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iLink Binary Order Entry - BrokerTec Markets

iLink Binary Order Entry - BrokerTec Markets

To trade BrokerTec products on the CME Globex platform customers must implement the order entry functionality described in iLink Binary Order Entry, and, if applicable, the market data functionality described in MDP 3.0. Customers with this functionality in place can refer to the BrokerTec-specific functionality described in this topic.

Contents

BrokerTec Market Functionality

This section summarizes iLink considerations specific to BrokerTec markets.

See also:  BrokerTec on CME Globex Market Functionality   

To access the BrokerTec Support Portal you must be an existing customer or vendor with a signed Non-Disclosure Agreement (NDA) in place with BrokerTec.  

BrokerTec Markets on CME Globex

Customers developing applications to trade BrokerTec products on CME Globex must be aware of the following:

Market Access

  • BrokerTec markets are only available through iLink Binary Order Entry

  • BrokerTec markets are only available through dedicated Market Segment Gateways (MSGWs)

Supported Order Types & Qualifiers

The following order types and order type qualifiers are supported:

Order Types (tag 40-OrderType)

  • OrderType=2 (Limit order)

Order Qualifiers (tag 59-TimeInForce)

  • TimeInForce=0 (Day order)

  • TimeInForce=1 (Good Till Cancelled)

  • TimeInForce=3 (Fill And Kill order)

  • TimeInForce=4 (Fill Or Kill order)

  • TimeInForce=6 (Good Till Date)

Fill And Kill (FAK)

For BrokerTec products that are not workup-eligible, an FAK order is executed against any available quantity and any remaining quantity is immediately eliminated.

For workup-eligible products, 

  • FAK order is executed against any available quantity and any remaining quantity will be eliminated at the end of workup

  • FAK Immediate (FAKi) order is executed against any available quantity and any remaining quantity is immediately eliminated.

  • FAKi with Minimum Quantity (FAKi / Min)  order is  executed at least minimum quantity and any remaining quantity is immediately eliminated.

FAKi is only applicable to Workup-eligible instruments

Good Till Cancelled (GTC)/Good Till Date (GTD)

GTC/GTD Order Elimination

All GTC/GTD orders will be eliminated at the pre-open when the new US Treasury Actives instruments are listed.

Only Best

Only Best orders are not GTC/GTD eligible.

If clients submit Only Best order with GTC/GTD order qualifier, the order will be rejected with the Execution Report=Reject (tag 35-MsgType=8, tag 39-OrdStatus -8) message. The reject message will include reject code (tag 103-OrdRejReason) = 5011 and reject text(tag 58-Text)="ExecInstruction Only Best and TimeInForce GTC or GTD are not eligible/allowed."

Cancel on Disconnect

Cancel On Disconnect (COD) does not include GTC and GTD orders. If involuntary lost connection between iLink users and the CME Globex platform is detected, COD cancels all resting US Treasury Actives orders for the disconnected registered iLink user, except GTC and GTD orders. It is the user's responsibility to reenter all orders that have been cancelled by COD.

CME Reference Data API

To support the new GTC and GTD order qualifiers forBrokerTec US Treasury Actives, the GT Orders Eligibility attribute in CME Reference Data API Version 3 will be updated: 

CME Reference Data API Attribute

CME Reference Data API Attribute

API Endpoint

Attribute Name

Current Value

New Value

Product

globexGtEligible

N

Y 

Security Definition

The BrokerTec US Treasury Actives security definition (35=d) messages, tag 872-InstAttrbValuetemplate value, will be changed to indicate GTC/GTD orders are eligible.

→872

InstAttribValue

InstAttribValue

MultipleCharValue

Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.

Bitmap field of 32 Boolean type indicators:

18: GT Orders Eligibility 

Order Type & Qualifiers

US Treasuries

US Repo

EU Repo

UK Gilt

EU EGB

Order Type & Qualifiers

US Treasuries

US Repo

EU Repo

UK Gilt

EU EGB

Limit

Y

Y

Y

Y

Y

Limit Aggressive with Min (Day / Min)

Y

Y

Y

Y

Y

Fill And Kill (FAK)

Y

Y

Y

Y

Y

Fill And Kill Immediate (FAKi)

 

Y

 

 

 

Fill And Kill with Min (FAK / Min)

Y

 

Y

Y

Y

Fill And Kill Immediate with Min (FAKi / Min)

 

Y

 

 

 

Fill Or Kill (FOK)

Y

Y

Y

Y

Y

Only Best

Y

Y

Y

Y

Y

Passive Orders

 

Y

Y

 

 

Good Till Cancelled (GTC)

Y

 

 

 

 

Good Till Date (GTD)

Y

 

 

 

 

The following order types and order type qualifiers are not supported for BrokerTec products.

  • Market Protect (tag 40-OrderType=1)

  • Market Limit (tag 40-OrderType=K)

  • Stop Protect (tag 40-OrderType=3)

  • Stop Limit (tag 40-OrderType=4)

This table illustrates how to define order type and order qualifier:

Types of Orders

Tag 59
TimeInForce

Tag 40
OrdType

Tag 18
ExecInst

Tag 110
MinQty

Tag 5906
ExecutionMode
(Passive vs Aggressive)

Other Type
Combinations Allowed

Types of Orders

Tag 59
TimeInForce

Tag 40
OrdType

Tag 18
ExecInst

Tag 110
MinQty

Tag 5906
ExecutionMode
(Passive vs Aggressive)

Other Type
Combinations Allowed

Limit

0 (Day)

2

n/a

Optional: can also include Min Qty for Aggressive orderd (tag 5906-ExecutionMode =A)

P = Passive

A or null = Aggressive

AON, OB

Fill And Kill (FAK)

3 (FAK)

2

n/a

Optional

A

OB

FAK Immediate (FAKi)

3 (FAK)

2

00000100 (not held)

n/a

A

 

FAK Immediate w/ MinQty (FAKi / Min)

3 (FAK)

2

00000100 (not held)

Qty > Min qty > 0

A

 

Fill Or Kill (FOK)

4 (FOK)

2

n/a

n/a

A

OB

Only Best (OB)

0 (Day)

2

00000010 (only best)

Optional

P or A

Limit, FAK, AON

All Or None (AON)

0 (Day)

2

00000001 (AON)

n/a

P or A

Limit, OB

Good Till Cancelled (GTC)

1 (GTC)

2

n/a

Optional

A

n/a

Good Till Date (GTD) 

6 (GTD)

2

n/a

Optional

A

n/a

For BrokerTec US and EU Repo markets, tag 5392-SenderID modification is not allowed. Order Cancel-Replace Request to modify tag 5392 value will be rejected. CME Globex will send an Order Cancel Replace Reject (tag 35-MsgType=9, tag 434-CxlRejResponseTo=2) message including tag 102-CxlRejReason=2103 and tag 58-Text=<Attempt to modify an order with a different TraderID than the original order 'Order: XXXXXXXXXX SenderCompID: XXXXXXXX>.

For BrokerTec markets, a resting display quantity order (tag 1138-DisplayQuantity >0) cannot be modified to a non-display quantity (tag 1138-DisplayQuantity=0), and vice versa.

BrokerTec on CME Globex Display Quantity 

Display Quantity is submitted via iLink tag 1138-DisplayQty for the order to control the portion of the order’s quantity that is displayed to the market. The display quantity is the quantity shown to the market as specified by the customer, gradually exposing the remaining quantity until the entire order quantity is depleted.

For BrokerTec products, Display Quantity orders with FAK are allowed.

BrokerTec on CME Globex Mass Quote

The Mass Quote message is used for European Government Bonds (EGBs) only.

In the event of Unsolicited Quote Cancels, all resting quotes are cancelled on behalf of the Mass Quoted customers. The unsolicited cancel code is contained in https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/689537025; the reason text will not be sent in the message.

Customers can also receive unsolicited Quote Acknowledgment messages in response to quote cancels due to a resting quantity that is less than the minimum allowed quantity (tag 9775 = I).

More information regarding Mass Quotes for BrokerTec on CME Globex can be found in BrokerTec on CME Globex Market Functionality.

Order Entry Messages

The following sections contain the tag-level client system messaging impacts that must be accommodated in order to trade BrokerTec products on CME Globex.

FIX Tags

The following new FIX tags will be added for BrokerTec markets:

  • Tag 18-ExecInst

  • Tag 5906-ExecutionMode

  • Tag 6881-Managed

  • Tag 9373-LiquidityProvision

  • Tag 5409-ShortSaleType

Tag

Field Name

Binary Type

Binary
Length

Req

Value

Description

Tag

Field Name

Binary Type

Binary
Length

Req

Value

Description

18

ExecInst

ExecInst

1

N

Bit 0: (least significant bit) All Or None

Bit 1: Only Best

Bit 2: Not Held

Bit 3: Reserved for future use

Bit 4: Reserved for future use

Bit 5: Reserved for future use

Bit 6: Reserved for future use

Bit 7: (most significant bit) Reserved for future use

Instructions for order handling for fixed income markets.

Only Best may be applied to resting and aggressing orders and:

  • Prevents submission of an order if the order’s price is not equal to or better than the best price on the book.

  • Cancels an order from the book if a new order with a better price enters the queue.

  • This order condition permits the order to be alone at the best price level or join other orders at the best price level.

Not Held (applies only to US Repo) eliminates quantity remaining from an FaKi order (tag 59=3) and ensures it will it not be included in a work-up session; however, the order can still trigger a work-up session.

AONs will have a separate book with a separate ISIN. The AON orders that cannot trade immediately can rest in the AON book. They can only trade with AON orders on the other side of the AON book that have the SAME PRICE and SAME QUANTITY.

Applicable only for BrokerTec markets;

  • should not be used for future and options markets (i.e. tag 18=00000000)

New orders submitted with tag 18 instructions for futures and options markets will be rejected with 35=j, except:

  • Limit FAK orders submitted with Not Held instruction

  • Market FAK orders submitted with Not Held instruction

5906

ExecutionMode

ExecMode

1

N

  • A=Aggressive

  • P=Passive

Instruction for whether the order should rest on the book upon entry or match as an aggressor.

A Passive Order will rest in the market without executing unless matched with an Aggressive Order on the other side.

An Aggressive Order will match against any other order on the opposite side.

Applicable for US & EU Repos.

New Orders submitted with tag 5906 = P will be rejected for futures and options markets.

6881

ManagedOrder

BooleanNULL

 

N

  • 0=False

  • 1=True

Boolean: flags a managed order.

Applicable only to Repo fixed income markets.

New Orders submitted with tag 6881 = 1 will be rejected for futures and options markets.

9373

LiquidityFlag

BooleanNULL

1

N

  • 0=False

  • 1=True

Indicates if an order was submitted for market making obligation as required for MiFID.

Applicable only for EU fixed income markets.

5409

ShortSaleType

ShortSaleType

1

N

0=Long Sell

1=Short Sale With No Exemption (SESH)

2=Short Sale With Exemption (SSEX)

3=Undisclosed Sell (Information not available – UNDI)

Indicates the type of short sale on Sell orders only as required for MiFID.

Should not be used for Buy orders.

Applicable only for EU fixed income markets.

The Short-Selling Field is only required from Participants when BrokerTec EU has a regulatory obligation (pursuant to Article 26(5) of MiFIR) to conduct transaction reporting on behalf of the Participant. This obligation only applies to BrokerTec EU when the relevant participant is exempt from MiFIR (typically non-EEA firms, corporate entities or certain asset managers).  Please reach out to TradingVenueCompliance@cmegroup.com for guidance. 

These new tags will be added to the following iLink messages:

  • New Order Single

  • Order Cancel Replace Request

  • Order Cancel Request

  • Order Mass Action Request

  • Order Mass Action Report

  • Mass Quote

  • Quote Cancel

  • Mass Quote Acknowledgment

  • Quote Cancel Acknowledgment

  • Execution Report - Status

  • Execution Report - Reject

  • Execution Report - New

  • Execution Report - Elimination

  • Execution Report Modify

  • Execution Report - Cancel

  • Order Cancel Reject

  • Order Cancel Replace Reject

  • Execution Report - Trade Outright

  • Execution Report - Trade Spread 

  • Execution Report - Trade Addendum Outright

  • Execution Report - Trade Addendum Spread 

All fields may not be applicable to all messages—for example, Order Cancel Request has only tag 9373-Liquidity Flag added.

The following tags relate to Workup functionality:

  • Tag 820-TradeLinkID and Tag 7191-Ownership will be added to the Execution Report - Trade Outright message for US Repos: 

Tag

Tag



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