CME STP - Trade Messaging Behavior for BrokerTec

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)

On Collateral message (35=BA)

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 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.