Support of Post-Trade Functionality
The CME Gateway supports orders designated for post-trade processing by CME Clearing. These orders are entered using clearing member codes in the Give Up field or special characters in the trader’s Account# field in the X_TRADER® Customer Defaults profile. Orders requiring special characters can also be entered using the account number field in the X_TRADER® Market Window.
The following orders are entered using codes in the Give Up field:
- MultiFirm Give Up orders
- Mutual Offset System (MOS) orders
Orders using special characters in the Account# field or entered directly in the X_TRADER® Market Window are:
- Average Price System (APS) orders
- Single Line Entry of Differential Spreads (SLEDS) orders
- Discretionary Orders
- Bunched Account Orders
The CME Gateway supports post-trade functionality at order entry, and is not involved in any post-fill or post-trade processing. When codes or special characters are entered in the account number, they appear in the TT system the same way they were entered.
For example, if “%4400” is entered in the account number field in the X_TRADER® Market Window, the account number will appear in the TT system as “%4400” and not “4400” (special characters ignored). The Gateway routes the special characters and codes to the exchange, and they appear in the fills sent to CME Clearing.
All orders can be designated for post-trade functionality in X_TRADER®. Direct Traders can change their Customer Defaults profiles and enter all trades with the special characters or Give Up code, or they can enter their characters in the Account# field in the X_TRADER® Market Window field on a per order basis.
A TTORD trader is locked into a Direct Trader profile, and cannot change values in the Customer Defaults profile or enter special characters in the Market Window. A separate profile should be set up for TTORD traders.
In Guardian or TT User Setup, TTORD traders must be setup with account numbers that include the codes and special characters they plan to use when entering orders. For example, if a TTORD trader places APS orders and SLEDS orders, two separate account numbers with the codes for these types of orders must be pre-listed in Guardian or TT User Setup when the TTORD login is defined.
MultiFirm Give Up Orders
Customers wishing to submit orders that are given up to multiple firms must use one of the following methods:
- Submit orders with the X_TRADER® Account Type set to G2. CME Gateways contain an enhancement that allows you to leave the Give Up field blank. When the order does not have a Give Up account, the gateway returns blank values for Giveup and Clr Mbr.
- Use different Account Types (i.e., G1 or M1) to submit orders to multiple firms. However, you must set GiveupAccounts=G1, M1 in the [order_session_#] section of the hostinfo.cfg file.
After being matched, Give Up orders are sent to the CME Group’s Allocation/Claim System (ACS). The executing firm's back-office staff use ACS to allocate the trade to multiple firms, who could then accept or reject the trades.
Mutual Offset System (MOS) Orders
CME Clearing offers a Mutual Offset agreement with the Singapore Exchange (SGX), which allows trades in certain MOS-eligible contracts done at one exchange to be moved to the other exchange's clearing house. The agreement includes trades for the following products:
- Euroyen TIBOR
- Nikkei - Yen
- Nikkei - Dollar
To designate orders of MOS-eligible contracts using X_TRADER:
- Submit orders with the X_TRADER® Account Type set to G2 and manually enter SX123 in the Give Up field (where 123 is the 3-digit firm ID of a clearing firm at SGX).
- Create an X_TRADER® Customer Defaults profile with the Account Type=G2 and Give Up=SX123.
Average Price System (APS) Orders
The CME Average Price System (APS) enables multiple orders to be grouped together and assigned a single average price across the group. All orders designated for averaging in a group must be for the same contract.
There are two ways to designate trades for the Average Price System at CME Clearing:
- The first method is to group
and average multiple orders together. To accomplish this in X_TRADER®,
do the following:
- Enter a "$" in the first position of the account number field in the X_TRADER® Market Window for each order. You can also populate the Account# field in a separate profile in Customer Defaults.
- In the last position of the account number, enter a space followed by a user-defined APS Group ID.
Example Account number designated for multiple APS orders
- The second method is to assign an average price to all
partial fills associated with a single order:
Enter a "#" in the first position of the account number field in
the X_TRADER® Market Window for each order. You can also populate
the Account# field in a separate profile in Customer Defaults.
Example Account number for a single APS order
The TT system accepts and forwards the code entered in front of the account number, which alerts CME clearing to forward brokers the average price for those trades. However, the CME Gateway still uses the actual price of each order and calculates P&L based on this price.
CME clearing uses the APS Group ID to enable APS to identify which multiple orders are grouped and averaged together. Fills for orders that are designated using "$" or "#" are sent to APS, where the average price is calculated and assigned to the fills. CME clearing contacts the broker and provides the average price for these trades.
Single Line Entry of Differential Spreads (SLEDS) Orders
For most exchange-defined spreads, traders can designate orders as SLEDS orders, where the spread price is determined by the previous day settlement price of the front leg of the spread. For example, SLEDS orders for Calendar Futures allow traders to determine if they want these trades to be cleared using the prior day settlement price instead of LTP for the front leg of their calendar spread.
To designate a spread order as eligible for SLEDS, enter an ampersand “&” or percent “%” character in the Account Number field in the X_TRADER® Market Window. You can also populate the Account# field in a separate profile in Customer Defaults.
This character must precede any characters entered for APS orders or Give Up orders. If appended after the APS characters or Give Up codes, the SLEDS characters will be treated as part of the account number.
Example Account number in X_TRADER® for a SLEDS order
To have a trade cleared using the LTP for the front leg of the spread, enter the “&” character. To notify CME Clearing that a trade should be cleared using the CME algorithm for the prior day’s settlement price, enter a “%” in the account number for your order.
Fills for discretionary orders can be designated for allocation to specific firms or accounts by CME Clearing. This designation is uniquely identified using a “Rule ID,” and must be provided in writing to CME Clearing before it can be used in executing a trade.
To designate discretionary orders for allocation, enter an "*" in the first position of the account number field in the X_TRADER® Market Window followed by the account number, a "-", and the Rule ID. You can also populate the Account# field in a separate profile in Customer Defaults. See the following example.
Example Account number in X_TRADER® for a Discretionary Order
This designates the order for the CME Clearing Allocate/Claim System (ACS), where the executing firm can allocate the trade to a Give Up firm or accept the trade into its own accounts.
Bunched Account Orders
An executing firm can defer assigning an account number to a trade until after it has been executed. To enter this order in X_TRADER®, place an "*" in the first position of the account number in the Market Window, followed by a “dummy” customer account number. You can also populate the Account# field in a separate profile in Customer Defaults.
Example Account number in X_TRADER® for a Bunched Account Order
The fills associated with the order will automatically be routed to the CME Clearing Allocate/Claim System (ACS), where the executing firm's back-office staff assigns the correct firm and account numbers to the trade.