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:

  • <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 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