Submitting Entity and Product Information
This page describes:
While submitting trades, identifying the parties or entities involved in the trade is essential to Clearing. The clearing account, also referred to as the customer, is one of the most important party roles for trade submission to clearing. Details about retrieving entity information from CME ClearPort are available in the CME ClearPort Entity Reference API.
While submitting trades, identifying the Instrument being traded is critical. CME ClearPort allows trading of outrights and spreads. The submitted trade must contain all the attributes needed to identify a contract. Details on getting Product reference information from CME ClearPort are available in the CME ClearPort Product Reference API.
Submitting Account Aliases
The API allows submission of account aliases into CME ClearPort instead of the Clearing account with all the qualifying Party Roles. It encapsulates the Trading firm, Clearing account number and Clearing Firm, allowing use of an external reference for specifying an account. Allowing aliases to be defined at these levels, the API provides the flexibility for trading firms and platforms to represent the account as they know it. It supports submission of different types of aliases into the API. Currently a Trading firm or a platform may define unique aliases for clearing accounts in CME ClearPort.
Additionally, CME Group automatically assigns a unique alias to each existing account, as well as any newly created accounts. CME Group publishes these account aliases via the ClearPort API for Entity Reference Data. Trading firms and platforms can submit trades using this CME alias in lieu of specifying a clearing account number, trading firm, and clearing firm. If the trading firm or platform uses the CME Group alias to submit a trade, the resulting acknowledgment likewise uses this alias in lieu of a clearing account number, trading firm, and clearing firm.
The following forms of aliases are supported:
Trading Firm Assigned Alias
A Trading firm or an Asset manager can assign an alias to the Clearing Account. The source attribute identifies whether the alias being sent is a custom alias. The trading firm is identified in the Sub tag.
You must identify the type of Alias and the value of the entity that is the owner of the alias.
<Pty R="24" ID="TrdFirmAliasForAccount" Src="D"> D - implies a Custom value
<Sub ID="123456" Typ="1"> 123456 - the Trading Firm number for the Asset manager and Typ="1" implies Firm
</Pty>
Platform Assigned Alias
CME ClearPort also supports submission of a platform assigned alias. The source identifies whether the alias being sent is a custom alias. The platform is identified in the Sub tag.
<Pty R="24" ID="PlatformAliasForAcct" Src="D"> D - implies a Custom value
<Sub ID="BCG" Typ="3"> BCG - the Platform identifier for the Account and Typ="3" implies Platform
</Pty>
CME Assigned Alias
CME ClearPort also supports submission of a CME assigned alias. The source identifies whether the alias being sent is a custom alias. The platform is identified in the Sub tag.
<Pty R="24" ID=" CMEAliasForAcct " Src="H"/> H - a CME alias
Submitting Legal Entity Identifier (LEI)
Each counterparty to a swap subject to the jurisdiction of the CFTC must be identified in all recordkeeping and swap data reporting under Part 45 by using a single legal entity identifier, known as LEI.
Until the FSB endorses the recommendations, the CFTC is referring to the identifier to be used in reporting under the CFTC rule as the CFTC Interim Compliant Identifier (CICI).
The ClearPort API will not make the distinction between LEI and CICI.
Submitting Reporting Counterparty
The Reporting Counterparty (RCP) is the party to a swap with the responsibility to report a publicly reportable swap transaction as soon as technologically practicable to a Swaps Data Repository (SDR) in accordance with the Dodd-Frank Act. Under this Act, one party must bear responsibility to ensure that the trade is reported.
In their rulemaking, the CFTC has created a hierarchy whereby:
Swap Dealers (SDs) always report when trading with Major Swap Participants (MSPs) and end users, and
MSPs always report when trading with end users.
The Reporting counterparty can be specified along with the Customer Account or with the Trading firm. The Reporting counterparty is identified in the Sub tag.
Submitting Other Party Roles
Use the following party roles (R) in the Party block when submitting a dual-sided trade. Refer to the validation rules when submitting Party roles.
Field | XPath | Description |
---|---|---|
ClearPort Trading Firm Identifier | /TrdCaptRpt/RptSide/Pty/@R=”7” /TrdCaptRpt/RptSide/Pty/@ID\/TrdC//TrdCaptRpt/RptSide/Pty/@Src="C" | Trading Firm to identify the side submitting the trade. For example, PIMCO, BlackRock etc. Supported Value: |
LEI of the Trading firm | /TrdCaptRpt/RptSide/Pty/@R=”7” /TrdCaptRpt/RptSide/Pty/@ID /TrdCaptRpt/RptSide/Pty/@Src="N" | Legal Entity identifier of the trading firm to identify the side submitting the trade. For example, PIMCO, BlackRock etc. Supported Value: |
Trader ID | /TrdCaptRpt/RptSide/Pty/@R="36" /TrdCaptRpt/RptSide/Pty/@ID | The UserID of the trader individual for a trading entity (typically a trading firm in this model) who is authorized to perform functions like submit trades into CME ClearPort, view trades etc.. Supported Value: |
Broker Firm | /TrdCaptRpt/RptSide/Pty/@R="30" /TrdCaptRpt/RptSide/Pty/@ID | The Inter dealer broker who brokered the deal. Supported Value: |
Broker ID | /TrdCaptRpt/RptSide/Pty/@R="62" /TrdCaptRpt/RptSide/Pty/@ID | The UserID of the broker individual at the Broker Firm. Supported Value: |
Clearing Firm | /TrdCaptRpt/RptSide/Pty/@R="1" /TrdCaptRpt/RptSide/Pty/@ID | The firm that guarantees the account for Risk purposes. Supported Value: |
Customer Account | /TrdCaptRpt/RptSide/Pty/@R="24" /TrdCaptRpt/RptSide/Pty/@ID /TrdCaptRpt/RptSide/Pty/@Src="C" | The account to which a trade is posted or the beneficiary. Accounts are always associated with a Clearing firm and they guarantee the account. Supported Value: |
Account Alias
| /TrdCaptRpt/RptSide/Pty/@R="24" /TrdCaptRpt/RptSide/Pty/@ID /TrdCaptRpt/RptSide/Pty/ @Src="D" /TrdCaptRpt/RptSide/Pty/ Sub/@Typ="1" /TrdCaptRpt/RptSide/Pty/ Sub/@ID | Trading Firm Alias A single piece of identification that encapsulates the Account, Origin and Clearing firm and is assigned by the trading firm Supported Value: |
Reporting Counterparty | /TrdCaptRpt/RptSide/Pty/@R="24" /TrdCaptRpt/RptSide/Pty/@ID /TrdCaptRpt/RptSide/Pty/ @Src="H" /TrdCaptRpt/RptSide/Pty/ Sub/@Typ="49" /TrdCaptRpt/RptSide/Pty/ Sub/@ID=”Y” OR /TrdCaptRpt/RptSide/Pty/@R="7" /TrdCaptRpt/RptSide/Pty/@ID /TrdCaptRpt/RptSide/Pty/ @Src="N" /TrdCaptRpt/RptSide/Pty/ Sub/@Typ="49" /TrdCaptRpt/RptSide/Pty/ Sub/@ID=”Y” | The Reporting Counterparty (RCP) is the party to a swap with the responsibility to report a publicly reportable swap transaction. |
Swap Execution Facility (SEF) | /TrdCaptRpt/RptSide/Pty/@R="73" /TrdCaptRpt/RptSide/Pty/@ID /TrdCaptRpt/RptSide/Pty/@Src="N" | The LEI of the Swap Execution facility. This is specified if the VenueTyp is a SEF or a DCM. |
Swaps Data Repository (SDR) | /TrdCaptRpt/RptSide/Pty/@R="102" /TrdCaptRpt/RptSide/Pty/@ID /TrdCaptRpt/RptSide/Pty/@Src="N" | The LEI of the Swaps Data Repository to which the bilateral trade was reported. |
Party Role Validations
The Customer account information is required.
Participants can either submit an account alias or a fully qualified account.
If an alias is provided, it has to indicate if the alias is Trading firm assigned, platform assigned, or CME assigned.
If the participant submits an account (not alias), the clearing firm will have to be specified.
A Broker Firm (Party role 30) is required for brokered trade submissions into the CME ClearPort API. The broker firm must be permissioned to submit trades for the specified accounts or the trade will not be accepted.
If a Broker (Party role 30) is specified on the trade, a Broker User (Party role 62) may be required. The Broker User will have to be a valid User ID in ClearPort.
Asset Manager Firm (Party role 49) / Trading Firm (Party Role 7) are optional for non-brokered trade submissions.
If an Asset Manager Firm is assigned to the referenced account(s) then it will be persisted as the buyer/seller principal for the applicable side.
If an Asset Manager Firm is not assigned to the referenced account(s) then CME ClearPort will verify that the Account Owner / Trading Firm has active trading rights.
If active trading rights exist, the Trading Firm will be persisted as the buyer/seller principal for the applicable side.
If active trading rights do not exist, the trade will be rejected.
If an Asset Manager (Party role 49) is specified on the trade, an Asset Manager User (Party role 36) will be required. The Asset Manager User will have to be a valid User ID in ClearPort.
If a Broker submits a trade using an account(s) with an Asset Manager assigned, the Asset Manager firm becomes a part of the trade and will appear as Party Role 49 on the applicable side or allocation.
A Trader ID (Party Role 36) indicating entering trader, is required for all exchanges except CME and CBOT. In some cases, an Asset Manager User ID may be sepcified in Party Role 36 to satisfy the Trader ID requirement. CME ClearPort will validate the User ID in Party Role 36 to ensure that the Trader ID specified is a valid Trader or Asset Manager for the specified Account.
The Trader ID will not be validated if the Source of the Trader ID is a Custom Source (Src="D").
The reporting counterparty can be specified as a Sub Tag of a Customer Account or a Sub Tag of the Trading Firm.
Submitting an Outright Instrument
When submitting an outright instrument, the API requires the submitter to provide all the attributes that identify the instrument. The identifiers can vary based on the security type. Some of the instruments will require that the underlying Instrument be specified.
The following are the identifying attributes for all contracts.
Instrument Identifiers
The following fields are required for contract identification in the Instrument block for various security types:
For other required FIXML attributes required during trade submission, please refer to the message specification.
Field | Description | Valid Enum | XPath | Applicable to SecTyp |
---|---|---|---|---|
Product Code | An ID assigned to the Product by CME Clearing. |
| TrdCaptRpt/Instrmt/@ID | All |
Product Code Source | Source of the specified Product Code. | H – Clearing House | TrdCaptRpt/Instrmt/@Src | All |
Exchange | The exchange listing the Product | NYMEX | TrdCaptRpt/Instrmt/@Exch | All |
|
| COMEX |
|
|
|
| GME – Gulf Mercantile Exchange |
|
|
|
| GEX – GreenX |
|
|
|
| CME |
|
|
|
| CBT – CBOT |
|
|
Security Type | The Type of Security | FUT – Future | TrdCaptRpt/Instrmt/@SecTyp | FUT |
|
| FWD – Forward |
| FWD |
|
| OPT – Option |
| OPT |
Maturity | The Contract Maturity. |
| TrdCaptRpt/Instrmt/@MMY | All |
Strike Price | The Strike price of the Option |
| TrdCaptRpt/Instrmt/@StrkPx | OPT |
Put Call Ind | Indicates if the contract is Put or Call | 0 – Put | TrdCaptRpt/Instrmt/@PutCall | OPT |
|
| 1 - Call |
|
|
Underlying Details
Field | Description | Valid Enum | XPath | Required for SecTyp |
---|---|---|---|---|
Underlying Clearing Product Code | An ID assigned to the Underlying Product by CME Clearing. |
| TrdCaptRpt/Undly/@SecTyp | OPT |
Underlying Product Code Source | The Source of the Underlying Product Id | H – Clearing | TrdCaptRpt/ Undly/@Src |
|
Underlying Exchange | The exchange listing the Underlying Product |
| TrdCaptRpt/ Undly/@Exch |
|
Underlying Security Type | The Type of Underlying Security | FUT – Future | TrdCaptRpt/ Undly/@SecTyp |
|
|
| FWD – Forward |
|
|
|
| MLEG – Multi-leg (Combo) |
|
|
Underlying Maturity | The Contract Maturity of the underlying Instrument |
| TrdCaptRpt/ Undly/@MMY |
|
Underlying Maturity | The Contract Maturity of the underlying Instrument |
| TrdCaptRpt/ Undly/@MMY |
|
Option Message Sample with an Underlying
<Instrmt ID="LO" SecTyp="OPT" Src="H" MMY="201107" | Instrument Details for an Option |
<Undly ID="CL" Src="H" MMY="201107" Exch="NYMEX" | Underlying for an Option |
Submitting a Spread Instrument
While submitting a Spread, the submitter must submit an Instrument and details of the Spread legs. The Instrument must indicate that the Security type is a Multi-legged instrument and the Leg must contain the contract identifiers for the Legs. If any leg is an option, the Instrument may indicate the underlying instruments for the legs.
Spread Instrument Details
Field | XPath | Description | Required for SecTyp |
---|---|---|---|
Security Type | TrdCaptRpt/Instrmt/@SecTyp | The Type of Security | MLEG |
Security Sub Type | TrdCaptRpt/Instrmt/@SubTyp | This may be optionally provided for Spreads |
|
Leg Instrument Details
Field | XPath | Description | Required for SecTyp |
---|---|---|---|
Leg Clearing Product Code | TrdCaptRpt/TrdLeg/Leg/@ID | An ID assigned to the Product by CME Clearing. | All |
Leg Exchange | TrdCaptRpt/ TrdLeg/Leg/ @Exch | The exchange listing the Product | All |
Leg Security Type | TrdCaptRpt/ TrdLeg/Leg/ @SecTyp | The Type of Security. | FUT |
Leg Maturity | TrdCaptRpt/ TrdLeg/Leg /@MMY | The Contract Maturity. | All |
Leg Strike Price | TrdCaptRpt/ TrdLeg/Leg /@Strk | The Strike price of the Option | OPT |
Leg Put Call Ind | TrdCaptRpt/ TrdLeg/Leg /@PutCall | Indicates if the contract is Put or Call | OPT |
Leg Buy Sell Code | TrdCaptRpt/ TrdLeg/Leg /@Side | Supported Values: | All |
Leg Underlying Instrument Details
Field | XPath | Description | Required for SecTyp |
---|---|---|---|
Leg Underlying Clearing Product Code | TrdCaptRpt/TrdLeg/Undlys/Undly/@ID | An ID assigned to the Product by CME Clearing. | OPT |
Source of the Leg Underlying Product Code | TrdCaptRpt/TrdLeg/ Undlys/Undly/@Src | The Source of the Product ID. | OPT |
Leg Underlying Exchange | TrdCaptRpt/TrdLeg/ Undlys/Undly/@Exch | The exchange listing the Product | OPT |
Leg Underlying Security Type | TrdCaptRpt/TrdLeg/Undlys/Undly/@SecTyp | The Type of Security. | OPT |
Leg Underlying Maturity | TrdCaptRpt/TrdLeg/Undlys/Undly/@MMY | The Contract Maturity | OPT |
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