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
Date | Description |
---|---|
4/9/30201 | updated |
1/27/2021 | updated 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:
|
January 7, 2021 | "iLink 3 SBE Schema Update" - Updated CME FX Link Enhancements row. |
October 27, 2020 |
|
September 30, 2020 | Initial publication |
Key Customer Events and Dates
Date | Environment | Milestone |
---|---|---|
February 4, 2021 | New Release | Phase 1 CME FX Link Enhancements launch iLink 3 SBE Schema Version 7 Upgrade |
March 7, 2021 | Production | iLink 3 SBE Schema Version 7 Upgrade - I |
March 15, 2021 | New Release | Phase 2 CME FX Link Enhancements launch |
March 21, 2021 | Production | iLink 3 SBE Schema Version 7 Upgrade - II |
March 28, 2021 | Production | iLink 3 SBE Schema Version 7 Upgrade - III Phase 1 CME FX Link Enhancements launch |
May 2, 2021 | Production | Phase 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:
| 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:
| ExecutionReportTradeOutright525 ExecutionReportTradeAddendumOutright548 | 525 548 | |
Add six new fields to support FXSPOT/FXNDF trades:
| 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
DATE | MESSAGES FROM CLIENT | MESSAGES 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 28 | V5 or V7 for all market segments | V7 only |
Sunday, May 16 | V7 only | V7 |
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 | CME FX Link spread: 6E:XF:EURUSD:Z7 Tag 31-LastPx=spread price | N/A - Same as today | |
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