This topic provides information on CME FX Spot Plus (CME FX Spot+) for futures markets.
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Date | Description |
|---|---|
January 29, 2025 | Production date updated to Sunday, April 13, 2025 (trade date April 14). |
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 Binary Trade Reporting. |
November 20, 2024 | Added info box under 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 Testing and Certification: "The new AutoCert supplemental test suite will be available for customer certification on Monday, December 9, 2024." Added info box under 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 Security Definition, changed to:
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November 1, 2024 | From 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 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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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+ |
April 13, 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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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.
| Info |
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The new CME FX Spot+ MDP 3.0 channel ID 330 will be supported on CME Smart Stream on GCP. |
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Tradable FX Spot+ Products | |
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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. |
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)
The auto-cancel threshold attributes are added to CME Reference Data API Version 3.
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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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Futures Product Code | Futures Pair | Futures Group Code | Link Spread Group Code | Existing FX Spot Leg Group Code | New FX Spot+ Group Code | Existing MDP 3.0 Channel | New MDP 3.0 Channel |
|---|---|---|---|---|---|---|---|
6A | AUD/USD | 6A | 6A | 01 | 5A | 314 | 330 |
6E | EUR/USD | 6E | 6E | 01 | 5E | 314 | 330 |
6B | GBP/USD | 6B | 6B | 01 | 5B | 314 | 330 |
6N | NZD/USD | 6N | 6F6N | 10 | 5N | 314 | 330 |
6C | USD/CAD | 6C | 6C | 01 | 5C | 314 | 330 |
6S | USD/CHF | 6S | 6S | 01 | 5S | 314 | 330 |
6J | USD/JPY | 6J | 6J | 01 | 5J | 314 | 330 |
6M | USD/MXN | 6M | 6M | 01 | 5M | 314 | 330 |
CME FX Spot Leg (non-tradable) | |||||||
6Z | USD/ZAR | 6Z | 6Z | 01 | 01 | 314 | 330 |
CNH | USD/CNH | RM | RM | 01 | 01 | 314 | 330 |
| Info |
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The non-tradable CME FX Spot Leg (tag 1151-SecurityGroup=01, 10) will also move from MDP 3.0 channel 314 to 330. See CME FX Spot Plus Launch Schedule for moving CME FX Spot Leg from Market Data Channel 314 to 330. |
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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 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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