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This topic provides information on CME FX Spot Plus (CME FX Spot+) for futures markets.

...

Table of Contents

Revision History

Date

Description

January 27, 2025

The FX Spot+ Product code USDCNH's FX Spot+ Symbol is changed to USDCNHZ5028.

December 5, 2024

Removed "iLink 3 Execution Report - Trade Spread" from CME FX Spot Plus - Futures#Binary Trade Reporting.

November 20, 2024

Added info box under CME FX Spot Plus - Futures#Binary Trade Reporting: "The non-tradable FX Spot Leg of CME FX Link spread will also support binary trade reporting."

November 13, 2024

Added info box under CME FX Spot Plus - Futures#Testing and Certification: "The new AutoCert + supplemental test suite will be available for customer certification on Monday, December 9, 2024."

Added info box under CME FX Spot Plus - Futures#New CME FX Spot+ MBO/MBP UDP Channel: "The new CME FX Spot+ MDP 3.0 channel ID 330 will be supported on CME Smart Stream on GCP."

Under CME FX Spot Plus - Futures#Security Definition, changed to: 

  • Minimum Order Size, Maximum Order Size, and Minimum Order Increment will be specified in notional terms in the security definition message.

November 1, 2024

From CME FX Spot Plus - Futures#New CME FX Spot+ MBO/MBP UDP Channel, removed info box "With this launch, the non-tradable FX Spot leg (tag 1151-SecurityGroup=01, 10) will move from MDP 3.0 channel 314 to 330."

In CME FX Spot Plus - Futures#Security Group table, added columns Existing MDP 3.0 Channel and New MDP 3.0 Channel.

CME FX Spot Plus - Futures#Additional Consideration table Futures Product Code CNH updated Futures Group Code and Link Spread Group Code to "RM."

October 31, 2024

Updated note below CME FX Spot Plus - Futures#Product: "The USD/South African Rand and USDand USD/Offshore Chinese Renminbi FX Spot Renminbi FX Spot leg are only tradable as part of the CME FX Link spread."

October 30, 2024

Added note "New Release customers will have the ability to test 3-deep implied book for FX Spot+ in February 2025. Currently, only 2-deep implied book is supported in New Release."

Added note "With this launch, the non-tradable FX Spot leg (tag 1151-SecurityGroup=01, 10) will move from MDP 3.0 channel 314 to 330."

Changed CME FX Spot Plus - Futures#Security Group for 6E and 6C to 01.

Updated CME FX Spot Plus - Futures#Display Factor table with 3 additional rows at bottom. 

Added section New CME FX Spot+ MBO/MBP UDP Channel.

October 25, 2024

Added FX Spot+ Product Code USDCNH.

Added FX Spot+ Currency Pair USD/CNH.

Added Futures Product Code 6Z and CNH.

October 9, 2024

Modified descriptions for Tags 1795, 1802, 1800, 5542, and 5971.

Added new table under CME Reference Data API Changes. 

Under Product Attributes, numbers changed for Min Order Cancel Threshold columns.

October 7, 2024

Changed value Max Order Size for FX Spot+ Product Code NZDUSD from 5,000,000 to 3,000,000.

July 17, 2024

Initial publication of topic.

Key Events and Dates

Date

Milestone

November 11, 2024

Available in New Release

For the complete release schedule, please see CME FX Spot Plus Launch Schedule in New Release.

December 9, 2024

A new CME FX Spot + certification suite will be available in AutoCert+

March 2025

Available in Production

Testing and Certification

For futures client systems to support trading FX Spot+ products:

  • iLink 3 certification via AutoCert+ is not required. However, CME Group strongly recommends futures client systems to test FX Spot+ trading in notional quantity.

  • MDP 3.0. certification is required. Client systems who want to trade the FX Spot+ product will need to complete the supplemental test suite.

  • CSET will configure credit setup to enable testing.

...

  • Support FX Spot+ CLOB order entry based in notional term

  • Support implied functionality across each related FX Link spread, FX Spot+, and FX futures

  • New CME MDP User Datagram, Protocol (UDP) Channel 

FX Spot+ Overview

CLOB Instrument

Order Entry Quantity Value

Order Entry Accessibility

Market Data

Market Data Accessibility

FX Spot+

Notional

iLink 3 Market Segment Gateway (MSGW)

iLink 3 Convenience Gateway (CGW) 

New CME MDP UDP Channel

Available over existing CME network gateways

...

New CME FX Spot+ MBO/MBP Real-time Market Data Channel:

Market

Channel ID

Market Data Group

Description

FX

330

FX Spot+

CME FX Spot+ MDP UDP

...

The market data configuration information for the CME FX Spot+ channel will be added as follows:

FTP:https://www.cmegroup.com

SFTP: sftpng.cmegroup.com

Channel ID ID

Channel Label

Directory Location

New Release Release

Production

330

CME Globex FX Spot+

/SBEFix/NRCert/Configuration

November 3, 2024

TBD

...

The FX Spot+ tradable instruments will be available for select currency spreads.

Tradable FX Spot+ Products

Product Name

MDP 3.0: tag 55-Symbol

Euro / US Dollar Spot FX

EURUSDZ5031

US Dollar / Canadian Dollar Spot FX

USDCADZ5031

British Pound / US Dollar Spot FX

GBPUSDZ5031

Australian Dollar / US Dollar Spot FX

AUDUSDZ5031

US Dollar / Japanese Yen Spot FX

USDJPYZ5031

US Dollar/Swiss Franc Spot FX

USDCHFZ5031

New Zealand Dollar/US Dollar Spot FX

NZDUSDZ5031

US Dollar / Mexican Peso Spot FX

USDMXNZ5031

Info

The USD/South African Rand and USD/Offshore Chinese Renminbi FX Spot leg are only tradable as part of the CME FX Link spread.

Product Attributes

FX Spot+ Product Code

FX Spot+ Symbol

Contract Size

Inverted Link Spread

Min Order Size
(MDP 3.0: tag 562-MinTradeVol)

Min Order Increment
(MDP 3.0 tag 1231-MinLotSize & tag 1093-LotType = 5) 

Max Order Size
(MDP 3.0 tag 1140 - MaxTradeVol)

Min Order Cancel Threshold

Min Tick FX Spot+ Leg (FX Link to FX Link Fills)

Min Tick FX Spot+ Traded as Outright / Implied
(MDP 3.0: tag 969-MinPriceIncrement)

Price Example Outright / Implied

EURUSD

EURUSDZ5031

1 EUR

No

250,000

125,000

5,000,000

125,000

0.000005

0.00001

1.09481

GBPUSD

GBPUSDZ5031

1 GBP

No

250,000

62,500

5,000,000

62,500

0.00001

0.00001

1.37251

AUDUSD

AUDUSDZ5031

1 AUD

No

200,000

100,000

5,000,000

100,000

0.00001

0.00001

0.72161

NZDUSD

NZDUSDZ5031

1 NZD

No

200,000

100,000

3,000,000

100,000

0.00001

0.00001

0.68963

USDCAD

USDCADZ5031

1 USD

Yes

200,000

100,000

5,000,000

100,000

0.000001

0.00001

1.26551

USDJPY

USDJPYZ5031

1 USD

Yes

200,000

100,000

5,000,000

100,000

0.0001

0.001

109.688

USDCHF

USDCHFZ5031

1 USD

Yes

250,000

250,000

3,000,000

250,000

0.000001

0.00001

0.91237

USDMXN

USDMXNZ5031

1 USD

Yes

100,000

50,000

3,000,000

50,000

0.00001

0.0005

13.3919

CME FX Spot Leg (non-tradable)

USDZAR

USDZARF5102

1 USD

Yes

50,000

50,000

3,000,000

50,000

0.00001

0.0001

18.4445

USDCNH

USDCNHZ5028

1 USD

No

100,000

100,000

3,000,000

100,000

0.00001

0.0001

7.1471

...

Info

The minimum order cancel threshold could be different from the Minimum Order Increment. CME Group reserves the right to change the minimum order cancel threshold at any time.

...

Tag 9787-DisplayFactor will be set equal to 1 in the MDP3 Security Definition (35=d) message for FX Spot+ instrument to use the real economic price in CME Globex.

Current

New 

Sample Price

FX Spot+ Product Code

FX Spot+ Tick

Display Factor

Globex Tick

FX Spot+ Tick

Display Factor

Globex Tick

Economic Price

Globex Price

EURUSD

0.000005

0.0001

0.05

0.00001

1

0.00001

1.01561

1.01561

GBPUSD

0.00001

0.00001

1.0

0.00001

1

0.00001

1.21411

1.21411

AUDUSD

0.00001

0.00001

1.0

0.00001

1

0.00001

0.69591

0.69591

NZDUSD

0.00001

0.00001

1.0

0.00001

1

0.00001

0.63121

0.63121

USDCNH

0.00001

0.0001

0.1

0.00001

1

0.0001

7.1416

7.1416

USDCAD

0.000001

0.00001

0.1

0.00001

1

0.00001

1.28241

1.28241

USDJPY

0.0001

0.001

0.1

0.001

1

0.001

134.123

134.123

USDCHF

0.000001

0.000001

1.0

0.00001

1

0.00001

0.96103

0.96103

USDMXN

0.00001

0.00001

1.0

0.0005

1

0.0005

20.4586

20.4586

USDZAR

0.00001

0.00001

1.0

0.0001

1

0.0001

18.5181

18.5181

...

With this launch, the values for FX Spot+ tag 15-Currency and tag 120-SettlCurrency in the MDP 3.0 Security Definition (35=d) message will be switched to be consistent with EBS FX Spot.

FX Spot+ Currency Pair

Inverted/Non-Inverted

Tag 15-Currency

Tag 120-Settle Currency

EUR/USD

Non-Inverted

EUR

USD

GBP/USD

Non-Inverted

GBP

USD

AUD/USD

Non-Inverted

AUD

USD

NZD/USD

Non-Inverted

NZD

USD

USD/JPY

Inverted

USD

JPY

USD/CAD

Inverted

USD

CAD

USD/CHF

Inverted

USD

CHF

USD/MXN

Inverted 

USD

MXN

CME FX Spot Leg (non-tradable)

USD/ZAR

Inverted

USD

ZAR

USD/CNH

Non-inverted

USD

CNH

Security Exchange

Tag 207-SecurityExchange value "GLBX" is sent for the FX Spot+ instruments in the MDP 3.0 Security Definition (35=d) message.

...

Each FX Spot+ tradable instrument is populated with a new group code (MDP 3.0 tag 1151-SecurityGroup).

Futures Product Code

Futures Pair

Futures Group Code

Link Spread Group Code

Existing FX Spot Leg Group Code

New FX Spot+ Group Code

Existing MDP 3.0 Channel

New MDP 3.0 Channel

6A

AUD/USD

6A

6A

01

5A

314

330

6E

EUR/USD

6E

6E

01

5E

314

330

6B

GBP/USD

6B

6B

01

5B

314

330

6N

NZD/USD

6N

6F

10

5N

314

330

6C

USD/CAD

6C

6C

01

5C

314

330

6S

USD/CHF

6S

6S

01

5S

314

330

6J

USD/JPY

6J

6J

01

5J

314

330

6M

USD/MXN

6M

6M

01

5M

314

330

CME FX Spot Leg (non-tradable)

6Z

USD/ZAR

6Z

6Z

01

01

314

330

CNH

USD/CNH

RM

RM

01

01

314

330

Info

The non-tradable CME FX Spot Leg (tag 1151-SecurityGroup=01, 10) will also move from MDP 3.0 channel 314 to 330. See CME FX Spot Plus Launch Schedule for moving CME FX Spot Leg from Market Data Channel 314 to 330.

Trading Schedules

The FX Spot+ Trading Schedules will be as follow, except the New Zealand Dollar/US Dollar (NZD/USD). 

Info

  • NZD/USD Orders will be eliminated at 06:59:59 Auckland time Monday thru Thursday. 

  • NZD/USD orders will be eliminated at 16:00 Chicago Time on Friday.

SUNDAY - FRIDAY

MARKET

STATE

TIME

TIME ZONE CITY

FX Spot+

Open

17:00

Chicago

Close

16:00

Chicago

...

To support the FX Spot+, the following attributes are added to CME Reference Data API Version 3: 

New Attributes

API Endpoint

Attribute Name

Description

Type

Product

roundingTick

Minimum Tick for FX Spot+ spread Leg on FX Link to FX Link spread trade.

NUMBER

autoCancelThreshold

Minimum Order cancel threshold notional value established for each FX Spot+ instrument.

...

The following fields are required for FX Spot+ orders:

  • tag 1693-PartyDetailRole=24 (Customer Account)

  • tag 582-CustOrderCapacity

  • tag 1816-ClearingAccountType

  • tag 1031-CustOrderHandlingInst

  • tag 9537-Location

...

The repeating fields of the NoOrderEvents (tag 1795) repeating group will be populated with the following values.

Tag

Name

Req

Binary Type

Binary Length

Description

1795

NoOrderEvents

N

groupSize

3

Number of fills which comprise fill quantity.

This tag value is always set to ‘1’ to indicate a single fill.

→1799

OrderEventPx

Y

PRICE9

8

Refers to the fill price; same as tag 31-LastPx.

→1802

OrderEventText

N

String5

5

Will be populated with ‘FXS+’ for CME FX Spot+ trades.

→1797

OrderEventExecID

Y

uInt32

4

This is a unique ID that ties together a specific fill between two orders. It will be globally unique across all FXS+ instruments.

→1800

OrderEventQTY

Y

uInt32

4

Refers to the specific fill quantity between this order and the opposite order; same as tag 32-LastQty.

→1796

OrderEventType

Y

OrderEventTye

1

The type of event affecting an order.

  • 4=Partially Filled

  • 5=Filled

→1798

OrderEventReason

Y

uInt8

1

Action that caused the event to occur. 100=Binary Trade Reporting.

→5542

ContraGrossTradeAmt

N

Decimal64NULL

9

Amount traded (in notional) in base currency for the Spot with this counterparty; same as tag 381-GrossTradeAmt.

→5971

ContraCalculatedCcyLastQty

N

Decimal64NULL

9

Amount traded (in notional) in counter currency for the Spot with this counterparty; same as tag 1056- CalculatedCcyLastQty.

...

The following new templates will be used on the new FX Spot+ market data channel 330. 

Template Name

MDInstrumentDefinitionFX63

MDIncrementalRefreshBookLongQty64

MDIncrementalRefreshTradeSummaryLongQty65

MDIncrementalRefreshVolumeLongQty66

MDIncrementalRefreshSessionStatisticsLongQty67

SnapshotFullRefreshLongQty69

FX Spot+ instruments have the following market data considerations.

Message Type

New channel (330) Multicast
FX SPOTs in futures style using notional templates

Security Definition

MDInstrumentDefinitionFX63

  • EBS style Instrument definition, key trading parameters.

  • Trade Session List is part of Security definition provides scheduled Trade Date, Settlement Date.

Security Status

 SecurityStatus30

Market by Order

MDIncrementalRefreshOrderBook47

Market by Price

MDIncrementalRefreshBookLongQty64

  • Notional quantity template

Trade Summary

MDIncrementalRefreshTradeSummaryLongQty65

  • notional quantity template full data content

Electronic Volume

MDIncrementalRefreshVolumeLongQty66

  • Notional quantity template

Daily Statistics 

  • Settlement

  • Fixing

  • Cleared Volume

  • Open Interest

MDIncrementalRefreshSessionStatisticsLongQty67

  • Not generated

Session Statistics

MDIncrementalRefreshSessionStatisticsLongQty67

  • Open Price

  • Highest Bid

  • Lowest Ask

  • High Trade

  • Low Trade

...

  • Tag 1147-UnitOfMeasureQty will be specified as 1 to reflect trading in notional value.

  • Minimum Order Size (tag 562-MinTradeVol), Maximum Order Size (tag 1140 - MaxTradeVol), and Minimum Order Increment (tag 1231-MinLotSize & tag 1093-LotType = 5) will be specified in notional terms in the security definition message.

...

Summary of FX Spot+ Group and Instrument Security Status 

Tag

Open

Pause

Close

(Not-Final)

Close

(Final)

Implied Matching status ON/OFF

StateDescription

Start of continuous trading phase. Order matching begins.

Interruption of continuous trading and the period during which only order cancellation is allowed and order matching is not allowed

Not final close for the date. 

Final close for the session. GFS orders are eliminated.

Implied matching statuses sent for implied product codes

60 TransactTime

X

X

X

X

X

75 TradeDate

X

X

X

X

X

1151 SecurityGroup

5E

5E

5E

5E

5E

6937 Asset

-

-

-

-

EURUSD 

48 SecurityID

-

-

-

-

-

326 SecurityTradingStatus

17= Ready to trade

2 = Trading halt

18= Not available for trading

4 = Close

103= N/A

327 HaltReason

0 (schedule)1 (GCC)

0 (schedule)1 (GCC)

0 (schedule)1 (GCC)

0 (schedule)1 (GCC)

0 (schedule)1 (GCC)

1174 SecurityTradingEvent

0 (no event)4 (reset stats)

0 (no event)

0 (no event)

0 (no event)

5 (implied ON)6 (Implied OFF)

...

Only 3-deep book is disseminated for FX Spot+ Implied books via the Market Data Incremental (tag 35=X) message with tag 269=E (Implied Bid) or F (Implied Offer). Implied book depth is designated on the Security Definition Message (tag 35-MsgType=d) via tag 1022-MDFeedType=GBI.

Customer Order Book Publication

Implied Book Publication

FX Spot+

10-deep

3-deep

FX Futures

10-deep

2-deep

FXS Link

10-deep

2-deep

...

  • Summary Level repeating groups(1st repeating group)

    • Trade price (tag 270-MDEntryPx)

    • Trade quantity (tag 271-MDEntrySize)

    • Number of orders (tag 346 - NumberOfOrder)

    • Aggressor side (tag 5797 - AggressorSide) 

    • Trade reference id (tag 37711-MDTradeEntryID)

  • Order Detail repeating group(2nd repeating group)

    • Order Id (tag 37-OrderID)

    • Quantity filled (tag 37-LastQty)

Electronic Trade Volume 

...