This topic provides information on CME This topic provides information on CME FX Spot Plus (CME FX Spot+) for futures markets.
In March 2025, CME Group will launch CME FX Spot+, a new tradable FX spot instrument, leveraging CME FX Link liquidity to bring together OTC spot FX and FX futures.
FX Spot+ uses FX Link and Globex implied functionality to connect liquidity across FX futures, FX Link, and FX Spot+. CME FX participants will be able to expand access to OTC spot liquidity within an open, transparent, central limit order book.
Contents
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Revision History
| Date | Description |
|---|---|
| October 30November 1, 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 "From New CME FX Spot+ MDP 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 channel 314 to 330." Changed Security Group for 6E and In Security Group table, added columns Existing MDP 3.0 Channel and New MDP 3.0 Channel. Additional Consideration table Futures Product Code CNH updated Futures Group Code and Link Spread Group Code to "RM." |
| October 31, 2024 | Updated note below 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 Security Group for 6E and 6C to 01. Updated Display Factor table with 3 additional rows at bottom. 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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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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- Supported over existing CME network gateways and connectivity circuited access.
- FX Spot+ market data disseminated in notional terms.
- The market data info will follow futures-style market data except where noted in the MDP 3.0 Market Data section.
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New CME FX Spot+ MBO/MBP UDP Channel
The market data configuration information for the CME FX Spot+ channel will be added as follows:
SFTP: sftpng.cmegroup.com | ||||
Channel ID | Channel Label | Directory Location | New Release | Production |
|---|---|---|---|---|
330 | CME Globex FX Spot+ | /SBEFix/NRCert/Configuration | November 3, 2024 | TBD |
For additional information on accessing the configuration file, please review the MDP 3.0 - Support services page on the Client System Wiki.
Product
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 |
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The U.S. DollarUSD/South African Rand and USD/Offshore Chinese Renminbi FX Spot leg is are only tradable 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 | USDCNHF5102 | 1 USD | No | 100,000 | 100,000 | 3,000,000 | 100,000 | 0.00001 | 0.0001 | 7.1471 |
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With this launch, a new order cancel threshold notional value will be established and initially equal to the minimum order increment per each FX Spot+ instrument.
| 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. |
In the event of a partial fill with remaining quantity less than the auto-cancel threshold notional, CME Globex cancels the remainder. Upon cancellation, CME Globex sends an unsolicited Order Cancel Acknowledgment message (tag 35-MsgType=8, tag 39-OrdStatus=4) with tag 378-ExecRestatementReason=108 (Cancel due to resting order quantity less than minimum order size)
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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 |
Additional Considerations
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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 |
| Info |
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Tag 15 and tag 120 values for U.S. Dollar/South African Rand Spot FX (non-tradable) will remain unchanged. |
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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| Futures Product Code | Futures Pair | Futures Group Code | Link Spread Group Code | Existing FX Spot + Leg Group Code | Existing MDP 3.0 Channel | New FX Spot+ Group Code | New MDP 3.0 Channel |
|---|---|---|---|---|---|---|---|
| 6A | AUD/USD | 6A | 6A | 01 | 314 | 5A | 330 |
| 6E | EUR/USD | 6E | 6E | 01 | 5E314 | 5E | 330 |
| 6B | GBP/USD | 6B | 6B | 01 | 314 | 5B | 330 |
| 6N | NZD/USD | 6N | 6F | 10 | 314 | 5N | 330 |
| 6C | USD/CAD/USD | 6C | 6C | 01 | 314 | 5C | 330 |
| 6S | USD/CHF/USD | 6S | 6S | 01 | 314 | 5S | 330 |
| 6J | USD/JPY/USD | 6J | 6J | 01 | 314 | 5J | 330 |
| 6M | USD/MXN/USD | 6M | 6M | 01 | 314 | 5M | 330 |
| CME FX Spot Leg (non-tradable) | |||||||
| 6Z | USD/ZAR /USD | 6Z | 6Z | 01 | 314 | 01 | 330 |
| CNH | USD/CNH | RM | RM | CNH01CNH | 314 | 01 | 330 |
| Info |
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With this launch, the existing FX Spot Leg (tag 1151-SecurityGroup=01, 10) will move from MDP 3.0 channel 314 to 330. |
Trading Schedules
The FX Spot+ Trading Schedules will be as follow, except the New Zealand Dollar/US Dollar (NZD/USD).
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The following fields are required for FX Spot+ orders:
- tag 1693-PartyDetailRole=24 (Customer Account)
- tag 582-CTI Code
- tag 1816-ClearingAccountType
- tag 1031-CustOrderHandlingInst
- tag 9537-Location
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MDP 3.0 Market Data
A new Simple Binary Encoding (SBE) incremental schema version 13 will be used on the new FX Spot+ market data channels. More information regarding the MDP 3.0 - futures and options V13 SBE schema updates are now available.
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