TT CME Gateway System Administration Manual - Trading ...

1 TT Gateway and the Exchange
CME Market States The CME Gateway displays the following contract states based on the market
states it receives from the exchange.
Market State Description
Pre-Open Order Entry: During Pre-Open, orders can be
added, modified, and canceled. During the No
Cancel period (i.e., the end of the Pre-Open
phase), orders can be added but not modified
or canceled. No matching occurs during either
Pre-Open state.
Market Data: Accepted orders are used to
determine a theoretical opening price for the
instruments/contracts that use this procedure.
The exchange provides a Theoretical Opening
Price (TOP) that the CME Gateway sends as
the Indicative Open Price, and a Theoretical
Opening Quantity (TOQ) that the gateway
sends as the Indicative Open Quantity.
State Changes: Earliest phase of the opening
market state. Pre-Open represents two
different states at the CME: Pre-Open and No
Cancel.
Trading Order Entry: Orders can be added, modified,
or canceled. Matching occurs.
Market Data: All filled orders update Last
Traded Price and Last Traded Quantity. In
addition, only prices in the Open state affect
the High/Low prices for the trading day.
Resting Market and Limit orders are matched
at the price calculated by the exchange when
the market moves from Pre-Open to Open.
State Changes: Occurs after Pre-Open.
Closed Order Entry: No orders can be added,
modified, or canceled. No matching occurs.
Market Data: No market data is provided
until Pre-Open of the next trading session.
State Changes: Occurs at the end of the
Trading session.
Freeze Order Entry: Orders can be canceled, but can
not added or modified. No matching occurs.
Market Data: No market data is provided
until continuous trading resumes.
State Changes: Occurs whenever continuous
trading is interrupted. May occur for a contract
prior to Pre-Open.
Table 2. CME Market States
14 CME Gateway System Administration Manual
Trading Technologies International, Inc.