Try TT Now

CME Gateway

Self Match Prevention Support

Overview

CME Gateway 7.17.30 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 for accounts with common ownership if both the buy and sell orders contain the same Self-Match Prevention Identifier (SMP ID) and Executing Firm ID.

The exchange generates and issues SMP IDs for each user based on their clearing firm. The SMP IDs distributed by the exchange need to be configured for each selected user on a per firm basis using TT User Setup 7.17.20 or higher.

Self Match Prevention (SMP) IDs

Exchange members and TTORD traders must register with the exchange for SMP IDs. When registering, they 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

Gateway Behavior

When the Self-Match Prevention (SMP) ID is populated in the Exchange 1 field in TT User Setup for a direct trader Member+Group or TTORD Member+Group, the Order Server populates Tag 7928 (SMP ID) with this value on every order message sent to the exchange by that user. For order modifications, the original SMP ID 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.

Example

Order 1: Buy 10 ES @ 15; SMP ID=1234567 FirmID=400

Order 2: Sell 10 ES @ 15; SMP ID=1234567 FirmID=400

Result: The resting buy order is cancelled “due to Self Match Prevention” regardless of quantity. The incoming sell order is accepted.

The next example shows two different TTORD users mapped to direct traders in different firms.

Example

Order 1: Buy 20 ES @ 30; M+G=TTORDMM001 SMP ID=1234567 FirmID=400

Order 2: Sell 20 ES @ 30; M+G=TTORDAB002 SMP ID=9871235 FirmID=800

Result: The incoming sell order is accepted and the order is matched.

In this last example, the gateway receives a blank SMP ID for one side of the order and accepts the matching side of the order.

Example

Order 1: Buy 100 ES @ 30; SMP ID=<blank> FirmID=400

Order 2: Sell 100 ES @ 30; SMP ID=1234567 FirmID=400

Result: The incoming sell order is accepted and the order is matched.

Configuring a Self-Match Prevention ID

The Self-Match Prevention ID is configured in the Exchange 1 field on the Edit Gateway Login Attributes window or New/Edit User Gateway Logins window in TT User Setup on a per user basis.

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.

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)
  • BVMF and MexDer (North-to-South order routing).