CME

CME

CME Overview

Following a merger with the Chicago Board of Trade (CBOT) in 2007, CME grew to become the CME Group. The combined entity provides access to all major asset classes by offering futures and options based on interest rates, equity indices, foreign exchange, commodities, energies and alternative investment products such as weather and real estate. As part of the exchange’s further growth, CME began listing NYMEX and COMEX contracts on their Globex platform. In March 2008, CME Group announced that they were expanding this relationship with a definitive agreement for the acquisition of NYMEX.

As new technologies emerged, CME introduced their Globex® platform to facilitate electronic trading.

CME Exchange API

TT® supports the following:

  • Prices: MDP 3.0
  • Orders: iLink

Matching Engine

CME Group (based in Chicago, Illinois) provides matching via the CME Globex® electronic matching engine.

Matching Algorithms

CME Globex supports the following matching algorithms:

  • First-In, First-Out (FIFO)
  • Pro-Rata
  • Split FIFO/Pro-Rata
  • NYMEX FIFO with LMM
  • FIFO with LMM
  • FIFO with TOP Order Percentage allocation and LMM
  • Threshold Pro-Rata
  • Threshold Pro-Rata with LMM
  • Allocation
  • Eurodollar Option

Connectivity Options

The TT® platform provides connectivity to the exchange, so you do not have to contact the exchange regarding connectivity options. Refer to TT Access for more details about your connectivity options for connecting to TT.

Self Match Prevention support

TT supports the CME Globex Self Match Prevention (SMP) functionality.

SMP is optional and allows an executing firm to prevent the matching of orders with common ownership if both the buy and sell orders contain a Self Match Prevention Identifier (SMP ID) and Executing Firm ID. The SMP IDs are user-defined and need to be registered at the exchange and configured for each selected user on a per firm basis using the Setup application.

Message Gateway Order Routing support

Each product definition downloaded from the exchange by TT contains a market segment ID. When an order action is submitted for a product, TT routes the order to a Market Segment Gateway (MSGW) based on the market segment ID for that product.

For example, TT routes an order to CME for an ES contract as follows:

  • An order for a product (e.g., ES, market segment ID=54) is sent to TT via the Trade application or client trading application.
  • TT routes the order to a Market Segment Gateway via an MSGW iLink session based on the Market Segment ID.  If the no MSGW session was configured in Setup, TT routes the order through the Convenience Gateway (CGW) iLink session that the MSGW session is mapped to.
  • The Market Segment Gateway routes the order to the exchange matching engine.
  • Order acknowledgments and fills are sent back to TT via the Market Segment Gateway that routed the order for the ES product.

CME Cancel on Disconnect Support

TT supports the CME Globex Cancel on Disconnect functionality. To enable this functionality, you must subscribe for the free service through the Globex Control Center (GCC). The exchange enables this functionality based on registered session ID and trader ID pairs.

The Cancel on Disconnect service monitors for involuntary disconnects. Once CME Group detects a disconnect, the exchange cancels all day orders except for GTDate and GTC orders.

In certain situations, some orders may not be canceled by the exchange. Following a disconnect, customers should contact the GCC to determine their correct positions and inquire on all orders in their order book.

Note: For more information on the CME Group’s Cancel on Disconnect functionality, refer to the exchange website.