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CME FX Link is the first central limit order book for trading spreads between CME FX Futures and the OTC FX market, enabling participants across the industry to better manage their FX exposures, and more easily access the capital efficiencies of FX futures.

On current CME FX Link iLink fills, the OTC Spot FX leg fill price is shown as equal to the CME FX Link spread price, while the actual OTC Spot FX leg fill price and full transaction details can be obtained via CME Straight Through Processing (STP).

CME  FX Link Enhancements will include the actual OTC Spot FX leg fill price and full transaction details on the iLink fills for the OTC Spot FX leg instruments. Starting Sunday, February 21, 2021, CME Group will launch the first Phase of CME  FX Link Enhancements, which will provide Spot price, Base notional value, Counter-currency notional value on the iLink fill messages. 

Later in 2021, CME Group will launch phase 2 of this enhancement, which will provide Value date on the iLink fill messages.

Contents

Revision History

DateDescription
4/9/30201

updated

Phase2CMEFXLinkEnhancements

1/27/2021updated Version 7 Production Launch dates
1/25/2021

iLink 3 SBE Schema Overview - Updated first bullet. 

1/22/2021

Updated Version 6 Enhancements table with:

ExecutionReportStatus532

1/13/2021

Updated:

  • Key Customer Events and Dates
  • iLink 3 SBE Schema Update
    • iLink 3 SBE Schema Overview
    • iLink 3 SBE Schema Timeline
January 7, 2021

"iLink 3 SBE Schema Update" - Updated CME FX Link Enhancements row.

October 27, 2020

"iLink 3 SBE Schema Timeline"

  • Version 6 Production Launch - Updated first row of table.
  • Version 6 New Release Launch - Updated first row of table.
September 30, 2020Initial publication

Key Customer Events and Dates

Date

Environment

Milestone

February 4, 2021New Release 

Phase 1 CME FX Link Enhancements launch

iLink 3 SBE Schema Version 7 Upgrade 

March 7, 2021Production iLink 3 SBE Schema Version 7 Upgrade - I
March 15, 2021New ReleasePhase 2 CME FX Link Enhancements launch
March 21, 2021ProductioniLink 3 SBE Schema Version 7 Upgrade - II
March 28, 2021Production

iLink 3 SBE Schema Version 7 Upgrade - III

Phase 1 CME FX Link Enhancements launch

May 2, 2021ProductionPhase 2 CME FX Link Enhancements launch

Testing and Certification Requirement

Certification is not required for customers for these CME FX Link enhancements.

Starting October 29, the CME FX Link Enhancements will be available for customer testing in New Release. CME Group strongly encourages all customers and system providers to test the new FIX tags in New Release before production launch.

Client System Impact Summary

  • iLink 3 SBE Schema Update
    • New iLink 3 Version 7 schema to support FX Link Day2, Schema attribute changes, and EBS on CME Globex
  • Phase 1 CME FX Link Enhancement include the following iLink 2.X and iLink 3 messaging changes:
    • Change on tag 31-LastPx of the OTC FX spread leg fills
      • Tag 31-LastPX - actual OTC Spot FX leg fill price
    • New FIX tags to support CME FX Link spreads:
      • Tag 1056-CalculatedCcyLastQty – Notional value in counter currency
      • Tag 381-GrossTradeAmt – Notional value in base currency
  • Phase 2 CME FX Link Enhancements include the following iLink 2.X and iLink 3 messaging changes:
    • New FIX tag to support CME FX Link spreads:
      • Tag 64–SettlementDate - Value date

iLink 3 SBE Schema Update

Beginning with this release, CME Group will implement the new schema for iLink 3 Binary Order Entry to support:

  • CME FX Link enhancements
  • Schema attribute changes
  • EBS on CME Globex

iLink 3 SBE Schema Overview

Below is a summary of CME Globex iLink3 schema updates.

Version 7 includes all enhancements from Version 6 PLUS:

  • Change data type of OrdType enum from uInt8 to uInt8NULL 
    • Remove “Null” enum value(0)
  • Change data type of TimeInForce enum from char to charNULL
    • Remove “Null” enum value(255)
Version 6 Enhancements

 

Updates

Template Name

Template IDs

CME FX Link Enhancements

Add these three new fields to support CME FX Link enhancements:

  • SettlDate (tag 64)
  • GrossTradeAmt (tag 381)
  • CalcCcyLastQty (tag 1056)

ExecutionReportTradeSpreadLeg527

ExecutionReportTradeAddendumSpreadLeg550

527

550

Schema Attribute Changes

Update description for PartyDetailsListReqID(tag 1505) from FFFFFFFF to 0 

PartyDetailsDefinitionRequest518

518

Semantic Type for NewOrderCross template changed from ‘c’ to ‘s’

NewOrderCross544

544

Add new enum value (0) for OrdType (tag 40) to represent null value

ExecutionReportTradeAddendumSpread549

549

Add new enum value (0) for OrdType (tag 40) to represent null value

Add new enum value (255) for TimeInForce (tag 59) to represent null value

Add new enum value (7) for Side (tag 54) to represent undefined value

ExecutionReportStatus532

532

EBS Changes

Add new field DiscretionPrice (tag 845) to support Price Discretion orders

NewOrderSingle514

OrderCancelReplaceRequest515

ExecutionReportNew522

ExecutionReportReject523

ExecutionReportElimination524

ExecutionReportTradeOutright525

ExecutionReportModify531

ExecutionReportStatus532

ExecutionReportCancel534

ExecutionReportTradeAddendumOutright548

514

515

522

523

524

525

531

532

534

548

Add new enum value (99) for TimeInForce (tag 59) to represent Good For Session (GFS) orders

NewOrderSingle514

OrderCancelReplaceRequest515

ExecutionReportNew522

ExecutionReportReject523

ExecutionReportElimination524

ExecutionReportTradeOutright525

OrderMassStatusRequest530

ExecutionReportModify531

ExecutionReportStatus532

ExecutionReportCancel534

ExecutionReportTradeAddendumOutright548

514

515

522

523

524

525

530

531

532

534

548

Add three new fields to support eFix trades:

  • TradeType (tag 828)
  • ExecRestatementReason (tag 378)
  • BenchmarkPrice (tag 6262)

ExecutionReportTradeOutright525

ExecutionReportTradeAddendumOutright548

525

548

Add six new fields to support FXSPOT/FXNDF trades:

  • SettlDate (tag 64)
  • MaturityDate (tag 541)
  • GrossTradeAmt (tag 381)
  • CalcCcyLastQty (tag 1056)
  • ContraGrossTradeAmt (tag 5542)
  • ContraCalculatedCcyLastQty (tag 5971)

ExecutionReportTradeOutright525

ExecutionReportTradeAddendumOutright548

525

548

Update data type for OrderID (tag 37) from uInt64 to uInt64NULL to support Order Cancel and Order Cancel Replace by ClOrdID (tag 11)

OrderCancelReplaceRequest515

OrderCancelRequest516

515

516

Add new templates to support Minimum Quote Life

ExecutionReportPendingCancel564

ExecutionReportPendingReplace565

564

565

Add two new enum values for OrderStatus (tag 39) to represent Pending Cancel (6) and Pending Replace (E) to support Minimum Quote Life (MQL).

ExecutionReportStatus532

532

Futures and Options on Futures - Production Rollout

DATEMESSAGES FROM CLIENTMESSAGES FROM CME GLOBEX
Currently

V5

V5
March 7 through March 28: Phased launch

V5 or  V7 for market segments that support V7

V7 for market segments that support V7
March 28V5 or V7 for all market segmentsV7 only
Sunday, May 16V7 onlyV7


Please Note: BrokerTec on CME Globex will remain on iLink 3 version 5.

iLink 3 SBE Schema Timeline

Version 7 New Release Launch

The new version 7 schema will be available New Release for customer testing on Thursday, February 4..

Version 7 Production Launch

MARKET SEGMENT ID

MARKET SEGMENT DESCRIPTION

PRODUCTION LAUNCH

12

50

76

Order Entry Service Gateway

CME Interest Rate Options

NYMEX Metals, Softs and Alternative Markets Futures; COMEX Futures

Sunday, March 7, 2021

52

70

82

88

CME FX Futures and Options II

CME, CBOT and MGEX Commodity Futures

CME Interest Rate Futures

CME FX Futures and Options

Sunday, March  21, 2021

54

56

58

60

64

68

72

74

78

80

84

CME and CBOT Equity Options

NYMEX Emissions Options; NYMEX Energy, Metals, Softs and Alternative Markets Options; COMEX Options; DME Options

CBOT Interest Rate Options

CME, CBOT and MGEX Commodity Options

CME Equity Futures - E-mini S&P

CME Equity Futures II; CBOT Equity Futures

CBOT and CME Equity Options; excluding S&P

BMD Futures and Options; NYMEX SEF

NYMEX Emissions and Non-Crude Energy Futures

DME Futures; NYMEX Crude and Crude Refined Energy Futures

CBOT Interest Rate Future

Sunday, March 28, 2021

Phase 1 CME FX Link Enhancements

Tag 31-LastPX change

With the phase 1 launch, upon a fill in the CME FX Link spread order, CME Globex will send the client system three iLink Execution Report – Fill messages as follows:

  • Execution Report - Fill for the CME FX Link Spread; tag 31-LastPx = CME FX Link spread fill price
    • reflecting the differential from the assigned FX Futures leg price that the OTC Spot FX fill price will ultimately take
  • Execution Report - Fill for the CME Globex FX Futures leg; tag 31-LastPx = CME Globex FX futures leg fill price
  • Execution Report - Fill for the OTC Spot FX leg; tag 31-LastPx = actual OTC Spot FX leg fill price

Currently, on CME Globex for CME FX Link iLink fills, the OTC Spot FX leg fill price (tag 31-LastPx) is shown as equal to the CME FX Link spread price.

Example CME FX Link Spread: 6E:XF:EURUSD:Z7

iLink 2 Fill Message

 iLink 3 Fill Messages

Current tag 31 value

New tag 31 value




Execution Report – Fill Notice


Execution Report – Trade Spread 

CME FX Link spread: 6E:XF:EURUSD:Z7

Tag 31-LastPx=spread price

N/A - Same as today



Execution Report – Trade Spread Leg

CME FX Futures leg: 6EZ7

Tag 31-LastPx=futures leg price

N/A - Same as today

CME FX Spot leg  (non-tradable)EURUSDZ5031

Tag 31-LastPx=spread price

CME FX Spot leg (non-tradable): US Dollar Spot FX              

Tag 31-LastPx=actual OTC Spot price

New FIX Tags to Support CME FX Link Spreads

New FIX tags will be returned on the following outbound application iLink messages:

iLink 2.X messaging impacts:
  • Execution Report – Fill Notice  (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) for the OTC Spot FX leg
  • Execution Report – Trade Cancel  (tag 35-MsgType=8, tag 39-OrdStatus=H) for the OTC Spot FX leg
  • Execution Report – Trade Correction (tag 35-MsgType=8, tag 39-OrdStatus=G) for the OTC Spot FX leg

Tag

FIX Name

Reg

Format

Description

1056

CalculatedCcyLastQty

N

Int(20)

Total amount traded (in notional) in counter currency for the Spot leg

381

GrossTradeAmt

N

Int(20)

Total amount traded (in notional) in base currency for the Spot leg

iLink 3 Messaging Impacts:
  • Execution Report – Trade Spread Leg message (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) for the OTC Spot FX
  • Execution Report – Trade Addendum Spread Leg message (tag 35-MsgType=8, tag 39-OrdStatus=H, G) for the OTC Spot FX

Tag

Field Name

Binary Type

Binary Length

Required

Description

1056

CalculatedCcyLastQty

Decimal64NULL

9

N

Total amount traded (in notional) in counter currency for the Spot leg

381

GrossTradeAmt

Decimal64NULL

9

N

Total amount traded (in notional) in base currency for the Spot leg

Phase 2 CME FX Link Enhancements

New FIX tags to Support CME FX Link Spreads

New FIX tags will be returned on the following outbound application iLink messages:

iLink 2.X Messaging Impacts:
  • Execution Report – Fill Notice  (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) for the OTC Spot FX leg

Tag

FIX Name

Reg

Format

Description

64

SettlementDate

N

LocalMktDate(8)

Specific date of trade settlement for the Spot leg

iLink 3 Messaging Impacts:
  • Execution Report – Trade Spread Leg message (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2) for the OTC Spot FX
  • Execution Report – Trade Addendum Spread Leg message (tag 35-MsgType=8, tag 39-OrdStatus=H, G) for the OTC Spot FX

Tag

Field Name

Binary Type

Binary Length

Required

Description

64

SettlementDate

LocalMktDate

2

N

Specific date of trade settlement for the Spot leg

For Trade Cancellation and Trade Correction, tag 64 value will be set to default null value with this launch. 

In a future release, tag 64 will be accurately populated on the Execution Report – Trade Addendum Spread Leg message for the OTC Spot FX leg. Additional information on this will be announced in future Globex Notices. 


Contact Information

For technical development support, please contact:

CSET

Phone: 1 312 930 2322 (US)
Phone: 44 20 3379 3803 (London)
Phone: 65 6593 5593 (Asia)
Email: cset@cmegroup.com

For all other inquiries, please contact:

GAM

Email: globalaccountmanagement@cmegroup.com


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