EBS Market on CME Globex supports credit screened market data with Market Best book processing. Credit screened market data provides client systems price levels where there is applicable credit. The CME Globex book quantity (270-MDEntryPx) provided in credit screened market data may be a higher value than the tradeable quantity available for firms. Consequently, client systems may not be able to fill all order quantity available in the book updates.
Market Best
The EBS Market Best provides the current EBS top of book price and quantity for a given instrument regardless of credit screened considerations. EBS Market market data provides top-of-book MBP messaging regardless of bilateral credit for conflated TCP market data groups. The market best is sent before the MBP books within the event. CME Group maintains the bid and ask top-of-book view with the following data block:
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EBS Market Best should be excluded from credit screened book management. Market Best is only used as a reference to compare the credit screen and unscreened books. |
EBS Credit Screened Book Example with Market Best
The following section includes a bilateral credit screened book management example with market best for a Conflated TCP Market Data Group. Bilateral product trading relationships are managed internally by CME Group across eligible firms and eligible products.
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| MBP Book Priority | Total SELL Quantity (271-MDEntrySize) | SELL Book Price (270-MDEntryPx) |
|---|---|---|
| 1 | 100 | 1.91 |
| 2 | 300 | 1.92 |
Market Best
| Book Priority | Total SELL Quantity (270-MDEntryPx) | SELL Book Price (271-MDEntrySize) | Number of Orders (346-NumberofOrders) |
|---|---|---|---|
| 1 | 500 | 1.90 | 2 |