CME STP FIXML Support for BrokerTec Trades

Transactions executed on CME Globex, BrokerTec Direct, and registered external deals are available for consumption on CME STP in both FIX and FIXML formats. 

CME STP FIXML supports a variety of fixed income transactions, including cash transactions on bonds as well as repurchase transactions (repos) on bonds. These include the CME Globex trades on:

• US Treasury (UST) Actives

• US Repos

• EU Repos

• European Government Bonds (EGBs)

Customers may entitle vendors to access their data, which will be controlled through entitlement and account configuration.

CME STP FIXML also supports Listed Derivative CME Group products and CME Bilateral and Cleared Elsewhere products. See current specifications.

For the Curve Ratio (RV) Spreads for US Treasury Actives, CME STP supports MLegRptTyp=2 (leg of spread) messages for both implied and non-implied trades. MLegRptTyp=3 (spread) messages are only published for non-implied trades,

Contents

Production Service Availability

CME STP service is available in PRODUCTION beginning 2 PM Central Time Sunday Afternoon, through 10 PM Central Time Friday. Internal testing could occur on weekends in the Production Environment (10 PM Friday – 2 PM Sunday Central Time).

Customers should only connect during the time of service availability.

CME STP FIXML Features for BrokerTec Trades

CME STP API Connectivity

Customers can connect to CME STP FIXML API via the following options:

New Release Connectivity (Internet Only)

To access CME STP API over the internet, customers must connect to the following URLs via HTTPS: https://servicesnr.cmegroup.com/cmestp/query

Production Connectivity

Clients must create a Domain Name Service (DNS) record in their systems to associate the DNS name and following IPs to access the STP services or they will receive certificate errors:

Disaster Recovery Considerations

During a disaster recovery (DR) event clients will automatically be directed to the DR instance of CME STP. Clients do not need to make any connectivity changes.

See also: CME Group connectivity options.

Technology

CME STP FIXML is built upon Representation State Transfer (REST) web service technology.  In this methodology, HTTP URLs and methods (such as GET, POST, etc.), parameters, and statuses are used to model the remote procedure call behavior. 

The API utilizes the industry standard FIXML format with custom CME Group extensions.

Mode of Connectivity

• Interaction with the API is session-less.

• Provide a username and password on each HTTP request and CME STP authenticates it.

• CME STP sends a token in response to valid subscription requests and valid query requests where the response requires multiple pages.

• Continue the subscription or request the next page of the query by sending CME STP this token on subsequent requests.

• Both customers and CME STP will use the x-cme-token custom HTTP Request Header to transmit this token.

• Authentication is required in the header of the HTTP request and should be in format of “username:password” converted to base 64.

Subscriptions and Queries

Subscriptions

Users requiring a continuous record of all trading activity may continue a subscription from one business day to the next. The user ceases sending HTTP requests and, on the next business day, continues the subscription with an HTTP request using the last token received on the previous day. This method ensures that the API will send the user any trading activity that occurred during the time period that the user made no HTTP requests. BrokerTec exchanges, security types, and input sources will be supported on the subscription. 

Alternately, users may begin a new subscription each day, specifying a Start Time encompassing any time the user did not send HTTP requests following the end of the prior business day's subscription. Users should exercise caution with this method to ensure they do not miss trading activity by sending too narrow a time window, and that they do not process duplicate trades should the window overlap trades already received on the prior business day.

If the user begins a new subscription and does not send a Start Time, the subscription will begin at the present time and include no past trading activity. This method may result in missed trades should any trading occur after the user ceased sending HTTP requests on the prior business day and before the user initiated the new subscription.

Data Retrieval

CME STP supports data retrieval using subscriptions and queries: 

• Queries return trade messages only up to the date and time that the query request was received by the API.  
  
  

• Subscriptions continue to send trade messages to the user on an ongoing basis; there is no end date time.

Continuing a Subscription or Query

When responding to a successful Subscription Request, the API sends a token to the user so that the user may continue the subscription.

When responding to a successful Query Request, the API sends a token if the results of the query are incomplete (for example, more data is available).

• Upon receiving a successful response, submit a new Subscription request no sooner than three seconds later, which requires making another HTTP call that contains the token. 

• For a Query, the user may make another HTTP call containing the token immediately

CME STP will only accept a subscription or query request without a token if it is a new subscription or query; all continuations of existing subscriptions or queries must include a token.

Tokens

API input messages continuing prior Subscription or Query Requests must send the token in the custom x-cme-token HTTP header. API output messages will contain the token in the x-cme-token HTTP header.

Each successful response from the API may return a different token. The user must send that new token in the next continued Subscription or Query Request.

Identifiers and Modes

The user must supply a unique identifier with each query in /FIXML/TrdCaptRptReq/@ReqID which the API will echo back in /FIXML/Batch/TrdCaptRpt/@ReqID for successful requests, and in /FIXML/TrdCaptRptReqAck/@ReqID in case of errors. This enables the user to match the request with the resulting messages. When continuing a Subscription or a Request, the user may reuse the original @ReqID or may send a new identifier. The API will respond with with the @ReqID sent on the request.

The user must indicate in /FIXML/TrdCaptRptReq/@SubReqTyp whether the message is a Subscription or a Query. The user must also indicate via /FIXML/TrdCaptRptReq/@ReqTyp whether this is a new Subscription or Query, or a continuation of a prior Subscription or Query.

Subscription and Query Parameters

Use ONLY the following parameters to filter the query and / or subscription results. Omitting, changing, or adding filter criteria may cause undesired results. Every continuation of a Subscription or Query must contain all of the filter criteria of the original subscription or query. Times below, e.g. Start Time and End Time, use the XML xs:dateTime syntax in ISO 8601 format. Time should be entered in UTC Timestamp format.

The following field indicates whether updates or collateral should be returned in request queries:

• IncludeCollateralIndicator (CollInd) - Can be set to No to prevent receipt of Collateral records.

BrokerTec Transactions

Identifying BrokerTec Transactions

BrokerTec transactions are distinguishable on the API by the Security Exchange and Security Type fields. The input source will distinguish between transactions on CME Globex, BrokerTec Direct, and externally registered deals. 

General collateral (GC) repos require the post-trade allocation of specific bonds as collateral. To distinguish these collateral allocations from original trades, the API will support a new Collateral Report message.

Supporting Messages and Fields for BrokerTec Products

Collateral Allocations for General Collateral Repos

CME STP does not directly support allocating collateral for securities that support these BrokerTec General Collateral repos. This must be done through the CME GC Allocator API.

CME STP will support these allocations using the Collateral Report message.

Collateral allocation messages will be sent individually. Grouping and chaining will not be supported.

General Collateral Repo Transactions

CME STP supports submission of collateral allocation transactions through the CME GC Allocator API on General Collateral (GC) repo transactions for the US and EU markets.

After a GC repo trade has been completed, the Trade Capture Report and a shell Collateral Report record are available in near real-time in CME STP. The Collateral Report and Trade Capture Report will have the same Secondary Trade ID (TrdID2).

Collateral Allocations are submitted using the CME GC Allocator API. Subsequent Collateral Reports are available in near real-time in CME STP, and have the same TrdID2 as the Trade Capture Report and initial Collateral Report.

Identifiers for collateral allocations on the GC Allocator API will be common with CME STP identifiers.

Substitutions can be made for US GC transactions by submitting a Collateral Substitution using CME GC Allocator API. Upon the completion of a Collateral Substitution, subsequent Collateral Reports are available in near real-time in CME STP, and will have the same TrdID2 as the Trade Capture Report and initial Collateral Report.

All-or-None General Collateral Repo Trade Reconciliation

The All-or-None (AON) Repos and Repos are distinct instruments with their own independent SecurityIDs & GUIDs on order entry and market data messaging.

• On MDP 3.0, a Repo AON instrument is identified in the Security Definition (tag 35-MsgType=d) message by tag 872=InstAttribValue bit 23=1 (All or None instrument).

• For related AON and parent instruments, the counterpart instrument is identified in the Security Definition message repeating group tag 1650-RelatedSecurityID.

• In RD API for Brokertec, the attribute relatedInstrumentGuidInt at the instrument level will identify relationship between AON and parent AON instruments

In CME STP, the TradeCaptureReport for AON Repo reflects the Non-AON instrument SecurityID & GUID.

GC Repo Trade example

1. A GC Repo trade was executed on Instrument 11111.

2.  

   1. TradeCaptureReport (AE) with SecondaryTradeID (1040) = 1234 is sent along with GC Shell (BA).

3. A related AON Repo trade was executed on Instrument 99999.

4.  

   1. TradeCaptureReport (AE) with SecondaryTradeID (1040) = abcd reported as None-AON GC Repo instrument 11111 along with a GeneralCollateral Shell (BA)

CME GC Allocator API trade search (/trades/search) result will reflect both of the Repo and AON trades; CME STP will only reflect the Repo instrument details.

To reconcile CME GC Allocator API trade records with CME STP TradeCaptureReport (AE), customers use the Related Instrument attributes for AON Repo to identify the Repo.

CME STP Message Specifications and Workflows