CME STP - Supported Functions

Trade Capture Report and Notifications

CME STP supports the following information in Trade Capture Report messages:

• Cleared Trade Notifications and Trade Cancellations

• Allocations

  • Trade marked / unmarked for allocation

  • Offset and Onset trades when an allocation is claimed

  • Offset and Onset trades when an allocation is released / reversed

  • MOS (Mutual Offset System) allocations, allowing foreign exchanges to allocate to a CME Firm and vice versa, are treated like normal allocations.

• Spread and Leg level messages

• Change of Firm. When the Trading Firm is changed on the transaction, CME STP sends a Cancel Notification to the previous Trading Firm and a New Trade Notification is sent to the new Trading Firm.

Supported Clients

CME STP supports the following clients:

Allocations

CME STP supports allocations, which means one firm "gives-up" trades to another firm. The firm that executed a trade (i.e. Executing firm) may want to "allocate" or "give-up" a trade to a different firm (i.e. Claiming firm).

The Executing firm will receive an Offset message to indicate that the trade is being removed and the Claiming Firm will receive an Onset message to indicate the trade is now on their books.

In addition to Offset and Onset messages, CME STP sends a notification when the trade is marked for allocation. CME STP supports allocations only at a leg (and not spread) level.

In summary, the following are the steps for the allocation of legs of a Spread:

• Leg marked for allocation: MLegRptTyp2 message received indicting which leg was marked for allocation sent to Executing Firm. See Mark for Allocation (Spread) in the Allocations section for details of this message

• Allocation accepted by Claiming Firm: MLegRptTyp1 message sent to Executing and Claiming Firms. 

• Both of the above messages will be available in CME STP when Subscription or Query filter is MLegRptTyp=3

Reverse or Release

An allocation is reversed or released on the following trading day.

In the case of a reversal or release of an allocation, CME STP will report both the offset and onset trades as cancelled (@TransTyp = 1).  Parameters on the cancel will mirror those of the original offset or onset, e.g. the side of the cancel message will match the side of the respective offset or onset message.

The Trade fields at the Trade Capture Report Level  are specific to reversals and releases.

Correction

Price or quantity on a trade is corrected after the trade has cleared.

The Trade fields at the Trade Capture Report Level, Amt and RptSide message block contain fields that are specific to corrections.

See the following message samples: