CME Group supports the CME Drop Copy service for EBS Market. The CME Drop Copy service, a FIX ASCII API for real-time risk management, publishes copies of CME iLink order acknowledgment and trade messages.
...
Customers may connect directly to all Market Segment Gateways using the same Session ID. Customers can use tag 1300-MarketSegmentID 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-MarketSegmentID value.
Info |
---|
Both EBS Drop Copy CGW and MSGW sessions use FIX ASCII messaging protocol. |
Market Access
The CME Drop Copy service for EBS Market on CME Globex is available through 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.
...
Trading Mode | Products | Market Structure | Drop Copy Service APIs |
---|---|---|---|
EBS Market CLOB | New York Spot New York Metals London Spot London NDFs | Market by Price Central Limit Order Book | Execution reports and Acknowledgment messages published |
eFix Matching | New York Spot London Spot | Time based, quantity matching pool of anonymous benchmark liquidity. Bilateral matching ahead of a benchmarks calculation, with the given rate being applied post publication. No public market data for order book and trade. | Execution reports and Acknowledgment messages published |
...
Table of Content Zone | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Execution Report Message ImpactsThis section details the Execution Report message impacts. Product-Specific FeaturesCurrent CME Group and EBS customers developing Drop Copy applications to sequence execution reports and acknowledgement acknowledgment messages for EBS products on the CME Globex platform must be aware of the EBS product specific features described below. Notional Quantity on Execution ReportsFX markets are usually quoted and market data disseminated in notional terms.
The following fields in the Execution Report Trade Outright - Fill message support Spot FX and NDFs:
The following tags support notional amounts:
The following tags for notional amounts are sent in the NoOrderEvents (tag 1795) repeating group:
Date ValuesThe following tags in the Execution Report Trade Outright - Fill message support date values for Spot FX and NDFs:
Price Discretion Orders (Tag 845-DiscretionPrice)Price Discretion (PD) allows an order to rest and automatically improve its Limit price for matching opportunity while maintaining a given visible Limit price. Tag 845-DiscretionPrice is sent in the following messages to support Price Discretion:
Good for Session (GFS) OrdersThe TimeInForce=99 (GFS) order qualifier can be included in the following Drop Copy Market Segment (MSGW) message payloads.
Minimum Quote Life Messaging (MQL)This section features message types reflected in the Drop Copy message payload that support Minimum Quote Life (MQL) messaging. Execution Report Pending Cancel Message (tag 35-MsgType=8, tag 39-OrdStatus=6)The CME Drop Copy service will reflect the Execution Report Pending Cancel message sent in response to an Order Cancel Request for an FX product subject to Minimum Quote Life to acknowledge the cancel request and to confirm the order will be cancelled at the end of the MQL time limit. At the end of the MQL time limit, Drop Copy message payload will reflect the Execution Report Cancel message CME Globex sends to the client system confirming order cancellation. If the resting order on the book could not be cancelled at the end of the time limit, Drop Copy will publish an Order Cancel Reject in the payload message. The Execution Report Pending Cancel message identifiers refer to the incoming Order Cancel Request message—not those from the resting order. Any Execution Report published after pending cancel but before cancellation will contain the identifiers from the original order. Execution Report Pending Replace Message (tag 35-MsgType=8, tag 39-OrdStatus=E)CME Drop Copy will reflect the Execution Report Pending Replace message sent in response to an Order Cancel Replace request for an FX product subject to Minimum Quote Life to acknowledge the cancel replace request and to confirm the order will be evaluated for replacement at the end of the MQL time limit. If at the end of the MQL time limit, the order is successfully replaced, the Drop Copy message payload will reflect the Execution Report Cancel Replace message CME Globex sends to the client system confirming order replacement. If the client receives an Order Cancel Reject, the resting order on the book could not be replaced at the end of the time limit. The Execution Report Pending Replace message identifiers refer to the incoming Order Cancel Replace message - not those from the resting order. Any Execution Report published after pending replace but before replacement will contain the identifiers and attributes (e.g. OrderQty, Price) from the original order. MiFID Tag ValidationEBS on CME Globex supports reporting of the these MiFID tags in the following application messages on the Drop Copy message payload:
The following MiFID tags are not supported in EBS Market:
eFix MatchingOrders for e-FIX instruments will be sent as Good For Session (GFS) limit orders with price = 0 and executed at the fixing price and published on CME Drop Copy payload message with two Execution Report - Trade Outright messages having different ExecID (tag 17) values.
Refer to the CME Reference Data API Version 3 for fixing benchmarks and times. eFix Matching instruments will be available for the same region as the underlying FX Spot instrument. Clients must send eFix Matching orders before the scheduled fixing time. After market close, shortly before the scheduled fixing time, all unmatched eFix Matching orders submitted will be eliminated by CME Globex. This table summarizes the supported order types for eFix Matching instruments:
eFix Matching Message Sequence See an example eFix Matching order entry and trade messaging scenario details.
The following tags in the Execution Report Trade Outright - Fill message support eFix Matching and will be reflected in the CME Drop Copy payload message.
|