SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 16-142 (1 of 4)

Organization: Chicago Mercantile Exchange Inc. ("CME")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 05/18/2016 Filing Description: Addition of C-Cross Protocol to 

CME Interest Rate and FX Futures and CBOT Interest Rate Futures and Swaps and 

Issuance of CME Group Market Regulation Advisory Notice RA1607-5

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: 539.C.

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Official Product Name: 

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

 Official Name(s) of Product(s) Affected: 

Rule Numbers: 
1 North End Avenue New York, NY 10282 T 212 299 2200 F 212 299 2299 christopher.bowen@cmegroup.com cmegroup.com

1

Christopher Bowen

Managing Director and Chief Regulatory Counsel

Legal Department

May 18, 2016

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

RE: CFTC Regulation 40.6(a) Certification. Addition of C-Cross Protocol to CME 

Interest Rate and FX Futures and CBOT Interest Rate Futures and Swaps Pursuant 

to Rule 539.C. (“Pre-Execution Communications Regarding CME Globex Trades”)

and Issuance of CME Group Market Regulation Advisory Notice RA1607-5.

CME Submission No. 16-142 (1 of 4)

Dear Mr. Kirkpatrick:

Pursuant to Commodity Futures Trading Commission (“CFTC” or “Commission”) Regulation 40.6(a),

Chicago Mercantile Exchange Inc. (“CME”) and The Board of Trade of the City of Chicago, Inc. (“CBOT”)

hereby notify the CFTC that they are self-certifying the addition of the Committed Cross protocol (“CCross”) to CME Interest Rate and FX futures and CBOT Interest Rate futures and swaps that result from 

permissible pre-execution communications pursuant to CME and CBOT Rule 539.C. (“Pre-Execution 

Communications Regarding Globex Trades”). Additionally, CME, CBOT, New York Mercantile Exchange, 

Inc. (“NYMEX”) and Commodity Exchange, Inc. (“COMEX”) (collectively, the “Exchanges”) are self-certifying 

amendments to the Rule 539.C. Crossing Protocols Table (“Table”) in the Interpretations & Special 

Notices Relating to Chapter 5 (“Trading Qualifications and Practices”) Section of each Exchange’s 

Rulebook and the issuance of CME Group Market Regulation Advisory Notice RA1607-5 (“RA1607-5”). 

The addition of C-Cross to the above-referenced CME and CBOT products, the revised Table and 

RA1607-5 will be effective on Sunday, June 5, 2016 for trade date Monday, June 6, 2016.

C-Cross was initially deployed in CME and CBOT interest rate, equity, and FX options on trade date April 

11, 2016. Please refer to Submission 16-034 from January 27, 2016, for detailed information on the CCross protocol. 

In connection with the addition of C-Cross to the above-referenced CME and CBOT products, CME and 

CBOT will also establish a Better Price Match Allocation (“BPM Allocation”) for select products. The BPM 

Allocation is also described in detail in Submission 16-034. The specific BPM allocations to those products 

to which it applies are set forth in the Table. The Table is attached under separate cover as Exhibit A.

In connection with the addition of C-Cross to the above-referenced products, the Exchanges will issue 

RA1607-5 to the marketplace on May 19, 2016. A copy of RA1607-5 appears in Exhibit B.

The Exchanges reviewed the designated contract market core principles (“DCM Core Principles”) as set 

forth in the Commodity Exchange Act (“CEA” or “Act”) and identified that the addition of C-Cross to the 

above-referenced products, the revised Table and RA1607-5 may have some bearing on the following 

principles:
1 North End Avenue New York, NY 10282 T 212 299 2200 F 212 299 2299 christopher.bowen@cmegroup.com cmegroup.com

2

 Compliance with Rules: As required under this Core Principle, the addition of C-Cross to CME 

Interest Rate and FX futures and CBOT Interest Rate futures and swaps will be enforced by the 

Market Regulation Department by the team responsible for the review of trades resulting from preexecution communications. 

 Availability of General Information: The Table and RA1607-5 will be posted publicly on the CME 

Group website in satisfaction of this core principle. In addition, the Exchanges will issue RA1607-5 to 

the marketplace on May 19, 2016.

 Execution of Transactions: C-Cross remains a competitive execution on CME Globex based on the 

algorithm applied by the match engine to the handling of the RFC. Where applicable, the BPM 

allocation will only take place in circumstances where two conditions are met – 1) the price on the 

pending cross order represents a new best price level (a price level higher than the best bid and 

lower than the best offer at the time of entry) at the time it is submitted and, 2) during the pre-cross 

period, a better price for either the buy or sell order has not been entered into CME Globex.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.6(a), the Exchanges certify that the addition 

of C-Cross to CME Interest Rate and FX futures and CBOT Interest Rate futures and swaps, the revised 

Table and RA1607-5 comply with the Act and regulations thereunder. There were no substantive

opposing views to this proposal.

The Exchanges certify that this submission has been concurrently posted on the Exchanges’ website at 

http://www.cmegroup.com/market-regulation/rule-filings.html.

If you require any additional information regarding this submission, please contact me at 212.299.2200 or

via email at CMEGSubmissionInquiry@cmegroup.com.

Sincerely, 

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A: Rule 539.C. Crossing Protocols Table (attached under separate cover)

Exhibit B: RA1607-5
3

EXHIBIT A

CME/CBOT/NYMEX/COMEX RULEBOOK

INTERPRETATIONS & SPECIAL NOTICES RELATING TO CHAPTER 5

Rule 539.C. Crossing Protocols Table

(attached under separate cover)
4

EXHIBIT B

MARKET REGULATION ADVISORY NOTICE

______________________________________________________________________

Exchange CME, CBOT, NYMEX & COMEX 

Subject Pre-Execution Communications 

Rule References Rule 539

Advisory Date May 19, 2016

Advisory Number CME Group RA1607-5

Effective Dates June 6, 2016

Effective on trade date June 6, 2016, and pending all relevant CFTC review periods, this Market 

Regulation Advisory Notice will supersede CME Group Market Regulation Advisory Notice RA1602-5 

from January 28, 2016. It is being issued as a result of extending the Committed Cross (“C-Cross”) 

protocol applicable to the entry of trades into the CME Globex platform (“Globex”) that result from 

permissible pre-execution communications pursuant to each Exchange’s Rule 539.C. (“Pre-Execution 

Communications Concerning Globex Trades”) as an additional crossing protocol for Interest Rate futures 

and swaps and FX futures. 

The addition of the C-Cross protocol for Interest Rate futures and swaps and FX futures will be 

incorporated into the Rule 539.C. Crossing Protocols Table (“Table”) into the Interpretations & Special 

Notices Section of Chapter 5 in each Exchange’s Rulebook on June 6, 2016. This Table sets forth the 

allowable cross protocols across all CME Group products where pre-execution communications regarding 

Globex trades are permitted, and appears in Section 4 of this Advisory Notice.

Prior to the effective date, market participants must continue to comply with the information set 

forth in RA1602-5 from January 28, 2016.

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 the 

market. Any communication that involves discussion of the size, side of market or price of an order, or a 

potentially forthcoming order, constitutes a pre-execution communication. 

Pre-execution communications are prohibited in connection with pit transactions executed on the trading 

floor, with the sole exception of CME options on S&P futures transactions executed in accordance with 

CME Rule 549 (“Large Order Execution Transactions – (“LOX Orders”)). 

CME, NYMEX and COMEX Products

Pre-execution communications are permitted in all CME, NYMEX and COMEX futures and options 

products traded on Globex. 

CBOT Products

Pre-execution communications are prohibited in:

 CBOT Grain and Oilseed futures at all times; and

 CBOT Grain and Oilseed options during the hours of 7:45 a.m. to 7:00 p.m. Central Time (“CT”) 
5

each trading day.

Pre-execution communications are permitted in all other CBOT futures, options and swap products at all 

times.

2. General Requirements for Permissible Pre-Execution Communications on Globex

In products where pre-execution communications are allowed, such 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 the 

details of that communication to other parties, nor may a party place any order to take advantage of the 

information 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 accordance 

with 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, which also appears in 

Section 4 of this Advisory Notice.

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 violation 

of Rule 539.C.

A description of the four 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 the 

time 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. Agency Cross (“A-Cross”)

In an A-Cross, a Cross Sequence (“CS”) is used by a broker to enter the buy and the sell orders into 

Globex. Following the pre-execution communication, an RFQ for the particular futures, options, swap, 

spread or combination must be entered into Globex. Thereafter, a CS, which is defined as the entry of a 

day-limit order followed immediately by the entry of a day-fill-and-kill order, must be entered into Globex 

as follows:

For eligible NYMEX and COMEX Products, the orders must be entered no less than five (5) 

seconds and no more than thirty (30) seconds after the entry of the RFQ in order to proceed with 

the trade; or,
6

For all CME FX futures and options products, the orders 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. 

A-Cross functionality is currently supported solely on CME Direct. Information concerning registering for 

access to CME Direct may be accessed via the following link:

http://www.cmegroup.com/trading/cme-direct/registration.html

The A-Cross protocol is available in select NYMEX and COMEX futures and options products, which may 

be accessed via the following link:

http://www.cmegroup.com/trading/energy/agency-cross-eligible-products-for-energy-and-metals.html

It is also available for all CME FX futures and options products.

While A-Cross functionality on CME Direct allows the broker to populate the opposing buy and sell orders 

in a single ticket, those orders will result in two discrete Globex order entries, which will be handled 

according to the particular algorithm applicable to the product.

 

The broker must select the non-initiating party as the ‘Aggressor’ on the order ticket, which results in the 

CS being populated with the initiating party’s order as a day limit order and the non-initiating party’s order 

as a day fill-and-kill order. Failure to enter the buy and sell orders within 30 seconds after the entry of the 

RFQ will require the entry of a new RFQ and CS in order to proceed with the trade.

The initiating order will immediately match against any orders in the order book on the opposite side of 

the market that are at a price better than or equal to the price on the initiating order, up to the full quantity 

on the initiating order. Any unmatched balance on the initiating order will be filled against the noninitiating counterparty, and any remaining unmatched balance on the non-initiating side will be 

immediately cancelled.

If the cross price improves the best bid and the offer in the order book, or if there is no bid or offer in the 

order book, the two orders on the CS will be filled in their entirety opposite one another, unless any new 

orders are entered at a price equal to or better than the intended cross price before CS reaches Globex. 

If a new order is entered at a price equal to or better than the intended cross price before the CS reaches 

Globex, either of the two orders intended to be crossed will first transact against existing orders in the 

order book.

 

C. Committed Cross (“C-Cross”)

In a C-Cross, subsequent to the pre-execution communication, a Request for Cross (“RFC”) order which 

contains 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. 

The matching algorithm for the C-Cross will depend on whether the group of products is eligible for a 

better price match (“BPM”). See the Table for information on products eligible for a BPM allocation and 

the specific match percentage applicable to those products.

1. Matching Algorithm for C-Cross with BPM:

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) at the time of submission of the RFC to 

Globex, and, during the five (5) second period between the entry of the RFC and the cross 

occurring, a better price for either the buy or sell order has not been entered into Globex, a 

certain percentage of the quantity (“BPM allocation”) on the RFC will cross at the RFC price. 

After the initial BPM allocation, the remainder of the RFC will match as set forth in #2 below.
7

If the event the RFC price does not meet both of the requirements set forth above, the entirety of 

the cross will match as set forth in Section B. 

2. Matching Algorithm for C-Cross without BPM:

If the RFC price improves both the best bid and best offer (or if there is no bid/offer) in the order 

book 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 the 

orders 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 will 

remain in the order book unless it is cancelled by the user.

C-Cross is currently available in CME FX options and CME and CBOT Interest Rate and Equity Index 

options. Effective June 6, 2016, it will also be available in CME Interest Rate and FX futures and CBOT 

Interest Rate futures and swaps.

C-Cross functionality is supported on CME Direct, and may be supported by other Independent Software 

Vendors (“ISVs”). 

D. 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. 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 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 associated RFQ which identifies that an RFC is forthcoming. An 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. This 

functionality is intended to facilitate compliance with the relevant entry time requirements.

The matching algorithm for R-Cross is as follows:

1. If the RFC price improves both the best bid and best offer in the order book or if there is no 

bid/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 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 will remain in the order book unless it is 

cancelled by the user.

R-Cross is available for CME Agriculture options, Commodity Index options, Real Estate options and 
8

Weather options; CBOT Grain and Oilseed options (during the time period set forth in Section 1); and in 

all NYMEX and COMEX options.

4. Rule 539.C. Crossing Protocols Table

Effective June 6, 2016

Rule 539.C. Crossing Protocols Table

Legend

 Permitted

* Permitted, see Notes Section for details

Crossing Not Permitted, Method Not Available, 

BPM Allocation not available or Product Subgroup 

Not Offered by Exchange

Product 

Class DCM Product Subgroup

Globex ("G") 

Cross

Agency 

("A") Cross

RFQ + RFC 

("R") Cross

Committed ("C") 

Cross***

Futures Opti

ons

Futu

res

Opti

ons

Futur

es

Optio

ns Futures Options

Agricultu

re CME ALL  

Equities CME Commodity Index  

Agricultu

re CBOT Grain/Oilseed *

Agricultu

re NYMEX Softs   

Energy CBOT Biofuels  

Energy NYMEX ALL  ** ** 

Equities CME ALL  

Equities CBOT ALL  

FX CME 30 Products in Appendix     40%  20%

FX CME All Other Products  0%  20%

Interest 

Rate CME ALL   0%  20%

Interest 

Rate CBOT Swap Futures   40%

Interest 

Rate CBOT Invoice Swap Spreads   50%

Interest 

Rate CBOT

Treasuries and Fed 

Funds   0%  20%

Metals NYMEX ALL  ** ** 

Metals COMEX ALL  ** ** 

Real 

Estate CME ALL  

Real 

Estate CBOT ALL 
9

Weather CME ALL  

Notes:

* RFQ + RFC Cross in CBOT Grain/Oilseed options permitted solely from 7:00 p.m. -

7:45 a.m. Central Time each trading day.

** Agency Cross available in select NYMEX and COMEX energy and metals contracts - see 

http://www.cmegroup.com/trading/energy/agency-cross-eligible-products-for-energy-and-metals.html

***Number shwon indicates the better price match 

(BPM) percentage

Appendix: FX Currency Futures with BPM percentage of 40%

Australian Dollar/Canadian Dollar (AUD/CAD) Cross Rate Futures 

Australian Dollar/Japanese Yen (AUD/JPY) Cross Rate Futures 

Australian Dollar/New Zealand Dollar (AUD/NZD) Cross Rate Futures 

Canadian Dollar/Japanese Yen (CAD/JPY) Cross Rate Futures 

Swiss Franc/Japanese Yen (CHF/JPY) Cross Rate Futures 

Chinese Renminbi/Euro (RMB/EUR) Cross Rate Futures 

Chinese Renminbi/U.S. Dollar (RMB/USD) Futures 

Czech Koruna/Euro (CZK/EUR) Cross Rate Futures 

Czech Koruna/U.S. Dollar (CZK/USD) Futures 

Euro/Australian Dollar (EUR/AUD) Cross Rate Futures 

Euro/Canadian Dollar (EUR/CAD) Cross Rate Futures 

Euro/Norwegian Krone (EUR/NOK) Cross Rate Futures 

Euro/Swedish Krona (EUR/SEK) Cross Rate Futures 

Euro/Turkish Lira (EUR/TRY) Cross Rate Futures 

British Pound Sterling/Swiss Franc (GBP/CHF) Cross Rate Futures 

British Pound Sterling/Japanese Yen (GBP/JPY) Cross Rate Futures 

Hungarian Forint/Euro (HUF/EUR) Cross Rate Futures 

Hungarian Forint/U.S. Dollar (HUF/USD) Futures 

Israeli Shekel/U.S. Dollar (ILS/USD) Futures 

Indian Rupee/U.S. Dollar (INR/USD) Futures 

Korean Won/U.S. Dollar (KRW/USD) Futures 

Norwegian Krone/U.S. Dollar (NOK/USD) Futures 

Polish Zloty/Euro (PLN/EUR) Cross Rate Futures 

Polish Zloty/U.S. Dollar (PLN/USD) Futures 

Swedish Krona/U.S. Dollar (SEK/USD) Futures 

U.S. Dollar/Chilean Peso (USD/CLP) Futures 

U.S. Dollar/Offshore Chinese Renminbi (USD/RMB) Futures 

U.S. Dollar/Chinese Renminbi (USD/RMB or CNY) Futures with U.S. Dollar Banking 

U.S. Dollar/South African Rand (USD/ZAR) Futures 

U.S. Dollar/Turkish Lira (USD/TRY) Futures 

5. Questions and Answers Regarding Products for which Pre-Execution Communications are 

Prohibited

Q1: In which products are pre-execution communications prohibited?

A1: Pre-executions communications are prohibited in CBOT grain and oilseed futures at all 

times and in Grain and Oilseed options on futures from 7:45 a.m. CT to 7:00 p.m. CT each 

business day. 
10

Q2: If a customer has an interest in a particular transaction in these products and requests a market, 

how can the salesperson obtain a market for the customer? 

A2: For CBOT Grain and Oilseed options intended for execution via open outcry in the trading 

pit, a market would be requested from members in the trading pit. In the electronic venue, 

the salesperson would identify the bid/offer and depth of market posted on CME Globex. If 

the posted bid/offer is deemed too wide or insufficiently deep, it is recommended that a 

Request for Quote (“RFQ”) be submitted. This action will typically generate additional 

interest and, in the case of products supported by a market-maker program, market 

makers are obliged to respond to a specified percentage of RFQs.

Q3: What if an RFQ is submitted and there is no response or an inadequate response in terms of the 

tightness or depth of the market? 

A3: In this circumstance, another RFQ should be submitted. With an active RFQ, it is also 

permissible to contact potential counterparties (i.e. market makers), alert them to the RFQ 

and ask them to submit a market or to tighten/deepen the existing market. An RFQ is 

considered active for 60 seconds following submission. To ensure that such 

communications do not become prohibited pre-execution communications, only the 

information disclosed via the RFQ may be disclosed in such communications.

Q4: Is it permissible to contact other market participants to obtain general market color without 

violating the prohibition on pre-execution communications? 

A4: Communications to obtain general market color are permissible provided there is no 

express or obviously implied arrangement to execute a specified trade and no non-public 

information is communicated regarding an order. 

Q5: If an order has been submitted on CME Globex, are there any restrictions on communicating with 

potential counterparties? 

A5: With a resting order exposed on CME Globex, it is permissible to contact potential 

counterparties to solicit interest in trading against the order. In any such 

communications, no non-public information (i.e. information not represented in the terms 

of the order exposed to the market) may be disclosed. For example, if the represented 

offer is for 250 contracts, it would be a violation of the rules to disclose that there are an 

additional 500 contracts to sell because that information has not been disclosed to the 

market.

Questions regarding this advisory may be directed to one of the following individuals in the Market 

Regulation Department:

Erin Coffey, Senior Rules & Regulatory Outreach Specialist, 312.341.3286

Jennifer Dendrinos, Director, Investigations, 312.341.7812

Colin Garvey, Manager, Investigations, 312.435.3656

Aaron Nessel, Senior Investigator, Investigations, 312.435.3578

Reed Showalter, Investigator, Investigations, 312.435.3743

Robert Sniegowski, Executive Director, Rules & Regulatory Outreach, 312.341.5991

Shawn Tan, Senior Rules & Regulatory Outreach Specialist, +65 6593 5580

For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 

312.930.3434 or news@cmegroup.com.
11

CME Rule 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, Exchange for Related Positions 

transactions pursuant to Rule 538 or LOX Orders pursuant to Rule 549. 

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 side 

of 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 communications 

or (ii) enter an order to take advantage of information conveyed during such communications except in 

accordance with 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 entered 

into the Globex platform until a period of 5 seconds has elapsed from the time of entry of the first order.

b. Agency Cross (“A-Cross”)

A Cross Sequence (“CS”) is used by a broker to enter the buy and the sell orders into Globex. Following the 

pre-execution communication, a Request for Quote (“RFQ”) for the particular futures, options, spread or 

combination is entered into the Globex platform. Thereafter, a Cross Sequence, which is defined as the 

entry of a day-limit order followed immediately by the entry of a day-fill-and-kill order, must be entered into 

the Globex platform 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. The first party’s order must be entered first, as a day-limit order, 

followed immediately by the entry of the second order as a day-fill-and-kill order. The CS must occur within 

the same trading session. Failure to enter the buy and sell orders within 30 seconds after the entry of the 

RFQ will require a new CS to be initiated in order to proceed with the trade. 

c. 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 at the time of submission of the RFC to 

the Globex platform and a better price for either the buy or sell order has not been entered into the Globex 

platform during the five (5) second period between entry of the RFC and the cross occurring. 

d. 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 than 

fifteen (15) seconds and no more than thirty (30) seconds after the entry of 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 the trade.
12

CBOT Rule 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 Positions 

transactions 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 in 

the following futures, options and swaps products where one party wishes to be assured that a contra party will take 

the opposite side of the order: Interest Rate futures, options and swaps, Equity Index futures and options, Ethanol 

futures and options, Commodity Index futures, Real Estate Index futures and, during those hours designated by the 

Exchange, Grain and Oilseed options. 

Pre-execution communications in those products may occur 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 communications 

or (ii) enter an order to take advantage of information conveyed during such communications except in 

accordance with 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”)

The first party’s order is entered into the Globex platform first. The second party’s order may not be entered 

into the Globex platform until a period of 5 seconds has elapsed from the time of entry of the first order.

b. Agency Cross (“A-Cross”)

A Cross Sequence (“CS”) is used by a broker to enter the buy and the sell orders into Globex. Following the 

pre-execution communication, a Request for Quote (“RFQ”) for the particular futures, options, spread or 

combination is entered into the Globex platform. Thereafter, a Cross Sequence, which is defined as the 

entry of a day-limit order followed immediately by the entry of a day-fill-and-kill order, must be entered into 

the Globex platform 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. The first party’s order must be entered first as a day-limit order, 

followed immediately by the entry of the second order as a day-fill-and-kill order. The CS must occur within 

the same trading session. Failure to enter the buy and sell orders within 30 seconds after the entry of the 

RFQ will require a new CS to be initiated in order to proceed with the trade. 

c. 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 at the time of submission of the RFC to 

the Globex platform and a better price for either the buy or sell order has not been entered into the Globex 

platform during the five (5) second period between entry of the RFC and the cross occurring.

d. 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 than 

fifteen (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 the trade.
13

NYMEX and COMEX Rule 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 Positions 

transactions 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 side 

of 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 communications 

or (ii) enter an order to take advantage of information conveyed during such communications except in 

accordance with 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 entered 

into the Globex platform until a period of 5 seconds has elapsed from the time of entry of the first order.

b. Agency Cross (“A-Cross”)

A Cross Sequence (“CS”) is used by a broker to enter the buy and the sell orders into Globex. Following the 

pre-execution communication, a Request for Quote (“RFQ”) for the particular futures, options, spread or 

combination is entered into the Globex platform. Thereafter, a Cross Sequence, which is defined as the 

entry of a day-limit order followed immediately by the entry of a day-fill-and-kill order, must be entered into 

the Globex platform no less than five (5) seconds and no more than thirty (30) seconds after the entry of the 

RFQ in order to proceed with the trade. The first party’s order must be entered first as a day-limit order, 

followed immediately by the entry of the second order as a day-fill-and-kill order. The CS must occur within 

the same trading session. Failure to enter the buy and sell orders within 30 seconds after the entry of the 

RFQ will require a new CS to be initiated in order to proceed with the trade.

c. 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 at the time of submission of the RFC to 

the Globex platform and a better price for either the buy or sell order has not been entered into the Globex 

platform during the five (5) second period between entry of the RFC and the cross occurring.

d. 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 than 

fifteen (15) seconds and no more than thirty (30) seconds after the entry of 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 the trade.