This topic describes market functionality for EBS Market's central limit order book and eFix Matching Services on the CME Globex platform. Products are on the CME Globex platform.
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See full details and a video on CME Globex-style IFM.
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CME recommends that EBS client systems submit Order Cancel Replace (tag 35-MsgType=G) messages using tag 9768=1 to avoid overflow of cumulative quantity, since the quantity is in notional value. |
Market Integrity Controls
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The Institutional Prioritization algorithm is a two allocation FIFO algorithm that provides matching priority to Globex Firm IDs (GFIDs) in the same Institution Group. The first FIFO allocation fills the Institutional Group the aggressing order is associated with. The second pass allocation matches orders without an Institutional Group association. The Institutional Prioritization algorithm uses time as the only criteria for filling an order for each FIFO pass. An order loses order priority and is re-queued if the order modified with an increase in quantity. The Institutional Prioritization Algorithm is denoted on the MDP Security Definition Message (35=d) via tag 1142-MatchAlgorithm=V .
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In the example below, an aggressing bid order first fills offer orders within the same Institution Group. In the second allocation, the remaining aggressor bid quantity fills orders that are not within the Institution Group.
Orders in the Market
| Order No. | Bid Qty | Bid Institution Group | Offer Qty | Offer GFID | Order No. |
|---|---|---|---|---|---|
| INCOMING | 20 | BB3 | 10 | AAA | 1 |
| 5 | BB1 | 2 | |||
| 5 | CCC | 3 | |||
| 8 | BB2 | 4 | |||
| 10 | DDD | 5 |
Allocation 1 - Institution Group Fills
For the first allocation, the orders with the same Institution Group (BB1 & BB2) as the aggressor (BB3) are filled.
| Order No. | Bid Qty | Bid Institution Group | Offer Qty | Offer GFID | Order No. |
|---|---|---|---|---|---|
| INCOMING | 7 | BB3 | 10 | AAA | 1 |
| 5 | CCC | 2 | |||
| 10 | DDD | 3 |
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Next, the offer for AAA, which is not part of the aggressor Institution Group, is reduced from 10 to 3.
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