Cboe Futures Trade Connector

Features

fix-cfeConnector Key

Instruments

FUTURESYNTHETIC

Request Types

SUBMITCANCELREPLACE

Order Types

LIMITMARKETSTOP_LIMIT

Time In Force

DAYGTCIOCFOKGTD

Order ID Mapper

SEQUENCE

✗

Order Status Request

✓

Cancel On Disconnect

✗

Commission

✗

Post Only

✗

Fast Cancel

✗

Fast Replace

Notes

Documentation

• Technical Specifications

Clearing Account Type

Config	Tag 204	Description
CUSTOMER	C	Order placed by customer.
FIRM	F	Order placed by the firm.

Order Handling

Config	Tag 1031	Description
DESK	W	Desk
ELECTRONIC	Y	Electronic (Default)
VENDOR_PROVIDED_PLATFORM	C	Vendor provided platform Billed by Executing Broker
SPONSORED_ACCESS	G	Sponsored Access via exchange API
ALGO_ENGINE	H	Premium Algorithmic trading provided by executing broker
OTHER	D	Other

Position Effect

Indicates whether the resulting position after a trade should be an opening position or closing position.
Used for omnibus accounting - where accounts are held on a gross basis instead of being netted together.

Config	Tag 77	Description
OPEN	O	Open
CLOSE	C	Close
NONE	N	None

Customer Order Capacity

Config	Tag 9702	Description
CTI_1	1	CTI 1: Transactions initiated and executed by an individual TPH for the TPH’s own account, for an account the TPH controls, or for the account in which the TPH has an ownership or financial interest.
CTI_2	2	CTI 2: Transactions executed for the proprietary account of a clearing TPH or non-clearing TPH.
CTI_3	3	CTI 3: Transactions where an individual TPH or authorized trader executes for the personal account of another individual TPH, for an account the other individual TPH controls or for an account in which the other individual TPH has an ownership or financial interest.
CTI_4	4	CTI 4: Any transaction not meeting the definition of CTI 1, 2 or 3. (These should be non-member customer transactions).

Self-Match Prevention

Config Value	Description
CANCEL_TAKING	Cancel aggressing order
CANCEL_RESTING	Cancel resting order
CANCEL_BOTH	Cancel both aggressing and resting orders

Tag 7928 value description

CFE Match Trade Prevention: 3 characters (not space separated):

1st character — MTP Modifier:

• N = Cancel Newest
• O = Cancel Oldest
• B = Cancel Both

2nd character — Unique ID Level:

• F = Prevent Match at CFE Exchange TPH level
• M = Prevent Match at EFID Level
• N = None (do not prevent match at any level)

3rd character — Trading Group ID (optional): TPH-specified alphanumeric value 0-9, A-Z, or a-z.

The Unique ID Level (character 2) of both orders must match to prevent a trade.
If specified on both orders, Trading Group ID (character 3) must match to prevent a trade.
On New Orders, an empty PreventMatch string (NUL filled) results in default Port Attribute settings applied.

Risk Reset

Tag 7692	Description
S	Product-level risk/lockout reset (Futures only)
F	Firm-level risk/lockout reset (Futures only)
C	CustomGroupID lockout reset (Futures only)
R	Product-level risk/lockout reset (Options only)
I	Firm-level risk/lockout reset (Options only)
D	CustomGroupID lockout reset (Options only)

Symbology

Links

• Symbology Reference
• Production CFE Contract Listings and Products
• Certification CFE Contract Listings and Products

Schedule

FIX sessions are available starting Sunday at 10:30 a.m. CT.
Sessions disconnect daily between 4:05 and 4:45 p.m. CT for a daily restart, which resets all sequence numbers for the next trading segment.
On Friday, sessions disconnect at approximately 4:05 p.m. CT and remain available for connectivity testing (e.g. telnet) until startup the following Sunday.

Configuration

Connector settings

Parameter	Default Value	Description
account		Default value for Account(1) tag.
useAccount	false	The flag to define whether to use order account in preference of default account.
targetSubId	PROD	Possible values: TEST - for test env, PROD - for production.
senderSubId		Used by internal Cboe Systems to determine order sender.
clearingAccountType	CUSTOMER	The capacity for the order. Possible values: CUSTOMER, FIRM.
customerOrderCapacity	CTI_1	Possible values: CTI_1,CTI_2,CTI_3,CTI_4.
senderLocationId	US	Identifies the country code of the person or system submitting the order using the ISO 3166 two-character code (must be entered using uppercase letters only). An order with a country code for a comprehensively sanctioned country will be rejected..
selfMatchPreventionInstruction		Defines the strategy of dealing with matching orders if SMP is triggered. Valid values: CANCEL_RESTING, CANCEL_TAKING, CANCEL_BOTH.
selfMatchPreventionScope	NONE	Unique ID Level. Valid values: NONE, EFID_LEVEL, TPH_LEVEL.
selfMatchPreventionId		Trading Group ID (optional): TPH-specified alphanumeric value 0-9, A-Z, or a-z.
useTrader	false	Send order's operator.
operator		Identifies the Order Entry Operator responsible for this message.
clearingAccount		Clearing account.
positionEffect	NONE	Indicates status of client position. Possible values: OPEN,CLOSE,NONE.
orderHandling	ELECTRONIC	Execution source code provided during order entry to describe broker service. Possible values: DESK,ELECTRONIC,VENDOR_PROVIDED_PLATFORM,SPONSORED_ACCESS,ALGO_ENGINE,ELECTRONIC.
discardOnReconnect	false	Discard open order upon reconnect.

Supported order attributes

Key	Description
1	Account(1).
25004	OrderEntryOperatorId(25004). Order entry operator.
47	OrderCapacity(47). The capacity for the order. C - Customer, F - Firm.
77	OpenClose(77). Indicates status of client position. O - Open, C - Close, N - None (same as not present).
1031	CustOrderHandlingInst(1031). See Order Handling.
9702	CTICode(9702). See Customer Order Capacity.
439	CMTANumber(439). CMTA Number of the firm that will clear the trade. Must be supplied for CMTA orders and left unspecified for non- CMTA orders. Sent to the OCC in the CMTA CM# field.
440	ClearingAccount(440).
6097	PossResend(97). Y - Indicates an application level resend and is NOT supported. N - Default. Indicates a new order.
7928	PreventMatch(7928). CFE Match Trade Prevention: 3 characters (not space separated).
7692	RiskReset(7692). See Risk Reset.
7699	CustomGroupID(7699). Optional TPH-specified ID for the order.
21097	FrequentTraderID(21097). Supplemental customer identifier used for billing related programs. 6 character alphanumeric (0-9, A-Z, or a-z ) value.

Config sample

connectors {
  CFE : ${template.connector.fix.cfe} {
    settings : {
      host = "<HOST>"
      port = <PORT>

      senderCompId = "<SENDER_COMP_ID>"
      targetCompId = "CFE"
      senderSubId = "<SENDER_SUB_ID>"

      account = "<ACCOUNT>"
      useAccount = false

      operator = "<OPERATOR>"
      senderLocationId = "US"
      useTrader = false

      orderCapacity = ORDER_CAPACITY
      ctiCode = CTI_CODE
      orderHandling = ELECTRONIC
    }
  }
}

Tools

Audit Log Generator

AuditLog generator processes connector's logs and produces Audit Trail document.

Arg	Arg Short	Required	Description
--connector	-c	Yes	Connector ID
--owner	-n	Yes	CFE access port owner name
--env	-v	Yes	Independent Software Vendor (“ISV”)
--tracking-number	-t	Yes	Regulatory request tracking number as provided by CFER
--output-dir	-o	No	Path where logs will be generated. Default is $EMBER_WORK/audit
--start-date	-b	No	The date from which files should be accepted. If omitted, the current date applies. Ignored when --files is specified. Format: yyyyMMdd
--end-date	-e	No	The date until which files are accepted. If omitted, the current date applies. Ignored when --files is specified. Format: yyyyMMdd
--files	-f	No	List of files that should be converted. Comma-separated.
--help	-h	No	Print usage help.

Docker

docker compose exec ember /opt/deltix/ember/lib/custom/tools/cfe-audit-log -c CFE -n OWNER -v ISV -t 001 -f CFE-2025-10-01.5.messages

Windows

set EMBER_INSTALL=C:/ember
set EMBER_WORK=C:/ember-work

%EMBER_INSTALL%/lib/custom/tools/cfe-audit-log.bat --connector CFE --owner OWNER --env ISV --tracking-number 001 --start-date 20250218 --end-date 20250227