CME STP - Trade Messaging Behavior for BrokerTec
- CME Group
This page describes CME STP and STP FIX trade messaging, EU regulatory identifiers, cancel and correction functionality for BrokerTec.
Contents
CME STP and STP FIX - Regulatory Fields and Identifiers
Trades on Brokertec EGB's & EU Repo have specific Regulatory requirements. Fields/tag in STP below are to be used for this purpose.
In Trade Capture Report (35=AE) if tag 1832 (CleardIndicator, FIXML @Clrd) is set to 0, then it is bilateral (UTI); if set to 1 it is CCP (RTN).
In Trade Capture Report (35=AE) and Collateral Report (35=BA) tag 30 (LastMkt) will identify the MIC code. BTEE for UK Entity, BTAM for European Entity.
The Regulatory fields are in /TrdCaptRpt/RptSide/RegTrdID (repeating) of Trade Capture Report (35=AE) and in /CollRpt/RegTrdID (repeating) of Collateral message (35=BA)
On Trade Confirmation Report (35 = AE)
TVTIC (Trading Venue Transaction ID)
10029 | 10030 | 30 | 10028 | 10027 |
|---|---|---|---|---|
0 | 5 | BTAM | JWU9TKEA3F | Market generated TVTIC value |
0 | 5 | BTEE | JUGT74QZAD | Market generated TVTIC value |
UTI/RTN (Unique Trade Identifier/Report Tracking Number)
10029 | 10030 | 30 | 10028 | 10027 |
|---|---|---|---|---|
0 | 0 | BTAM | JWU9TKEA3F | Market generated UTI/RTN value |
0 | 0 | BTEE | JUGT74QZAD | Market generated UTI/RTN value |
LCH UTI (UTI as provided by LCH/LCHSA replicated to facilitate customer reconciliation with the clearer)
10029 | 10030 | 10028 | 10027 |
|---|---|---|---|
0 | 0 | LCH | LCH generated UTI value |
On Collateral message (35=BA)
TVTIC (Trading Venue Transaction ID)
1904 | 1906 | 30 | 1905 | 1903 |
|---|---|---|---|---|
0 | 5 | BTAM | JWU9TKEA3F | Market generated TVTIC value |
0 | 5 | BTEE | JUGT74QZAD | Market generated TVTIC value |
UTI/RTN (Unique Trade Identifier/Report Tracking Number)
1904 | 1906 | 30 | 1905 | 1903 |
|---|---|---|---|---|
0 | 0 | BTAM | JWU9TKEA3F | Market generated UTI/RTN value |
0 | 0 | BTEE | JUGT74QZAD | Market generated UTI/RTN value |
LCH UTI (UTI as provided by LCH/LCHSA replicated to facilitate customer reconciliation with the clearer)
1904 | 1906 | 1905 | 1903 |
|---|---|---|---|
0 | 0 | LCH | LCH generated UTI value |
Clearer specific ID's are not published for clearers such as BME, EUREX, MONTE.
Trade Cancel and Amend
For Trade Cancel and Amend behavior, see:
CME STP - Trade Cancel and Amend Messaging Behavior for BrokerTec
Brokertec Bilateral Trading - Accept/Reject
Bilateral trade rejects result in two Trade Capture Report (tag 35-MsgType=AE): trade confirmation and tag 487-TradeReportTransType=0 and Reject/Reverse message tag 487-TradeReportTransType=4.
Certain transactions can be cancelled and not published on API for example if BrokerTec changes terms of the deal.
Bilateral Trade Accept
In this example, an ask side aggressor order trades with a bid side order. Both market data participants receive Trade Capture Reports(35=AE) reflecting a new trade (487=0)
Bilateral Reject - Single Passive Counter-Party
In this example, an ask side aggressor order trades with a single bid side order. Both market data participants receive Trade Capture Reports (35=AE) acknowledging the new trade (487=0)
The ask side aggressor then rejects the trade and both participants receive Trade Capture Reports (35=AE) acknowledging the trade cancellation (487=4)
Bilateral Partial Reject - Multiple Passive Counter-Parties
In this example, an ask side aggressor order trades with multiple bid side order. All market data participants receive Trade Capture Reports(35=AE) acknowledging the new trade (487=0)
The bid side passive participant then rejects the trade causing a partial trade cancel. The aggressor and passive participant that initiated the trade reject will receive the Trade Capture Reports(35=AE) acknowledging the trade cancellation (487=4)
BrokerTec Trade Cancel and Correction
Trade Cancel - Cancel Model
In this example, the passive participant XYZ requests a trade cancel from the GCC.
Partial Trade Cancel - Cancel Model
In this example, the passive participant XYZ requests a trade cancel from the GCC leaving the trade between ABC and MNO active after the GCC trade cancel.
Trade Cancel - Offset Model
In this example of the offset model, XYZ requests requests a trade cancel from the GCC.
Aggressor participant
Replace (487=2)
New (487=0)
Passive participant
Replace (487=2)
New (487=0)
Partial Trade Correction - Cancel Model
In this example, passive trade XYZ request the GCC to reduce active quantity from 300 to 100.
Partial Trade Correction - Offset Model
In this example, XYZ request trade modification from the GCC for quantity 300 to 100.
Trade Price Amend - Cancel Model
In this example, XYZ requests trade modification of trade price adjusted from 100 to 99.
Trade Price Amend - Offset Model
In this example, XYZ requests trade modification of trade price adjusted from 100 to 99.
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