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CME Gateway

Exchange Location and Interface

Exchange Location

The Chicago Mercantile Exchange (CME) was established in 1898 and was originally known as the Chicago Butter and Egg Board. The exchange focused on trading agricultural futures contracts via open outcry. As new technologies emerged, CME introduced their Globex® platform to facilitate electronic trading.

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.

Note

You can find the preceding exchange information on the CME Group’s website at: http://www.cmegroup.com

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
  • NYMEX FIFO with LMM
  • FIFO with LMM
  • FIFO with TOP Order Percentage allocation and LMM
  • Threshold Pro-Rata
  • Threshold Pro-Rata with LMM
  • Allocation
  • Eurodollar Option

CME Market States

The CME Gateway displays the following contract states based on the market states it receives from the exchange.

CME Market States
Market State Description
Pre-Open

Order Entry: During Pre-Open, orders can be added, modified, and canceled. No matching occurs during either Pre-Open state.

Market Data: Accepted orders are used to determine a theoretical opening price for the instruments/contracts that use this procedure. The exchange provides a Theoretical Opening Price (TOP) that the CME Gateway sends as the Indicative Open Price, and a Theoretical Opening Quantity (TOQ) that the gateway sends as the Indicative Open Quantity.

State Changes: Earliest phase of the opening market state.

Pre-Trading

Order Entry: During Pre-Trading, which is the exchange’s No Cancel period (i.e., the end of the Pre-Open phase), orders can be added but not modified or canceled. No matching occurs during the Pre-Trading state.

Market Data: Accepted orders are used to determine a theoretical opening price for the instruments/contracts that use this procedure. The exchange provides a Theoretical Opening Price (TOP) that the CME Gateway sends as the Indicative Open Price, and a Theoretical Opening Quantity (TOQ) that the gateway sends as the Indicative Open Quantity.

State Changes: Occurs at the end of the Pre-Open phase during the CME Group’s Pre-Open/No Cancel period.

Trading

Order Entry: Orders can be added, modified, or canceled. Matching occurs.

Market Data: All filled orders update Last Traded Price and Last Traded Quantity. In addition, only prices in the Open state affect the High/Low prices for the trading day. Resting Market and Limit orders are matched at the price calculated by the exchange when the market moves from Pre-Open to Open.

State Changes: Occurs after Pre-Open.

Closed

Order Entry: No orders can be added, modified, or canceled. No matching occurs.

Market Data: No market data is provided until Pre-Open of the next trading session.

State Changes: Occurs at the end of the Trading session.

Freeze

Order Entry: Orders can be canceled, but can not added or modified. No matching occurs.

Market Data: No market data is provided until continuous trading resumes.

State Changes: Occurs whenever continuous trading is interrupted. May occur for a contract prior to Pre-Open.

Expired

Order Entry: Indicates an expired contract. No order actions are allowed and no matching occurs.

Market Data: No market data is provided for the expired contract.

State Changes: May occur as a transition from any other Market State, and is triggered by the expiry date and time on the contract definition sent by the exchange. Most often, Expired occurs immediately after Closed.

Unknown (7.15 or higher) State Changes: The exchange’s market state cannot be determined by the CME Gateway. The contract may be in any of the above states except Expired. Unknown will occur if a gateway is restarted during an active trading session.

Products

CME offers the following products:

  • Interest Rates (i.e., Treasuries, Swaps, and Fed Funds)
  • Dow Jones Equity Indices (i.e., Dow, US Real Estate Index and the Dow Jones AIG Commodity Index)
  • Agricultural Commodities (i.e., Ethanol, Corn, Soybeans, Oats, Wheat, Rough Rice)
  • Agricultural Commodities (e.g., Ethanol, Corn, Soybeans, Oats, Wheat, Rough Rice)
  • Energy and Metal products (e.g., Gold, Silver, Ethanol)
  • Equity Index Products (e.g., S & P 500, Russell 2000, Nikkei 225, and TRAKRS Futures)
  • Interest Rates (e.g., Treasuries, Swaps, and Fed Funds)
  • Real Estate (e.g., S&P/GRA Commercial)
  • Foreign Exchange (e.g., FX Futures and Premium-Quoted FX Options)
  • Weather (e.g., Weekly Weather Futures, Heating Degree Day Futures)
Note

The exchange may change its listed products at any time. Contact CME or visit the Products & Trading section of their website at http://www.cmegroup.com/ for currently listed products.

Asset Classes

The CME Group supports products in the following classes:

  • Futures
  • Options
  • Spreads
  • Strategies

Trading Hours

Electronic trading on the CME Globex® platform is available virtually around the clock, from Sunday evening through late Friday afternoon. Trading takes place during five daily CME Globex sessions, during which a customer may enter, view, modify or cancel electronic orders. The start of the CME Globex session, which usually occurs in the afternoon or evening, marks the beginning of the next Trading Day. (For example, orders entered during Sunday's evening session are dated for and cleared on Monday).

During each CME Globex session, all contracts transition through a variety of pre-defined states, although the timing of these states and the transition between them vary by product, according to contract specifications. During each of these states, certain trading functionality is allowed or disallowed, as detailed in the CME Globex Reference Guide located at: http://www.cmegroup.com/files/GlobexRefGd.pdf

  • Market Enabled/Pre-Opening – Pre-determined time before the session open when customers can only enter orders for the next trading day but cannot cancel, execute or modify orders.
  • Pre-Opening/No-Cancel – Pre-determined time before the session open when traders can only enter orders for the next trading day – but can’t cancel, execute or modify orders.
  • Continuous Trading – The period of time when orders are sent and matched in real time.
  • Surveillance Intervention – The period of time that begins when CME Group sends notification that trading has ended for a group of products for that particular trade date. During that time, only order cancellations can occur.
  • Maintenance Period – The period of time Monday through Thursday when trading is closed on the CME Globex platform for regularly scheduled maintenance. Currently, all CME Globex products have a minimum maintenance window of 4:30 – 5:00pm CST.

Supported Exchange Functionality

The following is a list of exchange functionality that TT currently supports:

  • All of CBOT’s and CBOT Hosted Exchange’s derivative products.
  • Fractional Pricing: All messages use CME Globex decimal pricing; however, fractional price conversion is required for CBOT products.
  • Strategy types for all Options and Futures products.
  • Matching algorithms.
  • Cabinet trades on option outrights
  • Depth of Book: The CME Gateway forwards all levels of depth sent from the exchange.
  • FIX/FAST message mode.
  • User-Defined Strategy (UDS) Creation: UDS functionality does not support inter-exchange or inter-product instruments. For a UDS to work, all products involved in the spread strategy must reside on the same gateway (e.g., cannot spread CME-A futures with CME-B futures).
  • Implied Treasury Intercommodity Spreads.
  • Options on 3-Month Overnight Index Swap (OIS) Futures.
  • Daily Futures contracts.
  • Request for Quotes (RFQs).
  • Request for Cross (RFC) and Cross Orders. To use X_TRADER® to submit a cross order via the CME Gateway, refer the  X_TRADER Introduction to Wholesale Trading guide.