Whitepaper: CME STP replacing CT API

This whitepaper is created to help CME clients with migration from ClearedTtrades (CT) API to new CME STP protocol

CME STP is a FIXML 5.0 SP2 based interface replacing current Cleared Trades(CT) API and created to be a single source of reconciled cleared trade confirmations across all CME Group exchanges and DME available to Trading Firms, Brokers and Asset Management Firms.

Business aspects of new interface

The new CME STP interface has the following features:

  • Ability to retrieve Cleared Trade Notifications and Trade Cancellations, Allocations, Spread and Leg level messages and Change of firm notifications
  • Full support of post-trade events ( Allocation Scenarios; Update Scenarios; Void Scenarios; Transfer Scenario)
  • Support of all instrument types traded at CME Group exchanges (Futures, Forwards, Options, CDSs, IRSs, Multi-legs)
  • Trade Capture Report messages equipped with full instrument specification including underlying instrument details for Options, FpML specification for IRS'es, leg instrument details for multi-legs
  • Compliance with ETR and Dodd-Frank requirements: Universal Swap Identifier (USI) and Unique Trade Identifier (UTI) supported by relevant regulatory timestamps
  • Ability to receive consolidated messages for multi-leg deals
  • Extended list of parties associated with the trade
  • Time unit of original trade (e.g. whether it was entered as contracts per day or per month)
  • Broad set of filters allowing to slide and dice post trade data by CME STP Firm ID, Trade and/or Clearing Business Dates, CME Group Exchanges and Venues, traded instrument details (Product, Security type, Security Exchange), trade identifiers: primary (assigned by CME clearing system) and secondary trade IDs, Client Order ID over certain period of time
  • Increased historic horizon for trade capture data availability from last 24 hours to 5 rolling days

As of now CME STP API does not cover Clearing firms. Such firms are suggested to use CME's Front End Clearing (FEC) system API to get their confirms and allocation reports.

Technical aspects of new interface

From the technical standpoint of view, CME STP API will look familiar to CME ClearPort users however, the following should be considered. 

   CME STP CME Cleared Trades
Connection Session less Session less & Session based
Messaging API FIXML 5.0 SP2 FIXML 4.4
Supported Message types Inbound:
  • Trade Capture Report Request
     
Outbound:
  • Trade Capture Report Request Ack
  • Trade Capture Report
Inbound:
  • User Request
  • Trade Capture Report Request
Outbound:
  • User Response
  • Trade Capture Report Request Ack
  • Trade Capture Report
User authentication Expected on each HTTP request via User Request message for session based connectivity
Tokens Are sent in response to valid subscription or query requests and expected to be mirrored in all input messages continuing prior requests. Both CME STP and users use the custom x-cme-token HTTP header for this purpose. More details are available here N/A
FIXML Headers <FIXML v="5.0 SP2" s="20090815" xv="109" cv="CME.0001"> <FIXML  v="4.4"  s="20040109"  r="20030618">
Message headers Inbound:
  • <Hdr SID="CSHAW" SSub="CSHAW123" TID="CME" TSub="STP"/>

Outbound:
  • <Hdr SID="CME" SSub="STP" TID="CSHAW" TSub="CSHAW123"/>
Inbound:
  • <Hdr SID="CSHAW" SSub="CSHAW123" TID="NYMEX" TSub="utbapi"/>

Outbound:
  • <Hdr SID="NYMEX" SSub="utbapi" TID="CSHAW" TSub="CSHAW123"/>
Request types Subscription and Query requests (with or without filters)
Firms having multiple sub-entities can obtain Firm-wide trades via single request
Subscription and Query requests (with or without filters)
Firms having multiple sub-entities are required to send one request per each sub-entity
Password expiration & reset Password never expires unless is changed by the Firm. Additionally, SmartClick password can be used to access all CME Group applications Once every 30 days. User Request message is used to reset password
Error handling Via Trade Capture Report Request Ack:
  • Txt field contains reject reason optionally followed by full FIXML message being rejected. Reject text is adjusted to be more specific in case of failed authorization
Via Trade Capture Report Request Ack:
  • Txt field contains reject reason only and in most cases points to invalid filter

 B2BITS EPAM Systems extended its FIX Trade Capture Solution with ability to process CME STP data. We reused our standard approach to Trade Capture Adaptors implementation and perfected it not only by improving customizability and configurability but also by offering captured data in a form of standard FIX 4.4. Similar to existing adaptors, the new Adaptor is FIX Edge's add-on component supporting all business and technical specifics of CME STP API shortening time-to-market and allowing feeding captured data to any middleware supported by the FIX server. New approach to Adaptor configuration and customization allows Users to switch between snapshot and query requests, adjusting and/or removing filters as well as to customize Trade Capture messages parsing with no code change.

Additionally, new automated standalone CME STP Database loader capturing trades into MS SQL/Oracle databases was introduced for Users searching for small light weight solutions.

For more information and free trial version contact our sales at  sales@btobits.com