BrokerTec Chicago is a secondary U.S. Treasury (UST) Actives central limit order book (CLOB) on CME Globex, operated by BrokerTec Americas LLC and located in the CME Globex futures and options data center in Aurora, Illinois.

BrokerTec Chicago enables clients to efficiently manage cash versus futures trading by reducing slippage risk. The products are tailored for cash-futures trading with nine-decimal (1/16 of 1/32nd) price precision and contract notional values aligning with Futures, differentiating this venue from BrokerTec U.S. Treasury Actives Market CLOB.

Products offered with BrokerTec Chicago replicate the existing BrokerTec UST active instruments with similar contract size. Notional values for one lot size equivalents are $100,000k (5, 7, 10, 20, and 30 year) and $200,000k (2 and 3 year) with nine decimal (1/16 of 1/32nd) price precision.

Clients with listed derivatives connectivity can access BrokerTec Chicago with existing cross-connects. Clients using BrokerTec (GLink Secaucus + CME EConnect NY5) connectivity can access BrokerTec Chicago (with additional required network and client-side configurations).

Contents

Testing and Certification

Clients that have already certified for Market Data Platform 3.0 (MDP 3.0), BrokerTec Market Data (Premium UDP, MDP Conflated, TCP Price Precision) must certify via a supplemental BrokerTec Chicago Market Data Feed test suite to support the new instruments and ensure handling of the increased decimal precision and tick sizes. 

Clients who have not been certified for MDP 3.0 (Premium UDP or MDP Conflated UDP) must also complete MDP 3.0 certification.

All clients and ISVs are strongly encouraged to test end-to-end workflow prior to accessing and supporting BrokerTec Chicago. End-to-end testing includes processing market data, Order Entry, and straight through processing (CME STP).

Product Overview

BrokerTec Chicago introduces new separate U.S. Treasury Actives instruments with a reduced tick of 1/16 of 32nds and notional values for one lot size equivalents of $100,000k (5, 7, 10, 20, and 30 year), and $200,000k (2 and 3 year). BrokerTec Chicago includes the first CME Globex instruments that support a 1/16 of a 32nd tick and decimal precision of nine digits. Details and conversions are available for reference purposes via the Fractional Price Processing for BrokerTec Products site.

Product Specification

Product Attributes

Public IPs - Rendezvous Points

This section outlines the connectivity details for Public IP addresses/Rendezvous Points (RPs) to access the BrokerTec Chicago - U.S. Treasury Actives - CLOB.

View connectivity details for RPs to access BrokerTec Chicago (CME Group Login required).

iLink Order Entry

This section outlines iLink order entry impacts for BrokerTec Chicago. For client system IP configuration, utilize the iLink connectivity information in the below-referenced SFTP files. Request Center may provide incorrect IP information.

Market Segment Gateway

All Market Segment Gateway (MSGW) iLink Order Entry market functionality is supported and a new Market Segment ID (tag 1300-MarketSegmentID=48) was introduced. Client systems may leverage existing iLink Binary Order Entry - BrokerTec sessions.

• The MSGW connection and configuration file information, including directory and config.xml file names for BrokerTec Chicago access are provided below and located on the SFTP (sftpng.cmegroup.com) site.

• View SFTP connection details (CME Group Login required).

• Clients connecting via GLink Secaucus / CME EConnect NY5 locations require networking and entitlement assistance. To facilitate access, contact GAM.

Order Entry Connection Details

Order Entry Service Gateway

To register administrative information, clients connect to an existing Order Entry Service Gateway (OESGW):

• Only one connection to the BrokerTec OESGW is allowed per iLink Session ID.

• BrokerTec Chicago uses the current BrokerTec UST OESGW ID 14 for registration.

• The OESGW connection and configuration file information including directory and config.xml file names for BrokerTec Chicago access are provided below and located on the SFTP (sftpng.cmegroup.com) site.

• View Connection details (CME Group Login required).

Order Entry Service Gateway Connection Details

Drop Copy

A new Drop Copy gateway supports the BrokerTec Chicago market. All Drop Copy for iLink - BrokerTec Markets trading activity (execution and acknowledgment) functions are supported.

• Clients connecting from DC3 may use either new or existing Drop Copy session IDs for BrokerTec Chicago.

  • Clients connecting from DC3 must connect to the BrokerTec Chicago Drop Copy gateway.

  • BrokerTec Chicago Drop Copy messages are inaccessible via CME Globex Futures & Options Drop Copy gateways.

  • Clients using existing sessions are permitted one Drop Copy session connection per site location.

• Clients connecting via GLink Secaucus / CME EConnect NY5 locations require networking and entitlement assistance. To facilitate access, contact GAM.

• The Drop Copy MSGW connection and configuration file information including directory and config.xml file names for BrokerTec Chicago access are provided below and located on the SFTP (sftpng.cmegroup.com) site.

Drop Copy Connection Details

For client system IP configuration, utilize the below-referenced SFTP files for Drop Copy IP connectivity information. Request Center may provide incorrect IP information.

Market Data

CME MDP UDP and Conflated UDP market data functionality is supported. For BrokerTec market data details, see CME MDP 3.0 Market Data.

Market Data Connection Details

MDP 3.0 connectivity and configuration information is connection location-based. Clients can use the connection details based on the location they are connecting from. The following configuration directory and configuration files are located on the FTP/SFTP (sftpng.cmegroup.com) sites.

• MDP 3.0 configuration directory is the following:

  • /SBEFix/Production/Configuration/BrokerTecChicago

• MDP 3.0 connectivity configuration files for clients connecting from Aurora/DC3 are the following:

  • /BrokerTecChicago_DC3_USActivesPremium.xml

  • /BrokerTecChicago_DC3_USActivesConflated.xml

• MDP 3.0 connectivity configuration files for clients connecting from Secaucus/NY5 are the following:

  • /BrokerTecChicago_NY5_USActivesPremium.xml

  • /BrokerTecChicago_NY5_USActivesConflated.xml

The following are BrokerTec Chicago multicast IP and port environment details, including market data channel numbers 504 and 505 for the Production, New Release, Certification Environments.

View Connection Details (CME Group Login required).

Conflated TCP Market Data Connection

The following Channel ID is used to connect to BrokerTec Chicago 50ms Conflated TCP market data group for U.S. Treasury Actives.

• For technical details on processing and request messaging, refer to MDP 3.0 - Conflated TCP Market Data Group Processing.

• To request access to the BrokerTec Chicago Conflated TCP channel, refer to the BrokerTec Market Data Sessions instructions on the CME Customer Center User Help system.
  Prior to requesting a BrokerTec market data session access, the user’s entity must have an active CME Customer Center self-service agreement and completed market data application certification.

TCP Recovery for UDP Connection Details

• Clients connecting via GLink Secaucus / CME EConnect NY5 locations require networking and entitlement assistance.
  To facilitate access, contact GAM.

• The TCP Recovery for UDP connection and configuration file information including directory and config.xml file names for BrokerTec Chicago access are provided below and located on the FTP/SFTP (sftpng.cmegroup.com) sites.

• View connection details (CME Group Login required).

Straight Through Processing

Trade capture messages for BrokerTec Chicago - U.S. Treasury Actives are described in the CME straight through processing topic.

CME STP post-trade messages include decimal price precision up to 9 digits (1/16 of 32nds).

BrokerTec Chicago trades are reported under the Mic code “BTEC" in CME STP. In the Trade Capture Report the Mic code is identified by:

• CME STP FIX - TradeCaptureReport: Tag 30-LastMkt

• CME STP FIXML - TradeCaptureReport: XPath /TrdCaptRpt@LastMkt

Trade Quantities

The following calculated traded quantities fields are added to CME STP.

CME STP FIXML

*Also applicable to individual trade confirmation messages for BrokerTec RV Curve/Butterfly when subscribed with /TrdCaptRptReq/@MLegRptTyp=2 (Individual Leg trade confirmations)