CME STP FIX - CME FX Link Messaging

CME FX Link is a spot FX basis spread offering that is matched on CME Globex. For each of the two trade counterparties, CME STP FIX will report:

• A single-sided Future trade with Multi Leg Reporting Type (tag 442-MLegRptTyp) = 2

• A single-sided FX Spot trade with Multi Leg Reporting Type (tag 442-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 (tag 207-Exch) for the Future will be CME and the Exchange for the FX Spot trade will be FXS.

  1. Future: Exch=”CME”

  2. FX Spot: Exch=”FXS”

• The Security Type (tag 167-Sec) for the FX Spot will be FXSPOT.

  1. Future: SecTyp=”FUT”

  2. FX Spot: SecTyp=”FXSPOT”

• Strategy Link ID (tag1851-StrategyLinkID) will be used to link the trade legs together.

• Client systems are required to use Leg level subscription or snapshot using tag 442-MultilegReportingType=2 (Individual legs of Multi-legged security) to receive FX Link trades as tag 442-MultilegReportingType=3 (Multi-legged security) is no 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.