CME STP FIXML - CME FX Link Messaging

CME FX Link is a spot FX basis spread offering that is matched on CME Globex. A trade results in the creation of a new spot FX trade capture report message.  

For each of the two trade counterparties, CME STP will report:

• A single-sided Future trade with Multi Leg Reporting Type (MLegRptTyp)= 2

• A single-sided FX Spot trade with Multi Leg Reporting Type (MLegRptTyp)= 2

There will be four single-sided legged trades in total.

• The Future will be a single-sided CME Cleared Future while the FX Spot will be a single-sided un-cleared FXSPOT trade.

• The Exchange for the Future will be CME and the Exchange for the FX Spot trade will be FXS.

  • Future: Exch=”CME”

  • FX Spot: Exch=”FXS”

• The Security Type for the FX Spot will be FXSPOT.

  • Future: SecTyp=”FUT”

  • FX Spot: SecTyp=”FXSPOT”

• Strategy Link ID (StrategyLinkID) will be used to link the trade legs together.

• Client systems are required to use Leg level subscription or snapshot using MLegRptTyp=2 (Individual legs of Multi-legged security) to receive FX Link trades as MLegRptTyp=3 (Multi-legged security) is not supported.

Additional details related to FX Spot+, the spot leg of an FX Link trade is available in: CME STP Impacts for CME FX Link and FX Spot Plus.