This whitepaper was created to help CME clients with migration
from the ClearedTtrades (CT) API to the new
CME STP protocol.
CME STP is a FIXML 5.0 SP2 based interface replacing the current
Cleared Trades(CT) API, 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 the 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 the 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 the new
interface
From the technical point of view, the 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 the 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:
Outbound:
<Hdr SID="CME" SSub="STP" TID="CSHAW"
TSub="CSHAW123"/>
Inbound:
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 it 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 an invalid filter
B2BITS EPAM Systems extended its FIX Trade Capture Solution
with the ability to process CME STP data. We reused our standard
approach to Trade Capture Adaptor implementation and perfected it
not only by improving customizability and configurability but also
by offering captured data in the 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 the
CME STP API, shortening time-to-market and allowing feeding
captured data to any middleware supported by the FIX server. The
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
message parsing with no code change.
Additionally, a new automated standalone CME STP Database loader
was introduced for capturing trades into MS SQL/Oracle
databases for users searching for small lightweight
solutions.
For more information and a free trial version, contact our sales
at sales@btobits.com