LME London Metal Exchange Integration

When to Use

Use this skill when building or auditing an order path into the London Metal Exchange for outright base metal futures — Copper (CA), Primary Aluminium (AH), Aluminium Alloy (AA), NASAAC (NA), Standard Lead (PB), Primary Nickel (NI), Tin (SN), Special High Grade Zinc (ZS). It covers the checks that belong on the client side, before a message leaves your process:

• How much metal is this order actually for, in tonnes?
• Is the price on this metal's outright tick?
• Is the price inside today's Daily Price Limit band, which the LME will refuse orders outside of?
• Is the prompt date one the contract actually lists?

The LME breaks three assumptions that hold on CME and ICE, and each one has its own failure mode:

When NOT to Use

• Not a transport. Nothing here opens a socket, logs on to LMEselect, or sends an order. ready_to_send means "passed the checks modelled here", never "the LME has the order". Session management, conformance, throttles and recovery are out of scope.
• Not a prompt-date calendar. This module does not ship the LME trading calendar and cannot tell you that a given Wednesday is tradeable. Cash is two business days forward and 3M is three calendar months forward, both resolved against the LME business-day calendar, and the LME issues notices with substitute prompt dates around holidays. Pass valid_prompt_dates to make the check authoritative; without it the module flags structure and stays explicit that it has not confirmed the date.
• Not a complete pre-trade control set. LMEselect also enforces Dynamic and Static Price Bands, Exchange-set and Member-set maximum order size limits (in lots and in notional, via LMEptrm), and an order-entry throttle. None are modelled here. Passing these checks is not a prediction that LMEselect accepts the order.
• Not for carries, options, or TAPOs. Scope is outrights. Carries (calendar spreads) trade on a different and smaller tick, large-tick electronic calendar spreads on a third tick again since January 2026, and Daily Price Limits apply to outrights only.
• Not a reference-data service. The bundled catalog is a snapshot retrieved 2026-08-25. The LME revises tick sizes and Daily Price Limits by notice — Lead and Zinc moved from 15% to 12% as recently as 8 June 2026. Every spec carries specs_source and specs_as_of; refresh them before relying on them.
• Not a margin, position-limit or delivery tool. Warrants, LMEsword, the physical delivery and warehousing rules, and position reporting are separate surfaces.

Prerequisites

• Per-metal LME reference data: contract code, lot size in tonnes, outright tick size, Daily Price Limit percentage, and the furthest listed monthly prompt.
• The previous business day's Closing Price for the 3-month contract — the reference the Daily Price Limit is measured from.
• The LME trading calendar and current substitute-prompt-date notices, if you intend to confirm explicit prompt dates.
• Python 3.10+. Standard library only (decimal, dataclasses, datetime, logging).

Workflow

1. Resolve the metal by its LME contract code, and confirm the lot size is this metal's. The codes are not mnemonic and the tonnages differ: AH is Primary Aluminium at 25 MT but AA is Aluminium Alloy at 20 MT; NI is 6 MT and SN is 5 MT. Total tonnage is lots × lot_size_mt, and it is the quantity that matters for exposure — not the lot count.
2. Check the price against this metal's outright tick, in decimal arithmetic. Nickel and Tin are $5.00/MT. A universal $0.50 constant accepts nine Nickel prices in ten that LMEselect refuses. Check positivity separately: the remainder of a negative price against a positive tick is zero, so a negative price passes a tick test on its own.
3. Reject a prompt date the contract does not list. Tin lists monthly prompts to 15 months, Aluminium Alloy and NASAAC to 27, Lead, Zinc and Nickel to 63, Copper and Aluminium to 123. A date past the trade date is not enough.
4. Treat a structural prompt mismatch as a question, not a refusal. Weekly prompts normally fall on a Wednesday and monthly prompts on the third Wednesday, but the LME publishes substitute dates around holidays. Flag the mismatch and confirm against the calendar; hard-rejecting every non-Wednesday refuses legitimate substitute prompts.
5. Run the Daily Price Limit against the previous 3-month Closing Price — and symmetrically. The band is close × (1 ± pct): 12% for Aluminium, Copper, Lead and Zinc; 15% for Nickel, Tin, Aluminium Alloy and NASAAC. The LME accepts no bid above the upper limit and no offer below the lower one, and it refuses a deep passive bid below the lower limit too. This is not ICE's directional Reasonability Limit — do not port that logic here.
6. Fail closed when the reference price is missing. The DPL is a real order-entry rejection. An unchecked DPL is NO_DPL_REFERENCE_PRICE and ready_to_send False, not a pass. Do not substitute the mid, the top of book, or the LME Official Price — the reference is the previous business day's Closing Price for the 3-month contract.
7. Report the notional in exact decimal money. total_tonnage_mt × price_usd_per_mt, quantized to cents. LME base metals are quoted in US dollars per tonne, so the notional is USD.

Full procedure: see references/workflows.md. Rule citations and published levels: see references/standards.md. Printable pre-flight checklist: see assets/checklist.md.

Common Pitfalls

• Assuming a universal $0.50/MT tick. This is the headline error and it is silent: Nickel and Tin outrights are $5.00/MT. A gateway that validates Nickel at $16,500.50 passes it locally and collects an LMEselect rejection — or, worse, reprices around a tick grid that does not exist.
• Assuming 25 MT per lot. Nickel is 6 MT. Sizing 10 lots of Nickel as 250 MT instead of 60 MT is a 4.17× over-position. Aluminium Alloy and NASAAC are 20 MT, not the 25 MT their aluminium name suggests.
• Applying the Daily Price Limit directionally. ICE's Reasonability Limit refuses a buy above the upper limit and a sell below the lower, and accepts deep passive orders on the far side. The LME band is symmetric on price: an order outside it is refused whichever side it is. Copying the ICE logic lets through orders the LME rejects.
• Measuring the Daily Price Limit from the wrong price. It is the previous business day's Closing Price for the 3-month contract, applied equally to every prompt on the curve. Not the mid, not the top of book, not the LME Official Price (which is set in the Ring), and not the current 3M.
• Treating LME prompts as monthly expiries. Hard-coding a third-Wednesday expiry drops the daily prompts out to 3 months that are the whole point of the LME's structure for a physical hedger, and quietly mis-books cash and tom.
• Hard-rejecting a non-Wednesday prompt. The LME issues substitute prompt dates around bank holidays. A strict weekday rule rejects tradeable dates.
• Assuming every metal has the same curve length. Tin lists monthly prompts to 15 months. A 60-month tin prompt is not a far date — it does not exist.
• Caching tick sizes and Daily Price Limits as constants. Both are revised by LME notice; Lead and Zinc moved to 12% on 8 June 2026. Carry the source and retrieval date with the value.
• Reading a local pass as an execution guarantee. Price Bands, Exchange- and Member-set maximum order size limits, and the order throttle can all still reject, and the DPL Multiple Day Framework can suspend a metal entirely after three consecutive limit days in the same direction.
• Retrying an order because the request timed out. LMEselect may already have it. Resolve the order's state through the venue and reuse the original client order ID; a retry under a fresh identifier is a second position. See order-placement-idempotency.

Verification

• Lot tonnage reproduces the published specifications independently: 10 lots of CA ⟹ 250 MT; 10 lots of NI ⟹ 60 MT; 7 lots of SN ⟹ 35 MT; 3 lots of AA ⟹ 60 MT.
• Notional is exact: CA 10 lots at $9,250.50/MT ⟹ 250 × 9,250.50 = $2,312,625.00; NI 10 lots at $16,500.00/MT ⟹ $990,000.00.
• NI at $16,500.50/MT ⟹ INVALID_TICK_SIZE — a whole number of $0.50 steps, but not of $5.00. This is the regression a universal $0.50 tick introduces. NI at $16,505.00/MT ⟹ passes. CA at $9,250.23/MT ⟹ INVALID_TICK_SIZE.
• CA against a $9,200.00 3-month close ⟹ band $8,096.00–$10,304.00 (12%). $10,304.00 passes and $10,304.50 is refused; $8,096.00 passes and $8,095.50 is refused. $8,000.00 is refused as a BUY and as a SELL — the regression a directional band introduces. NI against $16,400.00 ⟹ $13,940.00–$18,860.00 (15%).
• Omitting previous_close_3m_usd ⟹ NO_DPL_REFERENCE_PRICE, ready_to_send False.
• A 2031 prompt on SN ⟹ INVALID_PROMPT_DATE; the same date on CA ⟹ passes. A prompt on or before the trade date ⟹ INVALID_PROMPT_DATE.
• A monthly prompt that is not a third Wednesday ⟹ passes with a warning and prompt_date_confirmed False, not a rejection. Supplying valid_prompt_dates ⟹ prompt_date_confirmed True, and a date outside the set is refused.
• lots of 0, -10, 1.5, "10" or True; side of "BANANA"; a negative, zero, NaN or Inf price; a prompt_date of "not-a-date" ⟹ ValueError/TypeError, never an approved order.
• Run python -m unittest discover -s skills/lme-london-metal-exchange-integration/scripts and confirm a 100% pass rate.
• Against conformance only: submit one validated order and confirm LMEselect accepts the instrument identification and price. A symbology or prompt-date error that unit tests cannot see is one where the gateway disagrees with your reference data.

Related Skills

• ice-futures-us-eu-integration
• exchange-tick-size-regime-tracking
• global-exchange-holiday-calendar-handling
• futures-contract-roll-automation
• commodity-futures-storage-and-carry-cost-modeling
• physical-vs-cash-settlement-handling
• order-placement-idempotency