CME STP - Trade Cancel and Amend Messaging Behavior for BrokerTec

Owned by CME Group
Apr 26, 2024
4 min read

This page provides example scenarios for Trade Cancel and Amend for BrokerTec markets.

Trade Cancel and Correction can only be initiated by a customer calling the GCC.

Contents

Cancel and Amend Messaging Behavior

Cancel/Amend messaging behavior for BrokerTec markets has the following dependencies:

  • Market dependencies:

  •  

    • US market

    • EU market

  • Clearing model dependencies:

  •  

    • Offset

    • Cancel Model

Market Dependencies

US Treasury, EGB's

US Repo

EU Repo

US Treasury, EGB's

US Repo

EU Repo

Top Day: Trade Capture Reports for Cancel & Amend are published

Post Top Day: No message published

Top Day: Trade Capture Reports for Cancels are NOT published for Specials, GC's and GCF's

When an allocated GC trade or one/more allocated pieces of a GC are cancelled, corresponding Collateral Message(s) (35=BA) are published

Post Top Day: No messages published

Top Day:  Trade Capture Reports for Cancel & Amend are published

Post Top Day: No messages published

Clearing Model Dependencies

Offset Clearing Model

Cancel Clearing Model

Offset Clearing Model

Cancel Clearing Model

EU market with clearers LCH, LCHSA and for Bilateral (Belgium/Spain)

EU market with clearers BME, MONTE, EUREX and for Bilateral (other countries)

Trade Cancel Messaging

customer receives 2 messages for trade cancel

  • TradeCaptureReport (AE) - tag 487=2 (Replace); tag 828=0(Regular Trade); 54=2(Sell)

  • TradeCaptureReport (AE) - tag 487 = 0 (New); tag 828=3(Transfer); 54=1(Buy)

Customer receives 1 message for trade cancel

  • TradeCaptureReport (AE) - tag 487=1 (Cancel); tag 828=0(Regular Trade); 54=2(Sell)

Trade Amend Messaging

Customer receives 3 messages for trade amend

  • TradeCaptureReport (AE) - tag 487=2 (Replace); tag 828=0(Regular Trade); 54=2(Sell)

  • TradeCaptureReport (AE) - tag 487 = 0 (New); tag 828=3(Transfer); 54=1(Buy)

  • TradeCaptureReport (AE) - tag 487 = 0 (New); tag 828=0(Regular Trade); 54=2(Sell)

Note: the initial sell order is reversed/offset by a buy order and vice versa.

Customer receives 2 messages for trade amend

  • TradeCaptureReport (AE) - tag 487=1 (Cancel); tag 828=0(Regular Trade);54=2(Sell)

  • TradeCaptureReport (AE) - tag 487 = 0 (New); tag 828=0(Regular Trade); 54=2(Sell)

Customers can refer to the following tags on the CME STP FIX TradeCaptureReport(AE) messages to identify trades on cancel and amend messages.

Fix Tag

Field Name 

FIXML Attribute Name

Data Type

Description

Fix Tag

Field Name 

FIXML Attribute Name

Data Type

Description

10036

SideOriginalTradeID

SideOriginalTradeID

char

This field points (forward) to tag 1040-SecondaryTradeID on the trade replacing this trade. This field is only populated when the trade has been replaced as a result of an amendment

10039

PackageID

PackageID

char

This field points (backward) to 1040-SecondaryTradeID on the predecessor trade. This will appear on replacement trades (828=0) and clearing offsets (828=3)

Trade Cancel and Amend Scenarios

Determining Trade Status on Cancel and Amend Messages

487

10039

10036

Description

487

10039

10036

Description

0

Not Present

-

Original trade

TradeCaptureReport (AE) - tag 487 = 0 (New)

0

Present

-

Replacement trade

TradeCaptureReport (AE) - tag 487 = 0 (New); tag 828=0 (Regular Trade) or tag 828=3(Transfer)

1

-

Not Present

Trade cancel (cancel model)

TradeCaptureReport (AE) - tag 487=1 (Cancel); tag 828=0(Regular Trade);

1

-

Present

Trade amend (cancel model)

TradeCaptureReport (AE) - tag 487=1 (Cancel); tag 828=0(Regular Trade);

2

-

Not Present

Trade cancel (offset model)

TradeCaptureReport (AE) - tag 487=2 (Replace); tag 828=0(Regular Trade);

2

-

Present

Trade amend (offset model)

TradeCaptureReport (AE) - tag 487=2 (Replace); tag 828=0(Regular Trade)

Cancel Model Scenarios

Event

Message

487

828

880

1040

10039

10036

Description

Event

Message

487

828

880

1040

10039

10036

Description

Trade Cancel

TradeCaptureReport-0

0=New

0=Regular Trade

987

ABC111





Original Trade

TradeCaptureReport-1

1=Cancel

0=Regular Trade

987

ABC111





Cancellation of original trade

Multiple Trade - Cancel and Amend

TradeCaptureReport-A0

0=New

0=Regular Trade

990

ABC123





Original Trade 1

TradeCaptureReport-B0

0=New

0=Regular Trade

990

ABC456





Original Trade 2

TradeCaptureReport-A1

1=Cancel

0=Regular Trade

990

ABC123





Cancellation of Original Trade 1

TradeCaptureReport-B1

1=Cancel

0=Regular Trade

990

ABC456



BCD234

Cancellation of Original Trade 2

TradeCaptureReport-B2

0=New

0=Regular Trade

990

BCD234

ABC456



Replacement Trade 2

Trade Amend

TradeCaptureReport-0

0=New

0=Regular Trade

991

ABC222





Original Trade

TradeCaptureReport-1

1=Cancel

0=Regular Trade

991

ABC222



BCD234

Cancellation of original trade

TradeCaptureReport-B0

0=New

0=Regular Trade

991

BCD234

ABC222



Replacement trade

Offset Model Scenarios

Event

Message

487

828

880

1040

10039

10036

Description

Event

Message

487

828

880

1040

10039

10036

Description

Trade Cancel

TradeCaptureReport-0

0=New

0=Regular Trade

955

ABC111





Original Trade

TradeCaptureReport-1

2=Replace

0=Regular Trade

955

ABC111





Update of original trade

TradeCaptureReport-2

0=New

3=Transfer

955

BCD111

ABC111



Offset of original trade

Trade Amend

TradeCaptureReport-0

0=New

0=Regular Trade

966

ABC123



 

Original Trade

TradeCaptureReport-1

2=Replace

0=Regular Trade

966

ABC123



CDE345

Update of Original Trade

TradeCaptureReport-2

0=New

3=Transfer

966

BCD234

ABC123

 

Offset of Original Trade

TradeCaptureReport-3

0=New

0=Regular Trade

966

CDE345

ABC123



Replacement Trade

TradeCaptureReport-0

0=New

0=Regular Trade

977

ABC222





Original Trade

Trade Amend then Cancel

TradeCaptureReport-1

2=Replace

0=Regular Trade

977

ABC222



CDE345

Update of original trade

TradeCaptureReport-2

0=New

3=Transfer

977

BCD234

ABC222



Offset of original Trade

TradeCaptureReport-3

2=Replace

0=Regular Trade

977

CDE345

ABC222



Replacement Trade

TradeCaptureReport-4

0=New

3=Transfer

977

CDE345

ABC222



Update the amended Trade

TradeCaptureReport-5

0=New

0=Regular Trade

977

DEF456

CDE345



Offset of the amended Trade

General Collateral Trade Cancel and Amend Overview

  • General Collateral (GC) trades can be cancelled or amended like any other trades. All existing allocations will be cancelled prior to a trade amendment (Trades will not be left in a partially allocated state).

  • Allocations will be added back by the Global Command Center (GCC) or customers after amendment.

  • All allocations are linked to their parent GC trade but no linking of cancelled to replacement allocations is provided.

  • Offset allocations are created for CCPs using the offset model (Offsets are not created for shell trades as they are not submitted for clearing)

  • Status of allocations is indicated by field 20012-CollateralReportTransactionType.

For US Repos:

  • When an allocated (with one or more pieces of collateral) GC Trade is cancelled:

    • Trade Capture Report is not published.

    • Collateral message(s) (35=BA) are published with:

      • tag 910-CollStatus=1002 (Cancelled) and

      • tag 20012-CollateralReportTransactionType=7 (Substitution/allocation cancelled)

  • When one or more of the allocated pieces of a GC Trade is cancelled, one or more Collateral message(s) (35=BA) will be published with:

    • tag 910-CollStatus=1002 (Cancelled) and

    • tag 20012-CollateralReportTransactionType=7 (Substitution/allocation cancelled)

FIX TAG

FIELD NAME

FIXML ATTRIBUTE NAME

DATA TYPE

DESCRIPTION

NEW FOR BROKERTEC

OMNET MAPPING

GENIUM FIX MAPPING

SUPPORTED VALUES

FIX TAG

FIELD NAME

FIXML ATTRIBUTE NAME

DATA TYPE

DESCRIPTION

NEW FOR BROKERTEC

OMNET MAPPING

GENIUM FIX MAPPING

SUPPORTED VALUES

20012

CollateralReportTransactionType

TransTyp

String

Transaction type of the Collateral Report



broadcast_reason



1 - Trade registered
2 - Allocation registered
3 - Substitution registered
6 - Trade is cancelled
7 - Substitution/allocation cancelled

8 - Replace

General Collateral Trade Cancel and Amend Scenarios

Cancel Model Scenarios

Event

Message

487

20012

828

880

1040

10039

10036

20048

Description

Event

Message

487

20012

828

880

1040

10039

10036

20048

Description

General Collateral Amend then Cancel

TradeCaptureReport-0

0=New

0=Regular Trade

987

ABC123







Original Trade

CollateralReport-0

1=Trade registered





ABC123





ABC123

Collateral shell

CollateralReport-1

2=Allocation registered





ABC123

ABC123



ABC124

Allocation Created

CollateralReport-2

2=Allocation registered





ABC123

 



ABC125

Allocation Created

CollateralReport-3

7 - Substitution/allocation cancelled





ABC123

 



ABC124

Allocation cancelled

CollateralReport-4

7 - Substitution/allocation cancelled





ABC123

 



ABC125

Allocation cancelled

TradeCaptureReport-1

1=Trade registered

0=Regular Trade

987

ABC123

 

BCD234



Cancel original trade

CollateralReport-5

6 - Trade is cancelled





ABC123

 



ABC123

Cancel shell

TradeCaptureReport-2

0

0=Regular Trade

987

BCD234

ABC123





Replacement trade

CollateralReport-6

1 - Trade registered





BCD234

 



BCD234

Replacement shell

CollateralReport-7

2 - Allocation registered





BCD234

 



BCD235



CollateralReport-8

2 - Allocation registered





BCD234

 



BCD236



TradeCaptureReport-3

1 - Trade registered

0=Regular Trade

987

BCD234

ABC123





Cancel Amended trade

CollateralReport-9

6 - Trade is cancelled





BCD234

 



BCD234

Cancel replacement shell

CollateralReport-10

7 - Substitution/allocation cancelled





BCD234

 



BCD235

Cancel Allocation

T CollateralReport-8radeCaptureReport-11

7 - Substitution/allocation cancelled

0=Regular Trade

987

BCD234





BCD236

Cancel Allocation

Offset Model Scenarios

General Collateral Amend

Event

Message

487

20012

828

880

1040

10039

10036

20048

Description

Event

Message

487

20012

828

880

1040

10039

10036

20048

Description

New Trade with two collateral allocations

TradeCaptureReport-0

0=New

0=Regular Trade

987

ABC123







Original Trade



CollateralReport-0

1=Trade registered





ABC123





ABC123

Collateral shell



CollateralReport-1

2=Allocation registered





ABC123

ABC123



ABC124

Allocation Created



CollateralReport-2

2=Allocation registered





ABC123

 



ABC125

Allocation Created

Trade amend

CollateralReport-3

2=Allocation registered





ABC123

 



ABC126

Allocation offset



CollateralReport-4

2=Allocation registered





ABC123

 



ABC127

Allocation offset



TradeCaptureReport-1

2=Replace

0=Regular Trade

987

ABC123

 





Update original trade



TradeCaptureReport-2

2=Replace

0=Regular Trade

987

BCD234

ABC123





Replacement trade



CollateralReport-5

1 - Trade registered





BCD234

 



BCD234

Replacement shell



CollateralReport-6

2 - Allocation registered





BCD234

 



BCD235





CollateralReport-7

2 - Allocation registered





BCD234

 



BCD236



General Collateral Cancel

Event

Message

487

20012

828

880

1040

910

20048

Description

Event

Message

487

20012

828

880

1040

910

20048

Description

New Trade with Collateral Allocation

TradeCaptureReport-0

0=New

0=Regular Trade

987

ABC123





Original Trade



CollateralReport-0

1=Trade registered





ABC123

0=Unassigned

ABC123

Collateral shell



CollateralReport-1

2=Allocation registered





ABC123

3=Assigned

ABC124

Allocation Created

Cancel Original Trade

CollateralReport-2

8=Replace





ABC123

1002=Substituted

ABC124

Collateral to be Cancelled



TradeCaptureReport-1

1=Cancel

0=Regular Trade

987

ABC123





Trade Cancelled



CollateralReport-3

2=Allocation registered





ABC123

3=Assigned

ABC125

Offset Allocation



CollateralReport-4

6=Trade is Cancelled





ABC123

0=Unassigned

ABC126

Collateral Cancelled

Trade Cancel and Amend Message Samples

Cancel Model

Replacement message

35=AE|571=1757ABED16F0003D3E822272696581768232|487=0|856=101|568=INTEGRATION|828=0|880=464250111|17=4697:M:4695TN0080590|423=9|55=UKDCLS:QYSUE73IMP32|48=UKDCLS|22=H|454=1|455=GB0004893086|456=4|461=DBFTFR|167=REPO|762=SPEC|207=BTEU|107=LTD_UKT 4Q 32

|916=20201104|917=20201105|711=1|311=[N/A]|810=143.660000000|882=145.400000000|32=50|31=2|75=20201030|715=20201030|442=1|60=2020103020:36:30.514184628Z|64=20201104|552=1|54=1|37=46340342|11=LDM118|453=7|448=SANTE|447=D|452=1|802=3|523=BANCO SANTANDER SA

|803=5|523=RDBSM|803=17|523=5493006QMFDDMYWIAM13|803=84|448=CITADEL|447=C|452=7|448=LCH|447=C|452=21|448=APIFG|452=44|448=19904908|447=P|452=44|448=LDM|452=55|448=19904931|447=P|452=122|578=GLBX|582=1|921=72700000.00|922=72703983.56|10039=1757ABED16F0003D3DC

|10034=3|10027=1757ABED16F0003D3E6|10028=JUGT74QZAD|10029=0|10030=0|10027=XLCHRDBSM201030988130BTEE20201030B|10028=LCH|10029=0|10030=0|10027=1757ABED16F0003D3DA|10028=JUGT74QZAD|10029=0|10030=5|1016=1|1012=2020103020:36:30.514184628Z

|1013=1|1057=Y|9373=0|2668=1|2669=2|2670=12|779=20201030-20:36:30.578000000Z|1003=1315087|1040=1757ABED16F0003D3E8|939=0|1430=E|10026=GBP|1832=1|37711=4850028|37513=604137830637518714|10053=N|20056=R0001315087|20011=985021|2490=80592|30=BTEE|

Offset Model

Trade Cancel Messaging

35=AE|571=1757ABED16F0003D3DC22272681826379162|487=0|856=101|568=INTEGRATION|828=3|880=464250111|17=4697:M:4695TN0080590|423=9|55=UKDCLS:QYSUE73IMP32|48=UKDCLS|22=H|454=1|455=GB0004893086|456=4|461=DBFTFR|167=REPO|762=SPEC|207=BTEU|107=LTD_UKT 4Q 32

|916=20201104|917=20201105|711=1|311=[N/A]|810=143.66|882=145.40|32=50|31=2.5|75=20201030|715=20201030|442=1|60=2020103020:36:30.514184628Z|64=20201104|552=1|54=2|37=46340342|11=LDM118|453=7|448=SANTE|447=D|452=1|802=3|523=BANCO SANTANDER SA|803=5|523=RDBSM

|803=17|523=5493006QMFDDMYWIAM13|803=84|448=CITADEL|447=C|452=7|448=LCH|447=C|452=21|448=APIFG|452=44|448=19904908|447=P|452=44|448=LDM|452=55|448=19904931|447=P|452=122|578=BTC|582=1|921=72700000.00|922=72704979.45|10039=1757ABED16F0003D3DC

|10034=3|10027=1757ABED16F0003D3F6|10028=JUGT74QZAD|10029=0|10030=0|10027=XLCHRDBSM201030988128BTEE20201030S|10028=LCH|10029=0|10030=0|10027=1757ABED16F0003D3DA|10028=JUGT74QZAD|10029=0|10030=5|1016=1|1012=20201030-20:36:30.514184628Z|1013=1|1057=Y|9373=0|2668=1|2669=2|2670=12|779=20201030-20:36:30.604000000Z|1003=1315091|1040=1757ABED16F0003D3FE|939=0|1430=C|10026=GBP|1832=1|37711=4850028|37513=604137830637518714|10053=N|20056=R0001315091|20011=985022|2490=80592|30=BTEE|

Trade Amend Messaging

35=AE|571=1757ABED16F0003D3DC22272681826379162|487=2|856=101|568=INTEGRATION|828=0|880=464250111|17=4697:M:4695TN0080590|423=9|55=UKDCLS:QYSUE73IMP32|48=UKDCLS|22=H|454=1|455=GB0004893086|456=4|461=DBFTFR|167=REPO|762=SPEC|207=BTEU|107=LTD_UKT 4Q 32

|916=20201104|917=20201105|711=1|311=[N/A]|810=143.66|882=145.40|32=50|31=2.5|75=20201030|715=20201030|442=1|60=20201030-20:36:30.514184628Z|64=20201104|552=1|54=1|37=46340342|11=LDM118|453=7|448=SANTE|447=D|452=1|802=3|523=BANCO SANTANDER SA|803=5|523=RDBSM|803=17|523=5493006QMFDDMYWIAM13|803=84|448=CITADEL|447=C|452=7|448=LCH|447=C|452=21|448=APIFG|452=44

|448=19904908|447=P|452=44|448=LDM|452=55|448=19904931|447=P|452=122|578=GLBX|582=1|921=72700000.00|922=72704979.45|10034=3|10027=1757ABED16F0003D3DA|10028=JUGT74QZAD|10029=0|10030=0|10027=XLCHRDBSM201030988125BTEE20201030B|10028=LCH|10029=0|10030=0

|10027=1757ABED16F0003D3DA|10028=JUGT74QZAD|10029=0|10030=5|1016=1|1012=20201030-20:36:30.514184628Z|1013=1|1057=Y|9373=0|2668=1|2669=2|2670=12|779=20201030-20:36:30.604000000Z|1003=1315083|1040=1757ABED16F0003D3DC|939=0|1430=E|10026=GBP|10036=1757ABED16F0003D3E8|1832=1|37711=4850028|37513=604137830637518714|10053=N|20056=R0001315083|20011=985020|2490=80592|30=BTEE|



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