This topic provides information on CME FX Spot Plus (CME FX Spot+) for futures markets.
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Revision History
Date | Description | |
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April 2, 2025 | Added note under the Central Limit Order Book (CLOB) heading that includes a link to FX Spot+ Matching Scenarios topic. | |
March 27, 2025 | Modified table content of Session Statistics. Replaced Daily Statistics from MDIncrementalRefreshSessionStatisticsLongQty67 to MDIncrementalRefreshDailyStatistics49. | |
March 20, 2025 | Added table - Summary of Security Definition - Field Changes from Pre-Launch to Production Launch | |
March 17, 2025 | Added example diagram: FX Link Spread Price Benefit | |
March 10, 2025 | Modified table for FX Spot+ Product Code:
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March 10, 2025 | Details added to Template Name-MDInstrumentDefinitionFX63. | |
February 27, 2025 | Add note under New CME FX Spot+ MBO/MBP UDP Channel: The CME FX Link Spot leg market data will be available over existing CME Futures connections, but clients must have EBS data license to access the new MDP channel 330. | |
February 27, 2025 | In Overview, added bullet under Market Data Accessibility:
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February 11, 2025 | Display Factor values for USDZAR have been changed for Globex Tick, Economic Price, and Globex Price | |
February 7, 2025 | For New CME FX Spot+ MBO/MBP UDP Channel: Added Directory location /SBEFix/Production/Configuration and production date February 9, 2025. | |
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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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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| 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. |
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FX Spot+ implied orders are created by related liquidity from FX futures customer orders and FX Link customer orders.
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For examples please seeCME FX Spot Plus Matching Scenarios. |
Self-Match Prevention
Standard CME Globex Self-Match Prevention (SMP) is available for FX Spot+ instruments.
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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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Tag | Open | Pause | Close (Not-Final) | Close (Final) | Implied Matching status ON/OFF |
|---|---|---|---|---|---|
StateDescription | Start of continuous trading phase. Order matching begins. | Interruption of continuous trading and the period during which only order cancellation is allowed and order matching is not allowed | Not final close for the date. | Final close for the session. GFS orders are eliminated. | Implied matching statuses sent for implied product codes |
60 TransactTime | X | X | X | X | X |
75 TradeDate | X | X | X | X | X |
1151 SecurityGroup | 5E | 5E | 5E | 5E | 5E |
6937 Asset | - | - | - | - | EURUSD |
48 SecurityID | - | - | - | - | - |
326 SecurityTradingStatus | 17= Ready to trade | 2 = Trading halt | 18= Not available for trading | 4 = Close | 103= N/A |
327 HaltReason | 0 (schedule)1 (GCC) | 0 (schedule)1 (GCC) | 0 (schedule)1 (GCC) | 0 (schedule)1 (GCC) | 0 (schedule)1 (GCC) |
1174 SecurityTradingEvent | 0 (no event)4 (reset stats) | 0 (no event) | 0 (no event) | 0 (no event) | 5 (implied ON)6 (Implied OFF) |
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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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