Crossing functionality allows CME Group customers to submit cross orders that are the result of pre-execution communications pursuant to Rule 539.
Customers can call the CME Global Command Center (GCC) to obtain the Broker Match Guarantee (BMG) percentage for a given product.
Please see the Market Regulation Advisory Notice for a complete description of each exchange-supported crossing protocol.
The list of eligible products and cross types is available here.
CME Globex currently supports four types of Cross orders: Committed Cross (C-Cross), Globex Cross (G-Cross), RFQ + RFC Cross (R-Cross), which have the following attributes:
| C-Cross (Committed Cross) | G-Cross (Globex Cross) | R-Cross (RFQ + RFC Cross) | |
|---|---|---|---|
| Customer sends RFQ | No | No | Yes |
| Customer sends RFC | Yes | No | Yes Note: To initiate the R-Cross Sequence, the client system submits an iLink Quote Request (tag 35-MsgType=R) message with tag 54-Side=8 (cross) and tag 9943-QuoteType=1 (Tradable). The client system then submits the Request for Cross (tag 35-MsgType=s) message. Upon receipt of the Request for Cross (tag 35-MsgType=s) message, CME Globex will automatically publish a market data RFQ (tag 35-MsgType=R) message with tag 54-Side equal to '8' (Cross). |
| Cross Market State | Yes Note: The five (5) second period begins when the market data Pre-Cross state (tag 35-MsgType=f, tag-326-SecurityTradingStatus=24) is disseminated. | No Note: The five (5) second period begins when the first message is entered. | Yes |
See also: