To trade EBS products on the CME Globex platform customers must implement the order entry functionality described in iLink 3 Binary Order Entry, and, if applicable, the market data functionality described in MDP 3.0. Customers with this functionality in place can refer to the EBS-specific functionality described in this topic.

Contents

Market Access

EBS Market on CME Globex is available through iLink 3 Binary Order Entry on dedicated Market Segment Gateways (MSGWs) and Convenience Gateways (CGWs)Customers can choose to access EBS Market through the MSGWs directly, or the CGWs, which route customer orders to the appropriate MSGWs.

For an order submitted over an iLink Convenience Gateway, that order will be routed to the dedicated Market Segment Gateway to the CME Globex matching engine supporting the given instrument.

Orders for EBS Market products can also be submitted over the Market Segment Gateway directly to the matching engine supporting the given instrument.

Convenience Gateway

  • The CGW provides a single point of order entry for all EBS Market instruments regardless of matching region.
  • All orders are routed to the MSGW in the matching region.

EBS iLink 3 CGW

Market Segment Gateway

  • Provides the fastest route for order entry for instruments in the local region over a dedicated MSGW.
  • Orders are not routed to the matching region. An order submitted for an instrument not matched locally will be rejected.

EBS iLink 3 MSGW

EBS Market trades on one of the two distinct regions. Each product is available for trading in a single location.  

Products

Primary Region

Backup Region

MSGWCGW

New York Spot

New York Metals

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

London Spot

London NDFs

Equinix Slough LD4.2Equinix Secaucus NY5(tick)(tick)
N/ATokyo TY3N/A(error)(tick)

The MSGWs and CGWs are physically located in the Primary Region for production and the Backup Region for Disaster Recovery.

  • The New York and London regions each support both MSGW and CGW, while the Tokyo location only supports CGW

  • The New York and London CGWs route orders to either New York or London

  • The Tokyo CGW routes orders to either New York or London

Both EBS CGW and MSGW sessions use the iLink 3 messaging protocol.

EBS Market

EBS Market includes Central Limit Order Book (CLOB) and eFix Matching.

Trading Type

Products

Market Structure

Order Entry APIs

EBS Market CLOB

New York FX Spot

New York Metals

London FX Spot

London NDFs

Market by Price 

Central Limit Order Book


iLink 3

eFix Matching

New York FX Spot

London FX Spot

Time based, quantity matching pool of anonymous benchmark liquidity.

Bilateral matching ahead of a benchmarks calculation, with the given rate being applied post publication.

No public market data for order book and trade.

iLink 3


Order Entry Service Gateway

The Order Entry Service Gateway (OESGW) is the means for customers to register administrative information.

OESGW market segment semantics are:

<marketsegment id="8" label="EBS CGW Order Entry Service  Gateway">

<marketsegment id="18" label="EBS NY Order Entry Service Gateway">  

<marketsegment id="20" label="EBS London Order Entry Service Gateway">

  • If the EBS customer opts for on-demand administrative information to MSGW, they do not need to support OESGW.
  • If the EBS customer opts to pre-register their administrative information, they MUST use the same iLink 3 session to connect to the Service Gateway using FIXP protocol, and submit Party Details Definition Request messages as follows:
    • For CGW session, use OESGW "8" to pre-register for all EBSM and eFIX markets
    • For  MSGW session, 
      • Use OESGW "18" for “New York FX Spot and New York Metals”
      • Use OESGW "20" for “London FX Spot and London NDFs”

Product-Specific Features

Customers developing applications to trade EBS products on the CME Globex platform must be aware of the EBS features described below.  

Notional Quantity

FX markets are usually quoted and market data disseminated in Notional terms.

  • In all Execution Report - Fill messages the notional values are calculated as follows:
    • Base Currency Notional (tag 381) = LastQty (tag 32) 
    • Counter Currency Notional  (tag 1056) = LastQty (tag 32) x LastPx  (tag 31)
    • Contra Base Currency Notional (tag 5542) = OrderEventQty (tag 1800)
    • Contra Counter Currency Notional (tag 5971) = OrderEventQty (tag 1800) x OrderEventPrice (tag 1799) 
  • All of these tags in the New Order Single and Order Cancel Replace Request messages contain notional values instead of lot size:
Tag
  • tag 38-OrderQty
  • tag 110-MinQty
  • tag 1138-DisplayQty 
  • All of these tags in the following Execution Report messages contain notional values instead of lot size:
TagExecution Report Message

tag 38-OrderQty

tag 110-MinQty

tag 1138-DisplayQty

tag 14-CumQty 

tag 151-LeavesQty

tag 32-LastQty

Execution Report Reject

Execution Report New

Execution Report Modify

Execution Report Pending Replace

Execution Report Cancel

Execution Report Pending Cancel

Execution Report Elimination

Execution Report Trade Outright

The following new fields have been added to the Execution Report Trade Outright - Fill message to support Spot FX and NDFs:

  • GrossTradeAmt (tag 381) – Notional in base currency
  • CalculatedCcyLastQty (tag 1056) – Notional in counter currency
  • ContraGrossTradeAmt (tag 5542) in NoOrderEvents (tag 1795) repeating group
  • ContraCalculatedCcyLastQty (tag 5971) in NoOrderEvents (tag 1795) repeating group

New tags added to support notional amounts:

Tag

Field Name

Binary Type

Binary Length

Required

Value

Description

381GrossTradeAmtDecimal64NULL9N
Total amount traded (in notional) in base currency for the Spot
1056CalculatedCcyLastQtyDecimal64NULL9N

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

New tags for notional amounts added to the NoOrderEvents (tag 1795) repeating group:

Tag

Field Name

Binary Type

Binary Length

Required

Value

Description

→5542ContraGrossTradeAmtDecimal64NULL9N
Amount traded (in notional) in base currency for the Spot with this counterparty
→5971ContraCalculatedCcyLastQtyDecimal64NULL9N
Amount traded (in notional) in counter currency for the Spot with this counterparty

Value Date

The following tags in the Execution Report Trade Outright - Fill message support Spot FX and NDFs:

  • SettlementDate (tag 64) – Value date
  • MaturityDate (tag 541)- Date of maturity

For Spot products, Intervening days = number of business days to value date. (Example: If value date is T+2 then intervening days = 2)

SPOT

For NDFs, maturity occurs on the fixing date. The tenor must be added to the Spot value date to determine the Settlement Date.

NDF

New Date tags for Spot FX and NDF trades:

Tag

Field Name

Binary Type

Binary Length

Required

Value

Description

64SettlementDateLocalMktDate2N
Specific date of trade settlement
541MaturityDateLocalMktDate2N
Fixing date

EBS Market Order Entry

This section describes iLink 3 functionality for EBS Market.

Supported Order Types & Order Qualifiers

The table summarizes the supported order types and qualifiers for EBS Market on CME Globex:

EBS Market SummaryDescription

Available Combinations

Order Types
(tag 40-OrdType)

Limit

Limit + GFS

Limit + GFS + Display Quantity*

Limit + GFS + PD

Limit + GFS + Display Quantity* + PD

Limit + FOK

Limit + FAK


Duration Qualifiers
(tag 59-TimeInForce)

Good for Session (GFS)

FOK

FAK 

Quantity Qualifiers
(tag 1138-DisplayQuantity)

Display Quantity*

Price Qualifiers
(tag 845-DiscretionPrice)

Price Discretion (PD) 

*On CME Globex an iceberg order is referred to as a Display Quantity order.

Good for Session

The Good for Session (GFS) order qualifier is supported for all EBS instruments. If GFS orders (tag 59-TimeInForce=99) are submitted to CME Globex, these orders will expire at the next instrument Close.

EBS instruments on CME Globex close either daily or weekly.

  • Daily close
    • All eFix instruments (at fixing close, shortly before each fixing time)
    • Rolling Dated ON SEF/ON MTF NDFs
    • End of Month NDFs, both OFF SEF/ON MTF and ON SEF/ON MTF
    • Rolling Dated OFF SEF/ON MTF NDFs
  • Weekly close
    • Spot FX
    • Spot Metals
  • Notification of trade date roll is provided on the EBS Market Data channels both screened and unscreened.
  • GFS orders are cancelled when market is closed manually by GCC.
  • GFS orders are cancelled when there is technical pause.
  • GFS order are cancelled upon a Cancel on Conclusion(COC) and Cancel on Disconnect (COD) event.

A new value will be added to TimeInforce (tag 59) to support GFS orders:

Tag

Field Name

Binary Type

Binary Length

Required

Value

Description

59TimeInForceTimeInForce1Y

TimeInForce=0 (Day)

TimeInForce=1 (GTC)

TimeInForce=3 (FAK)

TimeInForce=4 (FOK)

TimeInForce=6 (GTD)

TimeInForce=99 (GFS)

Specifies how long the order remains in effect

FOK is only for BrokerTec and EBS

GFS is only for EBS

Good 'till Cancelled (GTC)/Good 'till Date (GTD) and Day orders are not supported for EBS instruments. Orders submitted with this qualifier will be rejected.

Fill and Kill (FAK)

A FAK order is immediately executed against any available quantity and any remaining quantity is eliminated.

For iLink 3 EBS Fill and Kill (FAK) and Fill or Kill (FOK) order behavior, where credit is insufficient, if an FAK/FOK order cannot match due to insufficient bilateral credit, it will be accepted and then cancelled. 

Example: Fill and Kill (FAK) with Insufficient Credit

If an FAK order can match only partially due to insufficient bilateral credit, then it matches up to the quantity within the credit limit. Any remaining quantity is cancelled and the Execution Report (tag 35-MsgType=8, tag 39-OrdStatus=4) with tag 378-ExecRestatementReason = 104 (Cancel from CME Globex Credit Controls violation)  sent to the client system is for a cancelled order.

  • Given - FAK order quantity > available credit and available credit > 0.
  • Result - The FAK order would fill as much as possible, then cancel the remaining quantity. 

FAK with Insufficient Credit Canceled

Fill or Kill (FOK)

A FOK order is either immediately and completely filled against resting orders or eliminated.

Example: Fill or Kill (FOK) with Insufficient Credit

If an FOK order cannot completely match due to insufficient bilateral credit, it is cancelled. When an FOK order is unfilled and the order is cancelled, the Execution Report (tag 35-MsgType=8, tag 39-OrdStatus=4) with tag 378-ExecRestatementReason = 104 (Cancel from CME Globex Credit Controls violation)  sent to the client system is for a cancelled order.

This example shows how an FOK order processes when there is insufficient bilateral credit available to completely fill the order. 

  • Given - FOK order quantity > available credit and available credit > 0.
  • Result - The FOK order is cancelled with no fills 

FOK with Insufficient Credit Canceled

Display Quantity Order

On CME Globex an iceberg order is referred to as a Display Quantity order.

EBS Display Quantity orders utilize tag 1138-DisplayQty to control the portion of the order’s quantity that is displayed to the market. The display quantity is the quantity shown to the market as specified by the customer, gradually exposing the remaining quantity until the entire order quantity is depleted.

For EBS Market, a resting display quantity order (tag 1138-DisplayQuantity >0) cannot be modified to a non-display quantity (tag 1138-DisplayQuantity=0), and vice versa.

Price Discretion Order

Price Discretion (PD) allows an order to rest and automatically improve its Limit price for matching opportunity while maintaining a given visible Limit price. For examples please see EBS Price Discretion Scenarios.

A new field has been added the following messages to support Price Discretion:

  • New Order Single
  • Order Cancel Replace Request
  • Execution Report New
  • Execution Report Reject
  • Execution Report Modify
  • Execution Report Cancel
  • Execution Report Elimination
  • Execution Report Trade Outright
  • Execution Report Status 

New tag will be added to support Price Discretion orders:

Tag

Field Name

Binary Type

Binary Length

Required

Value

Description

845DiscretionPricePRICENULL98N

The presence of DiscretionPrice on an order indicates that the trader wishes to display one price but will accept trades at another price

Applicable only for EBS

Maximum Order Size

Customers have the ability to configure maximum order size for each product code across multiple Globex User Signatures (GUS) within the same Globex Firm ID (GFID) in the CME Customer Center.   

For New Release testing, please contact your Global Account Manager to configure maximum order size for each GUS, GFID, and product code combination on your behalf.

Orders with a tag 38-Order Quantity value greater than the maximum order size will be rejected. CME Globex will send a Business Reject (tag 35-MsgType=j) message with tag 380-BusinessRejectReason = 139 and tag 58-Text = Max Order Size Violation Trader:  '<Sender Sub ID>', Order Quantity: <order quantity>breaches Max Order Size Limit: <max quantity>for Product Code: <Product Code>.

Maximum order size functionality is optional. If the maximum order size is not configured for a GUS, the default maximum order size sent in tag 1140-MaxTradeVol from the Security Definition (tag 35-MsgType=d) message will apply.

The maximum order size is enforced for the following message types:

  • New Order Single (35=D)
  • Order Cancel Replace Request (35-G)
  • Request for Quote (35=R)

This feature only applies to EBS Market and eFix Matching Service instruments.

Order Cancel and Cancel/Replace Requests by ClOrdID 

EBS supports cancellation and modification of orders by ClOrdID (tag 11). EBS customers can cancel and/or modify their orders without providing an OrderID (tag 37). 

ClOrdID (tag 11) Uniqueness

To support order cancellation and order modification by tag 11-CIOrdID, this value must be unique per SenderComp (Session ID + Firm ID) on the same market segment when submitting a new order.

For a New Order tag 11-ClOrdID:

  • CME Globex will reject an order having the same ClOrdID and SenderComp as a currently working order on the given market segment.

For a Cancel/Replace tag 11-ClOrdID:

  • CME strongly recommends that clients do not change the ClOrdID value on a working order, as Minimum Quote Life (MQL) can cause unexpected results. 

    • Example: A resting order can match during a Cancel/Replace MQL "pending" state, and the client will receive a fill for the original Client Order ID.

OrderID (tag 37)

OrderID is an optional tag in Order Cancel and Order Cancel/Replace Request messages for EBS orders.

  • If Order Cancel Replace Request or Order Cancel Request contains both CIOrdID and OrderID, OrderID will be used to lookup the original order.
  • If ClOrdID in Order Cancel/Replace Request or Order Cancel Request is changed from what was in original order,
    • customer should send Order Cancel/Replace or Order Cancel Request with the latest CIOrdID accepted by CME Globex.
    • customer sending Order Cancel/Replace or Order Cancel Request with the previous CIOrdID must provide OrderID as well; otherwise, Order Cancel/Replace will be rejected.
  • Execution Report Cancel and Execution Report Modify will return both ClOrdID and OrderID values.
  • Order Cancel Replace Reject and Order Cancel Reject will return both ClOrdID and OrderID.

MSGW Safeguards

iLink 3 - EBS on MSGW supports the CME Globex MSGW Safeguards, including tag 9553-SplitMsg and tag 7552-DelayToTime. With MSGW safeguards, a Market Segment Gateway (MSGW) iLink 3 EBS session sends a network packet with an incomplete message, that session will be subject to additional processing to ensure the stability of the platform. This processing results in at least 3 microseconds before the message(s) can be sent to the match engine.

Convenience Gateway (CGW) iLink3 EBS sessions do not support MSGW Safeguards.

CME Globex will enforces the MSGW Safeguards to split inbound iLink messages on a MSGW connection that is routed to the same trading region: 

  • London MSGW routing to London Region
  • NY MSGW routing to NY Region

CME Globex does not enforce the MSGW Safeguards to split inbound iLink messages on a CGW connection:

  • Tokyo CGW routing to London and NY Regions
  • London CGW routing to London and NY Regions
  • NY CGW routing to the NY and London Regions

For full details, please review the CME Globex Market Segment Gateway Safeguards.

Self Match Prevention

EBS on CME Globex supports standard Self-Match Prevention (SMP), including tag 2362-SelfMatchPreventionID, with Locked Markets.

In the event that two orders from the same SMP ID would match, 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 price level as the resting order(s). Market data will reflect the crossed book. 
  • Clients can configure as many Self-Match Prevention IDs as desired. SMP IDs may be shared across GFIDs only if the GFIDs are part of the same Institutional Group.
  • Tag 8000-SelfMatchPreventionInstruction are not supported for EBS SMP.
    • if populated on EBS orders, CME Globex will ignore the value in tag 8000.
  • Newly registered SMP IDs will be available after 1630 CT/1730 ET daily.
  • SMP IDs deleted from FADB throughout the week will be removed from the trading system every Friday night, after the close.

For complete details, please see the CME Globex Self-Match Prevention topic.

Example 1 - SMP with GFS (Good for Session)

Starting Book

  • Firm A submits Sell 50 @1.63 SMP_id XX GFS

SMP Example 1 Starting Book

End Book

  • The incoming sell order trades with Order 2 and Order 3. Order 1, Order 4, and the remaining sell order quantity rests on the crossed book.

SME Example 1 Ending Book

Example 2 - SMP with Aggressor FAK

Starting Book

  • Firm A submits Sell 50 @1.63 SMP_id XX FAK

Example 2 Starting Book

End Book

  • The incoming sell order trades with Order 2 and Order 3. Order 1 and Order 4 rest on the book and the remaining Sell quantity is eliminated.

SMP Example 2 End Book

Example 3 - SMP with Aggressor FOK

  • Firm A submits Sell 50 @1.63 SMP_id XX FOK

SMP Example 3 FOK

End Book

  • No trades, the incoming sell order is eliminated.

SMP Example 3 End Book

EBS MiFID Short Code Identifiers on CME Globex

Each GFID is associated with multiple GUS, and each GUS will have his or her own associated short code. They will need to identify them as the Financial Decision Maker and/or the Executing Decision Maker, on each of their orders.

  • Only one Natural Person short code can be associated with a given GUS. If required, additional person short codes may be registered using a separate GUS for each. For a natural person GUS with access to the Order Book may only be used by that natural person and may not be used by any other natural person or entity and may not be used as the GUS for orders entered by an Automated Trading System.
  • For algorithms, you can register one or more short codes against a GFID and GUS. 

    For CME Globex requirements on Natural Person and Automated Trading System (ATS) short code and Operator Id (GUS) usage, please refer to the links below:

    Redline of Rules - 208, 202 and 309

    MRAN - CME Globex OperatorID Requirements

This table lists all the relevant fields that will be used on each order message to associate short codes with GFID or GUS.

iLink 3 Tag

Tag Name

Tag Value

Tag 1691

when PartyDetailRole  = Executing Firm

PartyDetailID


Globex Firm ID (GFID)

Tag 5392

SenderID

Globex User Signature

(GUS)

Tag 5290

Executor

Short code for the person or algo that submitted the message

Tag 36023

IDMShortCode

Investment Decision Maker Short Code

The Party Details Definition Request message (tag 35-MsgType=CX) defines all customer administrative information, including the MiFIDshort code. iLink 3 allows customers to pre-register the party details, or send a Party Details Definition Request message directly preceding each order message (on-demand). An overview of on-demand and pre-register administrative information is available in the Party Details Definition Messaging topic.

The following MiFID tags are required for On-SEF/On-MTF FX NDFs products:

Short Code

iLink 3 Tag

Description

Executing Decision Maker of New Order Single

tag 5290-Executor

Will be populated with the MiFID short code for person or algo that submitted the message. The short code will be mapped to National ID or Algo at reporting time

Note: Participants on NEX SEF are required to self-certify that their algorithms will avoid contributing to or creating disorderly trading conditions. This algo self-certification is available via the Request Center in the CME Customer Center

Investment Decision Maker of New Order Single

tag 36023-IDMShortCode

Will be populated with the MiFID Short Code of the Investment Decision Maker.

MiFID Tag Validation

Executor – Tag 5290 and IDMShortCode – Tag 36023

The values of tag 5290-Executor and tag 36023-IDMShortcode for EBS Market on CME Globex must be numeric only. Customers using alphanumeric short codes must re-register on the NEX Upload Facility (NUF) with numeric short codes. Any EBS orders with alphanumeric short codes will be rejected on CME Globex. 

CME Globex will validate MiFID tags 5290-Executor and tag 36023-IDMShortcode for presence and correct registration for all EBS On-SEF or On-MTF FX NDFs application messages,  except Order Cancel message.

For Order Cancel

Tag 5290 and tag 36023 will be accepted and acknowledged if sent on Order Cancel messages. If not populated, the cancel message will be accepted and acknowledged with the value as follows:

Tag 5290 and/or Tag 36023

Expected Behavior

Acknowledge Value

Not Present

Accept

Value from the resting order

Present with an unregistered value 

Reject

N/A

Present with a registered value 

Accept

Value from Cancel message

The short codes are part of the Party Details Definition message.  Pre-registered Order Cancel - Execution Report, tag 1505-PartyDetailsListRequestID will contain the value of tag 1505 from the original order submission. 

If the pre-registered cancel request contains different tag 1505-PartyDetailsListRequestID, the short code may not match with tag 1505-PartyDetailsListRequestID from the cancel acknowledgement.  In this case, customers must be aware the cancel is accepted and acknowledged with the value from cancel request. 

For example, given that PartyDetailID 1 and PartyDetailID 2 belong to the same session and firm:

  • PartyDetailID  1 with executor EXEC1 and IDMShortCode IDM1
  • PartyDetailID  2 with executor EXEC2  and IDMShortCode IDM2

If customer submits new order with PartyDetailID = 1, and cancel this same order with PartyDetailID = 2,  CME Globex will return PartyDetailID = 1 on the cancel acknowledgement.  

Messages missing the tags or containing an unregistered value will be rejected with:

  • Business Reject message with tag 380=5 (required field missing) and
    • Tag 58='Tag 5290 (Executor) required field missing'
    • Tag 58='Tag 36023 (IDMShortCode) required field missing'
    • Tag 58='Tag 5290 (Executor) not registered'
    • Tag 58='Tag 36023 (IDMShortCode) not registered
To facilitate client development and certification, in New Release the presence of these tags will be validated but the values are not required to be registered.

On-Demand MiFID Short Code Scenarios

For non–pre-registered clients,  they will send send a Party Details Definition Request message directly preceding each order message shown in the following scenarios.

Associated Short Code with GFID or GUS

Description

EBS ShortCode

GUS - JJM

Natural Person

100001

GFID - ABCD

NDF Algo

100002

Scenario 1 – Natural Person is the Financial Decision Maker and Executing Decision Maker

Scenario 1-Natural Person is Financial and Executing decision maker


Scenario 2 – Natural Person is the Financial Decision Maker and Algo Executing Decision Maker

Scenario 2-Natural-Person-is-Financial decision maker and-Algo-Executing-decision-maker

Scenario 3 – Algo is the Financial Decision Maker and Algo Executing Decision Maker

Scenario 3-Algo is Financial and Executing-decision maker


Liquidity Provision – Tag 9373

EBS on CME Globex supports reporting of the liquidity provision indicator via tag 9373-LiquidityFlag in the following Application messages.

  • New Order Single
  • Order Cancel Replace Request
  • Order Cancel Request
  • Order Cancel Replace Reject
  • Order Cancel Reject
  • Execution Report - Reject
  • Execution Report - New
  • Execution Report - Modify
  • Execution Report – Cancel
  • Execution Report – Elimination
  • Execution Report - Status
  • Execution Report - Trade Outright
  • Execution Report - Trade Spread 
TagField NameBinary TypeBinary LengthReqDescription

5290

Executor

uInt64NULL

8

N

Will be populated with the MIFID short code for the person or algo that submitted the message. The short code will be mapped to National ID or Algo at reporting time. 

Conditionally required for EU BrokerTec and EBS MiFID regulated instruments.  Messages missing this tag or containing an unregistered value will be rejected

36023

IDMShortCode

uInt64NULL

8

N

Represents the Investment Decision Maker Short Code

Conditionally required for EU BrokerTec and EBS MiFID regulated instruments.  Messages missing this tag or containing an unregistered value will be rejected

9373

LiquidityProvision

BooleanNULL

1

N

Field added to capture if an order was submitted for market making obligation or not

Applicable only for EU BrokerTec and EBS MiFID regulated instruments.

The following MiFID tags are not supported in EBS Market:

  • ShortSaleType – Tag 5409
  • NoTrdRegPublications – Tag 2668
    • TrdRegPublicationType – Tag 2669
    • TrdRegPublicationReason – Tag 2670

EBS Counterparty Dissemination

EBS customers can identify a counterparty of each trade on the iLink 3 Execution Reports -Trade Outright.

  • Counterparty Deal Code
    • OrderEventText (tag 1802) of the NoOrderEvents (tag 1795) repeating group is populated  with the Settlement Counterparty Public ID for EBS Market.
  • Counterparty Trader ID
    • Globex User Signature (GUS) is not provided on iLink 3 Execution Reports and CPT Trade Capture Reports.

More details are available on EBS Central Post Trade (CPT) FIX API - CME Group Integration.

Minimum Quote Life 

Minimum Quote Life (MQL) is designed to increase the likelihood of a viewed quote being available to trade and reduce hyper-active order book participation by implementing a minimum time limit before an order may be modified or cancelled. With MQL, a new order must rest for a pre-defined duration (“MQL timer”) before it can be cancelled or modified. The length of time is defined for each eligible product individually and communicated via the MDP 3 Security Definition, and Reference Data API v2.

Customers can use tag 60-TransactTime on the Execution Report - New Order or Modify message to determine when the MQL timer started.  
  • If the MQL timer has expired, then the order can be cancelled or modified immediately and book updates will be reported on market data
  • If the MQL timer has not expired:
    • CME Globex will queue any order cancels and acknowledge a cancel request with a iLink 3 Execution Report Pending Cancel (tag 39=6 and tag 150=6), and cancel the order at the end of the MQL time limit.
    • CME Globex will queue any order modify requests and acknowledge the modify request with a iLink 3 Execution Report Pending Replace Message (tag 39=E and tag 150=E) and replace the order at the end of the MQL time limit.
    • Pending Execution Reports are not exposed on market data.
  • A Pending Cancel Request is always prioritized over a Pending Cancel/Replace Request.
  • Cancel on Disconnect (CoD) and Cancel on Conclusion (CoC) can supersede the MQL interval and cancel the resting order with tag 35-MsgType=8 & tag 39-OrdStatus=4 message including tag 378-ExecRestatementReason=100 to indicate CoD/CoC.
    • A Pending Cancel or Pending Cancel/Replace will be rejected with an Order Cancel Replace Reject (tag 35-MsgType=9) message including tag 102-CxlRejReason=2045 and tag 58-Text=<This order is not in the book 'Order: XXX SenderCompID: XXX'>, once the MQL interval is over.

EBS-Specific Messages

The following messages are only sent for EBS Market.

Execution Report Pending Cancel Message 

The Execution Report Pending Cancel message is sent in response to an Order Cancel Request for an FX instrument subject to Minimum Quote Life to acknowledge the cancel request and to confirm the order will be cancelled at the end of the MQL time limit.

At the end of the MQL time limit CME Globex sends the Execution Report Cancel message to the client system confirming order cancellation.

If the client receives an Order Cancel Reject, the resting order on the book could not be cancelled at the end of the time limit. Depending upon the error reported, further action may or may not be required to resubmit the Order Cancel Request.

The Execution Report Pending Cancel message identifiers refer to the incoming Order Cancel Request message—not those from the resting order. Any Execution Report published after pending cancel but before cancellation will contain the identifiers from the original order.

Execution Report Pending Replace Message 

The Execution Report Pending Replace message is sent in response to an Order Cancel Replace Request for an FX instrument subject to Minimum Quote Life to acknowledge the cancel replace request and to confirm the order will be replaced at the end of the MQL time limit.

At the end of the MQL time limit CME Globex sends the Execution Report Cancel Replace message to the client system confirming order replacement.

If the client receives an Order Cancel Replace Reject, the resting order on the book could not be replaced at the end of the time limit. Depending upon the error reported, further action may or may not be required to resubmit the Cancel Replace Request.

The Execution Report Pending Cancel Replace message identifiers refer to the incoming Order Cancel Replace message—not those from the resting order. Any Execution Report published after pending replace but before replacement will contain the identifiers and attributes (e.g. OrderQty, Price) from the original order.

Latency Floor

Latency Floor functionality is only applicable to EBS Market and all products listed on EBS Market utilize this functionality. The Latency Floor enables broader trading participation and moderates unwanted executions by prioritizing order cancel processing before aggressing order matching. 

For a video overview see Latency Floor: Batching Process in the EBS Market Order Entry video.

EBS Market Order Entry video

With Latency Floor, when an EBS Market order arrives to the MSGW, it is batched with any other orders that have arrived within the same batch window. Each order is assigned to an Institutional Group queue within the Latency Floor batch. The Institutional Group queues are released in random order. The orders within each queue are released in FIFO priority. All Order Cancel messages will be prioritized and released first, in FIFO priority before the institution rows are processed. All remaining orders are then released in a round-robin style (i.e. the first order from the first row is released, the first order from the second row is released, and so on for all rows, then the second order from the first row is released, the second order from the second row is released, and so on until all orders are released).

Latency Floor Examples

Scenario 1 - New Order and Order Cancel within the same Latency Floor (currency pair does not support MQL)

EBS Market - Scenario 1

Scenario 2 - New Order and Order Cancel within the same Latency Floor (currency pair supports MQL)

EBS Market Scenario 2

Scenario 3 - Order Cancel Replace and Order Cancel within the same Latency Floor while resting order has MQL Protection

EBS Market Scenario 3

Scenario 4 - Order Cancel Replace and Order Cancel within the same Latency Floor while resting order has no MQL Protection

EBS Market Scenario 4,0

Product Aggregate

Multiple currency pairs (CCYs) can be aggregated to share the same Latency Floor (i.e. a single product or multiple products can share the same Latency Floor)

Latency Floor #1Latency Floor #2Latency Floor #3Latency Floor #N
CCY Pair 1CCY Pair 4CCY Pair 9CCY Pair XX
CCY Pair 2CCY Pair 5CCY Pair 10
CCY Pair 3CCY Pair 6


CCY Pair 7 


CCY Pair 8

iLink 3 Messaging Considerations

Latency Floor applies to the following iLink 3 messages:  

  • New Order Single
  • Order Cancel Replace
  • Order Cancel

Latency Floor does not apply to the following iLink 3 messages:

  • Order Status Request
  • Order Mass Status Request
  • Request For Quote
  • All FIXP session messages

MSGW iLink 3 EBS customers can use tag 60-TransactTime and tag 7552-DelayToTime to determine when their message was received by CME Globex.

  • Tag 60-TransactTime represents the time when MSGW releases the message from the Latency Floor.
  • Tag 7552-DelayToTime indicates the amount of time that a message was subject to additional processing as a result of Latency Floor.
    • Subtracting this number from tag 60-TransactTime will represent the original received time of in-flight message.
CGW iLink3 EBS sessions will not support tag 7552-DelayToTime

eFix Matching

Orders for e-FIX instruments will be sent as a Good For Session (GFS) limit orders with price = 0 and executed at the fixing price with two Execution Report - Trade Outright messages having different ExecID (tag 17) values. 

  • The first Execution Report - Trade Outright will be sent with price = 0 and no counterparty indicates that the order is matched and the trade is for fixing price.
  • The second Execution Report - Trade Outright will be sent after the Fixing price is published and assigned to the trade.

Refer to the CME Reference Data API Version 3 for fixing benchmarks and times.

eFix Matching instruments will be available for the same region as the underlying FX Spot instrument. Clients must send eFix Matching orders before the scheduled fixing time.

After market close shortly before the scheduled fixing time, all unmatched eFix Matching orders will be eliminated by CME Globex.

This table summarizes the supported order types for eFix Matching instruments:

EBS SummaryDescriptionAvailable Combinations
Order Types (tag 40-OrdTypeLimit

Limit + GFS

Note: All other combinations will be rejected.

Duration Qualifiers (tag 59-TimeInForce)Good for Session (GFS)
eFix Matching instruments do not support Latency Floor functionality.

eFix Matching Message Sequence

The following is an example eFix Matching order entry and trade messaging scenario.

Customer enters eFix Matching order with:

  • Price (tag 44) = 0
  • TimeInForce (tag 59)=GFS(99)
  • OrderType (tag 40)=Limit Order (2)
  • SecurityID (tag 48)=eFix Matching Instrument ID

If two customers submit an order for buy and sell, then the first Execution Report - Trade Outright will be published with:

  • TradeType (tag 828)=1000 (Trade at Fixing Price )
  • BenchmarkPrice (tag 6262) =  null
  • OrdStatus (tag 39) = 1(Partial Fill), 2 (Filled)
  • GrossTradeAmt (tag 381) = Total amount traded (in notional) in base currency for the Spot
  • ContraGrossTradeAmt (tag 5542) = Amount traded (in notional) in base currency for the Spot with this counterparty
  • LeavesQuantity (tag 151) = quantity open for further execution
  • CumQty (tag 14) = Total quantity filled
  • no Counterparty details in OrderEventText (tag 1802) - this is because the ticket is not yet generated

After market close shortly before the scheduled fixing time, all unmatched eFix Matching orders will be eliminated, and the Execution Report - Elimination message is sent at order elimination. 

Once the eFix Matching price is published, price adjustment is done for the given eFix Matching instrument, and the second Execution Report - Trade Outright is sent with the fix price: 

  • TradeType (tag 828)=1000 (Trade at Fixing price ) 
  • BenchmarkPrice (tag 6262) for Fixing price
  • OrderStatus =  status of order from the original fill message
  • GrossTradeAmt (tag 381) = Total amount traded (in notional) in base currency for the Spot
  • ContraGrossTradeAmt (tag 5542) = Amount traded (in notional) in base currency for the Spot with this counterparty
  • LeavesQuantity = quantity open for further execution
  • CumQty (tag 14) = 0
  • Counterparty details will be populated under OrderEventText (tag 1802) 
  • ExecRestatementReason (tag 378)=8 (Exchange)

The Trade Reinstatement i.e. second Execution Report - Trade Outright message will contain the same Order Status and Trade Identifiers as on the initial fill message as follows:

  • Order Status (tag 39)

  • LeaveQuantity (tag 151)

  • SecExecID (Tag 527)

  • MDTradeEntryID (Tag 37711)

  • SideTradeID (Tag 1506) 

  • OrderEventExecID  (tag 1797)

  • OrderEventQty (tag 1800)

Cancel on Disconnect

All iLink 3 sessions are Cancel on Disconnect (CoD) mandatory for all markets on CME Globex. CoD is the auto-elimination of all working orders including GFS orders, when a session stops responding to heartbeat requests without Terminating. Detailed information on CoD is available in Risk Management Services.  

EBS orders are from multiple regions (New York, London, Tokyo). In the event of network failure, EBS CoD on CME Globex will be invoked; EBS working orders will be canceled.

For a graceful session disconnect, please refer to Cancel on Conclusion.

Cancel on Conclusion

Cancel On Conclusion (COC) is the auto-elimination of all working orders when a session Terminates and disconnects gracefully—a voluntary disconnect performed by the client system which executes the full Termination process. This is mandatory on all iLink 3 sessions and only applies to EBS Market and eFix Matching Service instruments.

This involves the successful completion of each of the following steps prior to disconnecting the FIXP session:

  • Client system sends Terminate request message
  • CME Group sends Terminate confirmation message to conclude session
  • Client system receives Terminate response message

When COC is invoked, CME Globex cancels all working orders under a single iLink 3 session without sending cancel acknowledgments.

It is the user's responsibility to reenter all orders that have been cancelled by COC.

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