CME Message-based API’s for 2004 The Post-Trade Model Blocks, EFP’s, SLEDS and Position Services Via FIXML February, 2004
Illustration of Straight-through-processing
The Business Case • Industry Expansion: ü The industry is expanding at an unprecedented pace. ü Standards are needed to manage and facilitate this consolidation. ü These standards must be flexible enough to support future business initiatives without costly modifications. ü Not only should these standards be used across the derivatives industry, they should be extensible across the closely related Equity and Fixed Income markets.
The Business Case • Industry Expansion: ü The industry is expansion at an unprecedented pace. ü FIXML removes barriers to expansion ü Standards are needed to manage and facilitate this expansion. ü FIXML is the basis of a practical and pervasive standard, allowing a build once, interface many times approach ü These standards must be flexible enough to support future business initiatives without costly modifications. ü FIXML provides full coverage of the post-trade arena. Its range extends across the full spectrum of products and functions ü Not only should these standards be used across the derivatives industry, they should be extensible across the closely related Equity and Fixed Income markets. ü FIX is already an accepted standard in Derivatives Trading, Equity, and Fixed Income areas. FIXML as an XML implementation, allows greater technical interoperability
The Business Case: FIXML vs TREX • Reduced Cost through flexibility ü In general, TREX has reached the end of its lifespan ü TREX is 10 years old and reflects the industry as it existed at that time ü TREX is a flat, non-tiered message structure and does not lend itself to repeating groups of data ü Adding or expanding blocks is costly ü TREX has limited support for multi-leg instruments. At this point in time, it is maxed out. ü Consider the cost to expand the S 1 block for SLEDS ü Consider the cost to support a similar type of effort for packs, bundles or strips
The Business Case: FIXML vs TREX • Reduced Cost through flexibility ü FIXML provides expanded support for multi-leg instruments ü FIXML provides support for the most complex multi-legged instruments ü FIXML’s underlying model allows a seamless transition between simple and complex instruments ü No additional costs related to message expansion. Your interface does not need to change
The Business Case: FIXML vs TREX • Reduced Cost through flexibility ü FIXML provides expanded Give up functionality ü TREX has limited give up functionality ü TREX allows give ups only to a single party ü TREX does not provide a way to sub-allocate and accept in a single request ü TREX does not support a single leg give up for a spread instrument ü FIXML allows multi-party give ups on single trade ü FIXML supports sub-allocations on the acceptance of a give up ü FIXML allows one or more legs of a spread to be given up
New API Offerings in 2004
CME’s FIXML Users Guides The following FIXML Users Guides and Specification Docs are now available: Ø Position Services Users Guide Ø Blocks and EFP Users Guide Ø SLEDS Users Guide Please contact our Client Management Group to receive a copy
Block, EFP, and SLEDS Dialogue Two-sided entry and Match Clearing House Sell Side Buy Side Trade Capture Report Trade. Trans. Type=NEW Trade. Report. Type=SUBMIT Trade Capture ACK Trade. Trans. Type=NEW Trade Report. Type=SUBMIT Firm Back Office System Trade Capture ACK Trans. Type=NEW Trade. Report. Type=SUBMIT Trade. Trans. Type=NEW Trade. Report. Status=REJECT rejected by clearing house Trade Capture ACK Trade. Trans. Type=NEW Trade. Report. Status=REJECT rejected by clearing house Trade Capture Report Trade. Trans. Type=NEW Trade. Report. Type = ACCEPT Match. Status=MATCH M Trade Capture Report Trade. Trans. Type=NEW Trade. Report. Type=ACCEPT Match. Status=MATCH Firm Back Office System
Block, EFP and SLEDS Dialogue Request for Pre-Match Change Clearing House Sell Side Buy Side Trade Capture Report Trade. Trans. Type=REPLACE Trade. Report. Type=SUBMIT Firm Back Office System Trade Capture ACK Trade. Trans. Type=REPLACE Trade. Report. Status=REJECT rejected by clearing house Trade Capture Report Trade. Trans. Type=REPLACE Trade. Report. Type = ACCEPT Trade. Trans. Type=REPLACE Trade. Report. Type=ACCEPT
Block, EFP and SLEDS Dialogue Request for Cancellation Clearing House Sell Side Buy Side Trade Capture Report Trade. Trans. Type=CANCEL Trade. Report. Type=SUBMIT Firm Back Office System Trade Capture ACK Trade. Trans. Type=CANCEL Trade. Report. Status=REJECT rejected by clearing house Trade Capture Report Trade. Trans. Type=CANCEL Trade. Report. Type = ACCEPT Trade. Trans. Type=CANCEL Trade. Report. Type=ACCEPT
FIXML Extensibility – Support for SLEDS
FIXML Extensibility – Support for Multi-leg Instruments
Position Services Dialogue Exercise Notice Request Customer Clearing House Firm Position Maint Request Customer 1 Exercise Pos. Trans. Type=NEW Pos. Maint. Action=EXER Customer 2 Exercise Position Maint Request Customer 3 Exercise Pos. Trans. Type=REPLACE Pos. Maint. Action=EXER Position Maint Request Pos. Trans. Type=REPLACE Pos. Maint. Action=EXER Position Maint Report Customer 1 Confirm Pos. Trans. Type=NEW/REP Pos. Maint. Action=EXER Pos. Status=ERR Customer 2 Confirm Customer 3 Confirm Postion Maint Report Pos. Trans. Type=NEW/REP Pos. Maint. Action=EXER Pos. Status=PROCESSED
Position Services On-Demand Request for Trade and Position Data Backoffice Clearing House Firm Position Request Back. Office Request for Position Request. Type=P Transport. Type=INBAND Position Request ACK Request. Type=P Transport. Type=INBAND Position. Result=PROCESSED Back. Office Point Balance Position Report Request. Type=P (Position Information) Trade Capture Report Trade. Trans. Type=NEW Trade. Report. Type = ACCEPT Match. Status=MATCH
MQ-Series Transport for FIXML Messages Ø FIXML will be fully supported over MQSeries. The process of sending and receiving FIXML messages will be no different than for TREX. Ø Transmission of FIXML messages to the CME will require the use of separate queues dedicated to FIXML processing. Ø The CME will transmit FIXML messages to a separate outbound queue at the firm. Ø It will be necessary for the firm to define new sending and receiving channels between itself and the CME since the CME will be hosting the Clearing API processing in a new.
FIXML Messaging and MQSeries
Clearing API Integration using FIXML
Blocks via FIXML <FIXML> <Trd. Capt. Rpt. ID="60374" Last. Qty="10000" Last. Px="97. 55" Trd. Dt="2003 -12 -03" Txn. Tm="2003 -12 -03 T 12: 30: 01" Trans. Typ="0" Rpt. Typ="0" Trd. Typ="1" Biz. Dt="2003 -12 -03" MLEGRpt. Typ="1"> <Instrmt ID="ED" CFI="FXXXSX" MMY="200312" Exch="CME"/> <Rpt. Side="1" Cl. Ord. ID="A 456721" Cl. Ord. ID 2="1234" Clr. Fee. Ind="B" Inpt. Src="MQM" Cust. Cpcty="4" Ord. Typ. Cd="B" Ses. ID="RTH" Ses. Sub="X" Pos. Efct="O" Alloc. Ind="0"> <Pty ID="CME" R="22"/> <Pty ID="600" R="1"/> <Pty ID="BAT" R="12"/> <Pty ID="052 G 0039" R="24"> <Sub ID="1" Typ="26"/></Pty> <Pty ID="815" R="17"/> <Pty ID="TGK" R="37"/> </Rpt. Side> </Trd. Capt. Rpt> </FIXML>
SLEDS via FIXML <FIXML> <Trd. Capt. Rpt. ID="60374" Last. Qty="200" Last. Px="-0. 30" Trd. Dt="2003 -12 -03" Txn. Tm="2003 -12 -03 T 12: 30: 01" Trans. Typ="0" Rpt. Typ="0" Trd. Typ="0" Biz. Dt="2003 -12 -03" MLEGRpt. Typ="3"> <Instrmt ID="ED" Sec. Typ="MLEG" Sub. Typ="CAL" Exch="CME"/> <Trd. Leg Last. Px="97. 55"><Leg ID="ED" CFI="FXXXSX" MMY="200312" Side="1"/></Trd. Leg> <Trd. Leg Last. Px="97. 25"><Leg ID="ED" CFI="FXXXSX" MMY="200403" Side="2"/></Trd. Leg> <Trd. Reg. TS TS="2003 -12 -03 T 01: 30. 00" Typ="1" Src="S"/> <Trd. Reg. TS TS="2003 -12 -03 T 01: 31. 00" Typ="2" Src="S"/> <Trd. Reg. TS TS="2003 -12 -03 T 01: 33. 00" Typ="3" Src="S"/> <Trd. Reg. TS TS="2003 -12 -03 T 01: 36. 00" Typ="4" Src="S"/> <Rpt. Side="1" Cl. Ord. ID="A 456721" Cl. Ord. ID 2="1234" Clr. Fee. Ind="B" Inpt. Src="MQM" Cust. Cpcty="4" Ord. Typ="L" Tm. Bkt="A" Ses. ID="RTH" Ses. Sub="P" Pos. Efct="O" Alloc. Ind="0"> <Pty ID="CME" R="22"/> <Pty ID="600" R="1"/> <Pty ID="BAT" R="12"/> <Pty ID="052 G 0039" R="24"> <Sub ID="1" Typ="26"/></Pty> <Pty ID="815" R="17"/> <Pty ID="TGK" R="37"/> </Rpt. Side> </Trd. Capt. Rpt> </FIXML>
PCS via FIXML <Batch> <Pos. Mnt. Req Actn="1" Biz. Dt="2004 -01 -12" Req. ID="PCS 00001" Txn. Typ="4" Adj. Typ="3" Set. Ses. ID="RTH" Set. Ses. Sub="1" Txn. Tm="2004 -01 -30 T 12: 00. 000"> <Pty ID="815" R="4"/> <Pty ID="CME" R="21"/> <Sub ID="1" Typ="26"/> </Pty> <Instrmt Exch="CME" CFI="FXXXSX" ID="AD" MMY="200403"/> <Qty Long="9" Stat="0" Typ="TQ"/> <Qty Long="9" Short="500" Stat="0" Typ="IES"/> <Qty Long="9" Short="500" Stat="0" Typ="IAS"/> </Pos. Mnt. Req> </Batch>
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