Support for Cross Orders
CME Gateway 7.17.45 and higher supports submitting cross orders into the market. At the exchange, cross orders are treated as “Limit” orders. Users can submit cross orders for all available products at the exchange that are supported by the CME Gateway.
Users cannot modify (Change or Cancel/Replace) sitting cross orders. The CME Gateway rejects the Change action with a message "Unsupported order_restrict code". For Cancel/Replace, the order will be canceled, but the replacement order will be rejected by the gateway with the same message. The only actions permitted by the gateway for a sitting cross order are "Inquire" and "Cancel".
The exchange requires a “quote request for cross” (RFQ) prior to submitting the cross order. The CME Gateway 7.17.45 and higher and X_TRADER 7.17.35 and higher support this requirement.
At CME Group, certain products may be eligible for cross trades but not eligible for RFQ. If not eligible for RFQ, you’ll get a reject message from the exchange; however, the cross order can still be submitted for the product. Contact the exchange to ensure that your product is eligible for RFQ.
If you plan to set your own time interval between RFQ and submitting the order (RFC), contact the exchange or refer to the exchange rules for the correct time interval for your product. Exchange rules for RFQ and RFC are provided in Section 539 of the following exchange document: http://www.cmegroup.com/rulebook/CBOT/I/5/5.pdf
Submitting CME Cross Orders in X_TRADER®
Users can submit cross orders via the gateway using X_TRADER 7.17.35 or higher. To submit a CME cross order in X_TRADER®, refer to: https://www.tradingtechnologies.com/help/xtrader/introduction-to-wholesale-trading/