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This topic describes the new market functionality for EBS Market's central limit order book and eFix Matching Services integration onto the CME Globex platform. Subject to applicable regulatory approvals, all Products will be integrated onto the CME Globex platform. This integration will be a hard cut-over from the EBS Market platform to CME Group architecture and services. 

This document presents the new behavior and concepts introduced for EBS on CME Globex. For full technical information, see the CME Globex platform topic.

CME Globex Services Schedules for EBS Market and eFix

Clients can connect and begin logging in to CME Group services starting 10:00 a.m. Central time (CT) Sundays, before the first market open.

Clients must logout and disconnect from all services at 5:00 p.m. CT on Fridays, after the last market close for the week.

CME Group internal testing in the Production environment can occur during the weekend. Any trades or market data generated during these tests should be disregarded.

Getting Started with CME Group Services

This section provides an overview of current CME Group services that will be used for EBS Market including eFix Matching on CME Globex. If you are new to CME Group services or wish to better understand how your current system aligns with upcoming EBS functionality, CME Group recommends starting here.

ServiceDescription
iLink 3Order entry and management service
MDP 3Market data solutions
Drop CopyRisk management API with real-time copies of orders and trades on CME Globex
Reference Data APIWeb service API for comprehensive product and instrument parameters and definitions

Contents

Revision History

DateDescription
June 7, 2022Added note about tag 9768 to "In-Flight Mitigation" section. 
May 24, 2022Removed "Future Topics" section.
May 4, 2022Added "Institutional Prioritization Match Algorithm" section.
March 1, 2022
  • Added "SMP Features by Access Method" section.
September 30, 2021
June 2, 2021
  • EBS Product Overview - Rewrote entire page.
  • Rewrote "EBS Market on CME Globex Services"
  • "Market Integrity Controls"

    • Added Cancel on Conclusion.

    • Added link to Cancel on Disconnect.

  • Removed "Cancel on Disconnect" section.
December 15, 2020

"Regional Deployments for EBS Market and eFix Matching" - Correction to table.

PRODUCTSPRIMARY REGIONBACKUP REGION

New York FX Spot

New York Metals

Equinix Secaucus NY5 Slough LD4.2Equinix Slough LD4.2 Secaucus NY5

London FX Spot

London NDFs

Equinix Slough LD4.2 Secaucus NY5Equinix Secaucus NY5 Slough LD4.2
December 3, 2020Initial Publication

Key Events and Dates

See the full New Release and Production launch schedule.

Testing and Certification

Functional certification via the AutoCert+ tool is mandatory for client systems accessing the following CME Group API services for EBS:

  • iLink 3 for Convenience Gateways (CGW)
  • iLink 3 for Market Segment Gateways (MSGW)
  • Drop Copy
  • MDP 3 services

EBS Market on CME Globex Services

The full list of client services for EBS Market and eFix Matching Service on CME Globex is available here.

Regional Deployments for EBS Market and eFix Matching

EBS Market and eFix Matching products will trade in one of two distinct regions. Shared Services will be available in the Chicago DC3 data center.

Each product is available for trading in a single location.

Shared Services includes Global Credit Limits, Data Insights Spectrum market data and EBS CPT post-trade service.

ProductsPrimary RegionBackup RegionTrading EngineMSGWCGWMDP 3Drop CopyShared Services

New York FX Spot

New York Metals

Equinix Secaucus NY5Equinix Slough LD4.2(tick)(tick)(tick)(tick)(tick)(error)

London FX Spot

London NDFs

Equinix Slough LD4.2Equinix Secaucus NY5(tick)(tick)(tick)(tick)(tick)(error)
NoneTokyo TY3N/A(error)(error)(tick)Conflated TCP Credit Screened only(tick)(error)
NoneChicago DC3New York - Vesey(error)(error)(error)Data Insights Spectrum only(error)(tick)

The trading engines, MSGWs, CGWs, Market Data services and Drop Copy Gateways will be physically located in the Primary Region for production and the Backup Region for Disaster Recovery.


Products

EBS products that are in-scope for the integration to CME Globex, and additional information is available in the EBS Product Overview topic.

eFix Matching instruments will be available as distinct Products and Instruments. Clients who want to trade these markets must enter orders on the specific instruments. The eFix Matching market data messages will be separate from the Spot and NDF instruments.

New and Modified Market Functionality

FunctionalityNew to CME GlobexModified from
Existing CME Globex

New York Spot FX

London Spot FX

New York MetalseFix MatchingLondon NDFs
eFix Matching Products, including Trade Restatements(tick)(error)(tick)(tick)(tick)(error)
24-hour trading day; trade date roll during Open market state(tick)(error)(tick)(tick)(error)(tick)
Order Cancel and Order Cancel/Replace by ClOrdID(tick)(error)(tick)
Pip Discretion(tick)(error)
Latency Floor(tick)(error)
Minimum Quote Life and Minimum Quote Life Protection(tick)(error)
Good for Session order duration(tick)(error)
Iceberg Orders Features(error)(tick)
Notional Quantity Order and Trade Size(tick)(error)
CME Globex-style In-Flight Mitigation(error)(error)
CME Globex-style Self-Match Prevention with Trade-Around(error)(tick)
Settlement Counterparty and Prime Broker Masking(tick)(error)
CME Globex-style Cancel on Disconnect(error)(error)

Notional Quantity 

EBS instruments on CME Globex will trade in Notional Quantity terms. Order entry via iLink 3, all market data, and Product and Instrument records on Reference Data API v2 will all reflect notional terms for all quantity fields and attributes. All other instruments on CME Globex use contract or lot terms.

Detailed information on the Notional Quantity handling for each API is available in the Client Impact Assessments for each interface.

Self-Match Prevention

For EBS Market and eFix Matching, the CME Globex-style Self-Match Prevention will be supported with the following changes:

  • SMP IDs
    • GFIDs may register for as many SMP IDs as desired
    • SMP IDs may be shared across GFIDs only if the GFIDs are part of the same Institutional Group
  • SMP Instructions are not supported
  • In the event of a self-match event, the arriving order will trade around any resting order(s) with the same SMP ID.
    • If arriving order is a Good For Session order, and does not fully trade, the remaining quantity will rest on the book at the same or better price level as the resting order(s). Market data will reflect the crossed book.

SMP Features by Access Method

Order Entry

Registration for SMP IDs

Application Level

Effect

iLink 3

  • Clients can register for as many SMP ID(s) as needed.
  • Each SMP ID must be associated to a single GFID.
  • Orders for any GUS under that GFID may use any SMP ID.

Clients must submit a valid ID, registered to their GFID, on each individual order.

Technical Specification

If two orders with the same SMP ID would match, the arriving order will trade around any resting order(s) with the same SMP ID.

Any remaining quantity will rest on the book at the same price level as the resting order(s).

EBS Ai for CME Globex

  • Clients can register for a single SMP ID per GFID.
  • Clients can associate their SMP ID to any GUS’ under their GFID.
  • All orders for the GUS will be assigned the associated SMP ID.
  • If no SMP ID is registered for a GUS, SMP will not be applied to any orders submitted under that GUS.

CME Group will apply the SMP ID associated to the order’s GUS (if any). The SMP ID cannot be submitted by the client and will not be visible on any API messaging.

If GUS has an SMP ID defined:

Self-match will be prevented as designed.


If GUS does not have an SMP ID defined:

Orders from the same GUS and from the same GFID will be allowed to trade.

Workstation

CME Group will apply the SMP ID associated to the order’s GUS (if any). The SMP ID cannot be submitted by the client and will not be visible on any Workstation screen.

In-Flight Mitigation

EBS Market and eFix Matching will leverage CME Globex-style In-Flight Mitigation upon the migration to CME Globex. 

In-flight mitigation (IFM) is an optional feature on CME Globex that allows client systems submitting cancel/replace messages to prevent overfilling in the event that the original order is filled while the cancel/replace message is being processed.

For example, with IFM enabled, if an order for 10 is filled for 2 prior to being replaced with an order for 5, the new order on the book will only be for 3. With IFM disabled, the new order will go on the book as 5.

CME Globex customers who want to use the IFM Cancel/Replace functionality must explicitly indicate their choice in the first Cancel/Replace messages by including Tag 9768=Y.

See full details and a video on CME Globex-style IFM.

CME recommends that EBS client systems submit Order Cancel Replace (tag 35-MsgType=G) messages using tag 9768=Y to avoid overflow of cumulative quantity, since the quantity is in notional value.


Market Integrity Controls

The following Market Integrity Controls will be supported for EBS Market and eFix Matching on CME Globex:

Institutional Prioritization Match Algorithm

The Institutional Prioritization algorithm is a two allocation FIFO algorithm that provides matching priority to Globex Firm IDs (GFIDs) in the same Institution Group.  The first FIFO allocation fills the Institutional Group the aggressing order is associated with. The second pass allocation matches orders without an Institutional Group association.  The Institutional Prioritization algorithm uses time as the only criteria for filling an order for each FIFO pass. An order loses order priority and is re-queued if the order modified with an increase in quantity.  The Institutional Prioritization Algorithm is denoted on the MDP Security Definition Message (35=d) via tag 1142-MatchAlgorithm=V .

Information regarding other match algorithms on Globex can be found here.

Institutional Prioritization Example

In the example below, an aggressing bid order first fills offer orders within the same Institution Group.  In the second allocation, the remaining aggressor bid quantity  fills orders that are not within the Institution Group.


Orders in the Market 

ORDER NO.

BID QTY

BID Institution Group

OFFER QTY

OFFER GFID

ORDER NO.

INCOMING20BB310AAA



5BB12



5CCC3



8BB24



10DDD5


Allocation 1 - Institution Group Fills

For the first allocation, the orders with the same Institution Group (BB1 & BB2) as the aggressor (BB3) are filled.

ORDER NO.

BID QTY

BID Institution Group

OFFER QTY

OFFER GFID

ORDER NO.

INCOMING7BB310AAA



5CCC2



10DDD3


Allocation 2 - Resulting Orders in the Market 

Next, the offer for AAA, which is not part of the aggressor Institution Group, is reduced from 10 to 3.

OFFER QTY

OFFER GIFD

ORDER NO.

3AAA
5CCC2
10DDD3