• EBS Market on CME Globex Notice: August 3, 2023

      • To
      • EBS Customers
      • From
      • CME Group
      • #
      • 20230803
      • Notice Date
      • 03 August 2023
    • Topics in this issue include:

      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 Audit Trail.

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      Reminder: Required Action for Legacy EBS Globex User Signature Entries

      All EBS participants must take action to update their Globex User Signature (GUS) IDs to comply 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 to 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      • Delete any GUS IDs that are no longer active. 

      New Firm Deadline: To accommodate for some unforeseen challenges in obtaining corrected data, all EBS participants are hereby granted an extension from June 30 to September 30.

      Audit trail examinations conducted post-September 30, will review NEX SEF participants for compliance with Operator ID requirements consistent with MRAN 2022-02 and NEX SEF Rule 302.

      Please note: Before deleting any GUS(s), make sure they are not in use as deleting them will prevent order placement. Your Global Account Manager will follow up via email and provide information regarding the Front Office Firm Admins who have the ability to update GUS(s) on behalf of your firm.

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      Update - Reduced Minimum Order Quantity for EBS Market Spot Metals on CME Globex

      † Denotes update to the article

      Effective Sunday, August 13 (trade date Monday, August 14), the minimum order quantity increment, tag 1231-MinLotSize, in the Security Definition (tag 35=d) message for tag 1093-LotType=5 will be changed for the following EBS Market Spot metals on CME Globex.

      REDUCED MINIMUM ORDER QUANTITY FOR EBS MARKET SPOT METALS ON CME GLOBEX
      PRODUCT MDP 3.0: TAG 6937-ASSET TAG 55-SYMBOL MDP 3.0 TAG 1151 - SECURITY GROUP †CURRENT TAG 1231-MINLOTSIZE †NEW TAG 1231-MINLOTSIZE
      FXSPOT.XPD/USD PAUS SPMT 500 100
      FXSPOT.XPD/USD_LN PAUSL SPMT 500 100
      FXSPOT.XPT/USD PLUS SPMT 500 100
      FXSPOT.XPT/USD_LN PLUSL SPMT 500 100

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

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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.

      PRODUCT NAME PRODUCT CODE
      MDP 3.0: TAG 6937-ASSET
      GROUP CODE
      ILINK 3 / MDP 3.0: TAG 1151-SECURITY GROUP
      MARKET IDENTIFIER CODE (MIC CODE) MARKET DATA CHANNEL MARKET SEGMENT ID
      FXNDF.USD/TWD.1M TWD1M RNDF XEBS EBSULTRA - 530
      EBSSCREENED – 534
      38
      FXNDF.USD/TWD.1M_SEF TWD1MS SNDF NEXS EBSULTRA - 531
      EBSSCREENED – 535
      FXSPOT.USD/HKD 6DHKD 6SEM EBSC EBSULTRA – 529
      EBSSCREENED – 533
      EBSUNSCREENED20  - 546

      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 is currently available for customer testing in New Release.

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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.

      This change is currently available in New Release, however not available to test due to the unavailability of credit related testing in the New Release environment.

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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.

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      iLink 3 SBE Schema Update

      Effective Sunday, October 1, the iLink 3 SBE schema version 8  schema will be the only version supported in production. Client systems can only send version 8 messages.

      DATE MESSAGES FROM CLIENT MESSAGES FROM CME GLOBEX
      Currently V7 or V8 for all segments V8 only
      Sunday, October 1, 2023 V8 only V8 only

      The CME SFTP site will be updated as follows:

      NEW RELEASE: /MSGW/PRODUCTION/TEMPLATES
      PRODUCTION: /MSGW/PRODUCTION/TEMPLATES
      CURRENT STATE OCTOBER 1
      Ilinkbinary_v7.xml n/a
      ilinkbinary.xml ilinkbinary.xml

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      Announcements and Additional Resources

      Now Available: CME Reference Data API Version 3

      Clients now have access to CME Group's newest version of CME Reference Data API, named CME Reference Data API version 3 (RD APIv3), hosted on Google Cloud (GC).

      Clients should review the Client Impact Assessment for timelines and details of these changes.

      • Beginning on Saturday, September 30, RD APIv2 will be deprecated and no further enhancements will be made.
      • RD APIv2 will be decommissioned on Friday, October 27, and no longer supported.

      CME Group recommends customers migrate to CME RD APIv3 as soon as possible.

      These changes are currently available in Production and for customer testing in New Release.

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      Update - CME STP for EBS Trades and the Decommission of CPT

      † Denotes update to the article

      As announced during the CME Globex migration, Central Post Trade (CPT) for EBS trades will be decommissioned starting in 2024. CPT TOF will be decommissioned on December 31, 2024, with CPT FIX decommission following shortly thereafter.

      EBS trades will be available on CME STP and CME STP FIX, a unified post-trade solution for all trades on EBS venues, BrokerTec on CME Globex, BrokerTec Stream, and CME Group futures and options venues.

      All clients are encouraged to start planning their migration now to ensure no interruption of service upon the CPT decommission, and to access to new products and features which will only be supported in CME STP. 

       The following resources are now available:

      A migration guide for CPT FIX to CME STP will be announced in future EBS Market on CME Globex notices.

      The Global Account Management team will continue working with all TOF customers to discuss the options available and how best to manage the migration to CME STP.

      Testing and functional 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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