CME STP FIXML - Post Trade Events - BrokerTec
This topic describes the post trade events for BrokerTec Fixed Income (FI) trades.
Contents
Introduction
BrokerTec clients have the option to Cancel or Correct their trades. CME STP FIXML will reflect these post trade events with Trade Capture Reports (/TrdCaptRpt) and/or Collateral Report (/CollRpt). Collateral report messages applicable only to General Collateral Repo trades.
Trade Cancel and Correction can only be initiated by a BrokerTec client calling the CME Group Global Command Center (GCC).
Messaging Dependencies
The Cancel/Correct post trade events have timing, region and clearing model dependencies.
Post trade events - Timing and Region
Cancel/Correct post trade events can occur in following timing.
Top Day: Cancel/Correct events occurred on the same date of the Trade (Trade date)
Post Top Day: Cancel/Correct events occurred on future date relative to Trade (Trade date)
BrokerTec markets operate in U.S. and EU regions with different products traded in those regions.
The following table details the messages sent on CME STP FIXML for post trade events based on timing, region and specific products.
U.S. Treasury (U.S. Region), EGBs (EU Region) | U.S. Repo (U.S. Region) | EU Repo (EU Region) |
|---|---|---|
Top Day: Trade Capture Reports (/TrdCaptRpt) for Cancel/Correct post trade events are published | Top Day: Trade Capture Reports (/TrdCaptRpt) for Cancel/Correct are NOT published for Specials, GCs and GCFs When an allocated GC trade or one/more allocated pieces of a GC are cancelled, corresponding Collateral Message(s) (/CollRpt) are published | Top Day: Trade Capture Reports (/TrdCaptRpt) for Cancel/Correct are published
|
Post Top Day: No Trade Capture or Collateral reports messages are published.
Post Trade Events - Clearing Model
BrokerTec trades are cleared through different Clearing entities based on the region where the products are traded.
Post trade events, Cancel/Correct, follow two different models “Cancel Clearing model” and “Offset Clearing model” depending on the clearer and products.
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 for the offsetting (opposite side)
The following table details the key STP FIXML attributes and their values, indicating the status, for both these models and applicable products.
Offset Clearing Model | Cancel Clearing Model |
|---|---|
EU market with clearers LCH, LCHSA and for Bilateral (Belgium/Spain) | EU market with clearers BME, MONTE, EUREX and for Bilateral (other countries) U.S. Treasury, U.S. RV Curve and RV Butterfly. |
Trade Cancel Messaging | |
Client system receives 2 Trade Capture report (/TrdCaptRpt) messages for trade cancel with following attributes
| Client system receives 1 Trade Capture report (/TrdCaptRpt) message for trade cancel with following attributes
|
Trade Correction Messaging | |
Client system receives 3 Trade capture report (/TrdCaptRpt) messages for trade correction with following attributes
Note: the initial sell order is reversed/offset by a buy order and vice versa. | Client system receives 2 Trade capture report (/TrdCaptRpt) messages for trade correction with following attributes
|
Message Scenarios
This section describes the messages, key attributes and their values for Cancel/Correct post trade events.
This section does not cover Cancel/Correct post trade events for General Collateral Repos.
Cancel Model - Full Trade Cancel
A trade is cancelled in full Top Day. Following table outlines the key attributes and their values for this “Cancel model” scenario.
Message | @TransTyp | @TrdTyp | @TrdID2 | /TrdCapRptSideGrp/@OridTrdID | @PackageID | Description |
/TrdCaptRpt | 0=New | 0=Regular Trade | ABC111 | - | - | Original Trade |
/TrdCaptRpt | 1=Cancel | 0=Regular Trade | ABC111 | - | - | Cancellation of original trade |
Cancel Model - Trade Correction
A trade is corrected Top Day. Following table outlines the key attributes and their values for this “Cancel model” scenario.
Message | @TransTyp | @TrdTyp | @TrdID2 | /TrdCapRptSideGrp/@OridTrdID | @PackageID | Description |
/TrdCaptRpt | 0=New | 0=Regular Trade | ABC222 | - | - | Original Trade |
/TrdCaptRpt | 1=Cancel | 0=Regular Trade | ABC222 | - | BCD234 | Cancellation of original trade |
/TrdCaptRpt | 0=New | 0=Regular Trade | BCD234 | ABC222 | - | Replacement Trade |
@PackageID - In Trade cancel message, value points to @TrdID2 of the replacement trade
/TrdCapRptSideGrp/@OrigTrdID - In Trade replacement message, value points to @TrdID2 of the original trade
Offset Model - Full Trade Cancel
A trade is cancelled in full Top Day. The following table outlines the key attributes and their values for this “Offset model” scenario.
Message | @TransTyp | @TrdTyp | @TrdID2 | /TrdCapRptSideGrp/@OridTrdID | @PackageID | Description |
/TrdCaptRpt | 0=New | 0=Regular Trade | ABC333 | - | - | Original Trade |
/TrdCaptRpt | 2=Replace | 0=Regular Trade | ABC333 | - | - | Update of original trade |
/TrdCaptRpt | 0=New | 3=Transfer | BCD222 | ABC333 | - | Replacement Trade |
/TrdCapRptSideGrp/@OrigTrdID - In Trade replacement message, value points to @TrdID2 of the originally cancelled trade
Offset Model - Trade Correction
A trade is corrected Top Day. The following table outlines the key attributes and their values for this “Offset model” scenario.
Message | @TransTyp | @TrdTyp | @TrdID2 | /TrdCapRptSideGrp/@OridTrdID | @PackageID | Description |
/TrdCaptRpt | 0=New | 0=Regular Trade | ABC555 | - | - | Original Trade |
/TrdCaptRpt | 2=Replace | 0=Regular Trade | ABC555 | - | CDE345 | Update of original trade |
/TrdCaptRpt | 0=New | 3=Transfer | BCD222 | ABC555 | - | Offset of Original trade |
/TrdaptRpt | 0=New | 0=Regular Trade | CDE345 | ABC555 | - | Replacement Trade |
/TrdCaptRpt | 0=New | 0=Regular Trade | AABC215 | - | - | Original Trade |
@PackageID - In Trade cancel message, value points to @TrdID2 of the replacement trade.
/TrdCapRptSideGrp/@OrigTrdID - In Trade replacement message, value points to @TrdID2 of the original trade.
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