Scheduled CME UAT maintenance window - every Wednesday 5am-12noon CST. Please refrain from testing during this time as environment may be unstable. 

Supported Instruments

SecurityTypeLegSettlTypeOrdTypeTimeInForce
FUTFUT



Market


Day

IOC

FOK

FUTFUTLimit

Day

IOC

FOK

FUT

FUT

Stop


Day

FUT

FUT

StopLimit

Day

FUT

FUT

MarketLimit

Day

IOC

FOK


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
ProductDescription
CLLight Sweet Crude Oil Futures
KXA1-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures
KXB7-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures
KXC3-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures
KXD4-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures
KXT2-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures
KXW5-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures
KXY10-Year Eris Bloomberg Short Term Bank Yield (BSBY) Swap Futures
LIB7-Year Eris Swap Futures
LIC3-Year Eris Swap Futures
LID4-Year Eris Swap Futures
LIE30-Year Eris Swap Futures
LII12-Year Eris Swap Futures
LIL15-Year Eris Swap Futures
LIO20-Year Eris Swap Futures
LIT2-Year Eris Swap Futures
LIW5-Year Eris U.S. Dollar Swap Futures
LIY10-Year Eris Swap Futures
NNEPER MONTH HENRY HUB FUT
NPGHenry Hub Natural Gas Penultimate Financial Futures
SDAS&P 500 Annual Dividend Index Futures
SR3Three-Month SOFR Futures
YIA1-Year Eris SOFR Swap Futures
YIB7-Year Eris SOFR Swap Futures
YIC3-Year Eris SOFR Swap Futures
YID4-Year Eris SOFR Swap Futures
YIE30-Year Eris SOFR Swap Futures
YII12-Year Eris SOFR Swap Futures
YIL15-Year Eris SOFR Swap Futures
YIO20-Year Eris SOFR Swap Futures
YIT2-Year Eris SOFR Swap Futures
YIW5-Year Eris SOFR Swap Futures
YIY10-Year Eris SOFR Swap Futures



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

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



FX Instrument Support

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.


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.

iLink Order Cancel-Replace and In-Flight Mitigation

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 below for details.

PartyID Fields



Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.

Regulatory Fields



Please refer to or Regulatory Fields for the full Enterprise table across all venues.

Passthru Fields



Please refer to Passthru Fields for the full Enterprise table across all venues.