CME STP FIX - Curve Ratio Spread Use Cases

Owned by CME Group
Apr 26, 2024
2 min read

A trade on Curve Ratio (RV) Spread is a trade of Short and Long maturity of US Treasuries. A Curve Ratio (RV) Spread Bid/Buy or Offer/Sell could either trade as Non-Implied with another counter-party(s) or as Implied trade with the underlying liquidity from the corresponding US Treasuries.

The optional tag 442-MLegRptTyp in the Trade Capture Report Request (tag 35-MsgType=AD) can be used to filter for trades on Multileg instruments such as RV Curve Spreads.

This table enumerates the use of tag 442-MLegRptType values with the Trade Capture Report Request and the resulting Trade Capture Reports (tag 35-MsgType=AE).

Trade Capture Report Request (AD)

Trade Capture Reports (AE) Received

Trade Capture Report Request (AD)

Trade Capture Reports (AE) Received

tag 442-MLegRptTyp : Not provided

or

tag 442-MLegRptTyp : Provided with value of '2'

Trade Capture Report (AE) for Outright trades with tag 442-MLegRptTyp=1

Trade Capture Report (AE) for each leg of the Non-Implied RV Curve trade with tag 442-MLegRptTyp=2

Trade Capture Report (AE) for each leg of the Implied RV Curve trade with tag 442-MLegRptTyp=2

tag 442-MLegRptTyp : Provided with value of '3'

Trade Capture Report (AE) for Outright trades with tag 442-MLegRptTyp=1

Trade Capture Report (AE) for the Non-Implied RV Curve trade with tag 442-MLegRptTyp=3, with Leg details in the TrdLeg Repeating group

No Trade Capture Reports (AE) published when the RV Curve trades as Implied.

Contents

Key Tags

  • tag 37-OrdId (OrderID) in Trade Capture Report (AE) matches with iLink3 tag 37-OrderID in ExecutionReportTradeSpread526 & ExecutionReportTradeSpreadLeg527

  • tag 37711-MarketDataTradeEntryID in Trade Capture Report (AE) matches with iLink3 tag 37711-MDTradeEntryID in ExecutionReportTradeSpread526

  • tag 2490-TradeNumber in Trade Capture Report (AE) matches with iLink3 tag 1797-OrderEventExecID in ExecutionReportTradeSpread526 when MLegRptTyp=3

  • tag 2490-TradeNumber in Trade Capture Report (AE) matches with iLink3 tag 1797-OrderEventExecID in ExecutionReportTradeSpreadLeg527 when MLegRptTyp=2

Samples

MultiLeg Reporting Type (tag 442-MLegRptType) = 2

Trade Capture Report Request (AD) and Response (AQ)

8=FIX.4.4|9=140|35=AD|49=ABC|56=CMESTPFIX1|34=20|57=STP|52=20210319-16:25:30.929|568=STP-TEST-NR|569=1|263=1|453=1|448=catxu_testcatxugfe|447=D|452=7|442=2|10=199|  

8=FIX.4.4|9=99|35=AQ|49=CMESTPFIX1|56=ABC|34=20|50=STP|52=20210319-16:25:30.940|568=STP-TEST-NR|569=1|749=0|750=0|10=246|

Curve Ratio (RV) Spread - Aggress against one counterparty order (Non-Implied)

Trade Capture Report (AE) Leg 1

8=FIX.4.4|9=997|35=AE|49=CMESTPFIX1|56=ABC|34=99|50=STP|52=20210319-16:38:29.422|571=178331354A00002D1F22C23565490354209713|487=0|856=101|568=STP-TEST-NR|828=0|880=403452391|17=40828:M:32272TN0001628|423=2|55=UB05_1/2_02/26|48=UB05|22=H|454=1|455=91282CBQ3|456=1|461=DBFTFR|167=TNOTE|762=RV|207=BTUS|107=5_YEAR|32=3|31=93.2644117|30=BTEC|75=20210319|715=20210319|442=2|60=20210319-16:38:29.233543742Z|64=20210322|552=1|54=2|37=4075889834|11=12|453=6|448=CATXU|447=D|452=1|802=2|523=TEST CATXU GFE|803=5|523=549300WDHFFVVRXEES11|803=84|448=catxu_testcatxugfe|447=C|452=7|448=FICC|447=C|452=21|448=LABL|452=44|448=JSA|452=55|448=test_prime_broker|447=D|452=79|578=GLBX|158=0.03125|921=2798869.85100000000|779=20210319-16:38:29.301000000Z|939=0|1003=19560103|1012=20210319-16:38:29.233543742Z|1013=1|1016=1|1040=178331354A00002D1F22E|1057=Y|1430=E|1851=4075889834202103191|1832=1|2490=2078|10024=1|10026=USD|10033=70.125|10053=N|20011=11762549|20043=1.937006|20056=C0011762549|37513=217361262911991262|37711=1035901|10=080|

Trade Capture Report (AE) Leg 2

8=FIX.4.4|9=1000|35=AE|49=CMESTPFIX1|56=ABC|34=100|50=STP|52=20210319-16:38:29.526|571=178331354A00002D1F22C23565490354209714|487=0|856=101|568=STP-TEST-NR|828=0|880=403452391|17=40828:M:32273TN0000684|423=2|55=UB07_1_1/8_02/28|48=UB07|22=H|454=1|455=91282CBP5|456=1|461=DBFTFR|167=TNOTE|762=RV|207=BTUS|107=7_YEAR|32=2|31=99.265625|30=BTEC|75=20210319|715=20210319|442=2|60=20210319-16:38:29.233543742Z|64=20210322|552=1|54=1|37=4075889834|11=12|453=6|448=CATXU|447=D|452=1|802=2|523=TEST CATXU GFE|803=5|523=549300WDHFFVVRXEES11|803=84|448=catxu_testcatxugfe|447=C|452=7|448=FICC|447=C|452=21|448=LABL|452=44|448=JSA|452=55|448=test_prime_broker|447=D|452=79|578=GLBX|158=0.0703125|921=1986718.7500000000|779=20210319-16:38:29.301000000Z|939=0|1003=19560104|1012=20210319-16:38:29.233543742Z|1013=1|1016=1|1040=178331354A00002D1F230|1057=Y|1430=E|1851=4075889834202103191|1832=1|2490=846|10024=1|10026=USD|10033=70.125|10053=N|20011=11762549|20043=1.235756|20056=C0011762549|37513=1027713680292641066|37711=1035901|10=042|

Curve Ratio (RV) Spread - Aggress against two counterparty orders (Non-Implied)

Trade Capture Reports (AE) Leg 1

8=FIX.4.4|9=998|35=AE|49=CMESTPFIX1|56=ABC|34=123|50=STP|52=20210319-16:42:20.798|571=178331354A00002D1F34E23567804365193103|487=0|856=101|568=STP-TEST-NR|828=0|880=403452466|17=40828:M:32447TN0001653|423=2|55=UB05_1/2_02/26|48=UB05|22=H|454=1|455=91282CBQ3|456=1|461=DBFTFR|167=TNOTE|762=RV|207=BTUS|107=5_YEAR|32=6|31=93.1897112|30=BTEC|75=20210319|715=20210319|442=2|60=20210319-16:42:20.671797907Z|64=20210322|552=1|54=2|37=4075890399|11=13|453=6|448=CATXU|447=D|452=1|802=2|523=TEST CATXU GFE|803=5|523=549300WDHFFVVRXEES11|803=84|448=catxu_testcatxugfe|447=C|452=7|448=FICC|447=C|452=21|448=LABL|452=44|448=JSA|452=55|448=test_prime_broker|447=D|452=79|578=GLBX|158=0.03125|921=5593257.67200000000|779=20210319-16:42:20.702000000Z|939=0|1003=19560199|1012=20210319-16:42:20.671797907Z|1013=1|1016=1|1040=178331354A00002D1F350|1057=Y|1430=E|1851=4075890399202103192|1832=1|2490=2104|10024=1|10026=USD|10033=70.125|10053=N|20011=11762596|20043=1.953583|20056=C0011762596|37513=217361262911991262|37711=1035976|10=165|

8=FIX.4.4|9=998|35=AE|49=CMESTPFIX1|56=ABC|34=125|50=STP|52=20210319-16:42:20.808|571=178331354A00002D1F35C23567804365227723|487=0|856=101|568=STP-TEST-NR|828=0|880=403452466|17=40828:M:32447TN0001653|423=2|55=UB05_1/2_02/26|48=UB05|22=H|454=1|455=91282CBQ3|456=1|461=DBFTFR|167=TNOTE|762=RV|207=BTUS|107=5_YEAR|32=3|31=93.1897112|30=BTEC|75=20210319|715=20210319|442=2|60=20210319-16:42:20.671797907Z|64=20210322|552=1|54=2|37=4075890399|11=13|453=6|448=CATXU|447=D|452=1|802=2|523=TEST CATXU GFE|803=5|523=549300WDHFFVVRXEES11|803=84|448=catxu_testcatxugfe|447=C|452=7|448=FICC|447=C|452=21|448=LABL|452=44|448=JSA|452=55|448=test_prime_broker|447=D|452=79|578=GLBX|158=0.03125|921=2796628.83600000000|779=20210319-16:42:20.702000000Z|939=0|1003=19560203|1012=20210319-16:42:20.671797907Z|1013=1|1016=1|1040=178331354A00002D1F35E|1057=Y|1430=E|1851=4075890399202103192|1832=1|2490=2103|10024=1|10026=USD|10033=70.125|10053=N|20011=11762597|20043=1.953583|20056=C0011762597|37513=217361262911991262|37711=1035976|10=145|   

Trade Capture Reports (AE) Leg 2

8=FIX.4.4|9=999|35=AE|49=CMESTPFIX1|56=ABC|34=124|50=STP|52=20210319-16:42:20.801|571=178331354A00002D1F34E23567804365193104|487=0|856=101|568=STP-TEST-NR|828=0|880=403452466|17=40828:M:32448TN0000692|423=2|55=UB07_1_1/8_02/28|48=UB07|22=H|454=1|455=91282CBP5|456=1|461=DBFTFR|167=TNOTE|762=RV|207=BTUS|107=7_YEAR|32=4|31=99.15625|30=BTEC|75=20210319|715=20210319|442=2|60=20210319-16:42:20.671797907Z|64=20210322|552=1|54=1|37=4075890399|11=13|453=6|448=CATXU|447=D|452=1|802=2|523=TEST CATXU GFE|803=5|523=549300WDHFFVVRXEES11|803=84|448=catxu_testcatxugfe|447=C|452=7|448=FICC|447=C|452=21|448=LABL|452=44|448=JSA|452=55|448=test_prime_broker|447=D|452=79|578=GLBX|158=0.0703125|921=3969062.5000000000|779=20210319-16:42:20.702000000Z|939=0|1003=19560200|1012=20210319-16:42:20.671797907Z|1013=1|1016=1|1040=178331354A00002D1F352|1057=Y|1430=E|1851=4075890399202103192|1832=1|2490=856|10024=1|10026=USD|10033=70.125|10053=N|20011=11762596|20043=1.252333|20056=C0011762596|37513=1027713680292641066|37711=1035976|10=209|  

8=FIX.4.4|9=999|35=AE|49=CMESTPFIX1|56=ABC|34=126|50=STP|52=20210319-16:42:20.906|571=178331354A00002D1F35C23567804365227724|487=0|856=101|568=STP-TEST-NR|828=0|880=403452466|17=40828:M:32448TN0000692|423=2|55=UB07_1_1/8_02/28|48=UB07|22=H|454=1|455=91282CBP5|456=1|461=DBFTFR|167=TNOTE|762=RV|207=BTUS|107=7_YEAR|32=2|31=99.15625|30=BTEC|75=20210319|715=20210319|442=2|60=20210319-16:42:20.671797907Z|64=20210322|552=1|54=1|37=4075890399|11=13|453=6|448=CATXU|447=D|452=1|802=2|523=TEST CATXU GFE|803=5|523=549300WDHFFVVRXEES11|803=84|448=catxu_testcatxugfe|447=C|452=7|448=FICC|447=C|452=21|448=LABL|452=44|448=JSA|452=55|448=test_prime_broker|447=D|452=79|578=GLBX|158=0.0703125|921=1984531.2500000000|779=20210319-16:42:20.702000000Z|939=0|1003=19560204|1012=20210319-16:42:20.671797907Z|1013=1|1016=1|1040=178331354A00002D1F360|1057=Y|1430=E|1851=4075890399202103192|1832=1|2490=855|10024=1|10026=USD|10033=70.125|10053=N|20011=11762597|20043=1.252333|20056=C0011762597|37513=1027713680292641066|37711=1035976|10=222|

Curve Ratio (RV) Spread - Implied Trade

Note: Based on available leg liquidity, the number of matching trades per leg will differ.

Trade Capture Reports (AE) Leg 1

8=FIX.4.4|9=1040|35=AE|49=CMESTPFIX1|56=ABC|34=174|50=STP|52=20210319-16:49:53.245|571=178331354A00002D1F5F223572327867023421|487=0|856=101|568=STP-TEST-NR|828=0|880=403452663|17=40828:M:32862TN0000727|423=2|55=UB07_1_1/8_02/28|48=UB07|22=H|454=1|455=91282CBP5|456=1|461=DBFTFR|167=TNOTE|762=RV|207=BTUS|107=7_YEAR|32=3|31=99.15625|30=BTEC|75=20210319|715=20210319|442=2|60=20210319-16:49:53.018362168Z|64=20210323|552=1|54=1|37=4075891632|11=14|453=6|448=CATXU|447=D|452=1|802=2|523=TEST CATXU GFE|803=5|523=549300WDHFFVVRXEES11|803=84|448=catxu_testcatxugfe|447=C|452=7|448=FICC|447=C|452=21|448=LABL|452=44|448=JSA|452=55|448=test_prime_broker|447=D|452=79|578=GLBX|158=0.0703125|921=2976811.8750000000|1012=20210319-16:49:53.018362168Z|1013=1|1016=1|1851=4075891632202103191|2639=1|2640=15.0000000|2642=1|2646=0.0000050|779=20210319-16:49:53.052000000Z|939=0|1003=19560423|1040=178331354A00002D1F5F2|1057=Y|1430=E|1832=1|2490=891|10026=USD|10053=N|10054=99.1567500|20011=11762706|20043=1.252333|20056=C0011762706|37513=1027713680292641066|37711=1036173|10=162|

Trade Capture Reports (AE) Leg 2

8=FIX.4.4|9=1043|35=AE|49=CMESTPFIX1|56=ABC|34=172|50=STP|52=20210319-16:49:53.141|571=178331354A00002D1F5E623572327866956361|487=0|856=101|568=STP-TEST-NR|828=0|880=403452663|17=40828:M:32863TN0001514|423=2|55=UB10_1_1/8_02/31|48=UB10|22=H|454=1|455=91282CBL4|456=1|461=DBFTFR|167=TNOTE|762=RV|207=BTUS|107=10_YEAR|32=1|31=99.40625|30=BTEC|75=20210319|715=20210319|442=2|60=20210319-16:49:53.018362168Z|64=20210323|552=1|54=2|37=4075891632|11=14|453=6|448=CATXU|447=D|452=1|802=2|523=TEST CATXU GFE|803=5|523=549300WDHFFVVRXEES11|803=84|448=catxu_testcatxugfe|447=C|452=7|448=FICC|447=C|452=21|448=LABL|452=44|448=JSA|452=55|448=test_prime_broker|447=D|452=79|578=GLBX|158=0.111878453|921=995176.284530000000|1012=20210319-16:49:53.018362168Z|1013=1|1016=1|1851=4075891632202103191|2639=1|2640=5.0000000|2642=1|2646=0.0000050|779=20210319-16:49:53.052000000Z|939=0|1003=19560419|1040=178331354A00002D1F5E6|1057=Y|1430=E|1832=1|2490=2011|10026=USD|10053=N|10054=99.4057500|20011=11762704|20043=1.188719|20056=C0011762704|37513=854527552901303862|37711=1036173|10=061|

8=FIX.4.4|9=1043|35=AE|49=CMESTPFIX1|56=ABC|34=173|50=STP|52=20210319-16:49:53.145|571=178331354A00002D1F5EC23572327866983361|487=0|856=101|568=STP-TEST-NR|828=0|880=403452663|17=40828:M:32863TN0001514|423=2|55=UB10_1_1/8_02/31|48=UB10|22=H|454=1|455=91282CBL4|456=1|461=DBFTFR|167=TNOTE|762=RV|207=BTUS|107=10_YEAR|32=1|31=99.40625|30=BTEC|75=20210319|715=20210319|442=2|60=20210319-16:49:53.018362168Z|64=20210323|552=1|54=2|37=4075891632|11=14|453=6|448=CATXU|447=D|452=1|802=2|523=TEST CATXU GFE|803=5|523=549300WDHFFVVRXEES11|803=84|448=catxu_testcatxugfe|447=C|452=7|448=FICC|447=C|452=21|448=LABL|452=44|448=JSA|452=55|448=test_prime_broker|447=D|452=79|578=GLBX|158=0.111878453|921=995176.284530000000|1012=20210319-16:49:53.018362168Z|1013=1|1016=1|1851=4075891632202103191|2639=1|2640=5.0000000|2642=1|2646=0.0000050|779=20210319-16:49:53.052000000Z|939=0|1003=19560421|1040=178331354A00002D1F5EC|1057=Y|1430=E|1832=1|2490=2012|10026=USD|10053=N|10054=99.4057500|20011=11762705|20043=1.188719|20056=C0011762705|37513=854527552901303862|37711=1036173|10=088|

MultiLeg Reporting Type (tag 442-MLegRptType) = 3

Trade Capture Report Request (AD) and Response (AQ)

8=FIX.4.4|9=163|35=AD|49=ABC|56=CMESTPFIX1|34=41|57=STP|52=20210319-17:11:02.980|568=STP-TEST-NR|569=1|263=0|453=1|448=catxu_testcatxugfe|447=D|452=7|442=3|9593=20210319-16:00:00|10=057|  

8=FIX.4.4|9=99|35=AQ|49=CMESTPFIX1|56=ABC|34=41|50=STP|52=20210319-17:11:03.047|568=STP-TEST-NR|569=1|749=0|750=0|10=243|

Curve Ratio (RV) Spread - Aggress against one counterparty order (Non-Implied)

Curve Ratio (RV) Spread - Aggress against two counterparty orders (Non-Implied)



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