This topic provides information on CME FX Spot Plus (CME FX Spot+) for futures markets.
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Revision History
Date | Description |
|---|---|
January 28, 2025 | For Tags 5542 and 5971: added note “This tag is NOT sent in the Execution Report response to an iLink 3 Execution Report - Trade Spread Leg message.“ |
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:
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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 USD/Offshore Chinese 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. |
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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.
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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 |
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The USD/South African Rand and USD/Offshore Chinese Renminbi FX Spot leg are only tradable as part of the CME FX Link spread. |
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FX Spot+ Product Code | FX Spot+ Symbol | Contract Size | Inverted Link Spread | Min Order Size | Min Order Increment | Max Order Size | Min Order Cancel Threshold | Min Tick FX Spot+ Leg (FX Link to FX Link Fills) | Min Tick FX Spot+ Traded as Outright / Implied | 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 |
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| Info |
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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. |
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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.
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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
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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.
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→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.
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→5971 | ContraCalculatedCcyLastQty | N | Decimal64NULL | 9 | Amount traded (in notional) in counter currency for the Spot with this counterparty; same as tag 1056- CalculatedCcyLastQty.
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| Info |
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The non-tradable FX Spot Leg of CME FX Link spread will also support binary trade reporting. |
Trade Cancellation and Trade Correction
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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.
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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
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