| Warning |
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| title | UAT Maintenance Window |
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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. |
Supported Instruments
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| Table Filter |
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| totalrow | ,,,,,,,,,,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| sparkline | false |
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| default | cme_ilink3_sbe,MDBookType(PricingSession)&&MDEntryType(PricingSession)&&Comments&&ExecutionVenue&&MDBookType (SessionType == Pricing)&&MDEntryType (SessionType == Pricing)&&Products&&client_role&&target_platform&&MDBookType&&MDEntryType |
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| isFirstTimeEnter | false |
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| cell-width | 250,250 |
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| hideColumns | true |
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| customNoTableMsg | false |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 1702302610521_1594656336 |
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| order | 0,1 |
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| hideControls | false |
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| inverse | false,false |
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| column | Venue |
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| disableSave | false |
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| separator | Point (.) |
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| labels | Venue‚Hide columns |
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| ddOperator | OR |
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| datepattern | dd M yy |
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| updateSelectOptions | false |
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| worklog | 365|5|8|y w d h m|y w d h m |
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| isOR | AND |
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| | Table Excerpt Include |
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| name | SupportedInstruments |
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| merge-tables | true |
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| page | Supported Instruments |
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| type | page |
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Please refer to Supported Instruments to view across all venues.
PartyID Fields
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| Table Filter |
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| totalrow | ,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| sparkline | false |
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| default | cme_ilink3_sbe |
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| isFirstTimeEnter | false |
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| cell-width | undefined |
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| hideColumns | false |
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| customNoTableMsg | false |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 1702302638711_1778868527 |
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| order | 0 |
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| hideControls | true |
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| inverse | false |
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| disableSave | false |
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| separator | Point (.) |
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| labels | Venue |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| updateSelectOptions | false |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| | Table Excerpt Include |
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| copytable | true |
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| name | PartyIDs |
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| page | PartyIDs |
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| type | page-children |
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Please refer to PartyIDs to view across all venues.
Regulatory Fields
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| Table Filter |
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| totalrow | ,,,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| sparkline | false |
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| default | cme_ilink3_sbe |
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| isFirstTimeEnter | false |
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| cell-width | 150 |
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| hideColumns | false |
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| customNoTableMsg | false |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 1702302653658_1222241000 |
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| order | 0 |
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| hideControls | true |
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| inverse | false |
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| disableSave | false |
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| separator | Point (.) |
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| labels | Venue |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| updateSelectOptions | false |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| | Table Excerpt Include |
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| copytable | true |
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| name | RegulatoryFields |
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| page | Regulatory Fields |
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| type | page |
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Please refer to Regulatory Fields to view across all venues.
Passthru Fields
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| Table Filter |
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| totalrow | ,,,,, |
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| hidelabels | false |
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| sparkName | Sparkline |
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| hidePane | true |
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| sparkline | false |
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| default | cme_ilink3_sbe |
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| isFirstTimeEnter | false |
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| cell-width | undefined |
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| hideColumns | false |
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| customNoTableMsg | false |
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| disabled | false |
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| enabledInEditor | false |
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| globalFilter | false |
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| id | 1702302664025_393687432 |
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| order | 0 |
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| hideControls | true |
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| inverse | false |
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| disableSave | false |
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| separator | Point (.) |
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| labels | Venue |
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| userfilter | Venue |
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| datepattern | dd M yy |
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| updateSelectOptions | false |
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| worklog | 5|8|w d h m|w d h m |
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| isOR | AND |
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| | Table Excerpt Include |
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| copytable | true |
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| name | PassthruFields |
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| page | Passthru Fields |
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| type | page |
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Please refer to Passthru Fields to view across all venues.
Details
Gateway
CME ilink3 is fully supported on CME Convenience Gateway (CGW). Please Contact ION MarketFactory for Market Segment Gateway connectivity.
Future Expiry Codes
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
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| F | G | H | J | K | M | N | Q | U | V | X | Z |
CME Audit Trail Requirements
CME, CBOT, NYMEX, COMEX Rule 536.B.2. 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, and account for every electronic communication by the order routing or front-end system from the time such order routing or front-end system receives or generates an electronic communication until it is communicated to CME Globex.
This report is generated by ION MarketFactory in it's capacity as a connectivity provider.
Please refer to the CME's CME Globex Front-End Audit Trail Requirements page for additional details.
CME Globex Go-live - Production Sample
The client/clearing firm is required to provide CME Market Regulation a full production audit trail report sample within 7 days of going live on CME Globex.
Please Contact ION MarketFactory to co-ordinate this obligation.
| Note |
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LinkID must be populated on all the requests - NewOrderMultileg, MultilegOrderCancelReplaceRequest and OrderCancelRequest from clients to MarketFactory in order to comply with the AuditTrail requirements.
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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. |
| Note |
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FXLink: Near leg is Spot and Far leg is Future. |
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 |
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| 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 |
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Calendar Spreads
| Info |
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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. | Types of spread as classified by CME | Leg1 | Leg2 | Buy Spread | Sell Spread | Comment |
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| 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 | User Defined Spreads are not supported. | | 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 |
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FXLink
| Info |
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OTC FX Spot leg ExecutionReports, will reflect notional terms for all quantity fields as listed below. LegLastQtyLegCalculatedCcyLastQtyLegAllocQtyLegAllocCalculatedCcyQty
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iLink Order Cancel-Replace and In-Flight Mitigation
| Warning |
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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. 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: 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 :
The correct/cancel messages to the clients are ExecutionReports with
ExecType=TradeCancel or ExecType=TradeCorrectExecRefID 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.