iLink Order Types

This topic illustrates how an order will behave once accepted for each order type available on CME Globex.  

When an order is accepted by CME Globex, that order will execute according to the behavior defined in the New Order (tag 35-MsgType=D) message. Specifically, the order type defined in tag 40-OrdType and the order qualifier defined in tag 59-TimeInForce.

Available order types include:

Limit Order

A Limit order , tag 40-OrdType=2, defines the upper price limit at which to buy an instrument and lower price limit at which to sell an instrument. The price limit is defined in tag 44-Price. If the price is not immediately available, the Limit order will rest until filled or cancelled.

The following diagram illustrates a Limit order that will rest on the book.

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iLink-Order-Types-Limit-Order

Market-Limit Order (Bid) with Market

1. The client sends a iLink 2 New Order message to the CME Group, Bid, ESZ8, Market-Limit, quantity of 15.

2. CME Globex responds with an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType=8).

3. The Market-Limit order becomes a Limit order at the best available market price (90025).

4. CME Globex sends an Execution Report - Fill Notice (tag 35-MsgType=8) for a partial fill 2-Lot @ 90025.

5. The remaining quantity rests on the book at 90025.

The following diagram illustrates this example.

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iLink-Order-Types-market-Limit-Order

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Market-Limit Order (Bid) with No Market

The following diagram displays CME Globex actions when a market-limit order (bid) is placed with no market.

CME Globex returns a Execution Report - Reject (tag 35-MsgType=8) message.

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Market Order with Protection

The following example illustrates  Market order with protection interaction with the CME Globex platform . In the example the Protection Points are 600.

1. The client sends a New Order (tag 35-MsgType=D) message, Bid, ESZ8, Market order (with protection), quantity 15.

2. CME Globex responds with an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType=8) message.

3. At this point, Best Offer = 90025 and Protection Points = 600.

4. Protection Price Limit = 90025 + 600 = 90625.

5. CME Globex sends an Execution Report - Fill Notice (tag 35-MsgType=8) for a partial fill for 2-Lot @ 90025.

6. CME Globex sends an Execution Report – Fill Notice for a partial fill for 3-Lot @ 90300

7. CME Globex sends an Execution Report – Fill Notice for a partial fill for 3-Lot @ 90550

8. Next Best Offer = 90675. This value exceeds the Protection Price Limit. CME Group places the remaining quantity on the order book at a Protection Price Limit of 90625.

The following diagram illustrates this example.

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Stop-Limit Order

A  Stop-Limit order is activated when the trigger price of the order is traded in the market. The Stop-Limit order is then executed at all price levels between the trigger price and the limit price.

For buy orders, the trigger price is lower than the limit price. For sell orders, the trigger price is higher than the limit price.

• The trigger price is submitted in tag 99-StopPx.

• The limit price is submitted in tag 44-Price.

The following diagram illustrates at Stop-Limit order that is triggered and filled.

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Stop-Limit Order Triggered but not Filled Example

The following figure illustrates a Stop-Limit order triggered but not filled.

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Stop Order

When Stop orders (with protection) are sent, customers should be aware of the response:

• Customer submits a New Order (tag 35-MsgType=D) message with tag 40-OrdType=3 (Stop order with protection) with a trigger price in tag 99-StopPx.

• When a Stop order (with protection) order is accepted, an Execution Report – Confirmation/Acknowledgment (tag 35-MsgType=8) message is returned with tag 40-OrdType=4 (Stop-Limit order).

• When the Stop order (with protection) is triggered, an Execution Report – Confirmation/Acknowledgment message is returned with tag 40-OrdType=2 (Limit order).

• All subsequent Execution Report messages contain tag 40-OrdType=2 (Limit order).

All Execution Report messages, including order elimination messages, sent in response to Stop orders (with protection) include tag 44-Price populated with the Protection Price Limit (best available price +/- the protection points). If the order is not completely filled, the Protection Price Limit is the price that the remaining Open Quantity rests on the order book.

Example of Protection Price Limits Calculations for Stop Orders (with Protection) Bid and Offer.

Stop Order with Protection Bid

The following example illustrates  Stop order (with protection) behavior on the CME Globex platform. In this example the Protection Points are 600.

1. The client sends a New Order, Bid, ESZ8, Stop order (with protection), 90000 Trigger Price

2. CME Globex responds with an Execution Report - Confirmation/Acknowledgment (tag 35-MsgType=8) message.

3. A trade occurs at the trigger price of 90000. The client's order is activated as a Limit order and CME Globex responds with an Execution Report – Confirmation/Acknowledgment (notification of the triggering of the order) Trigger Price = 90000, Protection Points = 600.

4. Protection Price Limit = 90000 + 600 = 90600

5. CME Globex sends an Execution Report - Fill Notice (tag 35-MsgType=8) for a partial fill for 2-Lot @ 90025.

6. CME Globex sends an Execution Report – Fill Notice for a partial fill for 3-Lot @ 90300.

7. CME Globex sends an Execution Report – Fill Notice for a partial fill for 3-Lot @ 90550.

8. Next Best Offer = 90675. This value exceeds the Protection Price Limit. CME Globex places remaining quantity on the order book at a Protection Price Limit 90600.

The following diagram illustrates this example.

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