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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:
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 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
