This topic describes market functionality for EBS Market's central limit order book and eFix Matching Services on the CME Globex platform. Products are on the CME Globex platform.
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Clients can connect and begin logging in to CME Group services starting 10:00 a.m. Central time (CT) Sundays, before the first market open.
Clients must logout and disconnect from all services at 5:00 p.m. CT on Fridays, after the last market close for the week.
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Revision History
| Date | Description | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
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See full details and a video on CME Globex-style IFM.
| Info |
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CME recommends that EBS client systems submit Order Cancel Replace (tag 35-MsgType=G) messages using tag 9768=Y to avoid overflow of cumulative quantity, since the quantity is in notional value. |
Market Integrity Controls
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- Automated port closure
- Messaging controls (rolling 3 seconds)
- Cancel on Disconnect
- Cancel on Conclusion
- Maximum and Minimum Order Sizes
- Kill Switch
- Price Banding
- Unexecuted Order to Transaction Ratio
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 and ON SEF/ON MTF) | Maximum Ratio in Number Terms | Maximum Ratio in Volume Terms |
|---|---|---|
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.
Institutional Prioritization Match Algorithm
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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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. |
|---|---|---|---|---|---|
| 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. |
|---|---|---|---|---|---|
| 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. |
|---|---|---|
| 3 | AAA | 1 |
| 5 | CCC | 2 |
| 10 | DDD | 3 |