1 / 23

CME Message-based API’s for 2004 The Post-Trade Model

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 : The industry is expanding at an unprecedented pace.

Mercy
Download Presentation

CME Message-based API’s for 2004 The Post-Trade Model

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. CME Message-based API’s for 2004The Post-Trade Model Blocks, EFP’s, SLEDS and Position Services Via FIXML February, 2004

  2. Illustration of Straight-through-processing

  3. The Business Case • Industry Expansion: • The industry is expanding at an unprecedented pace. • Standards are needed to manage and facilitate this consolidation. • These standards must be flexible enough to support future business initiatives without costly modifications. • Not only should these standards be used across the derivatives industry, they should be extensible across the closely related Equity and Fixed Income markets.

  4. The Business Case • Industry Expansion: • The industry is expansion at an unprecedented pace. • FIXML removes barriers to expansion • Standards are needed to manage and facilitate this expansion. • FIXML is the basis of a practical and pervasive standard, allowing a build once, interface many times approach • These standards must be flexible enough to support future business initiatives without costly modifications. • FIXML provides full coverage of the post-trade arena. Its range extends across the full spectrum of products and functions • Not only should these standards be used across the derivatives industry, they should be extensible across the closely related Equity and Fixed Income markets. • FIX is already an accepted standard in Derivatives Trading, Equity, and Fixed Income areas. FIXML as an XML implementation, allows greater technical interoperability

  5. The Business Case: FIXML vs TREX • Reduced Cost through flexibility • In general, TREX has reached the end of its lifespan • TREX is 10 years old and reflects the industry as it existed at that time • TREX is a flat, non-tiered message structure and does not lend itself to repeating groups of data • Adding or expanding blocks is costly • TREX has limited support for multi-leg instruments. At this point in time, it is maxed out. • Consider the cost to expand the S1 block for SLEDS • Consider the cost to support a similar type of effort for packs, bundles or strips

  6. The Business Case: FIXML vs TREX • Reduced Cost through flexibility • FIXML provides expanded support for multi-leg instruments • FIXML provides support for the most complex multi-legged instruments • FIXML’s underlying model allows a seamless transition between simple and complex instruments • No additional costs related to message expansion. Your interface does not need to change

  7. The Business Case: FIXML vs TREX • Reduced Cost through flexibility • FIXML provides expanded Give up functionality • TREX has limited give up functionality • TREX allows give ups only to a single party • TREX does not provide a way to sub-allocate and accept in a single request • TREX does not support a single leg give up for a spread instrument • FIXML allows multi-party give ups on single trade • FIXML supports sub-allocations on the acceptance of a give up • FIXML allows one or more legs of a spread to be given up

  8. New API Offerings in 2004

  9. CME’s FIXML Users Guides The following FIXML Users Guides and Specification Docs are now available: • Position Services Users Guide • Blocks and EFP Users Guide • SLEDS Users Guide Please contact our Client Management Group to receive a copy

  10. Block, EFP, and SLEDS DialogueTwo-sided entry and Match Sell Side Clearing House Buy Side Trade Capture Report TradeTransType=NEW TradeReportType=SUBMIT Trade Capture Report TradeTransType=NEW TradeReportType=SUBMIT Firm Back Office System Trade Capture ACK TradeTransType=NEW Trade ReportType=SUBMIT Firm Back Office System Trade Capture ACK TransType=NEW TradeReportType=SUBMIT Trade Capture ACK TradeTransType=NEW TradeReportStatus=REJECT rejected by clearing house Trade Capture ACK TradeTransType=NEW TradeReportStatus=REJECT rejected by clearing house Trade Capture Report TradeTransType=NEW TradeReportType = ACCEPT MatchStatus=MATCH Trade Capture Report TradeTransType=NEW TradeReportType=ACCEPT MatchStatus=MATCH M

  11. Block, EFP and SLEDS DialogueRequest for Pre-Match Change Sell Side Clearing House Buy Side Trade Capture Report TradeTransType=REPLACE TradeReportType=SUBMIT Firm Back Office System Firm Back Office System Trade Capture ACK TradeTransType=REPLACE TradeReportStatus=REJECT rejected by clearing house Trade Capture Report TradeTransType=REPLACE TradeReportType = ACCEPT Trade Capture Report TradeTransType=REPLACE TradeReportType=ACCEPT

  12. Block, EFP and SLEDS Dialogue Request for Cancellation Sell Side Clearing House Buy Side Trade Capture Report TradeTransType=CANCEL TradeReportType=SUBMIT Firm Back Office System Firm Back Office System Trade Capture ACK TradeTransType=CANCEL TradeReportStatus=REJECT rejected by clearing house Trade Capture Report TradeTransType=CANCEL TradeReportType = ACCEPT Trade Capture Report TradeTransType=CANCEL TradeReportType=ACCEPT

  13. FIXML Extensibility – Support for SLEDS

  14. FIXML Extensibility – Support for Multi-leg Instruments

  15. Position Services DialogueExercise Notice Request Customer Firm Clearing House Position Maint Request PosTransType=NEW PosMaintAction=EXER Customer1 Exercise Customer2 Exercise Position Maint Request PosTransType=REPLACE PosMaintAction=EXER Customer3 Exercise Position Maint Request PosTransType=REPLACE PosMaintAction=EXER Position Maint Report PosTransType=NEW/REP PosMaintAction=EXER PosStatus=ERR Customer1 Confirm Customer2 Confirm Customer3 Confirm Postion Maint Report PosTransType=NEW/REP PosMaintAction=EXER PosStatus=PROCESSED

  16. Position Services On-DemandRequest for Trade and Position Data Backoffice Firm Clearing House Position Request RequestType=P TransportType=INBAND BackOffice Request for Position Position Request ACK RequestType=P TransportType=INBAND PositionResult=PROCESSED BackOffice Point Balance Position Report RequestType=P (Position Information) Trade Capture Report TradeTransType=NEW TradeReportType = ACCEPT MatchStatus=MATCH

  17. MQ-Series Transport for FIXML Messages • FIXML will be fully supported over MQSeries. The process of sending and receiving FIXML messages will be no different than for TREX. • Transmission of FIXML messages to the CME will require the use of separate queues dedicated to FIXML processing. • The CME will transmit FIXML messages to a separate outbound queue at the firm. • 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.

  18. FIXML Messaging and MQSeries

  19. Clearing API Integration using FIXML

  20. Blocks via FIXML <FIXML> <TrdCaptRpt RptID="60374" LastQty="10000" LastPx="97.55" TrdDt="2003-12-03" TxnTm="2003-12-03T12:30:01" TransTyp="0" RptTyp="0" TrdTyp="1" BizDt="2003-12-03" MLEGRptTyp="1"> <Instrmt ID="ED" CFI="FXXXSX" MMY="200312" Exch="CME"/> <RptSide Side="1" ClOrdID="A456721" ClOrdID2="1234" ClrFeeInd="B" InptSrc="MQM" CustCpcty="4" OrdTypCd="B" SesID="RTH" SesSub="X" PosEfct="O" AllocInd="0"> <Pty ID="CME" R="22"/> <Pty ID="600" R="1"/> <Pty ID="BAT" R="12"/> <Pty ID="052G0039" R="24"> <Sub ID="1" Typ="26"/></Pty> <Pty ID="815" R="17"/> <Pty ID="TGK" R="37"/> </RptSide> </TrdCaptRpt> </FIXML>

  21. SLEDS via FIXML <FIXML> <TrdCaptRpt RptID="60374" LastQty="200" LastPx="-0.30" TrdDt="2003-12-03" TxnTm="2003-12-03T12:30:01" TransTyp="0" RptTyp="0" TrdTyp="0" BizDt="2003-12-03" MLEGRptTyp="3"> <Instrmt ID="ED" SecTyp="MLEG" SubTyp="CAL" Exch="CME"/> <TrdLeg LastPx="97.55"><Leg ID="ED" CFI="FXXXSX" MMY="200312" Side="1"/></TrdLeg> <TrdLeg LastPx="97.25"><Leg ID="ED" CFI="FXXXSX" MMY="200403" Side="2"/></TrdLeg> <TrdRegTS TS="2003-12-03T01:31:30.00" Typ="1" Src="S"/> <TrdRegTS TS="2003-12-03T01:31:31.00" Typ="2" Src="S"/> <TrdRegTS TS="2003-12-03T01:31:33.00" Typ="3" Src="S"/> <TrdRegTS TS="2003-12-03T01:31:36.00" Typ="4" Src="S"/> <RptSide Side="1" ClOrdID="A456721" ClOrdID2="1234" ClrFeeInd="B" InptSrc="MQM" CustCpcty="4" OrdTyp="L" TmBkt="A" SesID="RTH" SesSub="P" PosEfct="O" AllocInd="0"> <Pty ID="CME" R="22"/> <Pty ID="600" R="1"/> <Pty ID="BAT" R="12"/> <Pty ID="052G0039" R="24"> <Sub ID="1" Typ="26"/></Pty> <Pty ID="815" R="17"/> <Pty ID="TGK" R="37"/> </RptSide> </TrdCaptRpt> </FIXML>

  22. PCS via FIXML <Batch> <PosMntReq Actn="1" BizDt="2004-01-12" ReqID="PCS00001" TxnTyp="4" AdjTyp="3" SetSesID="RTH" SetSesSub="1" TxnTm="2004-01-30T12:00:00.000"> <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"/> </PosMntReq> </Batch>

More Related