EBS Market on CME Globex Notice: June 1, 2023

Topics in this issue include:

• Critical Information
  • Reminder: NEX SEF Audit Trail: Revised FEAT 100 Reports Available
  • Required Action for Legacy EBS Globex User Signature Entries
  • MDP 3 Conflated TCP Subscription Request Messaging Controls - This Week
  • Reduced Minimum Quote Life (MQL) for ON and OFF SEF Asian 1M NDFs - This Week
  • iLink 3 SBE Schema Update - June 25
  • EBS Size Priority Match Algorithm - August 13
  • iLink 3 FAK/FOK Credit Enhancements - August 13
  • MDP 3.0 Security Definition Enhancement - August 13
• Product Launches
  • Launch of Bitcoin/US Dollar EOM Non-Deliverable Forwards (NDF) for EBS Market on CME Globex
• Announcements an md Additional Resources
  • CME STP Support for Trades on EBS

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

Critical System Information

Reminder: NEX SEF Audit Trail: Revised FEAT 100 Reports Available

The FEAT 100 reports, issued end-of-day after each trading day, stopped capturing fill and elimination notice elements starting June 10, 2022, until February 24, 2023, when the issue was remediated. 

Revised FEAT 100 reports are available for all participants. The reports from June 10, 2022, to February 24, 2023, will be available for download via CME Enterprise Reporting Portal (EREP) and via CME SFTP service for 180 days, until September 16.

As a reminder, fill and elimination elements are required for compliance with NEX SEF Rules on Audit Trail. FEAT 100 reports are issued for participants’ convenience for compliance with MRAN 2022-01 Order Routing/Front-End Audit Trail Requirements. These reports should be stored by the participants for five years.

If you have any questions, please reach out to audittrail@cmegroup.com.

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Required Action for Legacy EBS Globex User Signature Entries

All EBS participants should have take action by May 31 to update their Globex User Signature (GUS) IDs in order to be in compliance with CME Globex OperatorID Requirements and to guarantee that CME Group has the correct contact information for any orders or trades. Previously, to ensure a seamless EBS Markets migration to CME Globex, existing GUS IDs were migrated into CME Group systems, including those that may not have had complete first/last names populated.

To comply with current regulatory requirements, Front Office Firm Admin Managers must take the following action on GUS information from the Request Center:

• Update the following information for the individual or team lead assigned to the active GUS IDs under their Globex Firm IDs (GFIDs): first and last name, email, phone number/type, country, address, and town/city.
• Delete any GUS IDs that are no longer active. 

For questions, please contact Global Account Management.

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MDP 3 Conflated TCP Subscription Request Messaging Controls

Effective this Sunday, June 4 (trade date Monday, June 5), CME Globex will implement subscription request messaging controls for conflated TCP MDP3. With this update, client systems will be disconnected if unfiltered subscription requests (both NoSecurityGroup and NoRelatedSym are equal to zero) exceed 100 requests within one second. If the limit is exceeded, client systems will be disconnected and will not be able to re-login for one minute. The following Terminate message will be sent to client systems when sending a negotiate message within the one-minute rejection period.

The updated subscription volume controls are currently available for customer testing in New Release.

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Reduced Minimum Quote Life (MQL) for ON and OFF SEF Asian 1M NDFs

Effective this Sunday, June 4 (trade date Monday, June 5), the Minimum Quote Life (MQL) for the following ON and OFF SEF products traded on EBS Market on CME Globex via the legal entities NEX SEF (ON SEF) and EBS UK MTF (OFF SEF) will be reduced to 500 milliseconds, currently MQL is set to 1 second.

This change is currently available for customer testing in New Release.

iLink 3 SBE Schema Update

To support future enhancements for EBS Market on CME Globex, the iLink 3 SBE schema will be updated to version 8 starting on Sunday, June 25.  More information regarding these enhancements will be published in the future EBS Market on CME Globex Notice. The overview of iLink 3 schema updates is now available. 

EBS Market on CME Globex is currently on schema version 7. In order to ease customer development efforts, the new SBE schema files will support Template Extension for iLink 3 messages sent from EBS Client systems to CME Globex. EBS client systems can send iLink 3 messages using schema version 7 or 8; however CME Globex will only send messages using schema version 8. 

For client systems who do not support template extension, the template is not backward compatible and the iLink 3 messages sent from CME Globex cannot be decoded.

EBS Market - Production Rollout

Effective Sunday, October 1, version 8 schema will be the only version supported in production. Client systems can only send version 8 messages.

The new version 8 schema is currently available in New Release for customer testing.

To support the new iLink 3 schema rollout, the CME SFTP site will be updated as follows:

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EBS Size Priority Match Algorithm

Effective Sunday, August 13 (trade date Monday, August 14), and pending completion of all regulatory review periods, CME Group will introduce a new, enhanced match algorithm for select Spot and NDF instruments.

The EBS Size Priority match algorithm prioritizes orders with shown quantities greater than a pre-defined threshold for matching at a given price level.

This new EBS matching algorithm incorporates TOP order allocation before Size Priority matching.  Details on this new match algorithm and client system impacts are available  under the EBS Market and eFix Matching Service Enhancements. The matching algorithm type is defined in tag 1142-MatchAlgorithm in the MDP 3.0 Security Definition message.

The Size Priority matching algorithm will be initially available for the following EBS products.  

The matching algorithm for these EBS products will be changed from FIFO (tag 1142-MatchAlgorithm=F) to  Size Priority Matching (tag 1142=P ). 

The new match algorithm for all products subject to this change will be available for customer testing in New Release on Monday, June 12.

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iLink 3 FAK/FOK Credit Enhancements

Effective Sunday, August 13 (trade date Monday, August 14), CME Group will implement enhancements to iLink 3 EBS Fill and Kill (FAK) and Fill or Kill (FOK) order behavior where credit is insufficient. With this change, if an FAK/FOK order cannot match due to insufficient bilateral credit, it will be accepted and then cancelled.  The Execution Reports for order cancels (35=8, 39=4) will be sent out to customers with cancel reason (tag 378 =104 (Cancel from CME Globex Credit Controls violation)).

Currently, if an FAK/FOK order cannot match due to insufficient bilateral credit, the order is accepted and eliminated.

Additional information on this change is available on the FAK - FOK Credit Enhancements page.

These changes will be available in New Release for customer testing on Thursday, June 15.

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MDP 3.0 Security Definition Enhancement

To facilitate easier trade date to value data mapping on the Market Data Platform, CME Group is extending the NoTradingSession repeating group in the MDP Security Definition (tag 35-MsgTyp=d) messages from the current week to current week plus full following week. Full details on the change are available under the EBS Market and eFix Matching Service Enhancements.

This change will be applied to all EBS Market instruments listed on CME Globex on Sunday, August 13 (trade date Monday, August 14).

Certification is not required but MDP clients are strongly encouraged to test in the New Release environment starting Monday, June 12.

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Product Launches

Launch of Bitcoin/US Dollar EOM Non-Deliverable Forwards for EBS Market on CME Globex

The previously announced launch of Bitcoin/US Dollar Non-Deliverable Forwards (NDFs) for trading on CME Globex by EBS UK MTF and NEX SEF1 scheduled for Sunday, June 4 (trade date Monday, June 5), will be deferred and a new go-live date will be announced in future EBS Market on CME Globex Notice .

The Bitcoin/US Dollar NDFs will feature the following new Access Groups:

• ON SEF/ON MTF CRYPTO NDFs
• OFF SEF/ON MTF CRYPTO NDFs

Additional product and instrument information will be available in the Reference Data API.

Customers that would like to trade this product and have not already discussed this with EBS can contact their CME EBS Account Executive to discuss onboarding requirements.

These products are currently available for customer testing in New Release.

¹Operated respectively by BrokerTec Europe Limited and NEX SEF Limited.

Announcements and Additional Resources

CME STP Support for Trades on EBS

As outlined during the CME Globex Migration, CME STP and CME STP FIX will be enhanced to support EBS venues to deliver the customer value of a single post-trade solution for all CME Group marketplaces. EBS trades will be supported on CME STP in the second half of 2023.

The availability of EBS trades via CME STP will lead to the eventual decommission of Central Post Trade (CPT) for both TOF and FIX customers. The dates for decommissioning CPT TOF and FIX will be published shortly, with CPT TOF being sunset first. Customers on the CPT TOF feed will be prioritised to migrate over to CME STP, with customer engagements commencing from May 2023.

All clients are encouraged to start planning their migration now to take advantage of new products and product features which will only be supported in CME STP. Over the next few weeks the specifications will be made available to review. Those familiar with CME STP will find this is very similar with enhancements to support specific FX features and attributes.

Testing and certification in the New Release environment will be required prior to client’s production migration.

Further details will be provided in future announcements.

Please contact Global Account Management with any questions regarding this migration.

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