In a future announcement, pending the completion of all regulatory review periods, On-SEF NDF tailored order books capability will be made available on CME Globex.  With this functionality, the initiator of a tailored order book can interact with a pre-determined set of counterparties within a firm, pre-trade anonymous order book on CME Globex.

This topic provides an overview of the concepts with which clients must be familiar with to process Tailored Order Books.

Contents

Revision History

DateDescription
February 21, 2024Production date update
December 6, 2023Effective date and Production date updated
October 13, 2023Updated Production date
September 14, 2023New client impact assessment added.
September 13, 2023Initial version of content published.

Key Events and Dates

DateMilestone
Now AvailableNew Release
TBAProduction

Testing and Certification

Certification is required for new client systems. Certification is optional for previously certified EBS MDP conflated TCP and iLink systems.  

Tailored Order Book Impacts

The following section outlines tailored order book client impacts.

Credit

Tailored order books will be configured utilizing existing EBS functionality as follows:

  • New CME Globex Firm IDs (GFIDs) and credit relationships will be set up for all participants in a given tailored order book
  • Order book initiators will have a bi-lateral credit relationship to interact with all other enabled participants
  • Other participants in a tailored order book will not have a credit relationship with or interact with each other  
  • Tailored order book transactions will be reported under new Market Identifier Code (MIC), "EBSO"

Order Entry

With this launch, all iLink Order Entry EBS Market functionality is supported.   

Market Data

The new TCP MDP market data group to support tailored order books is outlined below.

CME Globex Market Data Services

Market

NEW - Market Data GroupChannel IDDescription
EBS Market ON SEF NDF LondonCME MDP Conflated TCP for Tailored Order Books548
  • 100 millisecond conflated messaging
  • 3-Deep Market By Price (MBP)
  • Trade Summary messages unavailable
  • Credit screened - client systems will only receive price levels where there is tradeable quantity 
  • EBS Best prices (top bid and ask offers available to all client systems) are unavailable
  • Price band functionality is unavailable 
  • TCP Connectivity 
  • Simple Binary Encoding (SBE)

EBS Market on CME Globex Market Data Features 

This section compares MDP 3.0 services and features available for EBS markets on CME Globex, including Conflated TCP Support for On-SEF NDF Tailored Order Books.

MDP 3.0 FeatureConflated UDP SupportConflated TCP SupportNEW - Conflated TCP for Tailored Order BooksCME MDP EBS Ultra 20 Millisecond Conflated TCP

Description

Simple Binary Encoding (SBE)(tick)(tick)(tick)(tick)

Protocol for decoding and encoding messages in binary format.

Dissemination(tick)(tick)(tick)(tick)

The CME Group Market Data Platform (MDP) disseminates bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing.

Conflated TCP Support for Tailored Order Books does not support UDP Market Data Configuration files.

Event Based Market Data Messaging(tick)(tick)(tick)(tick)Event Based - market data generated by order activity and market state events. Additional examples of event processing for conflated feeds can be found in Conflated Market Data Processing
Correlating MDP 3.0 with Order Entry(tick)(tick)

(tick)

(tick)Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client.
Conflation Processing(tick)(tick)(tick)(tick)Conflated market data combines multiple updates within an interval to a single event. 
Conflated TCP Market Data Group Processing

(error)

(tick)(tick)(tick)Conflated market data combines multiple updates within an interval to a single event. 
Trade Summary(tick)(tick)(error)(tick)Trade and trade-driven market data. Additional examples of Trade Summary messages for conflated feeds can be found in Conflated Market Data Processing

MDP 3.0 - CME Globex Pricing

(tick)(tick)(tick)(tick)This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex. 

Trade and Value Date Processing

(tick)(tick)(tick)(tick)EBS Market provides the Trade Session List for trade and value date processing

Trade Embargo Processing for ON-SEF NDF Instruments

(tick)(tick)(error)(error)ON-SEF NDF instruments implement an embargo rule for trade messaging. The embargo sends trade information during a conflation interval at a minimum of 400 milliseconds after the trade occurs.

MDP 3.0 - Security Status

(tick)

(tick)

(tick)

(tick)

The Market Data Security Status message is used to indicate:

  • Security group market state change
  • Instrument state change
  • Trade date roll

Book Management

Conflated UDP Support 

Conflated TCP Support

NEW -  Conflated TCP for Tailored Order Books

CME MDP EBS Ultra 20 Millisecond Conflated TCP

Description

Market by Price (MBP)

(tick)(tick)(tick)(tick)CME Group provides a multiple-depth Market by Price (MBP) book for most products.

Implied Book Processing

MDP 3.0 - Implied Matching Status

(error)

(error)

(error)

(error)

N/A

Market by Order - Full Depth (MBOFD)(error)(error)(error)(error)N/A

Market By Order - Limited Depth (MBOLD) Book Processing

(error)(error)(error)(error)N/A

Inverted Price Book Processing

(error)(error)(error)(error)N/A

Mid-Session Order Quantity Update

(error)(error)(error)(error)N/A

All-Or-None Processing

(error)(error)(error)(error)N/A

Bilateral Trading Relationship Processing

(error)(error)(error)(error)N/A

MDP 3.0 - Credit Screened Market Best Processing for EBS

(error)(tick)(error)

(error)

TCP Credit screened market data provides client systems price levels where there is applicable credit. 

The EBS Ultra Russian Ruble TCP channel is not credit screened.  

Statistics

Conflated UDP Support 

Conflated TCP Support

NEW -  Conflated TCP for Tailored Order Books

CME MDP EBS Ultra 20 Millisecond Conflated TCP

Description

Opening Price(error)(error)(error)(error)N/A
Indicative Opening(error)(error)(error)(error)N/A
Session High and Low Trade Price(error)(error)(error)(error)N/A
Session Statistics Reset(error)(error)(error)(error)N/A
Electronic Volume(error)(error)(error)(error)N/A

High Bid and Low Ask

(error)(error)(error)(error)N/A

Cleared Volume

(error)(error)(error)(error)N/A

Fixing Price

(error)(error)(error)(error)N/A

Open Interest

(error)(error)(error)(error)N/A

Settlement Price

(error)(error)(error)(error)N/A
Volume Weighted Average Price(error)(error)(error)(error)N/A
Recovery

 Conflated UDP Support 

Conflated TCP Support

NEW -  Conflated TCP for Tailored Order Books

CME MDP EBS Ultra 20 Millisecond Conflated TCP

Description

Recovery Services for UDP

(tick)(error)(error)(error)

Data recovery to synchronize client order books with the current state maintained by CME Group.

MBO recovery is not available for EBS. MBP books are only available. Therefore, MBO recovery concepts can be ignored in the MDP 3.0 - Recovery document.

Recovery Services for Conflated TCP(error)(tick)(tick)(tick)

Data recovery to synchronize client order books with the current state maintained by CME Group.

Straight-Through Processing and Central Post Trade

There are no functional impacts.  Tailored order book trades will be reported under new MIC code, "EBSO". In CPT FIX, the MIC code is populated in tag 448-PartyID with tag 447-PartyIDSource=G (Market Identifier Code).

Client Reports

For customers participating in TOB, EOD Client Order Events - On-SEF (CEOD201) report will be available with the new MIC EBSO. See more information about EBS Reporting.

Product Specifications

Product specifications for contracts available for the ON-SEF NDF Tailored Liquidity Pool are as follows.

Tailored Ordered book product and instrument information will be available in Reference Data API.
Product NameProduct Long NameMDP 3.0: Tag 6937-AssetiLink: Tag 55-Symbol / MDP 3.0: Tag 1151-Security GroupMDP 3.0: Tag 969-MinPriceIncrementMDP 3.0: Tag 1142-MatchAlgorithm

ON-SEF NDF Tailored Liquidity Pool USD/TWD 1M

FXNDF.TLP.USD/TWD.1M_SEF

TWD1TL

TNDF 

0.001000000P - Size Priority Matching

ON-SEF NDF Tailored Liquidity Pool USD/KRW 1M

FXNDF.TLP.USD/KRW.1M_SEF

KRW1TL

TNDF 

0.010000000F - FIFO

ON-SEF NDF Tailored Liquidity Pool USD/INR 1M

FXNDF.TLP.USD/INR.1M_SEF

INR1TL

TNDF 

0.001000000

ON-SEF NDF Tailored Liquidity Pool USD/IDR 1M

FXNDF.TLP.USD/IDR.1M_SEF

IDR1TL

TNDF 

1.000000000

ON-SEF NDF Tailored Liquidity Pool USD/PHP 1M

FXNDF.TLP.USD/PHP.1M_SEF

PHP1TL

TPHP

0.001000000

ON-SEF NDF Tailored Liquidity Pool USD/BRL 1M

FXNDF.TLP.USD/BRL.1M_SEF

BRL1TL

TNDF 

0.000100000

ON-SEF NDF Tailored Liquidity Pool USD/CLP 1M

FXNDF.TLP.USD/CLP.1M_SEF

CLP1TL

TNDF 

0.010000000

ON-SEF NDF Tailored Liquidity Pool USD/COP 1M

FXNDF.TLP.USD/COP.1M_SEF

COP1TL

TNDF 

0.010000000

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).


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