iLink 3 Trading on Behalf of a Client

CME Globex allows firms to submit orders on behalf of clients or other clearing member firms for whom the submitting firm is authorized to transact. 

Firm ID and Order Submission

CME Group-assigned session identifiers (tag 39006-Session in the Negotiate and Establish messages) and Firm IDs (tag 39007-Firm in the Negotiate and Establish messages) must be used when clearing member firms submit orders on behalf of clients. The Executing Firm is:

A client system can negotiate and establish a session with one Firm ID and populate tag 1691-PartyDetailD with a different Firm ID to submit the order. This is only allowed if both firms are associated with the same session.

Firm Trading for Itself

A firm submitting an order for itself must populate tag 1691-PartyDetailID with the value assigned by CME Group to the firm as an identifier of its own business.

Firm Trading on Behalf of a Clearing Member Firm

For an authorized firm to submit an order for a clearing member firm (Affiliate, Sub-Accounting, or Cross-Margin firm number), the submitting firm must populate tag 1691-PartyDetailID with the value assigned by CME Group to the clearing member firm on whose behalf the order is submitted.

Firm Trading for a Non-Clearing Member Firm

For the firm to submit an order for a client that is not a clearing member, the submitting firm can populate tag 582-CustOrderCapacity and tag 1816-ClearingAccountType as described in the iLink 3 Party Details Definition Request message layout.

Example 1: Firm Submitting Orders

The following example demonstrates how firm 999 can submit orders for:

  • itself (firm 999)

  • another clearing member firm (e.g. firm 998)

  • for a non-clearing member firm client

Order Entry Scenario

Supporting iLink Tag Values

Order Entry Scenario

Supporting iLink Tag Values

Firm Submitting Order

Tag 1691-PartyDetailID = 999

Firm Submitting Order for another Clearing Firm

Tag 1691-PartyDetailID = 998

Firm Submitting Order for Client

  • Tag 1691-PartyDetailID = 999

  • Tag 1816-ClearingAccountType = 0 (Customer)

  • Tag 582-CustOrderCapacity = 3 (Member trading for another member)

Cancel on Behalf (COB)

Cancel on Behalf (COB) functionality on CME Globex allows iLink 3 sessions to cancel resting orders and mass quotes from different iLink 3 sessions under the same CME Globex Firm ID (GFID). This functionality is enabled for all CME Group futures and options on futures on CME Globex. It is only available on iLink 3 sessions using the schema version 8. 

  • COB functionality is not available for iLink 2 sessions. 

  • iLink 3 sessions cannot initiate cancels for iLink 2 resting orders and quotes.

  • COB functionality is not available for BrokerTec and EBS markets.

Route-throughs, which allow a single iLink session to support order routing on behalf of multiple GFIDs, cannot utilize COB across multiple GFIDs.

iLink 3 sessions can cancel resting orders or mass quotes on behalf of a single SenderCompID without the Fault Tolerance Indicator (e.g. ABC123; the left-most 3 characters represent the Session ID and the next 3 characters are the GFID) under the same GFID. In response, CME Globex sends Cancel Acknowledgement messages to both the original and on-behalf sessions

The following diagram illustrates iLink 3 messages leveraging COB functionality. 

COB Session Configuration

Customers are responsible for opting into this functionality using CME Request Center to indicate which iLink 3 sessions should be able to initiate cancellation: 

  1. Enable COB for a single session in a GFID (i.e. this session could initiate cancels for any other session under that GFID but not vice-versa)

  2. Enable COB for some of the assigned sessions in a GFID (i.e. only the enabled sessions will be able to cancel any other session's orders or vice-versa only for the enabled sessions)

The maximum number of sessions that could initiate COB for a particular GFID is restricted to 5 sessions.

The opt-in sessions for COB are bi-directional for enabled sessions and unidirectional for non-enabled sessions. For example, 

  • GFID has three sessions: AAA, BBB and CCC.

  • Only AAA and BBB are enabled via Request Center.

  • Since session AAA and BBB are both enabled, both sessions can initiate cancellation of each other’s orders as well as for session CCC, but session CCC cannot initiate cancellation because it is not enabled.

COB Functionality

Customers who opt to leverage COB functionality by registering via CME Request Center will submit Cancel Request messages with tag 9937-OrigOrderUser which represents the original SenderCompID for whom orders and quotes should be cancelled. In response, CME Globex sends Cancel Acknowledgement messages with tag 9937–OrigOrderUser and tag 2807-CancelText representing the on-behalf SenderCompID which initiated the cancellation of orders or quotes on behalf of the original SenderCompID.

Given:

  • Session ID = ABC, GFID = 123

  • Session ID = XYZ, GFID = 123

Message

Session ID

Tag 1505-PartyDetailsListReqID

Tag 9937-OrigOrderUser

Tag 2807-CancelText

Message

Session ID

Tag 1505-PartyDetailsListReqID

Tag 9937-OrigOrderUser

Tag 2807-CancelText

New Order - Single

ABC

1683814

--

--

Execution Report - New Order 

ABC

1683814

--

--

Order Cancel Request

XYZ

1009330

ABC123

--

Execution Report - Cancel

ABC

1683814

ABC123

XYZ123

Execution Report - Cancel

XYZ

1683814

ABC123

XYZ123

Order Status Request

ABC

1229043

--

--

Execution Report - Status

ABC

1683814

ABC123

XYZ123

Order Status Request

XYZ

158679

--

--

Execution Report - Status

XYZ

1683814

ABC123

XYZ123

Given:

  • Session ID = ABC, GFID = 123

  • Session ID = XYZ, GFID = 123

Message

Session ID

Tag 1505-PartyDetailsListReqID

Tag 9937-OrigOrderUser

Tag 2807-CancelText

Message

Session ID

Tag 1505-PartyDetailsListReqID

Tag 9937-OrigOrderUser

Tag 2807-CancelText

New Order - Single

ABC

1683814

--

--

Execution Report - New Order 

ABC

1683814

--

--

PartyDetailsDefinitionRequest

XYZ

0

--

--

Order Cancel Request

XYZ

0

ABC123

--

Execution Report - Cancel

ABC

1683814

ABC123

XYZ123

Execution Report - Cancel

XYZ

1683814

ABC123

XYZ123

Order Status Request

ABC

1229043

--

--

Execution Report - Status

ABC

1683814

ABC123

XYZ123

Order Status Request

XYZ

158679

--

--

Execution Report - Status

XYZ

1683814

ABC123

XYZ123

Mass Quote Block/Unblock

To prevent an infinite loop in which the original session continues sending mass quotes even after the quotes are cancelled by the on-behalf session, COB for mass quotes provides the ability to block mass quotes for the original SenderCompID until the original session resets the block.

Mass Quote Block

CME Group will allow the on-behalf session to block future mass quote submissions from the original session within the same GFID via the Quote Cancel (tag 35-MsgType=Z) message using tag 9182-QuoteEntryOpen = 0.

Tag

Tag Value

Behavior

Tag

Tag Value

Behavior

9182-QuoteEntryOpen

0

Cancel and Block quotes

1

Cancel quotes

null

Cancel quotes

The ability to block quotes is supported at the product group and all quote levels, but not the instrument or quote set levels.

Quote Cancel

Supported

Quote Cancel

Supported

Instrument

No

Product Group

Yes

All Quotes

Yes

Quote Set

No

Customers intending to use COB functionality for blocking mass quotes must be aware of the following:

  • Tag 9182-QuoteEntryOpen will be ignored if only used for cancelling a SenderCompID's own quotes, and the Quote Cancel Acknowledgment will not return tag 9182-QuoteEntryOpen.

  • The blocked quotes on behalf of another session will not persist in the following cases. The original session would be able to send mass quotes.

    • across calendar weeks from one trading week to the next

    • If there is a market halt midweek

  • When unsolicited Quote Cancel Acknowledgment messages are published because of a group state change, these messages will not contain tag 9182-QuoteEntryOpen to indicate whether quotes are still blocked or not.

  • Tag 9182-QuoteEntryOpen is only present in the Quote Cancel Acknowledgment published in response to the Quote Cancel on behalf which is sent to both the original session as well as the initiating session.

Mass Quote Unblock

Once the original session is blocked from submitting mass quotes, the original session must remove this block by submitting a Mass Quote (tag 35-MsgType=i) message with tag 9182-QuoteEntryOpen=1.  CME Globex will send a Mass Quote Acknowledgment with tag 9182-QuoteEntryOpen=1.  

Mass Quote - Tag 9182-QuoteEntryOpen

Mass Quotes

Result

Mass Quote - Tag 9182-QuoteEntryOpen

Mass Quotes

Result

1

Blocked

Unblock Quotes and the Mass Quote Acknowledgment message will include tag 9182 =1.

1

Not blocked

Tag 9182 will be ignored and the Mass Quote Acknowledgment message will not include tag 9182.

0

Blocked

Quotes remain blocked and the Business Reject message will include a new error code: tag 380 = 145 - Quote rejected: Blocked from quoting this instrument 'cannot quote group: xx'.

0

Not blocked

Tag 9182 will be ignored and the Mass Quote Acknowledgment message will not include tag 9182.

null 

Blocked

Quotes remain blocked and the Business Reject message will include a new error code: tag 380 = 145 - Quote rejected: Blocked from quoting this instrument 'cannot quote group: xx'.

null 

Not blocked

Tag 9182 will be ignored and the Mass Quote Acknowledgment message will not include tag 9182.

If all quotes have been blocked, a Mass Quote message for each product group must be sent with tag 9182-QuoteEntryOpen=1 to remove the block.

Example 4 - Mass Quote Cancel and Block

GIVEN:

ID

Session

GFID

COB Session

Quote Permissioned Product Codes

ID

Session

GFID

COB Session

Quote Permissioned Product Codes

1

AAA

123

N

SR1, G2, E3

2

BBB

123

Y

SR1

WHEN:

  • Session: AAA and GFID: 123 places quotes for Bid@96.0/Ask@97.0 for GEM3 P0500 belonging to ‘SR1’ Product code

  • Session: AAA and GFID: 123 places quotes for Bid@94.0/Ask@95.0 for TE2X2 P9550 belonging to ‘G2’ Product code

  • Session: BBB and GFID: 123 sends a quote cancel for AAA123 to cancel all active quotes across all products as well as to block AAA123 from sending further quotes

Message

Session

Quote Entries

OrigOrderUser

(tag 9937)

CancelText

(tag 2807)

QuoteEntryOpen

(tag 9187)

Message

Session

Quote Entries

OrigOrderUser

(tag 9937)

CancelText

(tag 2807)

QuoteEntryOpen

(tag 9187)

Mass Quote

AAA

Bid@96.0/Ask@97.0 for GEM3 P0500

--

--

--

Mass Quote Ack

AAA

1

--

--

--

Mass Quote

AAA

Bid@96.0/Ask@97.0 for TE2X2 P9550



--

--

--

Mass Quote Ack

AAA

1

--

--

--

Quote Cancel All

BBB

--

AAA123

BBB123

0

THEN:

  • Matching engine will process Quote Cancel message and verify BBB123 is authorized to initiate cancels for GFID 123

  • No impact to market data and book update showing deletes will be published per existing behavior

Message

Session

Quote Entries

CancelledSymbol

(tag 9774)

OrigOrderUser

(tag 9937)

CancelText

(tag 2807)

QuoteEntryOpen (tag 9187)

Message

Session

Quote Entries

CancelledSymbol

(tag 9774)

OrigOrderUser

(tag 9937)

CancelText

(tag 2807)

QuoteEntryOpen (tag 9187)

Quote Cancel All Ack

AAA

1

SR1

AAA123

BBB123

0

Quote Cancel All Ack

AAA

1

G2

AAA123

BBB123

0

Quote Cancel All Ack

BBB

1

SR1

AAA123

BBB123

0

Quote Cancel All Ack

BBB

1

G2

AAA123

BBB123

0

Quote Cancel All Ack

BBB

1

E3

AAA123

BBB123

0



AND:

  • Session: AAA and GFID: 123 places quotes for Bid@93.0/Ask@92.0 for SR1Z3 P0575 with QuoteEntryOpen absent

  • SenderCompID AAA123 receives Business Reject because new mass quotes have been blocked for product group SR1

  • Session: AAA and GFID: 123 places quotes for Bid@93.0/Ask@92.0 for SR1Z3 P0575 with QuoteEntryOpen=Y

  • Matching engine will detect that existing block for product group SR1 has been reset and will now accept and book the quotes

Message

Session

Quote Entries

OrigOrderUser

(tag 9937)

CancelText

(tag 2807)

QuoteEntryOpen

(tag 9187)

Message

Session

Quote Entries

OrigOrderUser

(tag 9937)

CancelText

(tag 2807)

QuoteEntryOpen

(tag 9187)

Mass Quote

AAA

Bid@93.0/Ask@92.0 for SR1Z3 P0575

--

--

--

Business Reject

AAA

--

--

--

--

Mass Quote

AAA

Bid@93.0/Ask@92.0 for SR1Z3 P0575

--

--

1

Mass Quote Ack

AAA

1

--

--

1








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