This topic describes CME STP FIX trade messaging, cancel and correction functionality and the correlation to iLink Order Entry messages for BrokerTec Markets.

Top Day trade cancel and corrections follow one of two models in CME STP messages.

• Cancel Model - A trade capture report indicating that a trade being cancelled will be sent.

• Offset Model - Two trade capture reports will be sent, one indicating replacement and another offsetting (opposite side).

Contents

Cancel Model

The following examples illustrate message sequence and key trade capture fields using the cancel model.

Full Trade Cancel

In the following example, the passive participant XYZ requests a trade cancel from the GCC.

Partial Trade Cancel

In the following example, the passive participant XYZ requests a trade cancel from the GCC leaving the trade between ABC and MNO active after the trade cancel.

Partial Trade Correction

In the following example, passive participant XYZ requests the GCC to reduce the active quantity from 300 to 100.

Trade Price Amend

In the following example, participant XYZ requests a trade modification of the trade price from 100 to 99.

Offset Model

The following examples illustrate message sequence and key trade capture fields using the offset model.

Full Trade Cancel

In the following example of the offset model, participant XYZ requests a trade cancel from the GCC.

Partial Trade Correction

In the following example, participant XYZ requests trade modification from the GCC for quantity 300 to 100.

Trade Price Amend

In the following example, participant XYZ requests trade modification of the trade price from 100 to 99.