EBS Ai on CME Globex

Contents

Key Customer Events and Dates

Revision History

Testing and Certification

Certification is not required for customers for the new EBS Ai Ai.

Starting June 2021, EBS Ai will be available for customer testing in New Release. CME Group strongly encourages all customers and system providers to test EBS Ai in New Release before production launch.

System Architecture

This diagram shows the new EBS Ai on CME globe component integration with CME Globex Platform.

Connectivity

New Release Connectivity

All EBS Ai client systems will need to establish connectivity to the CME Globex New Release environments prior to testing.  See the EBS integration environments overview for details about accessing the test environments. 

• EBS Ai will be physically located in the Chicago DC3 data center
  • No EBS Customer Lab instance
• Accessible over CMEG Cert Data Center and CMEG Cert VPN 
  • Not accessible over EBS VPN or EBS STunnel

Service	Cert Data Center	Cert VPN(Internet)	Legacy EBS Lab
EBS Ai

Production Connectivity

Production Environment connectivity offerings and order forms for EBS Ai are currently available.  EBS Production Connectivity Options reflects connectivity product descriptions, availability, setup, and more for each production connectivity option.

• EBS Ai will be physically located in the CME primary datacenters in New York, London, and Tokyo
• EBS Ai will be accessible over production CMEG network connections as follows:

Service	GLink New York	GLink London	GLink Tokyo	CME Globex Hubs	NEX CDN	LNET	EConnect
EBS Ai

EBS Ai IP Changes

For this launch, all EBS Ai sessions must connect to new IPs.  Please see the EBS Operational Readiness Guide for more details required for accessing and setting up EBS Ai on CME Globex, and support team contact details.

Summary of Functional Changes from Legacy Ai to EBS Ai

This table summarizes the differences across Legacy Ai and EBS Ai.

EBS Ai Version Compatibility

EBS Ai will support version 1.6 and above:  (i.e. v1.6 - v2.0.5)  

A client logging in with a version different from what is stated above will result in a protocol violation and the client will be disconnected.

Instruments

The following instruments will be supported by EBS Ai:

• FX Spot
  • Central Limit Order Book
  • eFix dark pool
• Non-Deliverable Forward(NDF)
  • Standard rolling-date  NDFs
    • Both On-SEF/MTF and Off-SEF/MTF
  • Fixed-date NDFs 

The following instruments will NOT be available on EBS Ai:

• NDF Fix Outright (NDF TOD)
• NDF Swap (NDF/NDF TOM)

Market Segments

The following Market Segments will be support by EBS Ai:

• Standard
• Fixing (eFix)

The following Market Segments will NOT be available:

• Fixing Offset

• Swap Offset

Functionality Overview

EBS Ai functionality supports the following functional areas:

• Logon – Session and Application logon, change password, Session and Application logoff
• Trading and Market Data – subscribe, unsubscribe
• Orders – order submit, order amend, order interrupt, interrupt all, execution report
• Deals – trade capture, trade capture request
• Session – trade date change, value date change, system up/down, credit low/exhausted, etc.

New and Modified Functionality

Existing EBS customers leveraging EBS Ai to trade EBS Market and eFix Matching Service products on CME Globex must be aware of the changes in functionality described below.

Authentication

To send logon request to EBS Ai:

1. The EBS Ai user connects using FIX ASCII over TCP connection
2. After establishing a network connection, user sends two logon messages:
   1. FIX session logon message (tag 35-MsgType=A) to EBS Ai
   2. Application logon request message (tag 35-MsgType=BE) with username and password to begin a new Trading Session
      1. Current usernames cannot be used, as they are not unique across Globex Firm IDs (GFIDs)
      2. New unique usernames will be issued to customers
3. User must make configuration change to use the new username

New Username

The Legacy Ai username will not be carried forward.  EBS Ai customer must register for a CME Group Login in the CME Customer Center to receive a new globally unique username.  The new username will be populated with the API ID.  See the EBS Operational Readiness Guide for a new client onboarding and setup resource to assist clients with the integration of EBS Ai onto CME Globex.

Password Change

To align with CME Globex logon, EBS Ai will not support password change as part of the logon process.  If the EBS Ai client supports a periodic password change, the password must be manually changed  via the CME Customer Center. 

Self-Match Prevention (SMP)

SMP at Trader ID level

Legacy Ai prevents users from self-matching by "matching around" orders from the same user. EBS Ai Adapter does not support SMP at the Trader ID level, and users will match with their own orders.  

Orders submitted using the same Trader ID are able to match. Customers must avoid submitting opposing interest to avoid self-match. 

SMP at Trader Floor Level

Intra-floor dealing enable/disable will be supported on CME Globex via Self Match Prevention ID (SMP ID). Customers that need to avoid intra-floor trading must register their intra-floor (GFID) and SMP ID via the Firm Administrator Dashboard (FADB). Customer registration is required to access FADB or contact your Global Account Manager for an offline registration.

MiFID Short Code

Legacy EBS Ai supports alphanumeric short codes. CME Globex supports only numeric short codes. Customers using alphanumeric short codes must re-register on the NEX Upload Facility (NUF) with numeric short codes.  

Market View

EBS Ai supports Price Depth market view. 

The following market view types will no longer be supported:

• Spread view
• Amount view
• Full Amount view

Price Depth View

In Price Depth view, an aggregate depth book is sequenced by price, descending for bid and ascending for Offer.

EBS Ai maintains the Aggregate Depth view with the following data blocks:

• Add - create/insert a new price (tag 279 MDUpdateAction=0)
• Change - change quantity for a price (tag 279 MDUpdateAction=1)
• Delete - remove a price (tag 279 MDUpdateAction=2)

An Aggregate book is built from a series of data blocks which indicate whether an entry is to be inserted (Add), changed (Change), or removed (Delete). All data blocks are issued for a specified entry type (tag 269), and price (tag 270). The incremental instruction approach assumes the use of the EBS Ai Market Data Incremental Refresh (tag 35-MsgType = X) message.

When a new price level is added to the order book, and followed by an update message to delete an existing price level

• MDUpdateAction to add the entries (tag 279 = 0) will be published in one 35=X message
• MDUpdatesAction to delete the entries (tag 279 = 2) will be published in a separate 35=X message

Example:

The example in this topic shows the update performed on an existing Price Depth book when a new price level is added to the order book, and followed by an update message to delete the existing price.

Starting book: 5-Deep - Best Bid/Offer

The first 35=X Data Block:

• Add 1M Offer @ 76.04

Updated book:

Note: An update message is not sent to delete the existing 1M Offer @78.85 that has exceeded the 5-Deep book.

The second 35=X Data Block:

• Delete 1M Offer @ 76.05

• Add 1M Offer @ 76.85

Updated Book:

Market by Price Depth 

EBS Ai will not allow the user to specify the number of price levels.  

Market Data and Trading Subscription

When the  EBS Ai client sends Market Data Subscription Request for the specific instruments,

• For a trade only subscription request, the EBS Ai’s response to each successful request is a Market Data – Snapshot/Full Refresh (W), devoid of initial bid and offer values.
• For a request to trade and subscribe to market views, the EBS Ai’s response to each successful request is composed of two message types:
  
  • Market Data – Snapshot/Full Refresh (W) message, containing the full set of market data
  • Market Data – Incremental Refresh (X) messages, sent whenever there is a change to the market data

Market Data – Incremental Refresh

This table summarizes the Market Data-Incremental Refresh message differences across Legacy Ai and EBS Ai.

MDLastIncrementalRefresh (tag 20203)

EBS Ai will also notify the client whether or not this market data update message is the last in the corresponding time-slice by means of custom tag 20203-MDLastIncrementalRefresh.

Legacy Ai currently sends tag 20203=1 to indicate the last Incremental Refresh message specific to the instrument(s) for each Subscription Request.

EBS Ai will send tag 20203=1 to indicate the last Incremental Refresh message for any updates that happened on the market for overall subscribed scope as follows:

• Singe subscription request with multiple instruments
• Multiple subscription requests with one instrument each

Single Subscription Request with Multiple Instruments

3 Subscription Requests with 1 Instrument in Each

Order Price Validation

Legacy Ai provided additional, optional price validations that could be requested by the user as part of the logon process. These additional validations are deprecated.

Order Amend Request Reject

Legacy Ai cancels original order immediately when an Order Amend Request is rejected due to, for example, lack of credit.   Once the Order Amend has been rejected, no more messages pertaining to the rejected request will be sent to the client.

EBS Ai will emulate Legacy Ai behavior and cancel the order if an Order Amend Request is rejected. This emulation may have certain differences from the Legacy Ai.

Application Logoff

Upon an Application Logoff, the EBS Ai will cancel all working orders  without sending cancel acknowledgments. 

Trade Query

EBS Ai does not support retransmission of messages. To ensure no trades are lost during session interruption, EBS Ai provides the Deal Query feature.

• Deal Query can be used to request information about deals executed within the most recent week by OrderID or ClOrdID.
• Queries can be performed based on ClOrdID or OrderID.

• Deal Query allows the EBS Ai client to retrieve the status and details of deals associated with the orders on CME Globex.

• To use Deal Query, the Ai client application must retain one of the IDs associated with the order; ClOrdID or OrderID.

• EBS Ai supports Deal Query with the Trade Capture Report Request, Trade Capture Report Request Ack, and Trade Capture Report FIX messages.

  • The Trade Capture Report message contains information for the associated deals based on selected criteria (requested by unique customer Reference ID or Globex order ID) within a week.

  • For a specific order that resulted in multiple deals, a successful Deal Query returns a Trade Capture Report Request message containing all deal information related to that order.

  • If there is no result for a valid Deal Query, a Trade Capture Report Request Ack message returns with the total number of Trade Reports set to zero.

  • Deal Queries are limited to retrieving deals for the current week. Attempts to retrieve earlier deals will result in a Report Ack message with a Warning message indicating the deals were out of the time range.

    • EBS Ai rejects Trade Capture Report Requests submitted without qualifiers, more than one qualifier, with incorrectly formatted references, or with invalid deal or order IDs.

Counterparty Trader ID

Counterparty Trader ID will no longer be provided via EBS Ai.

Deprecated Ai Functionality

Message-Level Changes

In the EBS Ai release, there will be changes to certain supporting FIX message layouts.

The following sections contain the tag-level client system messaging impacts that must be accommodated to integrate to the EBS Ai on CME Globex for Trading and Market Data.

EBS Ai Messaging Inbound/Outbound