CME Globex Messaging Efficiency Program
Version: 10.12
5/14/2024

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CME Globex Messaging Efficiency Program

Contents
REGULATORY AND TRADING ADVICE DISCLAIMER ............................................................. 2
TRADEMARKS ND THIRD-PARTY MARKS ............................................................................... 5
COPYRIGHT ................................................................................................................................... 8
EXECUTIVE SUMMARY ............................................................................................................... 10
1. PROGRAM APPLICATION .................................................................................................. 10
2. SCORING SYSTEM .............................................................................................................. 10
3. VOLUME RATIO……………………………………………………………………………….…...12
4. PRODUCT GROUP BENCHMARKS ................................................................................... 12
5. MESSAGING TIERS AND EXPANDED PRODUCT GROUP BENCHMARKS................... 12
6. OPTIONS .............................................................................................................................. 13
7. MESSAGE QUALITY ............................................................................................................ 13
8. REPORTING ......................................................................................................................... 13
9. NOTICES AND SURCHARGES ........................................................................................... 14
10. EXCEPTIONS ....................................................................................................................... 14
11. REQUEST FOR WAIVER OF SURCHARGES .................................................................... 15
12. RELATED PROGRAMS ....................................................................................................... 16
13. ILINK SESSION ID EXCESSIVE MESSAGING THRESHOLD (EMT)……………………….16
14. GLOBEX FIRM ID EXCESSIVE MESSAGING THRESHOLD (EMT)………………………...17
15. PARTNER EXCHANGES ..................................................................................................... 18
APPENDIX A - SAMPLE GLOBEX FIRM NOTICE ...................................................................... 19
APPENDIX B - CASE EXAMPLES............................................................................................... 21

CME Globex Messaging Efficiency Program

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CME Globex Messaging Efficiency Program

Executive Summary
To encourage responsible messaging practices, ensure efficient market operations, allow forbroad market participation and foster high quality liquid markets, CME Group adopted revisions to
the CME Globex Messaging Efficiency Program (“Program”) which became effective trade date
January 2, 2013.
From an operational perspective, the Program provides transparent messaging thresholds inselected product groups and measures Volume Ratios at the Globex firm level which serve as thebasis for comparison against the established Product Group Benchmark.
Section 15 of this document outlines how the Program will be applied to Partner Exchanges
whose products are traded on the CME Globex platform.

1. Program Application
The Program measures Volume Ratios at the Globex firm level. A Globex firm is identified by thethree-character alpha-numeric value transmitted in positions 4 through 6 of iLink tag 49SenderCompID on the message to CME Globex and iLink tag 56-TargetCompID on the message
from CME Globex. Clearing firms often request separate Globex firm IDs to differentiate iLink
session order flow originating from different business units or customers to increase thegranularity needed for operational support and/or risk management purposes.
Customers may request or CME Group at its discretion may choose to aggregate the messaging
and volume of multiple Globex firms in circumstances where the customer executes its businessunder more than one Globex firm. In these circumstances aggregation will begin as of the first of
the month following the decision to move forward with the aggregation. Customers who failaggregation will be responsible for surcharges at the individual Globex firm level.

2. Scoring System
To encourage more efficient messaging behavior and increase market liquidity, the Program
incorporates a messaging scoring system.
The CME Messaging Efficiency Program scoring system establishes a Globex firm’s messaging
score based on the specific message type submitted. The raw message count for each type of
message submitted is multiplied by a pre-defined weighting factor; weighted messaging is thentotaled to calculate the messaging score. The following order types and pre-defined factors areincluded in a Globex firm’s messaging score:

Order TypeNew Order
Order Modification
Order Cancellation

Tag-Message TypeTag 35-MsgType=D
Tag 35-MsgType=G
Tag 35-MsgType=F

Order Mass Action
RequestTag 35-MsgType=CA

Fill and Kill
MinQtyAny order eliminatedwith Tag 59 = 3 Fill andKill
Any order eliminatedwith Tag 110-MinQty

CME Globex Messaging Efficiency Program

Pre-Defined
Factor0
1
3
3*number oforderscancelled33

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CME Globex Messaging Efficiency Program

The calculation of the Raw Message Count and Messaging Score are as follows:
Raw Message Count (Orders + Modifications + Cancellations + Eliminations)
Messaging Score (# of modifications) + (# of order cancellations * 3) + (#FAK or FOK orders
eliminated * 3).
The following are excluded from the CME Globex Messaging Efficiency Program messaging
score calculation:•

New orders•

Mass quote messaging and volume•

Back month messaging in selected Product Groups•o

In Product Groups KE, ZC & ZW, a total of 4 contracts are used in the calculation. The
front three listed contracts will be included in the calculation as well as the closest July or
December contract.

o

Product Groups MH, XC, XK & XW Mini contracts are excluded.

o

In Product Group ZS, which includes only Soybeans as Soymeal and Soy Oil are notincluded in Messaging Efficiency Program calculations, a total of 4 contracts are used in
the calculation. The front three listed contracts will be included in the calculation as wellas the closest July or November contract.

o

Product Group ME Micro E-mini are excluded.

oProduct Group N1 E-Mini are excluded.

oIn futures Product Groups 6A, 6B, 6C, 6E, 6J and 6S, only the quarterly months ofMarch, June, September and December are subject to Messaging Efficiency Program
calculations. All other expiries as well as all E-mini & E-micro Forex products are
excluded.

o

In Product Group SS, the first 8 quarterly months are used in the calculation. All otherexpiries as well as Packs and Bundles are excluded.

o

In Product Group CL, a total of 4 contracts are used in the calculation: The first 3 contract
months plus the nearest June or December contract. If June or December are part of thefirst 3 contract months, then the next June or December will make up the 4th contract. Allother expiries as well as all E-mini & Micro products are excluded.

o

In Product Group OP, the first 4 contracts are used in the calculation. All other expiries
are excluded.

o

In Product Group NG, a total of 4 contracts are used in the calculation: The first 3
contract months plus the next available January, April, July, or October contract. If a
January, April, July, or October contract are part of the first 3 contract months, then thenext January, April, July, or October contract will make up the 4th contract. All otherexpiries as well as all E-mini products are excluded.

oIn futures Product Groups GC, SI, HG, E-mini & Micro products are excluded.

Globex firms submitting 20,000 or fewer daily messages during RTH in a particular productgroup.

CME Globex Messaging Efficiency Program11

CME Globex Messaging Efficiency Program

3. Volume Ratio
The Volume Ratio measures the ratio between a Globex firm’s messaging score and the Globex
firm’s traded volume in a particular product group during the hours in which the Program is ineffect, which are set forth below. The Globex firm’s Volume Ratio serves as the basis forcomparison against the established Product Group Benchmark.

Volume Ratio =Total Globex firm messaging score
Total Globex firm volume

For purposes of this Program, the Volume Ratio is calculated for all messaging that occurs during
Regular Trading Hours (RTH). RTH is defined as the hours between 7:00 a.m. and 3:15 p.m.
Central Time (“CT”).

4. Product Group Benchmarks
Each quarter, CME Group determines the Product Group Benchmark for a given product groupbased on the business needs of the market and on observed performance over several time
periods. In addition to considering past market behavior, CME also takes into account the uniquedynamics of each market as well as the level of messaging needed to enhance liquidity.
CME Group applies the Program to product groups which exhibit inefficient messaging traffic. The
particular product groups subject to the Program and the corresponding Product Group
Benchmarks are established and announced each quarter unless business circumstances for aparticular product or product group require changes to be implemented more frequently. Current
Product Group Benchmarks are available on the CME Group website.
Any changes to the Product Group Benchmarks will be communicated via the CME Globex
Notices. If you are not currently receiving the CME Globex Notices, please go towww.cmegroup.com/subscribe to sign up to receive them.

5. Messaging Tiers and Expanded Product Group
Benchmarks
To encourage broader market participation by lower messaging Globex firms, CME Group added
the following Raw Daily Messaging Tiers and expanded Product Group Benchmarks beginning
trade date January 2, 2013.
Raw Daily Messaging Tiers≤20,000 Raw Daily Messages
20,001-40,000 Raw Daily Messages
40,001-60,000 Raw Daily Messages>60,000 Raw Daily Messages

Product Group Benchmark
Not Applicable
3X Product Group Benchmark
2X Product Group Benchmark
Product Group Benchmark

Under the Program, as the amount of messaging from a Globex firm rises, their messaging
efficiency must increase.
Please refer to the CME Group website for a complete list of Product Group Benchmarks to which
the Program applies.

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CME Globex Messaging Efficiency Program

6.

Options

Options product groups which are included in the CME Globex Messaging Efficiency Program arescored in the same manner as futures product groups. As noted in Section 2, mass quotemessaging and associated volume are excluded from options product group scoring calculation.
However, for participants with more than one Mass Quote-eligible iLink tag 49-SenderCompID
permissioned for the same instrument group, CME Group permits a maximum aggregate resting
quote quantity, per side and price level, that is equal to the instrument’s maximum order size.
• Please note the aggregate resting quote quantity is calculated across all of theparticipant’s tag 49-SenderCompIDs.
• Please refer to Appendix B for examples involving compliant and non-compliant quoting
behavior.
Mass Quote users who do not follow CME Group’s guidelines are subject to lose theirMarket Maker and/or Mass Quote privileges.
A list of current Product Group Benchmarks which are included in the CME Globex Messaging
Efficiency Program is available on the CME Group website.

7. Message Quality
The Program is applied to market participants as defined in Section 1; however, CME Group
expects responsible, quality messaging from all market participants across all products at all
times.
To address cases of extreme, low quality messages which do not generate corresponding volume
and may negatively impact markets trading on CME Globex, CME Group, at its discretion, mayalso apply the Program at more granular levels (e.g., account, Operator ID (Tag 50), or iLink
Session ID). In such cases, CME Group will advise the participant accordingly.
Notwithstanding the above, pursuant to Rule 579.A., the Global Command Center has theauthority to take any action deemed appropriate to preserve market integrity in CME Groupmarkets, including but not limited to, restricting customer access to Globex or any other actions
deemed to be in the best interest of the Exchange.

8. Reporting
CME Group analyzes messaging activity and trading volume and produces reports for a Globex
firm whenever the Globex firm exceeds a Product Group Benchmark for a given trade date.
Report data is segregated by product group with a pass/fail status for each product group. The
following scenarios may be reported:•

Pass (1) indicates a Globex firm has a raw daily message count > 60,000 and the Volume
Ratio is ≤ Product Group Benchmark.

•Pass (2) indicates a Globex firm has a raw daily message count between 40,001 – 60,000
and the Volume Ratio is ≤ 2X Product Group Benchmark.

•Pass (3) indicates a Globex firm has a raw daily message count between 20,001– 40,000
messages and the Volume Ratio is ≤ 3X Product Group Benchmark.

•Pass (0) indicates a Globex firm has a raw daily message count < 20,000 in a specificproduct group and is therefore automatically exempt from the Product Group Benchmark.

•Fail (1) indicates a Globex firm has a raw daily message count > 20,000 and the Volume
Ratio is > the applicable Product Group Benchmark for the applicable Messaging Tier.

CME Globex Messaging Efficiency Program

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CME Globex Messaging Efficiency Program

In addition, Globex firm reports are divided by the following categories so that the origin of themessaging and trading activity is easily identifiable:•

Globex firm•iLink Session ID•

Account number•

Operator ID (Tag 50)

Daily email notifications are available on a T + 1 basis and are distributed to registeredadministrators of the clearing firm as well as registered recipients of the Globex firm.
Specific messaging related statistics are broken down by the categories listed above and areavailable in the Firm Administrator Dashboard.
Requests by Globex firms to receive direct e-mail notifications and/or access to the Firm
Administrator Dashboard are granted at the sole discretion of the applicable Globex firm CME
clearing firm administrator.

9. Notices and Surcharges
If a Globex Firm ID’s daily Volume Ratio exceeds the established Product Group Benchmark andall exemption types have been exhausted or are not applicable, CME Group will levy a surchargeof $1,000 per product group, per day.
Please refer to Sections 13 &14 regarding surcharges and penalties associated with theExcessive Messaging Threshold (EMT).
Surcharges are identified with the code “MPS” (Messaging Program Surcharge) on the registeredentity’s monthly billing statement.
In instances where the MEP surcharges of a non-clearing firm registered entity remain unpaid,
those surcharges may be billed to the current clearing firm of record for the related Globex Firm
ID.
Clearing firms may alter the Messaging Efficiency Program surcharges they bill to their customers
provided they do not misrepresent the amount of the charges billed to them by CME Group inaccordance with this Program.

10. Exceptions
To account for unusual market conditions, the following are exceptions to the CME Globex
Messaging Efficiency Program.
•

Globex firms will automatically receive a waiver of two daily surcharges per calendar month,
per exchange grouping (CME/CBOT and NYMEX/COMEX). No action on the part of the
Globex firm is necessary in this regard and any applicable waivers will be applied at the endof each calendar month.
This waiver will not apply to surcharges for daily Product Group Volume Ratios greaterthan six times the listed Product Group Benchmark at the applicable tier level for the
product group on the day which the violation occurred.

•

The Program will not be applied on certain dates before/on/after U.S. recognized holidays.
Please refer to the CME Globex Messaging Efficiency Program Holiday Calendar as to when
Program Ratios for all Product Groups included in the Program will not be calculated.

CME Globex Messaging Efficiency Program

14

CME Globex Messaging Efficiency Program•

All daily surcharges for a Globex firm during a given calendar month will be automaticallywaived if its Volume Ratio for the entirety of a calendar month is less than or equal to thelisted Product Group Benchmark.
To calculate this exception, the following will be utilized when determining a Globex firm’smonthly MEP Volume Ratio:ooo

CME Group will count messaging and volume on all days in which the MEP is in effectduring a calendar month and a Globex firm has recorded raw messaging in a particular
product group.
Average raw messaging in each product group for the calendar month will determine thetier level calculation and assignment.
∑ of monthly messaging score / ∑ of monthly volume

The calculation of this exception is as follows:
Monthly Volume Ratio = ((# of order modifications *1) + (# of order cancellations *3) + (# FAKor FOK order types *3)) for a calendar month / Volume for a calendar month*Only counting days when the MEP is enforced and a Globex firm has submitted raw
messaging in a particular product group.
This waiver will not apply to surcharges for daily Product Group Volume Ratios greaterthan six times the listed Product Group Benchmark at the applicable tier level for the
product group on the day which the violation occurred.
•Market participants designated by CME Group as Registered Market Makers in SOFR
Futures, 30 Day Federal Funds Futures and E-mini S&P 400 Futures or enrolled in other
Exchange programs designed to promote liquidity may be exempt from standard ProductGroup Benchmarks. But will be held to the parameters in the Excessive Messaging
Thresholds (EMT). Please refer to Sections 14 and 15 in this document for EMT related
information.
oMarket participants who believe they are designated by CME Group as Registered
Market Makers or enrolled in other Exchange programs designed to promote liquidity andexempt from standard Product Group Benchmarks should verify their status with an
Exchange representative and request a written confirmation of the specific Product Group
Benchmarks that apply to them.

11. Request for Waiver of Surcharges
A clearing firm administrator or an approved Globex firm representative may submit a Request for
Waiver (RFW) of a surcharge if the firm believes that there was a compelling justification forexceeding the applicable messaging threshold. Waiver requests for the MEP and the EMT mustbe submitted between the first and 10th business day of the month following the month in which
the Messaging Program surcharge occurred. CME Group will carefully consider well justified
RFWs and will subsequently notify the clearing firm administrator of CME Group’s decision.
In an effort to streamline administration, CME Group enhanced the Firm Administrator Dashboard
to give clearing firm administrators and approved Globex firm users the ability to enter RFWs
directly into the tool.

CME Globex Messaging Efficiency Program

15

CME Globex Messaging Efficiency Program

RFWs are not required until the previous months’ monthly ratio has been calculated and applied.
If a Globex firm’s exceptions are not waived based on their monthly ratio, user’s will have 10
business days from the last calendar day of the month for the previous month’s activity to submit
an RFW.
In the event an RFW is denied or not applicable, the surcharge(s) will be billed at the end of thesecond calendar month following the date the Volume Ratio was exceeded.

12.

Related Programs

In addition to the CME Globex Messaging Efficiency Program, all market participants should beaware of the following programs and guidelines:
•
•
•
•
•

Messaging Controls
CME Globex Port Closure
Trading at Settlement and Trading at Marker Transactions
Mass Quoting
iLink Session ID Policy and Operational Guidelines

Market participants are strongly encouraged to review the specific documentation pertaining tothese programs and guidelines to ensure compliance.

13. iLink Session ID Excessive Messaging Threshold(EMT)
To encourage responsible messaging practices during all trading hours in which the Globex
platform is available, CME Group added an Excessive Messaging Threshold (EMT) to the CME
Globex Messaging Efficiency Program for iLink Session IDs which took effect trade date October28, 2019.
Please refer to section 15 in this document for EMT related information for Partner Exchanges.
The EMT is part of the Messaging Efficiency Program but does not recognize the MEP holiday
calendar.
For example••

Presidents’ Day is recognized within the MEP holiday calendar on Friday, Sunday andMonday.
Within EMT, Presidents’ Day would not be recognized.
o Friday would be a normal EMT calculation.
Sunday restart until the early halt on Monday, would be another EMT calculation.
Monday night restart through the close on Tuesday, would be yet another EMT
calculation.

The associated EMT calculations pertaining to iLink Session IDs are as follows:••

Raw Message Count (Orders + Modifications + Cancellations + Eliminations)
Messaging Score (# of modifications) + (# of order cancellations * 3) + (#FAK or FOK orders
eliminated * 3).

•𝐕𝐨𝐥𝐮𝐦𝐞 𝐑𝐚𝐭𝐢𝐨 =iLink Session ID Product Group Messaging Score
iLink Session ID Product Group Volume

Both the Raw Message Count and Messaging Scores are calculated and applied at the Globex
iLink Session ID level and are in effect during all trade dates and hours in which the Globex
platform is open. All futures and options product groups traded on Globex are included in the

CME Globex Messaging Efficiency Program16

CME Globex Messaging Efficiency Program

EMT. There are no exemptions within these products groups for EMT, as there is for MEP. And
all instruments and expiries within a product group are included in EMT calculations.
For example••

The ZS group MEP calculation does not include ZM or ZL. However, for the EMT calculation,
ZM and ZL are included in the ZS group messaging score.
Within SOFR futures, the first 8 quarterly contracts are included in MEP. For EMT, all listed
GE instruments and expiries are included.

CME Group reserves the right to add or remove product groups at its discretion. Unlessotherwise stated, all futures & options product groups available on the Globex platform areincluded in the EMT.
Unless otherwise stated, all exclusions, exemptions, exceptions and aggregation as noted in thisdocument for the RTH Program do not apply to the EMT.
Any iLink Session ID which exceeds a Raw Message Count of 1 million for a Globex trade date
and a Volume Ratio >500:1 in each individual product group subject to the EMT, may be subject
to the following escalations:••$10,000 surcharge per occurrence.
iLink Session port closure with accompanying $1,000 port closure fee.

iLink Session ports will be reopened upon Global Command Center (GCC) determination that the
detrimental behavior has been corrected.
The GCC will require a written explanation ensuring the customer has a complete understandingof the system failure.
In addition to the explanation, the GCC will require detailed information as to what mitigating andprogrammatic steps the customer will put in place to ensure the offending activity does not occur
again.
Subsequent surcharges and any port closure will trigger a referral to Market Regulation for
consideration of charges for the violation of Exchange rules.

14. Globex Firm ID Excessive Messaging Threshold(EMT)
To encourage responsible messaging practices during all trading hours in which the Globex
platform is available, CME Group added an Excessive Messaging Threshold (EMT) to the CME
Globex Messaging Efficiency Program for Globex Firm IDs which take effect January 26, 2020.
Please refer to section 15 in this document for EMT related information for Partner Exchanges.
The EMT is part of the Messaging Efficiency Program but does not recognize the MEP holiday
calendar.
For example••

Presidents’ Day is recognized within the MEP holiday calendar on Friday, Sunday andMonday.
Within EMT, Presidents’ Day would not be recognized.

CME Globex Messaging Efficiency Program17

CME Globex Messaging Efficiency Program

Friday would be a normal EMT calculation.
Sunday restart until the early halt on Monday, would be another EMT calculation.
Monday night restart through the close on Tuesday, would be yet another EMT calculation
The associated EMT calculations pertaining to Globex Firm IDs are as follows:••

Raw Message Count (Orders + Modifications + Cancellations + Eliminations)
Messaging Score (# of modifications) + (# of order cancellations * 3) + (#FAK or FOK orders
eliminated * 3).

•𝐕𝐨𝐥𝐮𝐦𝐞 𝐑𝐚𝐭𝐢𝐨 =Globex Firm ID Product Group Messaging Score
Globex Firm ID Product Group Volume

Both the Raw Message Count and Messaging Scores are calculated and applied at the Globex
Firm ID level and are in effect during all trade dates and hours in which the Globex platform isopen. All futures and options product groups traded on Globex are included in the EMT. There
are no exemptions within these products groups for EMT, as there is for MEP. And all instruments
and expiries within a product group are included in EMT calculations.
For example••

The ZS group MEP calculation does not include ZM or ZL. However, for the EMT calculation,
ZM and ZL are included in the ZS group messaging score.
Within SOFR futures, the first 8 quarterly contracts are included in MEP. For EMT, all listed
GE instruments and expiries are included.

CME Group reserves the right to add or remove product groups at its discretion. Unlessotherwise stated, all futures & options product groups available on the Globex platform areincluded in the EMT.
Unless otherwise stated, all exclusions, exemptions, exceptions and aggregation as noted in thisdocument for the RTH Program do not apply to the EMT.
Any Globex Firm ID which exceeds a Raw Message Count of 10 million for a Globex trade date
and a Volume Ratio >500:1 in each individual product group subject to the EMT, may be subject
to the following escalations:••$10,000 surcharge per occurrence.
iLink Session port closure with accompanying $1,000 port closure fee.

iLink Session ports will be reopened upon Global Command Center (GCC) determination that the
detrimental behavior has been corrected.
The GCC will require a written explanation ensuring the customer has a complete understandingof the system failure.
In addition to the explanation, the GCC will require detailed information as to what mitigating andprogrammatic steps the customer will put in place to ensure the offending activity does not occur
again.
Subsequent surcharges and any port closure will trigger a referral to Market Regulation for
consideration of charges for the violation of Exchange rules.

15. Partner Exchanges
The breadth of products available on CME Globex continues to grow, including the regular listingof new CME Group exchange products and products of our global exchange partners.

CME Globex Messaging Efficiency Program18

CME Globex Messaging Efficiency Program

To promote efficient messaging and foster high quality, liquid markets, each Partner Exchange, incoordination with CME Group, is responsible for determining appropriate messaging practices for
its Globex-listed products.
CME Group may publish and administer this Program on behalf of a Partner Exchange; however,the Program Product Group Benchmarks are governed by the rules of the Partner Exchange
listing the product group.
The iLink session Excessive Messaging Threshold (EMT) is applicable to Partner Exchanges andthe associated EMT calculations pertaining to Partner Exchange iLink Session IDs are as follows:••

Raw Message Count (Orders + Modifications + Cancellations + Eliminations)
Messaging Score (# of modifications) + (# of order cancellations * 3) + (#FAK or FOK orders
eliminated * 3).

•𝐕𝐨𝐥𝐮𝐦𝐞 𝐑𝐚𝐭𝐢𝐨 =iLink Session ID Product Group Messaging Score
iLink Session ID Product Group Volume

Any iLink Session ID which exceeds a Raw Message Count of 1 million for a Globex trade date
and a Volume Ratio >500:1 in each individual product group subject to the EMT, may be subject
to the following escalations:•••

Warning notification stating iLink session ID(s) exceeded EMT threshold.
Second warning notification stating associated market participant a GCC port closure will
result if a third instance occurs within a rolling 12-month period.
iLink Session port closure with accompanying $1,000 port closure fee.

iLink Session ports will be reopened upon Global Command Center (GCC) determination that the
detrimental behavior has been corrected.
The GCC will require a written explanation ensuring the customer has a complete understandingof the system failure.
In addition to the explanation, the GCC will require detailed information as to what mitigating andprogrammatic steps the customer will put in place to ensure the offending activity does not occur
again.
Subsequent surcharges and any port closure will trigger a referral to Market Regulation for
consideration of charges for the violation of Exchange rules.

Appendix A - Sample Globex firm Notice
The following is a sample notice sent by CME Group to Clearing Firm administrators andregistered Globex firm individuals in the event of a Messaging Efficiency Program infraction.
CME Globex Messaging Efficiency Program ticket number xxxxxx. Please reference this number
when submitting a Request for Waiver (RFW).
In accordance with the CME Globex Messaging Efficiency Program (Program), this notice details
potential surcharges levied by CME Group as a result of your Volume Ratio having exceeded theProduct Group Benchmarks on the CME Globex platform. Please utilize the Firm Administrator
Dashboard to obtain specific messaging details. It is advised that you communicate relevant
information to parties whose messaging contributed to exceeding the established Product Group
Benchmarks in an effort to avoid surcharges.

CME Globex Messaging Efficiency Program

19

CME Globex Messaging Efficiency Program

1. Your trading activity has exceeded Product Group Benchmarks on:o Trade Date:o For the Following Product Group:o Volume Ratio greater than six times the listed Product Group Benchmark: (No orYes)o Potential Surcharge: $1000.00
2. The last prior date that your firm exceeded Product Group Benchmarks was:
CME Group will additionally measure each Globex firm's monthly Volume Ratio. A Globex firm's
daily surcharges during a given month will be waived if its Volume Ratio for the entirety of themonth is less than or equal to the listed Product Group Benchmark. However, such waivers will
not apply to surcharges for daily Volume Ratios greater than six times the listed Product Group
Benchmark.
If you believe that there are well justified reasons for the breach of the cited Messaging Efficiency
Program Product Group Benchmark threshold that warrant reconsideration of the surcharge, you
may submit a Request for Waiver that includes the detailed basis for the request, as well as any
steps taken to ensure future compliance with the Messaging Efficiency Program. The Request for
Waiver must also include the Messaging Efficiency Program ticket number and the date of theoccurrence.
Requests for reconsideration of surcharges may be sent via email tomessagingprogramwaivercommittee@cmegroup.com or entered into the Firm Administrator
Dashboard and must be received within 10 business days following the last calendar day of themonth in which the surcharge was incurred.
Thank you for your cooperation in addressing the cited messaging issues and ensuring
compliance with the CME Group Messaging Efficiency Programs.
If you have any questions, please refer to the CME Globex Messaging Efficiency Program orcontact the following:••

Global Command Center (GCC) at 1.800.438.8616.
Global Account Management at 312.634.8700, or +44 203 379 3754 in Europe or +656593-5555 in Asia.

CME Globex Messaging Efficiency Program20

CME Globex Messaging Efficiency Program

Appendix B - Case Examples
Pass 1: Pass Daily Volume Ratio ≤ Product Group Benchmark•

Product Group = ES•

Product Group Benchmark = 10 (Tier 1)•

Globex firm activity:
Raw
Messaging
100,000

Raw
Messaging
Tier
1

New
Orders
10,000Order
Modifications
89,000•Globex firm Messaging Score calculation:o (89,000*1) + (500*3) + (500*3) = 92,000•

Pass Volume Ratio test:

Order
Cancellations
500

FAK/FOK
Orders500

MessagingScore
92,000Volume20,00092,000= 4.6  10
20,000•Surcharge fee does not apply as Volume Ratio of 4.6 does not exceed Product Group Tier 1
Benchmark of 10.

Pass 2: Pass Daily Volume Ratio = Tier 2 Product Group Benchmark•

Product Group = ES•

Product Group Benchmark = 20 (Tier 2)•

Globex firm activity:
Raw
Messaging
45,000Raw
Messaging
Tier
2

New
Orders
25,000Order
Modifications
5,000

•

Globex firm Messaging Score calculation:o (5,000*1) + (10,000*3) + (5,000*3)= 50,000•

Pass Volume Ratio test:

Order
Cancellations
10,000FAK/FOK
Orders
5,000

MessagingScore
50,000Volume5,000

50,000= 10.0  20
5,000•Surcharge fee does not apply as Volume Ratio of 10 does not exceed Product Group Tier 2
Benchmark of 20.

Pass 3: Pass Daily Volume Ratio = Tier 3 Product Group Benchmark•

Product Group = ES•

Product Group Benchmark = 30 (Tier 3)

CME Globex Messaging Efficiency Program21

CME Globex Messaging Efficiency Program•

Globex firm activity:
Raw
Messaging
21,000Raw
Messaging
Tier
3

New
Orders
12,000Order
Modifications
3,000

•

Globex firm Messaging Score calculation:o (3,000*1) + (5,000*3) + (1,000*3) = 21,000•

Pass Volume Ratio test:

Order
Cancellations
5,000

FAK/FOK
Orders
1,000

MessagingScore
21,000Volume2,000

21,000= 10.5  30
2,000•Surcharge fee does not apply as Volume Ratio of 10.5 does not exceed Product Group Tier 3
Benchmark of 30.

Pass 0: Pass Low Message Count•The number of messages by the Globex firm in a specific product group is below theminimum message count threshold.

•Product Group = ES•

Product Group Benchmark = N/A•Globex firm activity:
Raw
Messaging
10,000Raw
Messaging
Tier
N/A

New
Orders
8,400

Order
Modifications
1,000

Order
Cancellations
500

FAK/FOK
Orders100

Messaging
Score
2,800

Volume100•

Globex firm Messaging Score calculation:
o N/A

•

Surcharge fee does not apply as 10,000 Raw Messaging< 20,000 messaging threshold andis therefore automatically exempt from the Product Group Benchmark.

Pass: Calendar Month Volume Ratio Exemption; Tier 1 Product Group Benchmark•

A Globex firm’s Volume Ratio for the entirety of a calendar month is less than or equal to thelisted Product Group Benchmark in the applicable messaging tier.

•

Product Group = ES•

Product Group Benchmark = 10 (Tier 1)•

Globex firm activity for the entire calendar month:Raw
Messaging
1,570,000

Raw
Messaging
Tier
3

New
Orders500,000

Order
Modifications
1,000,000

CME Globex Messaging Efficiency Program

Order
Cancellations
60,000FAK/FOK
Orders
10,000

Messaging
Score
1,210,000

Volume405,000

22

CME Globex Messaging Efficiency Program•

Calendar days where raw messaging occurred: 20
o Average Daily Messaging = 78,500
o Volume Ratio never exceeded 6x the Tier 1 Product Group Benchmark on any calendar
day where messaging occurred.

•

Globex firm Messaging Score calculation for the calendar month:o ((1,000,000*1) + (60,000*3) + (10,000*3)) = 1,210,000•

Pass Volume Ratio test:

1,210,000= 2.9  10
405,000•

All daily surcharges for a calendar month are waived as the Globex firm’s monthly messaging
score for the applicable calendar month does not exceed Tier 1 Product Group Benchmark of
10 and there no daily Product Group Volume Ratios greater than six times the listed ProductGroup Benchmark at the applicable tier level for the product group on the day which theviolation occurred.

Fail 1: Fail Volume Ratio•

Market participant exceeds Product Group Benchmark in any of the three messaging tiers.

•

Product Group = ES•

Product Group Benchmark = 10 (Tier 1)•

Globex firm activity:
Raw
Messaging
122,000

Raw
Messaging
Tier
1

New
Orders61,000Order
Modifications
20,000

Order
Cancellations
40,000•Globex firm Messaging Score calculationo (20,000*1) + (40,000*3) + (1,000*3) = 143,000•

Daily Messaging Scoring Tier = 1•

Fail Volume Ratio test:

FAK/FOK
Orders
1,000

Messaging
Score
143,000

Volume10,000143,000= 14.3  10
10,000•Surcharge fee pending. Three different exemption possibilities:
1. Globex firms are automatically eligible for the waiver of two daily surcharges per
calendar month, per exchange grouping (CME/CBOT and NYMEX/COMEX).
2. CME Group applies Calendar Month Ratio exemption as the monthly Volume Ratio ≤ the
Product Group Benchmark.
3. Firm may submit RFW. The decision regarding the waiver request will be dependent on
the reason for exceeding the Product Group Benchmark.

CME Globex Messaging Efficiency Program23

CME Globex Messaging Efficiency Program

Mass Quote Maximum Aggregate Resting Quote Quantity•••

Participant A has three Mass Quote-eligible tag 49 SenderCompIDs for the ZE instrumentgroup (Eurodollar options).
All three tag 49 SenderCompIDs are quoting top of book in the front month at-the-money call
option.
The sum of the quotes across all three tag 49 SenderCompIDs must be equal to or less thanthe maximum order size, 49,999 lots.
oApproved- Tag 49 SenderCompID1 rests with 20,000 lots
- Tag 49 SenderCompID2 rests with 20,000 lots
- Tag 49 SenderCompID3 rests with 5,000 lotso

Not Approved- Tag 49 SenderCompID1 rests with 49,999 lots
- Tag 49 SenderCompID2 rests with 20,000 lots
- Tag 49 SenderCompID3 rests with 5,000 lots

CME Globex Messaging Efficiency Program24

CME Globex Messaging Efficiency Program

Revision History
Version
7.0
7.1
7.2

Date
8/2/2012
8/24/201212/18/2012

Author
CR
CR
CR

7.3
7.4

12/20/2012
5/1/2013

CR
CR

7.5

8/1/2013

CR

7.6

8/12/2013

CR

7.7

11/1/2013

CR

7.8
7.9
8.0
8.1

11/5/2013
1/9/2014
7/7/2014
5/27/15

CR
CR
CR
CR

8.2
8.3

7/9/15
2/8/16CR
CR

8.4

6/30/16

CR

8.5
8.6

11/3/16
1/9/17CRCR

8.7

4/10/17CR

8.8

12/8/17CR

8.9

6/27/18

CR

CME Globex Messaging Efficiency Program

Description
Messaging Efficiency Program
Revised Appendix A to state 6x PGB.
Revised trading hours, FADB messaging statavailability, Messaging Controls link, and Appendix
B.
Revised RFW requirements
Added holiday exemptions, Eurodollar market
maker information, secondary monthly calculation,
Asia GAM Hotline, Appendix A & case example
benchmarks.
Added daily exemption application at month end
and state 6x PGB.
Revised surcharge monthly billing statement
verbiage. Added market maker exemption
verification.
Added surcharges for aggregated fails at Globex
firm level & back month grain exemptions.
Revised Messaging Controls hyperlink on page 8.
Revised page 7 holiday enforcement.
Revised page 8 monthly ratio calculation.
Replaced the following hyper-links:
Holiday Calendar, GCC Port Closure, Trade at
Settlement, Mass Quoting, and iLink Session ID
Policy and Operational Guidelines.
Removed Galax-C from the disclaimer.
Revised verbiage in Section 4 and market makerinformation in Section 9.
Revised Section 2 to include Order Mass Action
weightings, added product group OP and Section 6
options information.
Revised page 5 to include KE
Revised section 2 to include FX futures serial
month exemptions.
Replaced executing firm reference with Globex firm.
Revised section 8 to reflect email notifications will
no longer contain attachment.
Revised section 6 to include mass quote maximum
aggregate resting quote quantity and associatedexamples to Appendix B.
Revised section 2 to reflect mass quote messaging
and associated volume are not counted in MEP.
Revised section 10 and Appendix B Use Case
Calendar Month Volume Ratio Exemption to state
waivers are not applied when daily Product Group
Volume Ratios greater than six times the listed
Product Group Benchmark at the applicable tierlevel for the product group on the day which theviolation occurred.

25

CME Globex Messaging Efficiency Program

Version
9.0

Date
7/6/18

AuthorCR

9.1

1/17/19CR

9.2

4/9/19CR

9.3

7/8/19

CR

9.4
9.5
9.6
9.7
9.8
9.9

9/30/19
10/25/19
10/28/19
11/27/19
12/17/19
1/21/20

CR
CR/EE
CR
CR
CR
CR

10.0
10.1
10.2
10.3

10/21/20
2/1/21
3/29/21
4/14/21

CR
CR
CR
CR

10.4
10.5
10.6
10.7
10.8
10.9

4/1/22
9/27/22
1/24/23
3/20/23
3/31/23
4/27/23

CR
CR
CR
CR
CR
CR

10.10
10.11
10.12

5/9/23
6/27/23
5/14/24

CR
CR
CR

CME Globex Messaging Efficiency Program

Description
Replaced an with a in numerous sections andadded Volume Ratio greater than six times thelisted Product Group Benchmark verbiage inAppendix A,
Revised Scoring System section to reflect Time In
Force and Min Qty.
Revised Eurodollar and Ultra U.S.30 Year Treasury
Bond Futures Market Makers CME contact
information.
Revised Section 9 Notices and Surcharges to statebilling is applied to registered entity.
Revised Raw Messaging total in Fail 1 example on
page 14.
Added Raw Message Count definition on page 5.
Added EMT section.
Updated various hyper-links throughout doc.
Updated sections 7, 9 &13.
Updated sections 2 & 13.
Updated section 13 and added section 14, Globex
Firm ID EMT.
Updated sections 2, 9, 10, 13 & 14.
Updated sections 13 & 14.
Updated sections 13 & 14.
Updated sections 13 & 14 to state each individual
product group & revised Reference of Tag 50 ID to
Operator ID.
Updated section 10 market maker ratios.
Updated sections 13, 14 & 15.
Updated section 10 market maker ratios.
Updated section 10 market maker ratios.
Updated section 10 market maker ratios.
Updated sections 2,13-14 replaced Eurodollar with
SOFR.
Updated section 2 with various exemptions.
Updated section 2 with metals exemptions.
Updated section 10, market maker ratios.

26