| Notewarning |
|---|
| title | Scheduled CME UAT Maintenance Window |
|---|
|
| Every wednesday Scheduled CME UAT maintenance window - every Wednesday 5am-12noon CST. Please refrain from testing during this time as environment may be unstable. |
Supported Instruments
| SecurityType | LegSettlType | OrdType | TimeInForce |
|---|
| FUT |
...
FUT
| Market
| Day IOC FOK |
| FUT | FUT | Limit | Day IOC FOK |
| FUT | FUT | Stop
| Day |
| FUT | FUT | StopLimit | Day |
| FUT | FUT | MarketLimit | Day IOC FOK |
| Note |
|---|
|
The SecurityGroup field is used for symbols where - globex symbols are of format <Asset><M><YY> => Product code + 1 digit month + 2 digit year.
- FX Mini or FX Micro instruments will have the SecurityGroup populated with "MINI" or "MICRO"
If the SecurityGroup is populated on SecurityStatus messages, it will be expected to be populated back on all the client requests (Pricing and Orders session).
| Example products/Assets where security group will be sent. This list is indicative and not exhaustive |
|---|
| Product | Description |
|---|
| CL | Light Sweet Crude Oil Futures | | KXA | 1-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures | | KXB | 7-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures | | KXC | 3-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures | | KXD | 4-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures | | KXT | 2-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures | | KXW | 5-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures | | KXY | 10-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures | | LIB | 7-Year Eris Swap Futures | | LIC | 3-Year Eris Swap Futures | | LID | 4-Year Eris Swap Futures | | LIE | 30-Year Eris Swap Futures | | LII | 12-Year Eris Swap Futures | | LIL | 15-Year Eris Swap Futures | | LIO | 20-Year Eris Swap Futures | | LIT | 2-Year Eris Swap Futures | | LIW | 5-Year Eris U.S. Dollar Swap Futures | | LIY | 10-Year Eris Swap Futures | | NNE | PER MONTH HENRY HUB FUT | | NPG | Henry Hub Natural Gas Penultimate Financial Futures | | SDA | S&P 500 Annual Dividend Index Futures | | SR3 | Three-Month SOFR Futures | | YIA | 1-Year Eris SOFR Swap Futures | | YIB | 7-Year Eris SOFR Swap Futures | | YIC | 3-Year Eris SOFR Swap Futures | | YID | 4-Year Eris SOFR Swap Futures | | YIE | 30-Year Eris SOFR Swap Futures | | YII | 12-Year Eris SOFR Swap Futures | | YIL | 15-Year Eris SOFR Swap Futures | | YIO | 20-Year Eris SOFR Swap Futures | | YIT | 2-Year Eris SOFR Swap Futures | | YIW | 5-Year Eris SOFR Swap Futures | | YIY | 10-Year Eris SOFR Swap Futures |
|
| Info |
|---|
|
The Price on the order will be the spread price. The Leg Price not to be populated on the request. The following ExecutionReports are published for Fills: 1) Notional Fill - Trade information for the overall Spread. The leg information will always be the near leg. 2) 2 Leg Fills - Trade information for each of the legs. So expect 2 leg fills for Calendar Spread and FXLink. Calendar Spreads : Both near and far legs are Futures. Calendar Spreads (SP, EQ, FX, SD, EC) and FXLink are supported. Types of spread as classified by CME | Leg1 | Leg2 | Buy Spread | Sell Spread | Comment |
|---|
SP Standard [SP] | Buy leg | Sell Leg | Buying a Standard Calendar Spread buys leg1, sells leg2 | Selling a Standard Calendar Spread sells leg1, buys leg2 |
| EQ Calendar Spread [EQ] | Sell Leg | Buy Leg | Buying this Calendar Spread sells leg1, buys leg2 | Selling this Calendar Spread buys leg1, sells leg2 | Not supported currently. | Deferred Calendar Spread [FX] | Buy leg | Sell Leg | Buying a Deferred Calendar Spread buys leg1, sells leg2 | Selling a Deferred Calendar Spread sells leg1, buys leg2 |
| SD Calendar [SD] | Buy leg | Sell Leg | Buying this Calendar buys leg1, sells leg2 | Selling this Calendar sells leg1, buys leg2 |
| EC TAS Calendar Spread [EX] | Buy leg | Sell Leg | Buying an EC Calendar Spread buys leg1, sells leg2 | Selling an EC Calendar Spread sells leg1, buys leg2 |
|
|
FX Instrument Support
| Note |
|---|
|
FX products including Single Leg Futures, Spreads, FXLink will use the symbol in CCY pair format eg EUR/USD rather than the CME Globex symbols. |
| Note |
|---|
|
FXLink: Near leg is Spot and Far leg is Future. Please note: The Leg SecurityType on FXLink for both legs are currently set as FUT. This will be resolved in the upcoming schema change. |
CME Audit Trail Requirements
CME requires that the electronic audit trail associated with any system that accesses the CME Globex platform through the CME iLink gateway contain a complete and accurate record of all activity through that connection. This report is generated by MarketFactory in the capacity of a connectivity provider.
Production Sample on Go-live on CME Globex : The client/clearing firm is required to provide CME Market Regulation a full production audit trail report.
The report must be provided within 7 days of going live on CME Globex. Please get in touch with the support team to co-ordinate the obligation.
Supported Security Type
...
Security Type
...
Supported OrderTypes
...
OrderType
...
Supported TimeInForce
...
TimeInForce
...
OrderType
...
Comment
PartyID Fields
| Expand |
|---|
| Table Filter |
|---|
| hideControls | true |
|---|
| inverse | false |
|---|
| sparkName | Sparkline |
|---|
| hidePane | true |
|---|
| isNew | false |
|---|
| separator | Point (.) |
|---|
| ddSeparators | true |
|---|
| default | cme_ilink2 |
|---|
| isFirstTimeEnter | false |
|---|
| userfilter | Venue |
|---|
| datepattern | dd M yy |
|---|
| id | 1634144371958_963128240 |
|---|
| worklog | 5|8|w d h m|w d h m |
|---|
| isOR | AND |
|---|
| order | 0 |
|---|
| | Table Excerpt Include |
|---|
| copytable | true |
|---|
| name | PartyIDs |
|---|
| page | PartyIDs |
|---|
| type | page-children |
|---|
|
|
|
Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.
Regulatory
...
Market
Limit
Stop
StopLimit
MarketLimit
...
Market
Limit
MarketLimit
...
Market
Limit
MarketLimit
...
Fields
| Expand |
|---|
| Table Filter |
|---|
| hideControls | true |
|---|
| inverse | false |
|---|
| totalrow | ,,,,, |
|---|
| hidelabels | false |
|---|
| sparkName | Sparkline |
|---|
| hidePane | true |
|---|
| isNewdisableSave | false |
|---|
| separator | Point (.) |
|---|
| sparkline | false |
|---|
| labels | Venue | ddSeparators | true |
|---|
| default | cme_ilink2 |
|---|
| isFirstTimeEnter | false |
|---|
| cell-width | 150 |
|---|
| hideColumns | false |
|---|
| userfilter | Venue |
|---|
| datepattern | dd M yy |
|---|
| disabled | false |
|---|
| enabledInEditor | false |
|---|
| globalFilter | false |
|---|
| id | 1681917506271_1428721507 |
|---|
| updateSelectOptions | false1634144371958_963128240 |
|---|
| worklog | 5|8|w d h m|w d h m |
|---|
| isOR | AND |
|---|
| order | 0 |
|---|
| | Table Excerpt Include |
|---|
| copytable | true |
|---|
| name | PartyIDsRegulatoryFields |
|---|
| page | PartyIDsRegulatory Fields |
|---|
| type | page-children |
|---|
|
|
|
Please refer
...
to or Regulatory Fields for the full Enterprise table across all venues
...
Regulatory Fields
Not applicable for this Venue.
Passthru Fields
| Expand |
|---|
| Table Filter |
|---|
| hideControls | true |
|---|
| inverse | false |
|---|
| sparkName | Sparkline |
|---|
| hidePane | true |
|---|
| isNew | false |
|---|
| separator | Point (.) |
|---|
| ddSeparators | true |
|---|
| default | cme_ilink2 |
|---|
| isFirstTimeEnter | false |
|---|
| userfilter | Venue |
|---|
| datepattern | dd M yy |
|---|
| id | 1634144393945_931902058 |
|---|
| worklog | 5|8|w d h m|w d h m |
|---|
| isOR | AND |
|---|
| order | 0 |
|---|
| | Table Excerpt Include |
|---|
| copytable | true |
|---|
| name | PassthruFields |
|---|
| page | Passthru Fields |
|---|
| type | page |
|---|
|
|
|
...