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 are 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.

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
  • 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 supports connectivity to the exchange, so you do not have to contact the exchange regarding connectivity options.

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 ClearPort Support

TT® supports CME ClearPort, which provides a means for OTC (over-the-counter) market participants to submit off-exchange transactions electronically to the exchange. Using the Setup application, you can set up a connection to the CME ClearPort interface, and assign and manage broker users and counterparties who are registered with CME ClearPort to submit OTC transactions to the exchange.

As a company administrator, you can do the following in Setup to support CME ClearPort functionality for your company:

ClearPort account management in Setup

The Setup application automatically downloads the list of counterparties associated with a broker user ID registered at CME. When an account is assigned to an enabled (active) ClearPort connection with a valid broker user ID, the counterparties associated with the ID are automatically assigned to the account. The counterparties are displayed in the Accounts | Exchanges | CME tab for the selected account in Setup.

When assigning an account to a CME ClearPort connection, consider the following:

  • If an account is shared, users can view the counterparties assigned to the parent account.
  • Child accounts inherit counterparties from their parent account. However, if you move a child account with counterparties inherited from a parent account, the inherited counterparties do not move with the child account.