MDP 3.0 - Bilateral Trade Relationship Processing for BrokerTec
Bilateral trading relationships for certain EU Repo products will be supported on CME Globex. Bilateral trading allows permissioned firms to trade with other permissioned firms for the given bilateral product. Bilateral relationships are managed internal to CME Group and market data for these products is supported with Conflated CME MDP TCP for Market by Price (MBP) books.
Bilateral Product Market Data
The following market data messages and tags support bilateral product trading.
Market Data Incremental Refresh (35=X)
- tag 37719-TradeableSize is the MBP quantity of a bilateral product's total tradeable quantity available to a specific firm.
Security Definition Message (35=d)
- tag 37722-MarketSet identifies the Market Set. Each product is associated to a single MarketSet.
Bilateral Product Trading Relationship Restrictions
Bilateral product trading relationships are managed internally by CME Group across eligible firms and eligible products. These products are identified by Market Set.
- Bilateral relationships between firms can be updated intra-day.
The table below shows and example of bilateral trading restrictions across firms per Market Set:
Firm1 | Firm2 | Firm3 | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Firm1 |
|
| |||||||||||||
| Firm2 |
|
| |||||||||||||
| Firm3 |
|
|
where Market Sets are:
MkSet1 | MkSet2 | MkSet3 |
|---|---|---|
SecurityID=1111 SecurityID=1112 SecurityID=1113 SecurityID=1114 SecurityID=2222 SecurityID=2223 | SecurityID=2224 SecurityID=2225 SecurityID=3333 SecurityID=3334 SecurityID=3335 SecurityID=3336 | SecurityID=4444 SecurityID=4445 |
Bilateral Product Tradeable Quantity Example
The following example shows the mechanics of bilaterally restricted tradeable quantity for Firm 1 subscribed to instruments with and without bilateral restrictions. The example assumes the firms are entitled to all security groups.
MBOLD Books
The following Market By Order - Limited Depth (MBOLD) buy side order book is shown to the market. MBOLD book updates are not credit screened and do not support 37719-TradeableSize.
SecurityID=1111, MkSet1
| Book Priority | Bid Quantity | Bid Book Price | Firm |
|---|---|---|---|
| 1 | 500 | 1.91 | Firm1 |
| 2 | 300 | 1.91 | Firm2 |
| 3 | 100 | 1.92 | Firm3 |
SecurityID=2224, MkSet2
| Book Priority | Bid Quantity | Bid Book Price | Firm |
|---|---|---|---|
| 1 | 300 | 2.03 | Firm1 |
| 2 | 600 | 2.03 | Firm2 |
| 3 | 400 | 2.04 | Firm3 |
Resulting MBP Tradeable Quantity
Firm1 Book, SecurityID=1111, MkSet1
Results in the following Firm 1 MBP book for SecurityID 1111 with 37719-TradeableSize populated.
The total bid quantity for 1.91 is 800 (Firm 1 (500) + Firm 2 (300)). Due to the bilateral restriction for MkSet1, the Firm 2 order quantity (300) is not included. As a result, the tradeable quantity is 500.
| MBP Book Priority | Total Bid Quantity (270-MDEntryPx) | Tradeable Quantity (37719-TradeableSize) | Bid Book Price |
|---|---|---|---|
| 1 | 800 | 500 | 1.91 |
| 2 | 100 | 100 | 1.92 |
Firm1 Book, SecurityID=2224, MkSet2
Results in the following Firm 1 MBP book for SecurityID 2224 with 37719-TradeableSize populated. Firm1 has all tradaeble quantity available per the bilateral restrictions for MkSet2.
| MBP Book Priority | Total Bid Quantity (270-MDEntryPx) | Tradeable Quantity (37719-TradeableSize) | Bid Book Price |
|---|---|---|---|
| 1 | 900 | 900 | 2.03 |
| 2 | 400 | 400 | 2.04 |
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