MARKET REGULATION ADVISORY NOTICE______________________________________________________________________
Exchange

CME, CBOT, NYMEX & COMEX

Subject

Pre-Execution Communications

Rule References

Rule 539

Advisory Date

April 8, 2024

Advisory Number

CME Group RA2401-5

Effective Date

April 22, 2024

Effective on trade date April 22, 2024, and pending all relevant CFTC regulatory review periods, thisrevised Market Regulation Advisory Notice will supersede CME Group Market Regulation Advisory Notice
RA2112-5R from October 1, 2021. It is being issued in connection with the revision of CME, CBOT,NYMEX/COMEX Rule 539.C. (“Pre-Execution Communications Regarding Globex Trades”) to remove
Agency Cross (“A-Cross”) as an available crossing protocol.
The text of each Exchange’s Rule 539 appears at the end of this Advisory Notice.
No other substantive changes have been made to this Advisory Notice.
A complete list of eligible products and associated crossing protocols may be found here:
http://www.cmegroup.com/rulebook/files/rule-539-c-crossing-protocols.xlsx
1. General Overview of Pre-Execution Communications
Pre-execution communications are defined as communications between market participants for the
purpose of discerning interest in the execution of a transaction prior to the exposure of the order to themarket. Any communication that involves discussion of the size, side of market or price of an order, or apotentially forthcoming order, constitutes a pre-execution communication.
Pre-execution communications are prohibited in connection with options on SOFR futures transactions
executed via open outcry on the trading floor.
Pre-execution communications are permitted in all CME, CBOT, NYMEX and COMEX futures and options
products and CBOT invoice swap spreads traded on Globex.
2. General Requirements for Permissible Pre-Execution Communications on Globex
Pre-execution communications may occur only when the party for whose benefit the trade is being
executed has previously consented to such communications.
Parties who have been involved in an allowable pre-execution communication may not disclose thedetails of that communication to other parties, nor may a party place any order to take advantage of theinformation conveyed in such communications except to facilitate the trade in accordance with the rule.
All transactions arising from permitted pre-execution communications must be executed in accordancewith the requirements set forth in Rule 539.C.
3. Pre-Execution Communications Crossing Protocols on Globex
The permissible protocol(s) for a particular product are set forth in the Table.

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Market participants must ensure that the entry of orders into Globex which result from permissible preexecution communications utilize a permitted cross protocol for the particular product. In many instances,more than one cross protocol may be available for a particular group of products.
The use of an ineligible cross protocol for a particular product or group of products constitutes a violationof Rule 539.C.
A description of the three cross protocols is set forth below:
A. Globex Cross (“G-Cross”)
In a G-Cross, the order of the party that initiated the pre-execution must be entered into Globex first. The
second party’s order may not be entered into Globex until a period of 5 seconds has elapsed from thetime of entry of the first order. No Request for Quote (“RFQ”) is required in a G-Cross.
The G-Cross protocol is available for all futures and swaps products for which pre-execution
communications are permissible. The G Cross protocol may not be used for the entry of any options
orders or any spreads or combinations that include an option.
B. Committed Cross (“C-Cross”)
In a C-Cross, subsequent to the pre-execution communication, a Request for Cross (“RFC”) order whichcontains both the buy and the sell orders must be entered into Globex. Upon entry of the RFC, Globex
will display an indication that a cross has been committed to the market and will occur in five (5) seconds.
Parties to a C-Cross may begin to hedge the risk associated with the pending cross by entering a riskmitigating order as soon as they have agreed to the cross, subject to the following limitations. Hedging is
prohibited in the same product and expiration month, and, for a put or call option, the same strike price as
the agreed upon C-Cross. Further, an intermediary taking the opposite side of a customer order in a CCross transaction is prohibited from beginning to hedge that transaction until the C-Cross has been
executed.
Market participants are reminded that it is a violation of Exchange rules for a person to place any order totake advantage of the details of a forthcoming C-Cross transaction where the participant is acting onmaterial nonpublic information regarding an impending transaction by another person, or is acting on
nonpublic information obtained through a confidential employee/employer relationship, broker/customer
relationship, or in breach of a pre-existing duty. The Exchange may proceed with an enforcement action
when the facts and circumstances of hedging a forthcoming C-Cross suggest deceptive or manipulative
conduct by any of the involved parties, including when an intermediary handling a customer order violates
its agency duties owed to the customer.
Market participants are further reminded that the C-Cross functionality will interact with the orders in theorder book based on the C-Cross algorithm for the product as described below. Parties who engage inpermissible hedging of a C-Cross have the potential to be left with an unhedged position after the cross is
executed.
The matching algorithm for the C-Cross will depend on whether the group of products is eligible for abetter price or volume match (“BPVM”). See the Table for information on products eligible for a BPVM
allocation and the specific match percentage applicable to those products.
1. Matching Algorithm for C-Cross with BPVM:

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April 8, 2024
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If the price of the RFC represents a new best price level (both a bid price higher than the current
bid and an offer price lower than the current offer) or the price of the RFC is equal to the best bid
or offer and the quantity of the RFC is greater than the quantity at that current best bid or offer at
the time of submission of the RFC to Globex, and, during the five (5) second period between theentry of the RFC and the cross occurring, a better price for either the buy or sell order has notbeen entered into Globex, a certain percentage of the quantity (“BPVM allocation”) on the RFC
will cross at the RFC price. After the initial BPVM allocation, the remainder of the RFC will matchas set forth in #2 below.
Where the price of the RFC is equal to the best bid or offer and the quantity of the RFC is greaterthan the quantity at that current best bid or offer, the quantity eligible for the BPVM is thedifference between the RFC quantity and the quantity at that current best bid or offer.
If the event the RFC price does not meet the requirements set forth above, the entirety of thecross will match as set forth in #2 below.
2. Matching Algorithm for C-Cross without BPVM:
If the RFC price improves both the best bid and best offer (or if there is no bid/offer) in the orderbook after the five (5) seconds following submission of the RFC, 100% of the RFC quantity will
match at the RFC price.
If the RFC price matches or is outside the best bid or offer in the market after the five (5) seconds
following submission of the RFC, the applicable side of the RFC order will match against theorders in the book at a price better than or equal to the RFC price. Immediately thereafter, 100%of the smaller quantity remaining on one side of the RFC will match against the order on the
opposite side of the RFC at the RFC price. Any unmatched balance on one side of the RFC willremain in the order book unless it is cancelled by the user.
C-Cross functionality is supported on CME Direct, and may be supported by other Independent Software
Vendors (“ISVs”).
C. RFQ + RFC Cross (“R-Cross”)
In an R-Cross, subsequent to the pre-execution communication, an RFQ for the particular option or
spread or combination involving an option must be entered into Globex. Thereafter, the RFC order must
be entered no less than fifteen (15) seconds and no more than thirty (30) seconds after the entry of the
RFQ in order to proceed with the trade. In CME Dairy futures and options, the RFC order must be enteredno less than five (5) seconds and no more than thirty (30) seconds after the entry of the RFQ in order toproceed with the trade. The RFQ and the RFC order must be entered within the same trading session.
Failure to enter the RFC order within 30 seconds after the entry of the RFQ will require a new RFQ to beentered prior to the entry of the RFC order, which must be entered in accordance with the timeparameters described above in order to proceed with the trade.
Neither the price nor the quantity of the orders on the RFC is displayed to the marketplace. Additionally,
there is no information on the participant-entered RFQ which identifies that an RFC is forthcoming. A
participant-entered RFQ in connection with an R-Cross is indistinguishable from a generic RFQ sent to
Globex.
Numerous ISVs support the R-Cross. For market participants using CME Direct, functionality built into
the application will prevent the entry of the RFC outside of the prescribed time requirements. Thisfunctionality is intended to facilitate compliance with the relevant entry time requirements.
The matching algorithm for R-Cross is as follows:CME Group RA2401-5
April 8, 2024
Page 4 of 7
1. If the RFC price improves both the best bid and best offer in the order book or if there is nobid/offer in the order book, 100% of the RFC quantity will match at the RFC price immediately
upon submission of the RFC.
2. If the RFC price matches or is outside the best bid or offer in the market, the applicable side of
the RFC order will immediately match against the orders in the book at a price better than orequal to the RFC price. Immediately thereafter, 100% of the smaller quantity remaining on one
side of the RFC will match against the order on the opposite side of the RFC at the RFC price.
Any unmatched balance on one side of the RFC will remain in the order book unless it iscancelled by the user.
Additional information on the crossing protocols is available via the following link:
https://www.cmegroup.com/confluence/display/EPICSANDBOX/Cross+on+CME+Globex
4. Rule 539.C. Crossing Protocols Table
A complete list of eligible products and associated crossing protocols may be found here:
http://www.cmegroup.com/rulebook/files/Rule-539-C-Crossing-Protocols.xlsx
Questions regarding this Advisory Notice may be directed to one of the following individuals in Market
Regulation:
Erin Middleton, Director, Rules & Regulatory Outreach, 312.341.3286
Paige Gawrys, Senior Specialist, Rules & Regulatory Outreach, 312.872.5078
Jennifer Dendrinos, Senior Director, Investigations, 312.341.7812
Natasha Selkov, Manager, Investigations, 312.341.7623
Kathryn Guerra, Investigations Specialist, Investigations, 312.341.3028
For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or
news@cmegroup.com.

CME
539.

PREARRANGED, PRE-NEGOTIATED AND NONCOMPETITIVE TRADES PROHIBITED

539.A. General Prohibition
No person shall prearrange or pre-negotiate any purchase or sale or noncompetitively execute any transaction, except
in accordance with Sections B. and C. below.
539.B. Exceptions
The foregoing restriction shall not apply to block trades pursuant to Rule 526 or Exchange for Related Positionstransactions pursuant to Rule 538.
539.C. Pre-Execution Communications Regarding Globex Trades
Parties may engage in pre-execution communications with regard to transactions executed on the Globex platform
where one party (the first party) wishes to be assured that a contra party (the second party) will take the opposite sideof the order under the following circumstances:
1. A party may not engage in pre-execution communications with other market participants on behalf of another party
unless the party for whose benefit the trade is being made has previously consented to permit such
communications.
2. Parties to pre-execution communications shall not (i) disclose to a non-party the details of such communicationsor (ii) enter an order to take advantage of information conveyed during such communications except in accordancewith this rule.
3. Permissible Entry Methods for Orders

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The following order entry methods for futures, options, spreads and combinations vary by product, as set forth in
the Rule 539.C. Crossing Protocols Table (“Table”) in the Interpretations Section at the end of Chapter 5.
a. Globex Cross (“G-Cross”)b.

c.

The first party’s order is entered into the Globex platform first. The second party’s order may not be enteredinto the Globex platform until a period of 5 seconds has elapsed from the time of entry of the first order.
Committed Cross (“C-Cross”)
Following the pre-execution communication, a Request for Cross (“RFC”) order which contains both the buy
and the sell orders must be entered into the Globex platform. Upon entry of the RFC, the Globex platform will
display an indication that a cross will occur in five (5) seconds. In certain products as set forth in the Table in
the Interpretations Section at the end of Chapter 5, a certain percentage of the quantity on the RFC will cross
if the price of the RFC represents a new best price level or if the price of the RFC is equal to the best bid oroffer and the quantity of the RFC is greater than the quantity at that current best bid or offer at the time ofsubmission of the RFC to the Globex platform, and a better price for either the buy or sell order has not beenentered into the Globex platform during the five (5) second period between entry of the RFC and the crossoccurring.
RFQ + RFC Cross (“R-Cross”)
Following the pre-execution communication, a Request for Quote (“RFQ”) for the particular futures, options
spread or combination must be entered into Globex. Thereafter, the RFC order must be entered no less thanfifteen (15) seconds and no more than thirty (30) seconds after the entry of the RFQ in order to proceed withthe trade, except the RFC order in Dairy futures and options must be entered no less than five (5) seconds
and no more than thirty (30) seconds after the entry of the RFQ. The RFQ and the RFC order must be entered
within the same trading session. Failure to enter the RFC order within 30 seconds after the entry of the RFQ
will require a new RFQ to be entered prior to the entry of the RFC order, which must be entered in accordancewith the time parameters described above in order to proceed with the trade.

CBOT
539.

PREARRANGED, PRE-NEGOTIATED AND NONCOMPETITIVE TRADES PROHIBITED

539.A. General Prohibition
No person shall prearrange or pre-negotiate any purchase or sale or noncompetitively execute any transaction, except
in accordance with Sections B. and C. below.
539.B. Exceptions
The foregoing restrictions shall not apply to block trades pursuant to Rule 526 or Exchange for Related Positionstransactions pursuant to Rule 538.
539.C. Pre-Execution Communications Regarding Globex Trades
Parties may engage in pre-execution communications with regard to transactions executed on the Globex platform
where one party (the first party) wishes to be assured that a contra party (the second party) will take the opposite sideof the order under the following circumstances:
1. A party may not engage in pre-execution communications with other market participants on behalf of another party
unless the party for whose benefit the trade is being made has previously consented to permit such
communications.
2. Parties to pre-execution communications shall not (i) disclose to a non-party the details of such communicationsor (ii) enter an order to take advantage of information conveyed during such communications except in accordancewith this rule.
3. Permissible Entry Methods for Orders
The following order entry methods for futures, options, swaps, spreads and combinations vary by product, as set
forth in the Rule 539.C. Crossing Protocols Table (“Table”) in the Interpretations Section at the end of Chapter 5.
a. Globex Cross (“G-Cross”)b.

The first party’s order is entered into the Globex platform first. The second party’s order may not be enteredinto the Globex platform until a period of 5 seconds has elapsed from the time of entry of the first order.
Committed Cross (“C-Cross”)
Following the pre-execution communication, a Request for Cross (“RFC”) order which contains both the buy
and the sell orders must be entered into the Globex platform. Upon entry of the RFC, the Globex platform will
display an indication that a cross will occur in five (5) seconds. In certain products as set forth in the Table inCME Group RA2401-5
April 8, 2024
Page 6 of 7c.

the Interpretations Section at the end of Chapter 5, a certain percentage of the quantity on the RFC will cross
if the price of the RFC represents a new best price level or if the price of the RFC is equal to the best bid oroffer and the quantity of the RFC is greater than the quantity at that current best bid or offer at the time ofsubmission of the RFC to the Globex platform, and a better price for either the buy or sell order has not beenentered into the Globex platform during the five (5) second period between entry of the RFC and the crossoccurring.
RFQ + RFC Cross (“R-Cross”)
Following the pre-execution communication, a Request for Quote (“RFQ”) for the particular futures, options
spread or combination must be entered into Globex. Thereafter, the RFC order must be entered no less thanfifteen (15) and no more than thirty (30) seconds after the RFQ in order to proceed with the trade. The RFQ
and the RFC order must be entered within the same trading session. Failure to enter the RFC order within 30
seconds after the entry of the RFQ will require a new RFQ to be entered prior to the entry of the RFC order,
which must be entered in accordance with the time parameters described above in order to proceed with thetrade.

NYMEX/COMEX
539.

PREARRANGED, PRE-NEGOTIATED AND NONCOMPETITIVE TRADES PROHIBITED

539.A. General Prohibition
No person shall prearrange or pre-negotiate any purchase or sale or noncompetitively execute any transaction, except
in accordance with Sections B. and C. below.
539.B. Exceptions
The foregoing restriction shall not apply to block trades pursuant to Rule 526 or Exchange for Related Positionstransactions pursuant to Rule 538.
539.C. Pre-Execution Communications Regarding Globex Trades
Parties may engage in pre-execution communications with regard to transactions executed on the Globex platform
where one party (the first party) wishes to be assured that a contra party (the second party) will take the opposite sideof the order under the following circumstances:
1. A party may not engage in pre-execution communications with other market participants on behalf of another party
unless the party for whose benefit the trade is being made has previously consented to permit such
communications.
2. Parties to pre-execution communications shall not (i) disclose to a non-party the details of such communicationsor (ii) enter an order to take advantage of information conveyed during such communications except in accordancewith this rule.
3. Permissible Entry Methods for Orders
The following order entry methods for futures, options, spreads and combinations vary by product, as set forth in
the Rule 539.C. Crossing Protocols Table (“Table”) in the Interpretations Section at the end of Chapter 5.
a. Globex Cross (“G-Cross”)
The first party’s order is entered into the Globex platform first. The second party’s order may not be enteredinto the Globex platform until a period of 5 seconds has elapsed from the time of entry of the first order.
b. Committed Cross (“C-Cross”)
Following the pre-execution communication, a Request for Cross (“RFC”) order which contains both the buy
and the sell orders must be entered into the Globex platform. Upon entry of the RFC, the Globex platform will
display an indication that a cross will occur in five (5) seconds. In certain products as set forth in the Table in
the Interpretations Section at the end of Chapter 5, a certain percentage of the quantity on the RFC will cross
if the price of the RFC represents a new best price level or if the price of the RFC is equal to the best bid oroffer and the quantity of the RFC is greater than the quantity at that current best bid or offer at the time ofsubmission of the RFC to the Globex platform, and a better price for either the buy or sell order has not beenentered into the Globex platform during the five (5) second period between entry of the RFC and the crossoccurring.
c. RFQ + RFC Cross (“R-Cross”)
Following the pre-execution communication, a Request for Quote (“RFQ”) for the particular option or option
spread or combination must be entered into Globex. Thereafter, the RFC order must be entered no less thanfifteen (15) seconds and no more than thirty (30) seconds after the entry of the RFQ in order to proceed withthe trade. The RFQ and the RFC order must be entered within the same trading session. Failure to enter theCME Group RA2401-5
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RFC order within 30 seconds after the entry of the RFQ will require a new RFQ to be entered prior to the entryof the RFC order, which must be entered in accordance with the time parameters described above in order toproceed with the trade.