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CME Gateway

Self Match Prevention Support 7.18

Overview

CME Gateway 7.18.15.6 or higher 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 TT User Setup 7.17.20 or higher.

Self Match Prevention (SMP) IDs

When registering SMP IDs at the exchange, Exchange members and TTORD traders must submit the following to the CME Group:

  • Executing Firm ID
  • Account Owner
  • Account Number(s) associated with the Account Owner
  • Tag 50(s) in the firm to associate with the SMP ID

Configuring a Self Match Prevention ID

For users connecting to CME Gateway 7.18.15.6 or higher, the Self Match Prevention ID is configured in the Exchange 1 and Exchange 3 fields on the Edit Gateway Login Attributes window or New/Edit User Gateway Logins window in TT User Setup on a per user basis:

  • Exchange 1: Enables/Disables SMP for the user. Enter the user's exchange-registered SMP ID in this field, which is required for enabling the exchange's SMP functionality for a user. To disable SMP for a user, remove the SMP ID from Exchange 1 and leave the field blank.
  • Exchange 3: Determines how the exchange should handle potentially self-matching orders. Enter one of the following values:
    • O —  If a user enters a self-matching order with Exchange 3 = O , the exchange will cancel the user's resting order and accept the newly entered order.
    • N — If a user enters a self-matching order with Exchange 3 = N, the exchange will cancel the newly entered (aggressing) order. The resting order remains at the exchange.
    • <blank> — If a user enters a self-matching order with Exchange 3 = <blank> (empty), the exchange will cancel the user's resting order and accept the newly entered order (i.e., exchange behaves as if set to "O").

Note: If  Self Match Prevention is enabled,  ensure that the “Avoid Orders that Cross” setting at the Account level is disabled (Set to “No”) in TT User Setup for Accounts used for CME trading.

Risk administrators need to ensure that users in their firm with SMP IDs are also configured with the same Executing Firm ID. In TT User Setup, the “M” (Member) portion of a direct trader CME Gateway Login includes the Executing Firm ID distributed by the exchange. To configure SMP IDs, refer to the TT User Setup Online Help.

Gateway Behavior

When the Self Match Prevention (SMP) ID is populated in the Exchange 1 field and the SMP Instruction is populated in the Exchange 3 field in TT User Setup for a direct trader Member+Group or TTORD Member+Group, the Order Server populates Tag 7928 (SMP ID) and Tag 8000 (SMP Instruction) with this value on every order message sent to the exchange by that user. For order modifications, the original SMP ID and SMP Instruction from the working order is sent to the exchange. Fill and Quote acknowledgements also include the user’s SMP ID.

In the following example, a new buy and sell order is entered at the same price by the same user during open trading (SMP is not enforced by the exchange during Pre-Open). The same combination of SMP ID and Executing Firm ID are needed to prevent a match. In the following example, the SMP ID is configured in Exchange 1 and Exchange 3 is set to “N”:

Example
Order 1: Buy 10 ES @ 15; Exchange 1=1234567; Exchange 3=N
Order 2: Sell 10 ES @ 15; Exchange 1=1234567; Exchange 3=N
Result: The new (aggressing) Sell order is cancelled “due to Self Match Prevention” regardless of quantity. The resting Buy order remains in the market. The following message text appears in the user’s audit trail:

Order xxxxxxxx  rejected due to SMP:  EX: ExecRestatementReason=107 .

In the next example, the SMP ID is configured in Exchange 1 and Exchange 3 is set to “O”:

Example
Order 1: Buy 10 ES @ 15; Exchange 1=1234567; Exchange 3=O
Order 2: Sell 10 ES @ 15; Exchange 1=1234567; Exchange 3=O
Result: The resting buy order is cancelled “due to Self Match Prevention” regardless of quantity. The incoming sell order is accepted. The following message text appears in the user’s audit trail:Order xxxxxxxx  rejected due to SMP:  EX: ExecRestatementReason=103.

In this example, the SMP ID is configured in Exchange 1 and Exchange 3 is left blank:

Example
Order 1: Buy 10 ES @ 15; Exchange 1=1234567; Exchange 3=blank
Order 2: Sell 10 ES @ 15; SMP ID=1234567; Exchange 3=blank
Result: The resting buy order is cancelled “due to Self Match Prevention” regardless of quantity. The incoming sell order is accepted. The following message text appears in the user’s audit trail:

Order xxxxxxxx  rejected due to SMP:  EX: ExecRestatementReason=103

Order Management

Consider the following when using the SMP functionality supported by CME Gateway 7.18.15.6 or higher:

  • Self Match Prevention rules apply to all Limit and Market order types, qualifiers, restrictions, and expiries natively supported by exchange
  • When a user changes an order, the existing SMP rule on the order applies regardless of which SMP rule is currently configured to the user.
  • When a new order is entered, the current rule configured for the user applies regardless of the rule on the resting order.
  • If a Stop order is entered, the Self Match Prevention rule is enforced when the Stop order is triggered.
  • For Market Orders, there may be situations when both resting and new (aggressing) orders are canceled due to Self Match Prevention when Exchange 3 = O. Refer to the following example:

    Example

    Order 1: Buy 10 ES @ 15; Exchange 1=1234567; Exchange 3=O
    Order 2: Sell 10 ES @ MKT; Exchange 1=1234567; Exchange 3=O
    Result: The resting buy order is cancelled “due to Self Match Prevention” regardless of quantity. The aggressing sell Market order is also cancelled because there is no market on the other side .
    The following message text is displayed in the user's audit trail: Order xxxxx rejected due to SMP:  EX: ExecRestatementReason=103    (Resting order delete message) Order xxxxxx rejected due to SMP:  EX: ExecRestatementReason=8      (Market Order delete message)

Market Impact

Self-Match Prevention is not applicable to the following markets accessible via TT’s CME Gateway:

  • Korea Exchange (KRX)
  • Bursa Malaysia Derivatives (BMD)