. Note The Short-Selling Field is only required from Participants when BrokerTec EU has a regulatory obligation (pursuant to Article 26(5) of MiFIR) to conduct transaction reporting on behalf of the Participant. This obligation only applies to BrokerTec EU when the relevant participant is exempt from MiFIR (typically non-EEA firms, corporate entities or certain asset managers). Please reach out to TradingVenueCompliance@cmegroup.com for guidance. |
These new tags will be added to the following iLink messages:
- New Order Single
- Order Cancel Replace Request
- Order Cancel Request
- Order Mass Action Request
- Order Mass Action Report
- Mass Quote
- Quote Cancel
- Mass Quote Acknowledgment
- Quote Cancel Acknowledgment
- Execution Report - Status
- Execution Report - Reject
- Execution Report - New
- Execution Report - Elimination
- Execution Report Modify
- Execution Report - Cancel
- Order Cancel Reject
- Order Cancel Replace Reject
- Execution Report - Trade Outright
- Execution Report - Trade Spread
- Execution Report - Trade Addendum Outright
- Execution Report - Trade Addendum Spread
The following tags relate to Workup functionality:
- Tag 820-TradeLinkID and Tag 7191-Ownership will be added to the Execution Report - Trade Outright message for US Repos:
| Tag | Field Name | Binary Type | Binary Length | Req | Description |
|---|---|---|---|---|---|
| 820 | TradeLinkID | UInt32NULL | 4 | N | Contains the workup ID; unique per instrument per day. |
| 7191 | Ownership | Uint8 | 1 | N | Specifies the owner of the work up private phase.
|
Customers can leverage the following tags to detect whether they are aggressive or passive owners of the workup without waiting for the market data security status message.
- tag 7191-Ownership
- tag 1057-AggressorIndicator
- tag 820-TradeLinkID
More information regarding Workup functionality can be found in the BrokerTec on CME Globex Market Functionality.
The following tags are required for all EU fixed income products, but optional for CME Group futures and options.
- Tag 5290-Executor and tag 36023-IDMShortcode are added to the Party Details Definition Request, Party Details Definition Request Acknowledgment, and Party Details List Report messages.
CME Globex will validate the Exceutor and IDMShortCode presence, and reject if tag 5290 and/or tag 36023 is not a registered value for all iLink 3 BrokerTec EU application messages, except Order Cancel, Order Mass Cancel, and Quote Cancel messages.
Tag 5290 and tag 36023 will be accepted and acknowledged if sent on Order Cancel, Order Mass Cancel, and Quote Cancel messages. If not populated on these message types, the message will be accepted and acknowledged with the values as follows:
| Tag 5290 (Executor) and/or Tag 36023 | Expected Behavior | Acknowledge Value |
|---|---|---|
Not present | Accept |
|
Present with an unregistered value | Reject | N/A |
Present with a registered value | Accept | Value from Cancel/Mass Cancel/Quote Cancel message |
The short codes are part of the Party Details Definition. Pre-registered cancel acknowledgement contains tag 1505-PartyDetailsListRequestID from the original order submission.
If the pre-registered cancel request contains different tag 1505-PartyDetailsListRequestID, the short code may not match with tag 1505-PartyDetailsListRequestID from the cancel acknowledgement. In this case, customers must be aware the cancel is accepted and acknowledged with the value from cancel request.
For example, given that PartyDetailID 1 and PartyDetailID 2 belong to the same session and firm:
- PartyDetailID 1 with executor EXEC1 and IDMShortCode IDM1
- PartyDetailID 2 with executor EXEC2 and IDMShortCode IDM2
If customer submits new order with PartyDetailID = 1, and cancel this same order with PartyDetailID = 2, CME Globex will return PartyDetailID = 1 on the cancel acknowledgement.
Messages missing the tags or containing an unregistered value will be rejected with:
- Business Reject message with tag 380=5 (required field missing) and
- Tag 58='Tag 5290 (Executor) required field missing'
- Tag 58='Tag 36023 (IDMShortCode) required field missing'
- Tag 58='Tag 5290 (Executor) not registered'
- Tag 58='Tag 36023 (IDMShortCode) not registered
Tag 5290-Executor and tag 36023-IDMShortcode are available in New Release for customer testing. To facilitate client development and certification, in New Release the presence of these tags will be validated but the values are not required to be registered.
| Tag | Field Name | Binary Type | Binary Length | Req | Description |
|---|---|---|---|---|---|
| 5290 | Executor | uInt64NULL | 8 | N | Will be populated with the MIFID short code for the person or algo responsible for the execution of the order within firm. Short Code will be referring to a person or algo which will be mapped to National ID or Algo at reporting time. Applicable for EU BrokerTec and EBS MiFID. |
| 36023 | IDMShortcode | uInt64NULL | 8 | N | Represents the MIFID Short Code of the Investment Decision Maker. Applicable for EU BrokerTec and EBS MiFID. |
- Tag 5677-SourceRepoID and Tag 37715-MaxNoOfSubstitutions will be added to the Security Definition Request and Security Definition Response messages:
Tag | Field Name | Binary Type | Binary Length | Req | Description |
|---|---|---|---|---|---|
| 37715 | MaxNoOfSubstitutions | uInt8NULL | 1 | N | Max number of substitutions allowed. The value '0' indicates substitutions are not allowed. |
| 5677 | SourceRepoID | Int32NULL | 4 | N | Represents the source Repo instrument on which the new custom Repo should be modeled. |
New Repeating Group
A new repeating group for MIFID reporting will be added to the following messages:
- Party Details Definition Request
- Party Details Definition Request Acknowledgment
- Party Details List Report
Tag | Name | Binary Type | Binary Length | Req | Enumeration | Description |
|---|---|---|---|---|---|---|
2668 | NoTrdRegPublications | groupSize | 3 | N | Number of regulatory publication rules in repeating group Used to indicate that an ESCB customer can exempt from disclosure any activity that is related to central banking activity Should always be "1" if used; otherwise set to '0' | |
→2669 | TrdRegPublicationType | uInt8 | 1 | Y | 2=Exempt from Publication | Specifies the type of regulatory trade publication Additional reasons for the publication type will be specified in tag 2670-TrdRegPublicationReason Represents allowable exemptions for the post-trade publication of trade transactions Should always be "2" |
→2670 | TrdRegPublicationReason | uInt8 | 1 | Y | 12=Exempted due to European System of Central Banks (ESCB) policy transaction | Additional reason for trade publication type specified in tag 2669-TrdRegPublicationType (2669) Reasons may be specific to regulatory trade publication rules Should always be "12" |
A new repeating group will be added to the following message types to support binary trade reporting:
- Execution Report Trade Outright
- Execution Report Trade Spread
- Execution Report Trade Spread Leg
Tag | Name | Req | Binary Type | Binary Length | Description |
|---|---|---|---|---|---|
1795 | NoOrderEvents | N | groupSize | 3 | Number of fills which comprise fill quantity |
→1799 | OrderEventPx | Y | PRICE9 | 8 | Refers to the fill price; same as tag 31-LastPx |
→1802 | OrderEventText | N | String5 | 5 | Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades |
→1797 | OrderEventExecID | Y | uInt32 | 4 | This is a unique ID which ties together a specific fill between two orders; It will be unique per instrument per day |
→1800 | OrderEventQTY | Y | uInt32 | 4 | Refers to the specific fill quantity between this order and the opposite order |
→1796 | OrderEventType | Y | OrderEventTye | 1 | The type of event affecting an order
|
→1798 | OrderEventReason | Y | uInt8 | 1 | Action that caused the event to occur. 100=Binary Trade Reporting |
For more information please see also: iLink 3 STP Reconciliation.
A new repeating group will be added to the following message types to support Trade Cancel and Trade Adjustments:
- Execution Report Trade Addendum Outright
- Execution Report Trade Addendum Spread
- Execution Report Trade Addendum Spread Leg
Tag | Name | Req | Binary Type | Binary Length | Description |
|---|---|---|---|---|---|
1795 | NoOrderEvents | N | groupSize | 3 | Number of fills which comprise fill quantity |
→1799 | OrderEventPx | Y | PRICE9 | 8 | For Trade Cancel, refers to price of the canceled trade. For Trade Correction, refers to the new fill price. |
→1802 | OrderEventText | N | String5 | 5 | Will not be present for BrokerTec US; Will be populated with the firm ID of the opposite order for BrokerTec EU bilateral trades |
→1797 | OrderEventExecID | Y | uInt32 | 4 | This is a unique ID which ties together a specific fill between two orders; It will be unique per instrument per day |
→1800 | OrderEventQTY | Y | uInt32 | 4 | Refers to the specific fill quantity between this order and the opposite order |
→1796 | OrderEventType | Y | TradeAddendum | 1 | The type of event affecting an order
|
→1798 | OrderEventReason | Y | uInt8 | 1 | Action that caused the event to occur. 100=Binary Trade Reporting |
→6555 | OriginalOrderEventExecID | N | uInt32NULL | 4 | Contains the previous tag 1797-OrderEventExecID value of the trade being adjusted or busted. Will not be present on the following message types
|
The following fields are required for CME Group futures and options, but optional for BrokerTec products:
- tag 1693-PartyDetailRole=24 (Customer Account)
- For New Order - Single, Order Cancel Replace Request, and Mass Quote, message is rejected if Account field is present but populated only with spaces.
- Will be ignored if present for Order Cancel Request.
Account modification will not cause BrokerTec order to lose priority
- tag 582-CTI Code
- tag 1816-ClearingAccountType
- tag 1031-CustOrderHandlingInst
The following fields are required for BrokerTec products. iLink3 will reject BrokerTec messages when these tags are not populated, even though they are not a regulatory requirement for BrokerTec markets.
- tag 1693-PartyDetailRole=118 (Operator)
- tag 5392-SenderID
- tag 9537-Location
New Message Type
Execution Acknowledgement Message (35=BN)
The Execution Report Acknowledgment message notifies CME Globex that a particular fill has either been accepted or rejected by a counterparty for EU bilateral trades.
More information regarding Bilateral Accept/Reject Trading can be found in the "CME Globex BrokerTec Market Functionality" document, which is available in the BrokerTec Support Portal.
Duplicate Order Validation
This topic provides information about iLink 3 duplicate order check. The Securities Exchange Act Rule 15c35 – Risk Management Controls for Brokers or Dealers with Market Access requires that financial risk management controls and supervisory procedures be reasonably designed to systematically limit the financial exposure of the broker dealer that could arise as a result of market access. The iLink 3 duplicate order check is designed to address this risk by:
- Supporting valid trading activity, and
- Preventing the entry of erroneous orders by rejecting orders that that indicate duplicative orders over a short period of time
The duplicate order check functionality is only applicable to BrokerTec US and not BrokerTec EU.
To protect market participants from the negative effects of erroneous orders messaging, CME Globex has implemented the duplicate order check for iLink 3 Binary Order Entry as described below.
Message submitted by the client system on an iLink 3 session are monitored by the number of duplicate messages sent over a predefined time interval with the same:
- Tag 35-MsgType
- Tag 48-SecurityID
- Tag 54-Side
- Tag 44-Price
- Tag 38-Order Quantity
- Tag 59-Time in force (0 or 3)
- Tag 110-Minimum Quantity
- Tag 1138-Display Quantity
- Tag 1693 (PartyDetailRole =1)-Executing Firm
- Tag 39006-Session
- Tag 5392-SenderID
The time interval begins with the first duplicate message processed. At the end of the interval, if no violation has occurred, the message count and interval reset pending the next duplicate message processed.
- The trigger for rejecting a duplicate order is receiving consecutive messages with the same information in the fields as outlined above for users that has exceeded the configurable threshold of duplicate orders allowed over a rolling window.
If an iLink 3 session exceeds the duplicate orders threshold, any subsequent duplicate messages will be rejected via a Business Level Reject (tag 35-MsgType=j) message with tag 380-BusinessRejectReason = 119 - Duplicate Order Threshold Exceeded until after a full time interval has passed without any new duplicate messages having been received.
- For Automated Duplicate Order Threshold Exceeded (tag 1028-ManualOrderIndicator= 0), the Business Level Reject message will be sent with tag 58-Text = Automated Duplicate Order Threshold Exceeded Reject. Current Duplicate Order Count
- For Manual Duplicate Order Threshold Exceeded (tag 1028-ManualOrderIndicator r=1), the Business Level Reject message will be sent with tag 58-Text = Manual Duplicate Order Threshold Exceeded Reject. Current Duplicate Order Count: x
The duplicate order check will include only this message type:
- New Order Single
The following messages types will reset the duplicate message count and interval reset back to 0
- Order Cancel Replace Request
- Order Cancel Request
- Order Mass Action Request
- Order Mass Status Request
- Order Status Request
- Mass Quote
- Security Definition Request
The duplicate order thresholds for New Order Single message are:
| New Order Single | Tag 1028-Manual OrderIndicator | Reject Threshold | Interval | |
|---|---|---|---|---|
| Production | NR | |||
Automated Order | N | 100 | 10 | 100 millisecond window |
Manual Order | Y | 20 | 3 | One-second window |
Cancel on Disconnect
All iLink 3 sessions are Cancel on Disconnect (CoD) mandatory. The COD functionality allows users to have working orders automatically canceled upon an ungraceful session disconnect. Detailed information on CoD is available in Risk Management Services.
The existing BrokerTec CoD allows users to have working orders automatically canceled upon any session disconnect. The new BrokerTec CoD on CME Globex will NOT be invoked for a graceful disconnect – a voluntary termination performed by the client system which initiate termination of the connection. This involves the successful completion of each of the following steps:
- Client system sends Terminate request
- CME Group sends Terminate response
- Client system receives the Terminate response
For a graceful session disconnect, it is the Client's responsibility to cancel all working orders before sending a Terminate message in order to have all working orders cancelled.
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