Sandner became chairman of the CME in 1986 and served for thirteen years. He was the longest serving exchange chairman in the history of the futures industry. During his time as CME chairman, the exchange developed a number of major financial instruments, including stock index futures and Eurodollar futures. He headed his own futures trading firm, RB&H Financial Services, L.P., from 1985 to November 2003.
Sandner left the CME at the end of 1997. In 2003 be became head of the retail futures group at E-Trade Group. He is also a director of Click Commerce.