To trade EBS products on the CME Globex platform customers must implement the order entry functionality described in iLink 3 Binary Order Entry, and, if applicable, the market data functionality described in MDP 3.0. Customers with this functionality in place can refer to the EBS-specific functionality described in this topic.
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The New York and London regions each support both MSGW and CGW, while the Tokyo location only supports CGW.
The New York and London CGWs route orders to either New York or London.
The Tokyo CGW routes orders to either New York or London.
Both EBS CGW and MSGW sessions use the iLink 3 messaging protocol.
EBS Market
EBS Market includes Central Limit Order Book (CLOB) and eFix Matching.
| Trading Type | Products | Market Structure | Order Entry APIs |
|---|---|---|---|
| EBS Market CLOB | New York FX Spot New York Metals London FX Spot London NDFs | Market by Price Central Limit Order Book | iLink 3 |
| eFix Matching | New York FX Spot London FX Spot | Time based, quantity matching pool of anonymous benchmark liquidity. Bilateral matching ahead of a benchmarks calculation, with the given rate being applied post publication. No public market data for order book and trade. | iLink 3 |
Order Entry Service Gateway
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- SettlementDate (tag 64) – Value date
- MaturityDate (tag 541)- Date of maturity
For Spot products, Intervening Intervening days = number of business days to value date. (Example: If value date is T+2 then intervening days = 2).
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For NDFs, maturity occurs on the fixing date. The tenor must be added to the Spot value date to determine the Settlement Date.
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*On CME Globex an iceberg order is referred to as a Display Quantity order.
Good for Session
The Good for Session (GFS) order qualifier is supported for all EBS instruments. If GFS orders (tag 59-TimeInForce=99) are submitted to CME Globex, these orders will expire at the next instrument Close.
EBS instruments on CME Globex close either daily or weekly.
- Daily close
- All eFix instruments (at fixing close, shortly before each fixing time)
- Rolling Dated ON SEF/ON MTF NDFs
- End of Month NDFs, both OFF SEF/ON MTF and ON SEF/ON MTF
- Rolling Dated OFF SEF/ON MTF NDFs
- Weekly close
- Spot FX
- Spot Metals
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A new value will be added to TimeInforce (tag 59) to support GFS orders:
Tag | Field Name | Binary Type | Binary Length | Required | Value | Description |
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| 59 | TimeInForce | TimeInForce | 1 | Y | TimeInForce=0 (Day) TimeInForce=1 (GTC) TimeInForce=3 (FAK) TimeInForce=4 (FOK) TimeInForce=6 (GTD) TimeInForce=99 (GFS) | Specifies how long the order remains in effect FOK is only for BrokerTec and EBS GFS is only for EBS |
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Good 'till Cancelled (GTC)/Good 'till Date (GTD) and Day orders are not supported for EBS instruments. Orders submitted with this qualifier will be rejected. |
Fill and Kill (FAK)
A FAK order is immediately executed against any available quantity and any remaining quantity is eliminated.
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- Given - FAK order quantity > available credit and available credit > 0.
- Result - The FAK order would fill as much as possible, then cancel the remaining quantity.
Gliffy size 600 displayName FAK with Insufficient Credit Canceled name FAK with Insufficient Credit Canceled pagePin 1
Fill or Kill (FOK)
A FOK order is either immediately and completely filled against resting orders or eliminated.
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- Given - FOK order quantity > available credit and available credit > 0.
- Result - The FOK order is cancelled with no fills fills.
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Display Quantity Order
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| On CME Globex an iceberg order is referred to as a Display Quantity order. |
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For EBS Market, a resting display quantity order (tag 1138-DisplayQuantity >0) cannot be modified to a non-display quantity (tag 1138-DisplayQuantity=0), and vice versa.
Price Discretion Order
Price Discretion (PD) allows an order to rest and automatically improve its Limit price for matching opportunity while maintaining a given visible Limit price. For examples please see EBS Price Discretion Scenarios.
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Tag | Field Name | Binary Type | Binary Length | Required | Value | Description |
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| 845 | DiscretionPrice | PRICENULL9 | 8 | N | The presence of DiscretionPrice on an order indicates that the trader wishes to display one price but will accept trades at another price. Applicable only for EBS. |
Maximum Order Size
Customers have the ability to configure maximum order size for each product code across multiple Globex User Signatures (GUS) within the same Globex Firm ID (GFID) in the CME Customer Center.
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- If Order Cancel Replace Request or Order Cancel Request contains both CIOrdID and OrderID, OrderID will be used to lookup the original order.
- If ClOrdID in Order Cancel/Replace Request or Order Cancel Request is changed from what was in original order,:
- customer Customer should send Order Cancel/Replace or Order Cancel Request with the latest CIOrdID accepted by CME Globex.
- customer Customer sending Order Cancel/Replace or Order Cancel Request with the previous CIOrdID must provide OrderID as well; otherwise, Order Cancel/Replace will be rejected.
- Execution Report Cancel and Execution Report Modify will return both ClOrdID and OrderID values.
- Order Cancel Replace Reject and Order Cancel Reject will return both ClOrdID and OrderID.
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iLink 3 - EBS on MSGW supports the CME Globex MSGW Safeguards, including tag 9553-SplitMsg and tag 7552-DelayToTime. With MSGW safeguards, a Market Segment Gateway (MSGW) iLink 3 EBS session sends a network packet with an incomplete message, that session will be subject to additional processing to ensure the stability of the platform. This processing results in at least 3 microseconds before the message(s) can be sent to the match engine.
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Convenience Gateway (CGW) iLink3 EBS sessions do not support MSGW Safeguards. |
CME Globex will enforces the MSGW Safeguards to split inbound iLink messages on a MSGW connection that is routed to the same trading region:
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- 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 price level as the resting order(s). Market data will reflect the crossed book.
- Clients can configure as many Self-Match Prevention IDs as desired. SMP IDs may be shared across GFIDs only if the GFIDs are part of the same Institutional Group.
- Tag 8000-SelfMatchPreventionInstruction are not supported for EBS SMP.
- if populated on EBS orders, CME Globex will ignore the value in tag 8000.
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For complete details, please see the CME Globex Self-Match Prevention topic.
Example 1 - SMP with GFS (Good for Session)
Starting Book
- Firm A submits Sell 50 @1.63 SMP_id XX GFS
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End Book
- The incoming sell order trades with Order 2 and Order 3. Order 1, Order 4, and the remaining sell order quantity rests on the crossed book.
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Example 2 - SMP with Aggressor FAK
Starting Book
- Firm A submits Sell 50 @1.63 SMP_id XX FAK
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End Book
- The incoming sell order trades with Order 2 and Order 3. Order 1 and Order 4 rest on the book and the remaining Sell quantity is eliminated.
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Example 3 - SMP with Aggressor FOK
- Firm A submits Sell 50 @1.63 SMP_id XX FOK
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EBS MiFID Short Code Identifiers on CME Globex
Each GFID is associated with multiple GUS, and each GUS will have his or her own associated short code. They will need to identify them as the Financial Decision Maker and/or the Executing Decision Maker, on each of their orders.
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Short Code | iLink 3 Tag | Description |
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Executing Decision Maker of New Order Single | tag 5290-Executor | Will be populated with the MiFID short code for person or algo that submitted the message. The short code will be mapped to National ID or Algo at reporting time. Note: Participants on NEX SEF are required to self-certify that their algorithms will avoid contributing to or creating disorderly trading conditions. This algo self-certification is available via the Request Center in the CME Customer Center. |
Investment Decision Maker of New Order Single | tag 36023-IDMShortCode | Will be populated with the MiFID Short Code of the Investment Decision Maker. |
MiFID Tag Validation
Executor – Tag 5290 and IDMShortCode – Tag 36023
The values of tag 5290-Executor and tag 36023-IDMShortcode for EBS Market on CME Globex must be numeric only. Customers using alphanumeric short codes must re-register on the NEX Upload Facility (NUF) with numeric short codes. Any EBS orders with alphanumeric short codes will be rejected on CME Globex.
CME Globex will validate MiFID tags 5290-Executor and tag 36023-IDMShortcode for presence and correct registration for all EBS On-SEF or On-MTF FX NDFs application messages, except Order Cancel message.
For Order Cancel
Tag 5290 and tag 36023 will be accepted and acknowledged if sent on Order Cancel messages. If not populated, the cancel message will be accepted and acknowledged with the value as follows:
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Associated Short Code with GFID or GUS | Description | EBS ShortCode |
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GUS - JJM | Natural Person | 100001 |
GFID - ABCD | NDF Algo | 100002 |
Scenario 1 – Natural Person is the Financial Decision Maker and Executing Decision Maker
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Scenario 2 – Natural Person is the Financial Decision Maker and Algo Executing Decision Maker
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Scenario 3 – Algo is the Financial Decision Maker and Algo Executing Decision Maker
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Liquidity Provision – Tag 9373
EBS on CME Globex supports reporting of the liquidity provision indicator via tag 9373-LiquidityFlag in the following Application messages.
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| Tag | Field Name | Binary Type | Binary Length | Req | Description |
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5290 | Executor | uInt64NULL | 8 | N | Will be populated with the MIFID short code for the person or algo that submitted the message. The short code will be mapped to National ID or Algo at reporting time. Conditionally required for EU BrokerTec and EBS MiFID regulated instruments. Messages missing this tag or containing an unregistered value will be rejected. |
36023 | IDMShortCode | uInt64NULL | 8 | N | Represents the Investment Decision Maker Short Code. Conditionally required for EU BrokerTec and EBS MiFID regulated instruments. Messages missing this tag or containing an unregistered value will be rejected. |
9373 | LiquidityProvision | BooleanNULL | 1 | N | Field added to capture if an order was submitted for market making obligation or not. Applicable only for EU BrokerTec and EBS MiFID regulated instruments. |
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- ShortSaleType – Tag 5409
- NoTrdRegPublications – Tag 2668
- TrdRegPublicationType – Tag 2669
- TrdRegPublicationReason – Tag 2670
EBS Counterparty Dissemination
EBS customers can identify a counterparty of each trade on the iLink 3 Execution Reports -Trade Outright.
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More details are available on EBS Central Post Trade (CPT) FIX API - CME Group Integration.
Minimum Quote Life
Minimum Quote Life (MQL) is designed to increase the likelihood of a viewed quote being available to trade and reduce hyper-active order book participation by implementing a minimum time limit before an order may be modified or cancelled. With MQL, a new order must rest for a pre-defined duration (“MQL timer”) before it can be cancelled or modified. The length of time is defined for each eligible product individually and communicated via the MDP 3 Security Definition, and Reference Data API v2.
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- If the MQL timer has expired, then the order can be cancelled or modified immediately and book updates will be reported on market data.
- If the MQL timer has not expired:
- CME Globex will queue any order cancels and acknowledge a cancel request with a iLink 3 Execution Report Pending Cancel (tag 39=6 and tag 150=6), and cancel the order at the end of the MQL time limit.
- CME Globex will queue any order modify requests and acknowledge the modify request with a iLink 3 Execution Report Pending Replace Message (tag 39=E and tag 150=E) and replace the order at the end of the MQL time limit.
- Pending Execution Reports are not exposed on market data.
- A Pending Cancel Request is always prioritized over a Pending Cancel/Replace Request.
- Cancel on Disconnect (CoD) and Cancel on Conclusion (CoC) can supersede the MQL interval and cancel the resting order with tag 35-MsgType=8 & tag 39-OrdStatus=4 message including tag 378-ExecRestatementReason=100 to indicate CoD/CoC.
- A Pending Cancel or Pending Cancel/Replace will be rejected with an Order Cancel Replace Reject (tag 35-MsgType=9) message including tag 102-CxlRejReason=2045 and tag 58-Text=<This order is not in the book 'Order: XXX SenderCompID: XXX'>, once the MQL interval is over.
EBS-Specific Messages
The following messages are only sent for EBS Market.
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With Latency Floor, when an EBS Market order arrives to the MSGW, it is batched with any other orders that have arrived within the same batch window. Each order is assigned to an Institutional Group queue within the Latency Floor batch. The Institutional Group queues are released in random order. The orders within each queue are released in FIFO priority. All Order Cancel messages will be prioritized and released first, in FIFO priority before the institution rows are processed. All remaining orders are then released in a round-robin style (i.e. the first order from the first row is released, the first order from the second row is released, and so on for all rows, then the second order from the first row is released, the second order from the second row is released, and so on until all orders are released).
Latency Floor Examples
Scenario 1 - New Order and Order Cancel within the same Latency Floor (currency pair does not support MQL)
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Scenario 2 - New New Order and Order Cancel within the same Latency Floor (currency pair supports MQL)
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Scenario 3 - Order Order Cancel Replace and Order Cancel within the same Latency Floor while resting order has MQL Protection
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Scenario 4 - Order Order Cancel Replace and Order Cancel within the same Latency Floor while resting order has no MQL Protection
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Product Aggregate
Multiple currency pairs (CCYs) can be aggregated to share the same Latency Floor (i.e. a single product or multiple products can share the same Latency Floor).
| Latency Floor #1 | Latency Floor #2 | Latency Floor #3 | Latency Floor #N |
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| CCY Pair 1 | CCY Pair 4 | CCY Pair 9 | CCY Pair XX |
| CCY Pair 2 | CCY Pair 5 | CCY Pair 10 | |
| CCY Pair 3 | CCY Pair 6 | ||
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| CCY Pair 8 |
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- Tag 60-TransactTimerepresents the time when MSGW releases the message from the Latency Floor.
- Tag 7552-DelayToTimeindicates the amount of time that a message was subject to additional processing as a result of Latency Floor.
- Subtracting this number from tag 60-TransactTime will represent the original received time of in-flight message.
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| CGW iLink3 EBS sessions will not support tag 7552-DelayToTime. |
eFix Matching
Orders for e-FIX instruments will be sent as a Good For Session (GFS) limit orders with price = 0 and executed at the fixing price with two Execution Report - Trade Outright messages having different ExecID (tag 17) values.
- The first Execution Report - Trade Outright will be sent with price = 0 and no counterparty indicates that the order is matched and the trade is for fixing price.
- The second Execution Report - Trade Outright will be sent after the Fixing price is published and assigned to the trade.
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Refer to the CME Reference Data API Version 3 for fixing benchmarks and times. |
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Cancel on Disconnect
All iLink 3 sessions for EBS Market on CME Globex are Cancel on Disconnect (CoD) mandatoryfor all markets on CME Globex. CoD is . CoD is the auto-elimination of all working orders including GFS orders, when a session stops responding to heartbeat requests without Terminating. Detailed Detailed information on CoD is available in Risk Management Services.
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- Client system sends Terminate request message.
- CME Group sends Terminate confirmation message to conclude session.
- Client system receives Terminate response message.
When COC is invoked, CME Globex cancels all working orders under a single iLink 3 session without sending cancel acknowledgments.
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