CME STP FIX - Trade Capture Report Aggregation for Workup BrokerTec Products
- CME Group
BrokerTec US Repo Specials, General Collateral, and General Collateral Financed products have Workup enabled when trading on CME Globex.
All other BrokerTec products such as US Actives and US Curve Ration (RV) Spreads in BrokerTec US, along with all products traded on BrokerTec EU do not have Workup.
For additional information regarding Workup please refer to "BrokerTec on CME Globex Market Functionality" document under the Integration section of BrokerTec portal. support.brokertec.com
For BrokerTec US Repo Specials, General Collateral and General Collateral Financed products, customers can leverage a common workup ID to link each trade execution across CME Globex and through Clearing as follows:
iLink tag 820-TradeLinkID
CME STP and CME STP FIX tag 820-LinkID
Summary
When multiple orders from different counterparties are matched during a workup, the Trade Confirmation Reports are sent with trade quantity aggregated for US Repos.
Use Case
Consider following Passive Order Book:
Globex Firm ID | Globex User Signature | Side | Price | Quantity |
|---|---|---|---|---|
GFID-1 | GUS-1 | Bid | 0.01 | 50 |
GFID-2 | GUS-1 | Bid | 0.01 | 50 |
GFID-1 | GUS-1 | Bid | 0.01 | 100 |
GFID-1 | GUS-2 | Bid | 0.01 | 200 |
Aggressor actions
GFID-3 Sell aggress for 50 starts Workup-Private Phase.
GFID-3 Sell aggresses for another 100 during the Workup-Private Phase
GFID-4 Sell aggress for 250 during the Workup-Public Phase
CME STP aggregated Trade Capture Reports for BrokerTec US Repo Specials and General Collateral products
Passive side Trade Capture Reports
Globex Firm ID | Globex User Signature | Side | Price | Trade Quantity |
|---|---|---|---|---|
GFID-1 | GUS-1 | Bid | 0.01 | 150 |
GFID-2 | GUS-1 | Bid | 0.01 | 50 |
GFID-1 | GUS-2 | Bid | 0.01 | 200 |
Aggressor side Trade Capture Reports
Globex Firm ID | Side | Price | Trade Quantity |
|---|---|---|---|
GFID-3 | Sell | 0.01 | 150 |
GFID-4 | Sell | 0.01 | 250 |
CME STP aggregated Trade Capture Reports for BrokerTec US Repo General Collateral Financed (GCF) products
Passive side Trade Capture Reports
Globex Firm ID | Globex User Signature | Side | Price | Trade Quantity |
|---|---|---|---|---|
GFID-1 | GUS-1 | Bid | 0.01 | 150 |
GFID-2 | GUS-1 | Bid | 0.01 | 50 |
GFID-1 | GUS-2 | Bid | 0.01 | 200 |
Aggressor side Trade Capture Reports
Globex Firm ID | Side | Price | Trade Quantity | Notes |
|---|---|---|---|---|
GFID-3 | Sell | 0.01 | 150 | |
GFID-4 | Sell | 0.01 | 50 | |
GFID-4 | Sell | 0.01 | 200 |
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