In Q4 2021, CME Group will make available the CME Drop Copy service for EBS Market. The CME Drop Copy service, a FIX ASCII API for real-time risk management, publishes copies of CME iLink order acknowledgement and trade messages.
Customers leveraging the CME Drop Copy service to monitor trading activity in the EBS Market on CME Globex must also be aware of the EBS-specific functionality described in this topic.
Information on iLink 3 Binary Order Entry for EBS Market on CME Globex is available here.
This page will be updated periodically as additional information regarding Drop Copy for EBS Market becomes available. Please watch the Revision History, Drop Copy Service for EBS Market and EBS Market Integration Notices for notification of new information.
Contents
Revision History
Key Events and Dates
See the full New Release and Production launch schedule
Testing and Certification
Certification is mandatory for client systems accessing CME Drop Copy services for EBS Market on CME Globex.
Customers are encouraged to test in the New Release environment.
Overview of CME Drop Copy for EBS Market
Current CME Group, EBS Market customers developing Drop Copy applications to sequence Execution Report and Acknowledgment messages from target sessions trading EBS Market products on CME Globex must be aware of the topics described below.
CME Drop Copy Architecture
Please find details for the Drop Copy architecture outlining the session models featuring the Drop Copy Convenience Gateway (CGW) and Market Segment Gateway (MSGW) models.
An SFTP site (sftpng.cmegroup.com) is used to disseminate the Drop Copy 4.0 MSGW configuration information allowing clients system to receive the list of all market segments and MSGW IPs for all environments.
Customers may connect directly to all Market Segment Gateways using the same Session ID. Customers can use tag 1300-MarketegmentID from the market data Security Definition (tag 35-MsgType=d) message to specify the market segment for the products they want to trade on CME Globex. MSGW customers can leverage tag 57-TargetSubID to specify the market segment of the instrument. Tag 57-TargetSubID contains the tag 1300-Market SegmentID value.
Market Access
The CME Drop Copy service for EBS Market on CME Globex will be available through dedicated Drop Copy Convenience Gateways (CGW) and Drop Copy Market Segment Gateways (MSGW). Customers can choose to sequence Drop Copy messages from the EBS Market through the MSGWs directly, or the CGW, which will route customer orders to the appropriate MSGWs.
- Drop Copy Convenience Gateway (CGW) target session - consumers manage sequence streams from Convenience Gateway iLink source sessions across all market segments.
- Drop Copy Market Segment Gateway target session - consumers manage sequence streams from Market Segment Gateway iLink source sessions per unique market segment.
EBS Market will trade on one of the two distinct regions. Each product is available for trading in a single location.
Products | Primary Region | Backup Region | MSGW | CGW |
|---|---|---|---|---|
New York Spot New York Metals | Equinix Secaucus NY5 | Equinix Slough LD4.2 |  | |
London Spot London NDFs | Equinix Slough LD4.2 | Equinix Secaucus NY5 | | |
| N/A | Tokyo TY3 | N/A |  | |
The Drop Copy MSGW and Drop Copy CGW will be physically located in the Primary Region for production and the Backup Region for Disaster Recovery.
The New York and London regions will each support both Drop Copy MSGW and CGW, while the Tokyo location will only support Drop Copy CGW
The New York and London Drop Copy CGWs will route orders to either New York or London
The Tokyo Drop Copy CGW will route orders to either New York or London
Clients leveraging Drop Copy for EBS Market must establish separate Drop Copy groups per region. Each Drop Copy group can only consume sequence streams from one region.
EBS Market Modes
The CME Drop Copy service will support EBS Market messaging which includes Central Limit Order Book (CLOB), eFix Matching, and EBS Midbooks as outlined here as available on Order Entry APIs.
Trading Mode | Products | Market Structure | Drop Copy Service APIs |
|---|---|---|---|
| EBS Market CLOB | New York Spot New York Metals London Spot London NDFs | Market by Price Central Limit Order Book | Execution reports and Acknowledgment messages published |
| eFix Matching | New York Spot London Spot | Time based, quantity matching pool of anonymous benchmark liquidity. Bilateral matching ahead of a benchmarks calculation, with the given rate being applied post publication. No public market data for order book and trade. | Execution reports and Acknowledgment messages published |
| EBS Midbooks | New York Spot London Spot London NDFs | Quantity matching liquidity pool where all matches take place at a calculated Market Mid-rate. No public market data for order book and trade. | Execution reports and Acknowledgment messages published |
EBS Market Segments
New Market Segment IDs for EBS Market will be defined for each EBS product in tag 1300-MarketSegmentID in the MDP 3.0 - Security Definition (tag 35-MsgType=d) message.
| Market Segment ID | Market Segment Description | Product |
|---|---|---|
| 36 | EBS FX Spot and Metals | New York Spot New York Metals |
| 38 | EBS FX Spot and NDFs | London Spot London NDFs |
Summary of Drop Copy Message Payload Considerations
This section summarizes the messaging impacts on Drop Copy message payloads from source sessions trading EBS Market.
The following sections contain the tag-level client system messaging impacts that must be accommodated in order to sequence Drop Copy message payloads from source sessions trading EBS Market products on CME Globex.
Execution Report Message Impacts
This section summarizes the messaging impacts on Drop Copy message payloads from source sessions trading EBS Market.
The following sections contain the tag-level client system messaging impacts that must be accommodated in order to sequence Drop Copy message payloads from source sessions trading EBS Market products on CME Globex.
- New fields to support notional value terms
- New field to support Discretion Price
- New enumeration for TimeInForce to represent Good for Session (GFS) orders
- New fields to support eFix trades
- New fields to support FXSPOT/FXNDF trades
- New fields to support Minimum Quote Life (MQL) messaging
These new values will be in the following Drop Copy message payloads:
- Execution Report - New (tag 35-MsgType=8, tag 39-OrdStatus=0)
- Execution Report - Elimination (tag 35-MsgType=8, tag 39-OrdStatus=C)
- Execution Report Modify - Ack (tag 35-MsgType=8, tag 39-OrdStatus=G)
- Execution Report - Cancel Ack (tag 35-MsgType=8, tag 39-OrdStatus=H)
Execution Report Pending Replace (tag 35-MsgType=8, tag 39-OrdStatus=E)
Execution Report Pending Cancel (tag 35-MsgType=8, tag 39-OrdStatus=6)
- Execution Report - Fill (partial and complete) (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)
Product-Specific Features
This section describes the iLink 3 enhancements for EBS products. Current CME Group and EBS customers developing Drop Copy applications to sequence execution reports and acknowledgement messages for EBS products on the CME Globex platform must be aware of the EBS product specific features described below.
Notional Quantity on Execution Reports
FX markets are usually quoted and market data disseminated in Notional terms.
- In all Execution Report - Fill messages the notional values will be calculated as follows:
- Base Currency Notional (tag 381) = LastQty (tag 32)
- Counter Currency Notional (tag 1056) = LastQty (tag 32) x LastPx (tag 31)
- Contra Base Currency Notional (tag 5542) = OrderEventQty (tag 1800)
- Contra Counter Currency Notional (tag 5971) = OrderEventQty (tag 1800) x OrderEventPrice (tag 1799)
- All of these tags in the following Execution Report messages will contain notional values instead of lot size:
| Tag | Execution Report Message |
|---|---|
tag 38-OrderQty tag 110-MinQty tag 1138-DisplayQty tag 14-CumQty tag 151-LeavesQty tag 32-LastQty | Execution Report Reject Execution Report New Execution Report Modify Execution Report Pending Replace Execution Report Cancel Execution Report Pending Cancel Execution Report Elimination Execution Report Trade Outright Execution Report Trade Addendum Outright (Cancel/Amend) |
The following new fields have been added to Execution Report Trade Outright - Fill and Execution Report Trade Addendum Outright messages to support Spot FX and NDFs:
- GrossTradeAmt (tag 381) – Notional in base currency
- CalculatedCcyLastQty (tag 1056) – Notional in counter currency
- ContraGrossTradeAmt (tag 5542) in NoOrderEvents (tag 1795) repeating group
- ContraCalculatedCcyLastQty (tag 5971) in NoOrderEvents (tag 1795) repeating group
New tags added to support notional amounts:
Tag | Field Name | Fix Type | Required | Value | Description |
381 | GrossTradeAmt | Int(20) | N | Total amount traded (in notional) in base currency for the Spot | |
1056 | CalculatedCcyLastQty | Qty(9) | N | Total amount traded (in notional) in counter currency for the Spot |
New tags for notional amounts added to the NoOrderEvents (tag 1795) repeating group:
Tag | Field Name | Fix Type | Required | Value | Description |
→5542 | ContraGrossTradeAmt | Int(20) | N | Amount traded (in notional) in base currency for the Spot with this counterparty | |
→5971 | ContraCalculatedCcyLastQty | Qty(9) | N | Amount traded (in notional) in counter currency for the Spot with this counterparty |
New Fields to support Date Value
The following new tags will be added to the Execution Report Trade Outright - Fill and Execution Report Trade Addendum Outright messages to support Spot FX and NDFs:
- SettlementDate (tag 64) – Value date
- MaturityDate (tag 541)- Date of maturity
New Date tags for Spot FX and NDF trades:
Tag | Field Name | Fix Type | Required | Value | Description |
|---|---|---|---|---|---|
| 64 | SettlementDate | LocalMktDate(8) | N | Specific date of trade settlement | |
| 541 | MaturityDate | LocalMktDate(8) | N | Fixing date |
New Field to support Price Discretion Orders (Tag 845-DiscretionPrice)
Price Discretion (PD) allows an order to rest and automatically improve its Limit price for matching opportunity while maintaining a given visible Limit price.
A new field will be added to the following messages to support Price Discretion:
- Execution Report New
- Execution Report Reject
- Execution Report Modify
- Execution Report Cancel
- Execution Report Elimination
- Execution Report Trade Outright
- Execution Report Trade Addendum Outright
- Execution Report Status
New tag will be added to support Price Discretion orders:
Tag | Field Name | Fix Type | Required | Value | Description |
845 | DiscretionPrice | Price(20) | N | The presence of DiscretionPrice on an order indicates that the trader wishes to display one price but will accept trades at another price Applicable only for EBS |
New Enumeration for TimeInForce to Represent GFS Orders
Order qualifiers on the Drop Copy Market Segment (MSGW) messages payload.
Tag | Name | Fix Type | Required | Enumeration | Description |
59 | TimeInForce | String(2) | N | TimeInForce=0 (Day) TimeInForce=1 (GTC) TimeInForce=3 (FAK) TimeInForce=4 (FOK) TimeInForce=6 (GTD) TimeInForce=99 (GFS) | Specifies how long the order remains in effect. FOK is only for BrokerTec and EBS GFS is only for EBS
|
Minimum Quote Life Messaging (MQL)
This section features new message types to be reflected in the Drop Copy message payload introduced to support Minimum Quote Life (MQL) messaging.
Execution Report Pending Cancel Message (tag 35-MsgType=8, tag 39-OrdStatus=6)
The CME Drop Copy service will reflect the Execution Report Pending Cancel message sent in response to an Order Cancel Request for an FX product subject to Minimum Quote Life to acknowledge the cancel request and to confirm the order will be cancelled at the end of the MQL time limit.
At the end of the MQL time limit, Drop Copy message payload will reflect the Execution Report Cancel message CME Globex sends to the client system confirming order cancellation.
If the resting order on the book could not be cancelled at the end of the time limit, Drop Copy will publish an Order Cancel Reject in the payload message.
The Execution Report Pending Cancel message identifiers refer to the incoming Order Cancel Request message—not those from the resting order. Any Execution Report published after pending cancel but before cancellation will contain the identifiers from the original order.
Execution Report Pending Replace Message (tag 35-MsgType=8, tag 39-OrdStatus=E)
CME Drop Copy will reflect the Execution Report Pending Replace message sent in response to an Order Cancel Replace request for an FX product subject to Minimum Quote Life to acknowledge the cancel replace request and to confirm the order will be evaluated for replacement at the end of the MQL time limit.
If at the end of the MQL time limit, the order is successfully replaced, the Drop Copy message payload will reflect the Execution Report Cancel Replace message CME Globex sends to the client system confirming order replacement.
If the client receives an Order Cancel Reject, the resting order on the book could not be replaced at the end of the time limit.
The Execution Report Pending Replace message identifiers refer to the incoming Order Cancel Replace message—not those from the resting order. Any Execution Report published after pending replace but before replacement will contain the identifiers and attributes (e.g. OrderQty, Price) from the original order.
MiFID Tag Validation
LiquidityProvision
EBS on CME Globex will support reporting of the liquidity provision indicator. Tag 9373-LiquidityProvision is added to the following Application messages on Drop Copy message payload.
- Execution Report - Reject
- Execution Report - New
- Execution Report - Modify
- Execution Report – Cancel
- Execution Report – Elimination
- Execution Report - Status
- Execution Report - Trade Outright
- Execution Report - Trade Spread
- Execution Report - Trade Addendum Outright
- Execution Report - Trade Addendum Spread
Tag | Field Name | Fix Type | Req | Description |
5290 | Executor | Int(20) | N | Will be populated with a short code for the person or algo identified in FIX tag 5392 which will be mapped to National ID or Algo at reporting time Applicable for EU BrokerTec and EBS MiFID |
36023 | IDMShortCode | Int(20) | N | Represents the Investment Decision Maker Short Code Applicable for EU BrokerTec and EBS MiFID |
9373 | LiquidityProvision | Boolean(1) | N | Field added to capture if an order was submitted for market making obligation or not Applicable only for EU BrokerTec and EBS MiFID |
The following MiFID tags are not supported in EBS Market:
- ShortSaleType – Tag 5409
- NoTrdRegPublications – Tag 2668
- TrdRegPublicationType – Tag 2669
- TrdRegPublicationReason – Tag 2670
eFix Matching
Orders for e-FIX instruments will be sent as a Good For Session (GFS) limit orders with price = 0 and executed at the fixing price and published on CME Drop Copy payload message with two Execution Report - Trade Outright messages having different ExecID (tag 17) values.
- The first Execution Report - Trade Outright will be sent with price = 0 and no counterparty indicates that the order is matched and the trade is for fixing price.
- No Counterparty details published in tag 1802-OrderEventText; the ticket has yet to be generated.
- The second Execution Report -Trade Outright will be sent after the Fixing price is published and assigned to the trade.
- Counterparty details will be populated under Tag 1802-OrderEventText
Refer to the EBS Reference Data API Migration for fixing benchmarks and times.
eFix Matching instruments will be available for the same region as the underlying FX Spot instrument. Clients must send eFix Matching orders before the scheduled fixing time
After market close shortly before the scheduled fixing time, all unmatched eFix Matching orders submitted will be eliminated by CME Globex.
This table summarizes the supported order types for eFix Matching instruments:
EBS Summary | Description | Available Combinations |
|---|---|---|
Order Types(tag 40-OrdType) | Limit | Limit + GFS Note - All other combinations will be rejected |
Duration Qualifiers (tag 59-TimeInForce) | Good for Session (GFS) |
eFix Matching Message Sequence
See an example eFix Matching order entry and trade messaging scenario details here.
- Customer enters eFix Matching order
- If two customers are submitting an order for buy and sell, then CME Drop Copy service will publish the first Execution Report Trade Outright on its message payload with:
- TradeType (tag 828)=1000 (Trade at Fixing Price )
- BenchmarkPrice (tag 6262)=0
- No Counterparty details published in tag 1802-OrderEventText; the ticket has yet to be generated.
- Once the eFix Matching price is published, price adjustment is done for the given eFix Matching instrument, then the second Execution Report Trade Outright populated with the fix price reflected on the Drop Copy message payload.
- TradeType (tag 828)=1000 (Trade at Fixing price )
- BenchmarkPrice (tag 6262) for Fixing price
- ExecRestatementReason (tag 378)=8 (Exchange)
- Counterparty details will be populated under tag 1802-OrderEventText
The following new tags have been added to Execution Report Trade Outright - Fill and Execution Report Trade Addendum Outright messages to support eFix Matching an will be reflected in the CME Drop Copy payload message.
Tag | Field Name | Fix Type | Required | Value | Description |
828 | TradeType | Int(6) | N | 1000=Trade at Fixing | Represents a trade at fixing price |
378 | ExecRestatementReason | Int(1) | N | ExecRestatementReason=8 (Exchange) | Will be present when trade at fixing is assigned fixing price |
6262 | BenchmarkPrice | Price(20) | N | The price assigned to an eFix Matching which is determined by an automated set market mid-price from a third party market data feed. The Fixing Price will be distributed as soon as practicable after the Fixing Time |
Summary of Drop Copy for EBS Market Message Changes
The following table shows the tag level client system messaging impacts that must be accommodated in order to leverage CME Drop Copy for trades on EBS products on CME Globex.
| System Impact | Message(s) | Field Name | Description |
|---|---|---|---|
Add new field to support Price Discretion orders | Execution Report New Execution Report Reject Execution Report Elimination Execution Report Trade Outright Execution Report Modify Execution Report Status Execution Report Cancel Execution Report Trade Addendum Outright | DiscretionPrice (tag 845) | The presence of DiscretionPrice on an order indicates that the trader wishes to display one price but will accept trades at another price |
Add new enum value (99) to represent Good For Session (GFS) orders | Execution Report New Execution Report Reject Execution Report Elimination Execution Report Trade Outright Execution Report Modify Execution Report Status Execution Report Cancel Execution Report Trade Addendum Outright | TimeInForce (tag 59) | Specifies how long the order remains in effect GFS is supported only for EBS |
| Add new field to support MiFID validation | Execution Report New Execution Report Reject Execution Report Elimination Execution Report Trade Outright Execution Report Modify Execution Report Status Execution Report Cancel Execution Report Trade Addendum Outright | Tag 9373-LiquidityProvision | Field added to capture if an order was submitted for market making obligation or not Applicable only for EU BrokerTec and EBS MiFID |
| Add new fields to support eFix Matching | Execution Report Trade Outright Execution Report Trade Addendum Outright | TradeType (tag 828) | Represents a trade at fixing price |
| ExecRestatementReason (tag 378) | Will be present when trade at fixing is assigned fixing price | ||
| BenchmarkPrice (tag 6262) | The price assigned to an eFix Matching which is determined by an automated set market mid-price from a | ||
| Add six new fields to support FXSPOT/FXNDF trades. | Execution Report Trade Outright Execution Report Trade Addendum Outright | SettlDate (tag 64) | Specific date of trade settlement |
| tag 541-MaturityDate | Date of maturity (aka NDF fixing date) | ||
| tag 381-GrossTradeAmt | Total amount traded (in notional) in base currency for the Spot | ||
| tag 1056-CalcCcyLastQty | Total amount traded (in notional) in counter currency | ||
| tag 5542-ContraGrossTradeAmt | Amount traded (in notional) in base currency for the Spot with this counterparty | ||
| tag 5971-ContraCalculatedCcyLastQty | Amount traded (in notional) in counter currency for the Spot with this counterparty | ||
| Add new message types to support Minimum Quote Life (MQL) | Execution Report Pending Cancel Execution Report Pending Replace | Sent in response to OrderCancelRequest and OrderCancelReplaceRequest for an order which is subject to Minimum Quote Life |
Contact Information
For technical development support, contact Certification Support for Electronic Trading (CSET).
For production requests, please contact the Global Command Center (GCC).
For all other inquiries, please contact Global Account Management (GAM).