The Lab

Expand all   Collapse all

Versions Compared

Old Version 6

changes.mady.by.user Sadat Tafader

Saved on

compared with

New Version 7

changes.mady.by.user Sadat Tafader

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.
Comment: Published by Scroll Versions from this space and version 1.5.40

...

Info
titleCalendar Spreads

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. 

Types of spread as classified by CMELeg1Leg2Buy  SpreadSell SpreadComment
SP Standard [SP]Buy legSell LegBuying a Standard Calendar Spread buys leg1, sells leg2Selling a Standard Calendar Spread sells leg1, buys leg2User Defined Spreads are not supported.
EQ Calendar Spread [EQ]Sell LegBuy LegBuying this Calendar Spread sells leg1, buys leg2Selling this Calendar Spread buys leg1, sells leg2Not supported currently.
Deferred Calendar Spread [FX]Buy legSell LegBuying a Deferred Calendar Spread buys leg1, sells leg2Selling a Deferred Calendar Spread sells leg1, buys leg2
SD Calendar [SD]Buy legSell LegBuying this Calendar buys leg1, sells leg2Selling this Calendar sells leg1, buys leg2
EC TAS Calendar Spread [EX]Buy legSell LegBuying an EC Calendar Spread buys leg1, sells leg2Selling an EC Calendar Spread sells leg1, buys leg2


Info
titleFXLink

OTC FX Spot leg ExecutionReports, will reflect notional terms for all quantity fields as listed below.

  • LegLastQty
  • LegCalculatedCcyLastQty
  • LegAllocQty
  • LegAllocCalculatedCcyQty

iLink Order Cancel-Replace and In-Flight Mitigation

Warning

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.

https://www.cmegroup.com/confluence/display/EPICSANDBOX/iLink+Order+Cancel-Replace+and+In-Flight+Mitigation

This feature is currently disabled by default via Whisperer. If clients wish to utilise this feature, they should ensure that their MultilegOrderCancelReplaceRequest message includes:

  • BodyPassthruKey   = "OFMOverride"

  • BodyPassthruValue = "Y"

Refer to Passthru Fields above for details.


Trade Correct/Cancel

A trade correct/cancel message can be sent on ExecutionReports with ExecType=Trade to notify the clients of any trade amendments or cancellations. 

Trade amendments are limited to the below ExecutionReport fields :

  • LegLastPx

The correct/cancel messages to the clients are ExecutionReports with

  • ExecType=TradeCancel or ExecType=TradeCorrect
  • ExecRefID refers back to the ExecID of the original ExecutionReport for the trade being corrected or canceled. 

Whisperer supports the trade correct/cancel on a best efforts basis.  Order attributes such as OrdType, TimeInForce, OrdStatus, LegCumQty, LegLeavesQty, LegAvgPx, will not be populated on these messages.