User Help System
Data Structure
Refer to this section for detailed descriptions of field names on each of the screens.
Entitlements - Entitled LCs View
LP GFID
The GFID (Globex Firm ID) is the primary entity representing the Liquidity Provider on the CME platform.
It possesses the following attributes relevant to trading on the EBS Direct and BrokerTec Stream:
| Attribute | Description |
|---|---|
| ID | Unique identifier for the GFID |
| Region | Determines the region in which the GFID operates (Americas / New York, EMEA / London, APAC / Tokyo). In order to provide liquidity to an LC in a given region the LP must also have a GFID there. |
| Disclosed Alias* | Value used to identify the GFID to a LC counterparty on the Market Data and Trades for Disclosed relationships (where counterparty identities are known to each other). |
| Non-Disclosed Alias* | Value used to identify the GFID to a LC counterparty on Market Data and Trades for Non-Disclosed relationships (where counterparty identities are not know to each other). |
*It is possible for the same LP GFID to have both Disclosed and Non-Disclosed Aliases, in which case the GFID is able to support trading on both Disclosed and Non-disclosed bases from the same price streams. It is not necessary, however, and a GFID may have only one type of Alias.
In most cases a globally operating LP will have a GFID in each region, with the same Alias value(s) assigned to each. Our example LP is set up in this way, as follows:
| ID | Region | Disclosed | Non-Disclosed Alias |
|---|---|---|---|
| D1CM | New York | ZCME | P3135 |
| D2CM | London | ZCME | P3135 |
| D3CM | Tokyo | ZCME | P3135 |
Entitlements - Entitled LCs View
Instruments for each LC are listed in Entitled LCs View with the following information:
| Column | Description |
|---|---|
| Product | Type of instrument |
| Instrument | Instrument pair |
| Sweepable | Sweepable Tier assignment |
| Single Ticket | Single Ticket assignment |
| Warning | Any warnings affecting the entitlement status ( e.g. "LC Disabled," "Instrument Disabled") |
Note: Only instruments for which one or more streams were created will appear.
Entitlements - Instruments View
| Column | Description |
|---|---|
| LC Alias | Alias used for the LC in trade messaging. |
| LC Name | CME assigned name for the LC |
| Sweepable | Currently assigned Sweepable Price Segment |
| Single Ticket | Currently assigned Single Ticket Price Segment |
| Warning | Any warnings affecting the entitlement status (e.g. "LC Disabled") |
Download Entitlements
*Note: The same fields apply to Upload Entitlements with the exception of Warning.
The downloaded excel file displays the following information:
| Column | Description |
|---|---|
| LP Code | LP GFID ID |
| LC Alias | Alias of the LC used in all MD/Order flows for this relationship. |
| LC Name | CME-assigned internal LC name |
| Is Disclosed |
Type of Relationship (Disclosed or Non-Disclosed), governing which Aliases are used |
| Security Type | Instrument type |
| Symbol | Instrument pair |
| Region | Region where the Relationship operates (derived from LP GFID) |
| Segment Type | SW (Sweepable) or ST (Single Ticket) |
| Segment Name | Region-Segment-Tier |
| * Warning | Warnings if any (e.g. LC Disabled) |
Relationships View
The Relationship record holds important data governing the trading relationship between the two parties. Relationships have the following primary attributes:
| Attribute | Description |
|---|---|
| Enabled | Enabled/Disabled indicator and toggle. |
| LC Alias | Alias used for the LC in API order trade messaging. |
| LP Alias | Alias used for the LP (determined by LP GFID configuration and Is Disclosed? setting). |
| LP GFID (Globex Firm ID) | The primary entity representing the Liquidity Provider on the CME platform. |
| Business Line | EBS or BTEC |
| Region | Region where the Relationship operates (derived from LP GFID) |
| LC Alias Override | If specified, will override LC Alias field in API order/trade messaging. |
| LP Cpty Settlement Override | If specified, will override Settlement Party field in API order/trade messaging. |
| Is Disclosed | Whether the Relationship trades on a Disclosed or Non-Disclosed basis. |
Price Segments
A Price Segment represents a group of price streams, often referred to as a "tier" of pricing. For example, an LP may have "Gold," "Silver," and "Bronze" price segments, with "Gold" representing premium streams with the narrowest price spreads and the others progressively widening (this terminology is an example, naming of the streams is entirely at client's discretion). Price Segments have the following primary attributes:
| Attribute | Description |
|---|---|
| Enabled | Enabled / Disabled indicator and toggle |
| Name | Name of the Price Segment used throughout the LP Manager tool. This must be unique per GFID/Type. |
| Internal Name | ID for segment that cannot be changed |
| Business Line | CME business line to which the parent GFID belongs. Possible values are "EBS" or "BTEC" (BrokerTec). |
| Region | Region in which the Price Segment operates, derived from the region of the assigned GFID. |
| GFID | Globex Firm ID GFID to which the Price Segment is assigned. |
| Region | Region in which the Price Segment operates, derived from the region of the assigned GFID. |
| Type | SW (Sweepable) or ST (Single Ticket). Determines the matching behavior for all price streams assigned to this Segment. |
| Description | A free text field for describing the segment's use. |
More attributes exist determining various aspects of system behavior. Once created, a Price Segment is assigned to an interface/connection to the liquidity provider. The system will then initiate subscriptions and handle client orders for any price streams on that segment via the assigned interface.
The General tab for a price segment contains the following information:
| Field | Description |
|---|---|
| Name | Free form name |
| Description | Free form description |
| Internal Name | (Not a configurable field - automated value) |
| Type | SW (Sweepable) or ST (Single Ticket) |
| Business Line | CME business line to which the parent GFID belongs. Possible values are "EBS" or "BTEC" (BrokerTec). |
| Region | NY, LN, TY |
| Order Type | PQ (Previously Quoted) or Limit |
| GFID | The Regional LP GFID |
| Matching Configuration | |
| Firm Prices | Firm Matching |
| Use Default Settings (Yes) | Set the Matching Configurations to Default |
| TP Counter (3) | Trade Proposal Counter (# of hits against active quotebook) |
| Quote Inventory Management (Yes) | If enabled, the LPI will manage the quote book, reducing inventory with each trade proposal. (Enabled is default and conservative.) |
| Use Historical Quotes (Yes) | If enabled the LPI matching will utilize historical quotes, the time and depth of historical quotes can be configured for manual users and API users separately. (Disable is default and conservative.) |
| PQ Cache Depth (60) | Quote Book Depth (active and historical price levels - default 60) |
| PQ TTL - API (ms) (50) | PQ TTL - API(# of milliseconds to retain historical quotes for API users) |
| PQ TTL - UI (ms) (500) | PQ TTL - UI(# of milliseconds to retain historical quotes for WS users) |
| Market Data | |
| Use Default Settings | Set the MD Subscription to Default - 3 levels for SW or 10 levels for ST |
| Market Depth (3 for SW, 10 for ST) | The number of price evels that the LPI will subscribe to per subscription. If value equals zero it will request the full book. Preferably 0 (Full book) |
| Rung Size Limit | If set, maximum amount for any amount rung within a Market Data update. Amounts higher than this will be rejected. |
| Max Rungs | If set, maximum number of separate amount rungs permitted within a Market Data update. |
Streams are created underneath Price Segments and represent an actual pricing subscription for a given instrument. It is Streams to which we ultimately assign Liquidity Consumers the entitlement to view.
Note: It is only possible to create one stream per Price Segment for a given instrument.
The Stream tab for a price segments displays the following information:
| Column | Description |
|---|---|
| Enabled | Whether or not subscriptions are active for this stream. |
| Name | Internally assigned name for this stream. |
| Instrument | Name of the Currency Pair (FX) or Instrument (FI) this stream subscribes to |
| Stream ID | Internally assigned ID for this stream. |
| Product Type | Current possible values are SPOT (Spot FX) or USTs (US Treasuries) |
LPM Audit Logs
The LPM Audit logs display the following information:
- Date Modified: date and time of change
- Action: type of change
- Modified By: user who made change
- Reason: why the change was made
- Region: NY, LN, TY
- Instrument: product
- Price Segment:Region-Segment-Tier
- LP GFID: Unique identifier for the GFID for LP
- LC Alias:Alias used for the LC in API order / trade messaging
- Topic: category of change
- Field: parameter that was changed
- Old Value: previous setting
- New Value: new setting
