This topic describes market functionality for EBS Market's central limit order book and eFix Matching Services on the CME Globex platform.
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This section provides an overview of current CME Group services that are used for EBS Market including eFix Matching on CME Globex. If you are new to CME Group services, CME Group recommends starting here.
Service | Description |
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Order entry and management service | |
Market data solutions | |
Risk management API with real-time copies of orders and trades on CME Globex | |
Web service API for comprehensive product and instrument parameters and definitions |
Contents
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Revision History
Date | Description | |||||||||
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May 17, 2024 | Added Unexecuted Order to Transaction Ratio section | |||||||||
July 13, 2022 | Updated language for post-integration with CME Globex and removed "New and Modified Market Functionality" section. | |||||||||
June 7, 2022 | Added note about tag 9768 to "In-Flight Mitigation" section. | |||||||||
May 24, 2022 | Removed "Future Topics" section. | |||||||||
May 4, 2022 | Added "Institutional Prioritization Match Algorithm" section. | |||||||||
March 1, 2022 |
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September 30, 2021 |
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June 2, 2021 |
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December 15, 2020 | "Regional Deployments for EBS Market and eFix Matching" - Correction to table.
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December 3, 2020 | Initial Publication |
Testing and Certification
Functional certification via the AutoCert+ tool is mandatory for client systems accessing the following CME Group API services for EBS:
iLink 3 for Convenience Gateways (CGW)
iLink 3 for Market Segment Gateways (MSGW)
Drop Copy
MDP 3 services
EBS Market on CME Globex Services
See the full list of
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Shared Services includes Global Credit Limits, Data Insights Spectrum market data and EBS CPT post-trade service.
Products | Primary Region | Backup Region | Trading Engine | MSGW | CGW | MDP 3 | Drop Copy | Shared Services |
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New York FX Spot New York Metals | Equinix Secaucus NY5 | Equinix Slough LD4.2 |
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London FX Spot London NDFs | Equinix Slough LD4.2 | Equinix Secaucus NY5 |
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None | Tokyo TY3 | N/A |
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| Conflated TCP Credit Screened only |
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None | Chicago DC3 | New York - Vesey |
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| Data Insights Spectrum only |
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The trading engines, MSGWs, CGWs, Market Data services and Drop Copy Gateways are physically located in the Primary Region for production and the Backup Region for Disaster Recovery.
Products
EBS products are available from CME Globex. Additional information is available in the EBS Product Overview topic.
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eFix Matching instruments are available as distinct Products and Instruments. Clients who want to trade these markets must enter orders on the specific instruments. The eFix Matching market data messages are separate from the Spot and NDF instruments. |
Notional Quantity
EBS instruments on CME Globex trade in Notional Quantity terms. Order entry via iLink 3, all market data, and Product and Instrument records on Reference Data API v2 reflect notional terms for all quantity fields and attributes. All other instruments on CME Globex use contract or lot terms.
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For EBS Market and eFix Matching, the CME Globex-style Self-Match Prevention is supported with the following changes:
SMP IDs
GFIDs may register for as many SMP IDs as desired
SMP IDs may be shared across GFIDs only if the GFIDs are part of the same Institutional Group
SMP Instructions are not supported
In the event of a self-match event, the arriving order will trade around any resting order(s) with the same SMP ID.
If arriving order is a Good For Session order, and does not fully trade, the remaining quantity will rest on the book at the same or better price level as the resting order(s). Market data will reflect the crossed book.
SMP Features by Access Method
Order Entry | Registration for SMP IDs | Application Level | Effect |
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iLink 3 |
| Clients must submit a valid ID, registered to their GFID, on each individual order. | If two orders with the same SMP ID would match, the arriving order will trade around any resting order(s) with the same SMP ID. Any remaining quantity will rest on the book at the same price level as the resting order(s). |
EBS Ai for CME Globex |
| CME Group applies the SMP ID associated to the order’s GUS (if any). The SMP ID cannot be submitted by the client and will not be visible on any API messaging. | If GUS has an SMP ID defined: Self-match will be prevented as designed. If GUS does not have an SMP ID defined: Orders from the same GUS and from the same GFID will be allowed to trade. |
Workstation | CME Group applies the SMP ID associated to the order’s GUS (if any). The SMP ID cannot be submitted by the client and will not be visible on any Workstation screen. |
In-Flight Mitigation
EBS Market and eFix Matching leverage CME Globex-style In-Flight Mitigation.
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See full details and a video on CME Globex-style IFM.
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CME recommends that recommends that EBS client systems submit systems submit Order Cancel Replace (tag 35-MsgType=G) messages using tag messages using tag 9768=1 to 1 to avoid overflow of cumulative quantity, since the quantity is in notional value. |
Market Integrity Controls
The following Market Integrity Controls are supported for EBS Market and eFix Matching on CME Globex:
Maximum and Minimum Order Sizes
Unexecuted Order to Transaction Ratio
EBS calculates the ratio of unexecuted orders to transaction for each of its NDF participants at the end of every trading session in both (i) volume terms and (ii) number terms:
Volume terms: (Total volume of orders/Total volume of transactions) - 1
Number terms: (Total number of orders/Total number of transactions) - 1
Unexecuted orders to transaction ratios are monitored against the maximum thresholds set out in the below table, which have been determined taking into account the nature and liquidity of NDFs instruments on the EBS and normal trading patterns.
NDF Products (OFF SEF/ON MTF) | Maximum Ratio | Maximum Ratio |
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EOM NDFs (BRL, INR) | 30,000 | 35,000 |
LatAm 1M |
NDFs (BRL, CLP, COP, PEN) |
and CNY 1M NDFs | 8,000 | 10,000 |
Asian 1M NDFs (IDR, INR, KRW, MYR, PHP, TWD) | 5,000 | 6,000 |
These thresholds are subject to ongoing review and calibration. Participants will be notified via the appropriate channels of any changes to these thresholds.
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The Institutional Prioritization algorithm is a two allocation FIFO algorithm that provides matching priority to Globex Firm IDs (GFIDs) in the same Institution Group. The first FIFO allocation fills the Institutional Group the aggressing order is associated with. The second pass allocation matches orders without an Institutional Group association. The Institutional Prioritization algorithm uses time as the only criteria for filling an order for each FIFO pass. An order loses order priority and is re-queued if the order modified with an increase in quantity. The Institutional Prioritization Algorithm is denoted on the MDP Security Definition Message (35=d) via tag 1142-MatchAlgorithm=V .
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See additional information regarding other matching algorithms on Globex. |
Institutional Prioritization Example
In the example below, an aggressing bid order first fills offer orders within the same Institution Group. In the second allocation, the remaining aggressor bid quantity fills orders that are not within the Institution Group.
Orders in the Market
Order No. | Bid Qty | Bid Institution Group | Offer Qty | Offer GFID | Order No. |
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INCOMING | 20 | BB3 | 10 | AAA | 1 |
5 | BB1 | 2 | |||
5 | CCC | 3 | |||
8 | BB2 | 4 | |||
10 | DDD | 5 |
Allocation 1 - Institution Group Fills
For the first allocation, the orders with the same Institution Group (BB1 & BB2) as the aggressor (BB3) are filled.
Order No. | Bid Qty | Bid Institution Group | Offer Qty | Offer GFID | Order No. |
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INCOMING | 7 | BB3 | 10 | AAA | 1 |
5 | CCC | 2 | |||
10 | DDD | 3 |
Allocation 2 - Resulting Orders in the Market
Next, the offer for AAA, which is not part of the aggressor Institution Group, is reduced from 10 to 3.
Offer Qty | Offer GFID | Order No. |
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3 | AAA | 1 |
5 | CCC | 2 |
10 | DDD | 3 |