CME STP FIX - Spread Trades
CME Group futures and options and BrokerTec markets support trading of Spreads, which are multi-legged instruments, on CME Globex and submission via CME ClearPort for clearing (futures and options). Spreads could be Exchange defined or User defined.
This section describes CME STP FIX support for Spread trades for futures and options and BrokerTec markets. Clients can subscribe to Trade Capture reports for Spread trades, either at the spread level or leg level. With spread level subscription, there will be single Trade capture report for a spread trade with repeating group of leg level details. With leg level subscription, there will be individual trade capture report for each leg of the spread trade.
Spreads can be either Exchange defined or User defined. More information on available spreads can be found in Exceptional Spreads.
Table of Contents
Snapshot and Subscription
Client systems are required to use tag 442-MultilegReportingType in their Trade Capture report request to obtain a Snapshot or to initiate Subscription of spread trades.
Spread Level trades
To receive Spread level trades clients systems must subscribe using tag 442-MultilegReportingType=3 (Multi-legged) in their Trade Capture report request.
Example Trade Capture report request
8=FIX.4.4|9=148|35=AD|34=2|49=SENDERCOMP|52=20211021-18:19:46.435|56=CMESTPFIX1|57=STP|263=0|442=3|568=TEST|569=1|
9593=20211021-17:04:53|453=1|448=PARTYID|452=7|10=128|Example Trade Capture Report
8=FIX.4.4|9=2243|35=AE|34=5|49=CMESTPFIX1|50=STP|52=20211027-19:52:55.562|56=SENDERCOMP|571=17CB34733B10004D561153141145737|487=2|856=101|568=TEST|828=11
|880=17CB34733B10004D56113|17=8540196|423=2|55=LO:SA|48=LO|22=H|461=OCAXPS|167=MLEG|762=SA|200=20220400|541=20220317|207=NYMEX|201=1|6070=1000|32=50|31=14.96
|75=20211027|715=20211027|442=3|555=3|600=LOJ2 C6600|602=LO|603=H|608=OCAXPS|609=OPT|610=202204|611=20220317|612=66.0|616=NYMEX
|620=Light Sweet Crude Oil Option|624=1|687=50|654=107210|637=14.96|990=17CB34733B10004D56116|1152=1|1001=Mo|1358=1|10038=50000
|999=Bbl|1224=1000.0|10045=1000|686=2|2192=P|1342=1|1332=CL|1333=H|1337=FUT|1339=202204|1341=NYMEX|1586=1|1587=-748000.00|1588=PREM|1589=USD
|600=LOK2 C6600|602=LO|603=H|608=OCAXPS|609=OPT|610=202205|611=20220414|612=66.0|616=NYMEX|620=Light Sweet Crude Oil Option
|624=1|687=50|654=107211|637=14.96|990=17CB34733B10004D56117|1152=2|1001=Mo|1358=1|10038=50000|999=Bbl|1224=1000.0|10045=1000|686=2|2192=P
|1342=1|1332=CL|1333=H|1337=FUT|1339=202205|1341=NYMEX|1586=1|1587=-748000.00|1588=PREM|1589=USD|600=LOM2 C6600|602=LO|603=H|608=OCAEPS|609=OPT
|610=202206|611=20220517|612=66.0|616=NYMEX|620=Light Sweet Crude Oil Option|624=1|687=50|654=107212|637=14.96|990=17CB34733B10004D56118|1152=3|1001=Mo
|1358=1|10038=50000|999=Bbl|1224=1000.0|10045=1000|686=2|2192=P|1342=1|1332=CL|1333=H|1337=FUT|1339=202206|1341=NYMEX|1586=1|1587=-748000.00|1588=PREM
|1589=USD|60=20211027-19:11:45.000000000Z|552=1|54=1|11=C8540196
|453=10|448=666|452=4|448=TEST|447=C|452=7|802=1|523=TEST|803=5|448=CME|447=C|452=21|448=NYMEX|447=C|452=22|448=TEST|447=C|452=24|802=1|523=1|803=26
|448=A-77919|447=H|452=24|448=CMEG|452=30|802=1|523=CME Group Inc. GCC|803=5|448=TEST|452=36|802=1|523=TEST|803=9
|448=BUSER|452=62|802=1|523=USER|803=9|448=666|447=D|452=1001
|578=CPC|582=4|1851=17CB34733B10004D56115|10034=3|10027=CPC000008540196BN0001|10028=1010000023|10029=2|10030=0|10031=1
|10027=CPC001008540196BN0001|10028=1010000023|10029=2|10030=0|10031=2|10027=CPC002008540196BN0001|10028=1010000023|10029=2|10030=0|10031=3|1016=1
|1012=20211027-19:10:00.000000000Z|1013=1|779=20211027-19:11:45.737000000Z|1003=107209|1040=17CB34733B10004D56115|939=0|1430=X|10026=USD|1832=1|10=053|The Spread level Trade Capture report is identified via tag 442-MultilegReportingType=3 (Multi-legged).
Based on the number of legs defining the spread the individual leg trade information will be in tag 555-NoLegs repeating group for each leg.
Leg Level trades
To receive Leg level trades clients systems must subscribe using tag 442-MultilegReportingType=2 (Individual legs of Multi-legged security) in their Trade Capture report request.
Example Trade Capture report request
8=FIX.4.4|9=148|35=AD|34=2|49=SENDERCOMP|52=20211021-18:19:46.435|56=CMESTPFIX1|57=STP|263=0|442=2|568=TEST|569=1|
9593=20211021-17:04:53|453=1|448=PARTYID|452=7|10=128|Example Trade Capture report
The following Trade Capture report contains two Trade Capture reports, one for each leg of the Spread trade with tag 442-MultilegReportingType=2 (Individual legs of the Spread). Client systems should use the tag 1851-StrategyLinkID to identify the leg trades belonging to the same spread.
8=FIX.4.4|9=1223|35=AE|34=4079|49=CMESTPFIX1|50=STP|52=20211027-19:11:46.688|56=TEST|571=17CB34733B10004D561172141145738|487=2|856=101|568=TEST
|828=11|880=17CB34733B10004D56113|17=8540196|423=2|55=LOK2 C6600|48=LO|22=H|461=OCAXPS|167=OPT|762=SA|200=202205|541=20220414|202=66.0|223=0|207=NYMEX
|107=Light Sweet Crude Oil Option|201=1|1147=1000.0|6070=1000|1194=1|1193=P|711=1|311=[N/A]|309=CL|305=H|310=FUT|313=202205|308=NYMEX|32=50|31=14.96
|75=20211027|715=20211027|753=1|707=PREM|708=-748000.00|1055=USD|442=2|60=20211027-19:11:45.000000000Z|552=1|54=1|11=C8540196|453=10|448=666|452=4
|448=TEST|447=C|452=7|802=1|523=TEST Firm|803=5|448=CME|447=C|452=21|448=NYMEX|447=C|452=22|448=ACCT|447=C|452=24|802=1|523=1
|803=26|448=A-77919|447=H|452=24|448=CMEG|452=30|802=1|523=CME Group Inc.|803=5|448=trdr2|452=36|802=1|523=Trader 2|803=9|448=BUSER|452=62|802=1
|523=BROKER USER|803=9|448=666|447=D|452=1001|578=CPC|582=4|1851=17CB34733B10004D56115|10034=1|10027=CPC001008540196BN0001|10028=1010000023|10029=2|10030=0
|1016=1|1012=20211027-19:10:00.000000000Z|1013=1|779=20211027-19:11:45.738000000Z|1003=107211|1040=17CB34733B10004D56117|939=0|1430=X|996=Bbl|997=Mo
|10026=USD|10037=50000|1832=1|10=054|
8=FIX.4.4|9=1223|35=AE|34=4080|49=CMESTPFIX1|50=STP|52=20211027-19:11:46.849|56=TEST|571=17CB34733B10004D561162141145737|487=2|856=101|568=TEST
|828=11|880=17CB34733B10004D56113|17=8540196|423=2|55=LOJ2 C6600|48=LO|22=H|461=OCAXPS|167=OPT|762=SA|200=202204|541=20220317|202=66.0|223=0|207=NYMEX
|107=Light Sweet Crude Oil Option|201=1|1147=1000.0|6070=1000|1194=1|1193=P|711=1|311=[N/A]|309=CL|305=H|310=FUT|313=202204|308=NYMEX|32=50|31=14.96
|75=20211027|715=20211027|753=1|707=PREM|708=-748000.00|1055=USD|442=2|60=20211027-19:11:45.000000000Z|552=1|54=1|11=C8540196|453=10|448=666|452=4
|448=FIRM|447=C|452=7|802=1|523=AutoCERT Plus Trading Firm 2|803=5|448=CME|447=C|452=21|448=NYMEX|447=C|452=22|448=ACPACCT2|447=C|452=24|802=1|523=1
|803=26|448=A-77919|447=H|452=24|448=CMEG|452=30|802=1|523=CME Group Inc.|803=5|448=trdr2|452=36|802=1|523=ACP Trader 2|803=9|448=BUSER|452=62
|802=1|523=BROKER USER|803=9|448=666|447=D|452=1001|578=CPC|582=4|1851=17CB34733B10004D56115|10034=1|10027=CPC000008540196BN0001|10028=1010000023|10029=2
|10030=0|1016=1|1012=20211027-19:10:00.000000000Z|1013=1|779=20211027-19:11:45.738000000Z|1003=107210|1040=17CB34733B10004D56116|939=0|1430=X|996=Bbl
|997=Mo|10026=USD|10037=50000|1832=1|10=039|Additional Spread Trade Concepts
Trade Capture reports with tag 442-MultilegReportingType=1 (Single Security or Outright) will be sent to client systems for both Spread level (MultilegReportingType=3) and Leg level (MultilegReportingType=2) requests.
Not all Spreads trades (e.g. FX Link, BrokerTec RV Curve spreads) are supported with Spread Level (MultilegReportingType=3) trade capture reports. Clients systems are recommended to use Leg level (MultilegReportingType=2) in their request, to receive all Spread trade capture reports.
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