In Q4 2021, CME Group will make available the CME Drop Copy service for EBS Market. The The CME Drop Copy service, a FIX ASCII API for real-time risk management, publishes copies of CME iLink order acknowledgement and trade messages.
Customers may connect directly to all Market Segment Gateways using the same Session ID. Customers can use tag 1300-MarketegmentID from the market data Security Definition (tag 35-MsgType=d) message to specify the market segment for the products they want to trade on CME Globex. MSGW customers can leverage tag 57-TargetSubID to specify the market segment of the instrument. Tag 57-TargetSubID contains the tag 1300-Market SegmentID value.
|Both EBS Drop Copy CGW and MSGW sessions will use FIX ASCII messaging protocol.|
The CME Drop Copy service for EBS Market on CME Globex will be available through dedicated dedicated Drop Copy Convenience Gateways (CGW) and Drop Copy Market Segment Gateways (MSGW). Customers can choose to sequence Drop Copy messages from the EBS Market through the MSGWs directly, or the CGW, which will route customer orders to the appropriate MSGWs.
The New York and London regions will each support both Drop Copy MSGW and CGW, while the Tokyo location will only support Drop Copy CGW
The New York and London Drop Copy CGWs will route orders to either New York or London
The Tokyo Drop Copy CGW will route orders to either New York or London
Clients leveraging Drop Copy for EBS Market must establish separate Drop Copy groups per region. Each Drop Copy group can only consume sequence streams from one region.
EBS Market Modes
The CME Drop Copy service will support EBS Market messaging which includes Central Limit Order Book (CLOB), eFix Matching, and EBS Midbooks as outlined here as available on Order Entry APIs.
This table summarizes the supported order types for eFIX Matching instruments:
Order Types(tag 40-OrdType)
Limit + GFS
Note - All other combinations will be rejected
Duration Qualifiers (tag 59-TimeInForce)
Good for Session (GFS)
The following new tags have been added to Execution Report Trade Outright - Fill and Execution Report Trade Addendum Outright messages to support eFIX Matching an will be reflected in the CME Drop Copy payload message.
1000=Trade at Fixing
Represents a trade at fixing price
Will be present when trade at fixing is assigned fixing price
The price assigned to an eFIX Matching which is determined by an automated set market mid-price from a third party market data feed. The Fixing Price will be distributed as soon as practicable after the Fixing Time