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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. In Q4 2021, 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.

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 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

Future Topics

Additional information on the following topics will be available soon:

  • Institution Groups for
    • Latency Floor
    • Minimum Quote Life
    • eFix matching
  • Settlement Counterparty and Prime Broker Masking
  • EBS MidBooks and Market Insurance

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 in Q4 2021, 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.

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.

Market Integrity Controls

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