• EBS Market on CME Globex Notice

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      • EBS Customers
      • From
      • CME Group
      • #
      • 20220922
      • Notice Date
      • 22 September 2022
    • EBS Market on CME Globex Notice

      Topics in this issue include:

      Critical System Information

      Excessive Messaging Threshold and Revised EBS Messaging Efficiency Program

      From September 1, 2022, EBS will be enforcing the revised Messaging Efficiency Program (MEP) to ensure that required messaging ratios reflect current market and trading conditions. Also from October 1, 2022, EBS Market will introduce a new Excessive Messaging Threshold (EMT) similar to those applied in other CME Group markets to discourage disruptive aggregate levels of messaging.

      New Excessive Messaging Threshold (EMT) 

      To ensure market integrity and to safeguard the CME Globex system from extreme and disruptive messaging levels, customers with daily Raw Message Counts in spot and metals of over 1 million and a Message to Trade Ratio of above 2,000 will be subject to daily excess messaging surcharges of $10,000 per day.

      Read details of the EMT Methodology

      Revised EBS MEP thresholds and a new way to achieve Designated Market Maker (DMM) status 

      EBS will be making the following threshold updates to reflect changes in market conditions and ensure that the MEP positively supports both the quality of quoting and platform liquidity.

      CCY
      PAIRS
      MINIMUM#
      OF ORDERS 
      SURCHARGE  HOURS
      (GMT) 
      PHASE 2  DMM
      MEDIAN TOB
      ORDER LIFE 
      TOB
      QFR
      MEDIAN TOB
      ORDER LIFE (NEW)
      TOB
      QFR
      EUR/USD 100,000 $0.10 06:00 - 20:00 500ms 2.0% 250ms 1.0%
      USD/JPY 100,000 $0.10 00:00 - 17:00 1s → 500ms 2.0% 250ms 1.0%
      USD/CNH 25,000 $0.10 00:00 - 13:00 500ms 2.0% 250ms 1.0%
      USD/CHF 100,000 $0.10 06:00 - 20:00 500ms 2.0% → 1.0% 250ms 1.0% → 0.5%

      Participants meeting a minimum monthly make volume in one or more pairs will be eligible for the above DMM thresholds, reflective of liquidity and making levels in those pairs.

      CCY PAIRS EUR/USD USD/JPY USD/CNH USD/CHF
      MAKES ADV FOR DMM  $700mln $500mln $300mln $50mln

      Read details of the revised EBS MEP

      Please ensure that the appropriate staff members within your institution are advised of the content of this customer communication. 

      EBS would like to thank you in advance for your support, and any queries or clarification in respect to the above can be addressed to ebsmarketproduct@cmegroup.com or your EBS account representative.

      CME Group Global Command Center
      GCC@cmegroup.com

      Phone numbers:
      U.S.: +1 800 438 8616
      Europe: +44 20 7623 4747
      Asia: +65 6532 5010

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      Post-Migration iCross Connectivity

      EBS Market customers with iCross connectivity will continue to see their iCross port as active/live after the migration to CME Globex; however the legacy EBS Market 1.0 platform will not be available. Customers that used their iCross connection for the sole purpose of accessing EBS Market 1.0 may cancel/disconnect the associated Equinix cross-connects.

      EBS Direct customers with iCross connectivity will continue to see their iCross port as active/live after the migration to CME Globex. EBS Direct customers that have turned up RNet service to access EBS Direct 2.0 may cancel/disconnect the associated Equinix cross-connects supporting the legacy iCross connectivity. However, EBS Direct customers that have not turned up RNet service will need to keep the cross-connects in place to be able to access EBS Direct  2.0 applications. EBS Direct 1.0 is no longer available.

      EBS customers using iCross connectivity to access both EBS Market and EBS Direct over the same connection may cancel their legacy Equinix cross-connects only if they have turned up RNet service to access EBS Direct 2.0.

      On October 15 iCross service will be decommissioned and more information will be available in future customer notices.

      If you have any questions, please contact Global Account Management.

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      New - Launch of EBS Ultra 20 Millisecond Conflated TCP Market Data Group

      On Sunday, November 6 (trade date Monday, November 7), CME Globex will launch a new 2EBS Ultra 0 Millisecond Conflated TCP Market Data Group for the New York and London markets. Current Conflated TCP Market Data Group channels are not impacted by this launch.

      Please review the Client Impact Assessment for additional details.

      These channels will be available for customer testing in New Release on Monday, October 3.

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      SDR Reporting Requirements – CFTC Rule Re-Write

      NEX SEF is working on implementing the necessary changes to its SDR reporting messages consistent with the CFTC Technical Specifications for December 5, 2022, the Compliance Date. As part of this undertaking, NEX SEF is closely working with DTCC, our SDR, on ensuring all required CFTC fields and values are accurately reflected in its Public Price Dissemination (“PPD”) messages to meet DTCC’s validation requirements in time for the Compliance Date.

      Consistent with CFTC Technical Specifications and DTCC’s validation requirements, NEX SEF will transition on the Compliance Date from reporting a Unique Swap Identifier (“USI”) to reporting a UTI for newly executed transactions adhering to ISO Standardized guidelines (ISO 23897). Details of these changes can be found on the Client Systems Wiki where changes to the Central Post-Trade APIs highlight the pre and post implementation values.

      The upcoming changes to the UTI should be low impact to the existing CPT APIs, however we encourage participant testing to validate the ingestion by their back-office systems to ensure accurate UTI adoption for continued and lifecycle data reporting to DTCC. New Release (NR) testing availability in will be announced as soon as possible in future EBS Market on CME Globex Notices.

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      Reminder: Short Code Identifiers on CME Globex

      To meet MiFID requirements, all EBS Market on-SEF and/or on-MTF NDF orders must contain accurate Short Codes registered to a client’s LEI, GFID and GUS. Clients trading in these markets must ensure their Short Codes (and corresponding natural person identifiers where applicable) are registered via the NEX Upload Facility (NUF). Clients are responsible for maintaining NUF Administrators whose role it is to ensure all Short Code information is accurate and registered to the correct entities and to update this information as needed. The EBS Upload Facility User Guide and NUF Registration Form are available online for your convenience.

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      Reminder: Disorderly Market Testing for NEX SEF and EBS UK MTF on CME Globex

      Participants on NEX SEF (operated by NEX SEF Limited) and EBS UK MTF (operated by BrokerTec Europe Limited) , are required to self-certify that their algorithms will avoid contributing to or creating disorderly trading conditions, as defined in the relevant Rulebooks. This self-certification is mandatory prior to the initial deployment of trading algorithms or trading strategies and prior to any substantial updates or changes.

      NEX SEF and EBS UK MTF participants must complete this self-certification attestation which is available via the Request Center in the CME Customer Center. More information on the availability schedule will be available in further EBS Integration Notices.

      To facilitate this self-certification for all clients, CME Group supports regularly scheduled simulated disorderly trading conditions in the CME Globex New Release environment where order entry messages will be injected at 35 messages per second (MPS) to create additional latency in the environment. The session schedule is:

      • Thursdays: 5:00 a.m. – 6:00 a.m. GMT (23:00 p.m. – 0:00 a.m. CT on Wednesdays)
      • Thursdays: 3:00 p.m. – 4:00 p.m. GMT (9:00 a.m. – 10:00 a.m. CT)

      CME Group also supports the ability to inject erroneous orders and trades into the New Release environment.

      Please note: These testing sessions, along with the self-certification in Request Center, are separate from the mandatory functionality certification required for all client API systems prior to production access to CME Globex. Functional certification is available now in the AutoCert+ tool.

      Additional Resources:

      For questions about the disorderly markets testing, please contact Certification Support for Electronic Trading (CSET) at 312 930 2322 in the US, +44 20 3379 3803 in Europe, or +65 6593 5593 in Asia.

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      Reminder: FirmSoft

      FirmSoft is a browser-based order management tool that provides real-time access to information on working and filled CME Globex orders and provides risk mitigation functionality through order cancellation by permissioned users.

      FirmSoft functionality includes activity across EBS Workstation, proprietary, and third-party front-end systems. FirmSoft access is granted by a Front Office Admin Manager via User Administration.

      Learn more on FirmSoft functionality and User Administration. For additional details about using FirmSoft, please visit the FirmSoft User Help.

      Please contact Global Account Management for further information, demos of the functionality or access questions.

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      Announcements and Additional Resources

      Subscription Center for EBS Market on CME Globex Notice

      Please be aware that customers can now subscribe to receive EBS Market on CME Globex Notices via the Subscription Center, a self-serve online resource for managing email communications from CME Group. The EBS Market on CME Globex Notices are currently sent weekly at 2 a.m. Central Time (CT) Thursday and include communications regarding the up-to-date details and actions required for clients to support the EBS Market on CME Globex.

      Additional details about how to Subscribe to the EBS Market on CME Globex Notice are now available.

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      To view previous versions of EBS Market Integration Notices, see the Advisory Notices page.