CME prepares mixed-tick spread matching that changes brokers’ fill processing

CME will extend implied matching for mixed-tick calendar and butterfly spreads in selected short-term interest-rate futures from the 16 November trade date. The October implementation notice describes changed fill behaviour without new iLink, Drop Copy or MDP 3.0 message fields.[1]

Implied matching links orders in related markets. Orders for individual futures months can generate a tradable spread price; a spread order and an order in one constituent month can create an executable price in the other month. CME’s existing explanation describes simultaneous matching designed to avoid filling only one leg of the combination.[2]

The existing fill-reporting rules show why message counts already require care. CME sends an aggressing order’s fill reports by trade price and liquidity source, irrespective of the number of counterparties. Several customer orders at one price can constitute one source, while implied orders may draw on several sources. Counting reports therefore does not directly count counterparties or the original customer instructions.[3]

For a broker, the position is the quantity actually traded, rather than the number of execution reports received. Reconciliation has to preserve the prices and quantities within those reports and associate them with the originating order. That is the point at which a technically valid feed becomes a usable customer record.[3]

CME scheduled customer testing from 18 October. Certification is not required, but the exchange encourages testing before production begins on Sunday 15 November for Monday’s trade date.[1]

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