MARKET REGULATION ADVISORY NOTICE______________________________________________________________________
Exchange

CME, CBOT, NYMEX, COMEX

Subject

Order Routing/Front-End Audit Trail Requirements

Rule References

Rule 536.B.

Advisory Date

September 2, 2020

Advisory Number

CME Group RA2009-5

Effective Date

September 17, 2020

Effective on trade date September 17, 2020, and pending all relevant CFTC regulatory review periods,
this Market Regulation Advisory Notice will supersede CME Group Market Regulation Advisory Notice
RA1913-5 from December 17, 2019. It is being issued based on amendments to Rule 536.B. (“GlobexOrder Entry”) in connection with the migration from iLink 2 to iLink 3.
No substantive information in this Advisory Notice has been amended.
CME, CBOT, NYMEX and COMEX Rule 536.B.2. (“Globex Order Entry – Electronic Audit Trail
Requirements for Electronic Order Routing/Front-End Systems”) requires that the electronic audit trail
associated with any system that accesses the CME Globex platform through the CME iLink® gateway
contain a complete and accurate record of all activity through that connection, and account for every
electronic communication by the order routing or front-end system from the time such order routing or
front-end system receives or generates an electronic communication until it is communicated to CMEGlobex. Further, the Rule requires that CMFs guaranteeing a connection to CME Globex are responsible
for maintaining, or causing to be maintained, the electronic audit trail for a minimum of 5 years.
Firms responsible for the order routing/front-end audit trail of a trading system that accesses CME Globex
through the CME iLink® gateway must have the ability to display data in the required format. Exchange
Drop Copy messages or files do not meet the requirements of Rule 536.B.2., as Drop Copy only reflects
an Exchange-level audit trail and will not include information internal to the firm’s system. Further, theconnected entity must ensure that all trading functionality supported by the system is appropriatelyreflected in the audit trail. For the convenience of those responsible for such order routing or front-endsystems, the Exchanges have updated the CME Group Client Systems Wiki with the new data definitions,required format, and validation rules applied through the certification process of the minimum acceptable
audit trail elements that such systems must capture.
CME Group Market Regulation performs annual reviews of order routing/front-end audit trails to validatethat certified systems capture data in accordance with the minimum acceptable audit trail elements.
Responsibility for Preserving Audit Trails
CMFs guaranteeing a connection to Globex are responsible for maintaining or causing to be maintained
the order routing/front-end system audit trail for all electronic orders (except in the circumstance below
where the CMF’s client is another CMF or an Equity Member Firm), including order entry, modification,cancellation, and responses to such messages (referred to as the “electronic audit trail”), entered into theGlobex platform through the CME iLink® gateway. While CMFs are responsible for this audit trail, many
firms outsource the preservation of the audit trail to a vendor, or require that their directly connectedclients bear the cost of maintaining this data.
In the case where the Guaranteeing CMF has a direct connect client that is another CMF or an Equity
Member Firm, the Guaranteeing CMF may notify the client CMF or Equity Member Firm that it is theirobligation to maintain the audit trail. Upon execution of a written notice, it shall be the duty of the client
CMF or Equity Member Firm to maintain an electronic audit trail pursuant to this rule.
When a new connection is made to CME Globex, connecting entities must provide a sample audit trail
report from the test/certification environment before the system accesses the live environment. Shortly

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September 2, 2020
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after the new system is deployed in the live environment, the connecting entity or the clearing firm isrequired to provide the Market Regulation Department with a full production audit trail report. The
purpose of this review is to verify that the connecting entity’s audit trail meets the minimum datarequirements, and that it can be produced in a standard human readable format. Questions regarding
the submission of sample or production audit trail reports should be sent to AuditTrail@CMEGroup.com.
The text of CME, CBOT, NYMEX and COMEX Rule 536.B. appears below.
536.B. Globex Order Entry
1.
General Requirement
Each Globex Terminal Operator entering orders into Globex shall accurately input for each Application Message
all fields required to be populated by the CME iLink® Message Specifications set forth in the CME Group ClientSystems Wiki in effect at the time, including, but not limited to the: operator ID; price; quantity; product; expiration
month; CTI code; manual order indicator; and account number (except as provided in Section C), and, foroptions, put or call and strike price. The Globex Terminal Operator’s operator ID must be present on eachApplication Message, including order messages, submitted to Globex. For a Globex Terminal Operator withaccess pursuant to Rule 574, t h e clearing member that guarantees such access to Globex will be responsiblefor the Globex Terminal Operator’s compliance with this rule with respect to the following fields: operator ID, CTI
code, manual order indicator and account number. Notwithstanding, and in accordance with Rule 574, a clearing
member must take appropriate action if it has actual or constructive knowledge that a Globex Terminal Operator
has failed to accurately input for each Application Message fields required to be populated by this rule.
With respect to orders received by a Globex Terminal Operator which are capable of being immediately enteredinto Globex, no record other than that set forth above need be made. However, if a Globex Terminal Operator
receives an order which cannot be immediately entered into Globex, the Globex Terminal Operator must preparea written order and include the account designation, date, time of receipt and other information required pursuant
to section A.1. above. The order must be entered into Globex when it becomes executable.
2.
Electronic Audit Trail Requirements for Electronic Order Routing/Front-End Systems
Entities certified by the Exchange to connect an order routing/front-end system to the Globex platform through theCME iLink® gateway are responsible for causing an audit trail of each message entered into Globex to be created.
Clearing members guaranteeing a connection to Globex are responsible for maintaining or causing to bemaintained the electronic audit trail for such systems. This electronic audit trail must be maintained for a minimumof 5 years, and clearing members must have the ability to produce this data in a standard format upon request ofMarket Regulation.
Each such electronic audit trail must be complete and accurate and account for every electronic communicationsuch system sends to or receives from Globex.
This electronic audit trail must contain all order entry, order modification, and Globex response receipt times to thehighest level of precision achievable by the operating system, but at least to the millisecond. The times captured
must not be able to be modified by the person entering the order. The data must also contain all required
information and fields which include, but not limited to, the following:a record of all fields relating to order entry, including transaction date, product, Exchange code, expiration month,quantity, order type, order qualifier, price, buy/sell indicator, stop/trigger price, order number, unique transaction
number, account number, session ID, operator ID, manual order indicator, self-match prevention ID whereapplicable, host order number, trader order number, clearing member, type of action, action status code, customer
type indicator, origin, and timestamps. For executed orders the audit trail must record the execution time of thetrade along with all fill information.
In the case where the guaranteeing Clearing Firm has a direct connect client that is another Clearing Firm or anEquity Member Firm, the Clearing Firm may notify the client Clearing Firm or Equity Member Firm that it is their
obligation to maintain the electronic audit trail. Upon execution of this written notice, it shall be the duty of the client
Clearing Firm or Equity Member Firm to maintain an electronic audit trail pursuant to this rule. Nothing herein
relieves any of the above-referenced firms from compliance with the applicable recordkeeping provisions of CFTC
Regulations, including Regulation 1.31 or 1.35.

Questions regarding this Advisory Notice may be directed to the following individuals in MarketRegulation:
Terry Quinn, Manager, 312.435.3753
Laetizia Moreau, Senior Director, 312.435.3619
For media inquiries concerning this Market Regulation Advisory Notice please contact CME Group Corporate Communications at312.930.3434 or news@cmegroup.com.