TT CME Gateway System Administration Manual - Trading ...

Mutual Offset System
(MOS) Orders
Average Price System
(APS) Orders
5 Configuring Order Management
After being matched, Give Up orders are sent to the CME Group’s Allocation/Claim
System (ACS). The executing firm's back-office staff use ACS to allocate the trade
to multiple firms, who could then accept or reject the trades.
CME Clearing offers a Mutual Offset agreement with the Singapore Exchange
(SGX), which allows trades in certain MOS-eligible contracts done at one
exchange to be moved to the other exchange's clearing house. The agreement
includes trades for the following products:
• Eurodollars
• Euroyen TIBOR
• Nikkei - Yen
• Nikkei - Dollar
To designate orders of MOS-eligible contracts using X_TRADER:
• Submit orders with the X_TRADER ® Account Type set to G2 and manually
enter SX123 in the Give Up field (where 123 is the 3-digit firm ID of a
clearing firm at SGX).
• Create an X_TRADER ® Customer Defaults profile with the Account
Type=G2 and Give Up=SX123.
The CME Average Price System (APS) enables multiple orders to be grouped
together and assigned a single average price across the group. All orders
designated for averaging in a group must be for the same contract.
There are two ways to designate trades for the Average Price System at CME
Clearing:
1 The first method is to group and average multiple orders together. To
accomplish this in X_TRADER ® , do the following:
• Enter a "$" in the first position of the account number field in the
X_TRADER ® Market Window for each order. You can also populate the
Account# field in a separate profile in Customer Defaults.
• In the last position of the account number, enter a space followed by
a user-defined APS Group ID.
Example: Account number designated for multiple APS orders
$4440 APS1
2 The second method is to assign an average price to all partial fills
associated with a single order: Enter a "#" in the first position of the
account number field in the X_TRADER ® Market Window for each order.
You can also populate the Account# field in a separate profile in Customer
Defaults.
Example: Account number for a single APS order
#4440
The TT system accepts and forwards the code entered in front of the account
number, which alerts CME clearing to forward brokers the average price for those
trades. However, the CME Gateway still uses the actual price of each order and
calculates P&L based on this price.
CME clearing uses the APS Group ID to enable APS to identify which multiple
orders are grouped and averaged together. Fills for orders that are designated
using "$" or "#" are sent to APS, where the average price is calculated and
108 CME Gateway System Administration Manual
Trading Technologies International, Inc.