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Scheduled CME UAT maintenance window - every Wednesday 5am-12noon CST. Please refrain from testing during this time as environment may be unstable. |
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 Instruments
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Please refer to Supported Instruments to view across all venues.
PartyID Fields
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Please refer to PartyIDs to view across all venues.
Regulatory Fields
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Please refer to Regulatory Fields to view across all venues.
Passthru Fields
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Please refer to Passthru Fields to view across all venues.
Details
FX Instrument Nomenclature
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Clients can chose to use either CME Globex Symbols eg, 6E or the CCY Pair format eg, EUR/USD, for the FX products including Single Leg Futures, Spreads, FXLink on order by order basis. |
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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. |
SecurityGroup
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| title | SecurityGroup |
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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 | |
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| 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 |
Calendar Spreads
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| title | Calendar Spreads |
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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 legs on notional fill will have the overall notional fill information.
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.
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Types of spread as classified by CME
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Leg1
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Leg2
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Buy Spread
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Sell Spread
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Comment
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SP Standard [SP]
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Buy leg
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Sell Leg
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Buying a Standard Calendar Spread buys leg1, sells leg2
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Selling a Standard Calendar Spread sells leg1, buys leg2
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User Defined Spreads are not supported.
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EQ Calendar Spread [EQ]
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Sell Leg
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Buy Leg
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Buying this Calendar Spread sells leg1, buys leg2
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Selling this Calendar Spread buys leg1, sells leg2
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Not supported currently.
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Deferred Calendar Spread [FX]
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Buy leg
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Sell Leg
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Buying a Deferred Calendar Spread buys leg1, sells leg2
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Selling a Deferred Calendar Spread sells leg1, buys leg2
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SD Calendar [SD]
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Buy leg
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Sell Leg
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Buying this Calendar buys leg1, sells leg2
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Selling this Calendar sells leg1, buys leg2
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EC TAS Calendar Spread [EX]
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Buy leg
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Sell Leg
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Buying an EC Calendar Spread buys leg1, sells leg2
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Selling an EC Calendar Spread sells leg1, buys leg2
iLink Order Cancel-Replace and In-Flight Mitigation
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In-flight mitigation (IFM) is an optional feature on CME Globex that allows client systems submitting cancel/replace messages to prevent overfilling in the event that the original order is filled while the cancel/replace message is "in-flight" during processing.
This feature is currently disabled by default via Whisperer. If clients wish to utilise this feature, they should ensure that their MultilegOrderCancelReplaceRequest message includes:
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BodyPassthruValue = "Y"
Refer to Passthru Fields above for details.
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