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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. 

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Excerpt
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DateDescription
March 3, 2021Added note to Market Access section.
December 3, 2020Initial publication
January 19, 2021Added Minimum Quote Life Messaging
January 19, 2021Updated key events and dates to calendar
January 22, 2021Updated note on eFix matching message sequence 
February 9, 2021Updated New Release and launch schedule
February 23, 2021Updated data types on new tags in execution reports

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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.

Info
Both EBS Drop Copy CGW and MSGW sessions will use FIX ASCII messaging protocol.

Market Access

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.

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  • 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

Both EBS Drop Copy CGW and MSGW sessions will use FIX ASCII messaging protocol
Info
Note

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. 

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

EBS Summary 

Description

Available Combinations

Order Types(tag 40-OrdType)

Limit

Limit + GFS

Note - All other combinations will be rejected

Duration Qualifiers (tag 59-TimeInForce)

Good for Session (GFS)

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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.

Tag

Field Name

Fix Type

Required

Value

Description

828

TradeType

Int(6)

N

1000=Trade at Fixing

Represents a trade at fixing price

378

ExecRestatementReason

Int(1)

N

ExecRestatementReason=8 (Exchange) 

Will be present when trade at fixing is assigned fixing price

6262

BenchmarkPrice

Price(20)

N


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

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