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
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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
| Table of Contents |
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Revision History
| Date | Description |
|---|---|
| November 1, 2024 | 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 to 330." 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. 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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For MSGW session, use OESGW "12" to pre-register for -register for FX Spot+ market.
- <marketsegment id="12" label="Order Entry Service Gateway ">
New CME FX Spot+ MDP UDP Channel
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 |
- Supported over existing CME network gateways and connectivity circuited access.
- FX Spot+ market
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- <marketsegment id="12" label="Order Entry Service Gateway ">
New CME FX SPOT+MDP UDP Channel
New CME FX Spot+ MBO/MBP Real-time Market Data Channel:
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CME FX Spot+ MDP UDP
- 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 sectiondata 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.
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 | 125250,000 | 125,000 | 5,000,000 | 125,000 | 0.000005 | 0.00001 | 1.09481 | ||||||||||||
| GBPUSD | GBPUSDZ5031 | 1 GBP | No | 62250,500000 | 62,500 | 5,000,000 | 62,500 | 0.00001 | 0.00001 | 1.37251 | ||||||||||||
| AUDUSD | AUDUSDZ5031 | 1 AUD | No | 100200,000 | 100,000 | 5,000,000 | 100,000 | 0.00001 | 0.00001 | 0.72161 | ||||||||||||
| NZDUSD | NZDUSDZ5031 | 1 NZD | No | 100200,000 | 100,000 | 53,000,000 | 100,000 | 0.00001 | 0.00001 | 0.68963 | ||||||||||||
| USDCAD | USDCADZ5031 | 1 USD | Yes | 100200,000 | 100,000 | 5,000,000 | 100,000 | 0.000001 | 0.00001 | 1.26551 | ||||||||||||
| USDJPY | USDJPYZ5031 | 1 USD | Yes | 100200,000 | 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 | 50100,000 | 50,000 | 3,000,000 | 50,000 | 0.00001 | 0.0005 | 13.3919 | ||||||||||||
| CME FX Spot Leg (non-tradable) | USDZAR | 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 | YesNo | 50100,00050 | 100,000 | 3,000,000 | 50100,000 | 0.00001 | 0.0001 | 187.44451471 | ||||||||||||
Symbol
With this launch, the FX Spot+ instrument name (MDP 3.0 tag 55-Symbol) remains the same as the current FX Link Spot leg instrument name.
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With this launch, a new order cancel threshold notional value will be established and initially equal to the minimum order size per increment per each FX Spot+ instrument.
| Info |
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The minimum order cancel threshold could be different from the Minimum Order SizeIncrement. 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 FX Spot+ Tick | Display Factor | Globex Tick | Economic Price | Globex Price | EURUSD|||||||
| 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. | 00000500001 | 0. | 000100001 | 1.0 | .050.00001 | 1 | 0.00001 | 10. | 0156169591 | 10. | 0156169591 | |||
| NZDUSD | 0.00001 | 0.00001 | 1.0 | 0.00001 | 1 | 0.00001 | 10. | 2141163121 | 10. | 2141163121 | |||||
| USDCNH | 0.00001 | 0. | 000010001 | 0.1 | .00.00001 | 1 | 0. | 000010001 | 7.1416 | 7.1416 | |||||
| USDCAD | 0. | 69591000001 | 0. | 6959100001 | NZDUSD0.1 | 0.00001 | 1 | 0.00001 | 1.28241 | 1.28241 | |||||
| USDJPY | 0.0001 | 0. | 00001001 | 0.1 | 0. | 00001001 | 1 | 0. | 631210.63121 | USDCAD001 | 134.123 | 134.123 | |||
| USDCHF | 0.000001 | 0.000010.000001 | 1.0 | 0.00001 | 1 | 0.00001 | 10. | 2824196103 | 10. | 2824196103 | |||||
| USDMXN | 0. | 000100001 | 0. | 00100001 | 1.0 | .10. | 0010005 | 1 | 0. | 0010005 | 13420. | 1234586 | 13420. | 1234586 | |
| USDZAR | 0. | 00000100001 | 0. | 00000100001 | 1.0 | 0. | 000010001 | 1 | 0. | 000010001 | 018. | 961035181 | 018. | 961035181 | |
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 |
|---|
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 | 02 | 5E01 | 314 | 5E | 330 |
| 6B | GBP/USD | 6B | 6B | 01 | 314 | 5B | 330 | |
| 6N | NZD/USD | 6N | 6F | 10 | 314 | 5N | 330 | |
| 6C | USD/CAD | 6C | 6C | 01 | 314 | 5C | 330 | |
| 6S | USD/CHF | 6S | 6S | 01 | 314 | 5S | 330 | |
| 6J | USD | 6C | 6C | 02 | 5C | |||
| 6S | CHF/USD | 6S | 6S | 01 | 5S | |||
| 6J | JPY/USD | 6J | 6J | 01 | 5J | |||
| 6M | MXN/USD | 6M | 6M | 01 | 5M | |||
| /JPY | 6J | 6J | 01 | 314 | 5J | 330 | ||
| 6M | USD/MXN | 6M | 6M | 01 | 314 | 5M | 330 | |
| CME FX Spot Leg (non-tradable) | ||||||||
| 6Z | USD/ZAR | 6Z | 6Z | 01 | 314 | 01 | 330 | |
| CNH | USD/CNH | RM | RM | 01 | 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).
| Info |
|---|
ZDNZD/USD closes at 7:00 a.m. Auckland time on Fridays, and remain closed until the reopen on Sunday. |
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- FX Spot+ implied order = FX futures customer order + FX Link customer order (blue arrow in below diagram)
- FX Link implied order = FX futures customer order + FX Spot+ customer order (green arrow in below diagram)
- FX futures implied order = FX Spot+ customer order + FX Link customer order (red arrow in below diagram)
Gliffy macroId 1b190e55-d9e2-4f52-9989-ebc305f50e8a displayName Example: 4 or 5 FX Futures name Ex-4or5FXFutures pagePin 4
Implied Implied Quantity
FX Spot+ Instruments
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To support the FX Spot+, the following attributes are added to CME Reference Data API Version 3:
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New Attributes | |||
|---|---|---|---|
API Endpoint | Attribute Name | Description | Type |
Product | roundingTick | Minimum Tick | |
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for FX Spot+ spread Leg on FX Link to FX Link spread trade |
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. | NUMBER |
autoCancelThreshold | Minimum Order cancel threshold notional value established for each FX Spot+ instrument. |
iLink Order Entry
With the FX Spot+ launch, the order entry messaging impacts include:
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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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Tag | Name | Req | Binary Type | Binary Length | Description | Value |
|---|---|---|---|---|---|---|
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 the XXXX of the opposite order for ‘FXS+’ for CME FX Spot+ trades. | |
→1797 | OrderEventExecID | Y | uInt32 | 4 | This is a unique ID which that ties together a specific fill between two orders; . It will be unique per instrument per dayglobally 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.
| |
→1798 | OrderEventReason | Y | uInt8 | 1 | Action that caused the event to occurto occur. 100=Binary Trade Reporting. | |
→ 5542→5542 | ContraGrossTradeAmt | N | Decimal64NULL | 9 | Amount traded (in notional) in base currency for the Spot with this counterparty→ 5971; 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. |
Trade Cancellation and Trade Correction
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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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FX Spot+ will support Market By OrderOrder (MBO) and 10-Deep Market by Price (MBP) via the Market Data Incremental Refresh (tag 35-MsgType =X) message with tag 269=0 (Bid) or 1 (Offer).
Only 23-deep book are 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 | 23-deep |
FX Futures | 10-deep | 2-deep |
FXS Link | 10-deep | 2-deep |
| Info | |
|---|---|
| title | NoteNew 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. |
| Info |
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Tag 264-MarketDepth in the Security Definition (Tag 35-MsgType=d) message must be referenced to obtain the book depth per instrument. |
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