To trade EBS products on the CME Globex platform customers must implement the order entry functionality described in iLink 3 Binary Order Entry, and, if applicable, the market data functionality described in MDP 3.0. Customers with this functionality in place can refer to the EBS-specific functionality described in this topic.
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The New York and London regions each support both MSGW and CGW, while the Tokyo location only supports CGW.
The New York and London CGWs route orders to either New York or London.
The Tokyo CGW routes orders to either New York or London.
Both EBS CGW and MSGW sessions use the iLink 3 messaging protocol.
EBS Market
EBS Market includes Central Limit Order Book (CLOB) and eFix Matching.
| Trading Type | Products | Market Structure | Order Entry APIs |
|---|---|---|---|
| EBS Market CLOB | New York FX Spot New York Metals London FX Spot London NDFs | Market by Price Central Limit Order Book | iLink 3 |
| eFix Matching | New York FX Spot London FX Spot | Time based, quantity matching pool of anonymous benchmark liquidity. Bilateral matching ahead of a benchmarks calculation, with the given rate being applied post publication. No public market data for order book and trade. | iLink 3 |
Order Entry Service Gateway
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- Given - FAK order quantity > available credit and available credit > 0.
- Result - The FAK order would fill as much as possible, then cancel the remaining quantity.
Gliffy size 600 displayName FAK with Insufficient Credit Canceled name FAK with Insufficient Credit Canceled pagePin 1
Fill or Kill (FOK)
A FOK order is either immediately and completely filled against resting orders or eliminated.
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- If arriving order is a Good For Session order, and does not fully trade, the remaining quantity will rest on the book at the same price level as the resting order(s). Market data will reflect the crossed book.
- Clients can configure as many Self-Match Prevention IDs as desired. SMP IDs may be shared across GFIDs only if the GFIDs are part of the same Institutional Group.
- Tag 8000-SelfMatchPreventionInstruction are not supported for EBS SMP.
- if populated on EBS orders, CME Globex will ignore the value in tag 8000.
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- Firm A submits Sell 50 @1.63 SMP_id XX GFS
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End Book
- The incoming sell order trades with Order 2 and Order 3. Order 1, Order 4, and the remaining sell order quantity rests on the crossed book.
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Example 2 - SMP with Aggressor FAK
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- Firm A submits Sell 50 @1.63 SMP_id XX FAK
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End Book
- The incoming sell order trades with Order 2 and Order 3. Order 1 and Order 4 rest on the book and the remaining Sell quantity is eliminated.
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Scenario 1 – Natural Person is the Financial Decision Maker and Executing Decision Maker
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Scenario 2 – Natural Person is the Financial Decision Maker and Algo Executing Decision Maker
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Scenario 3 – Algo is the Financial Decision Maker and Algo Executing Decision Maker
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Liquidity Provision – Tag 9373
EBS on CME Globex supports reporting of the liquidity provision indicator via tag 9373-LiquidityFlag in the following Application messages.
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- If the MQL timer has not expired:
- CME Globex will queue any order cancels and acknowledge a cancel request with a iLink 3 Execution Report Pending Cancel (tag 39=6 and tag 150=6), and cancel the order at the end of the MQL time limit.
- CME Globex will queue any order modify requests and acknowledge the modify request with a iLink 3 Execution Report Pending Replace Message (tag 39=E and tag 150=E) and replace the order at the end of the MQL time limit.
- Pending Execution Reports are not exposed on market data.
- A Pending Cancel Request is always prioritized over a Pending Cancel/Replace Request.
- Cancel on Disconnect (CoD) and Cancel on Conclusion (CoC) can supersede the MQL interval and cancel the resting order with tag 35-MsgType=8 & tag 39-OrdStatus=4 message including tag 378-ExecRestatementReason=100 to indicate CoD/CoC.
- A Pending Cancel or Pending Cancel/Replace will be rejected with an Order Cancel Replace Reject (tag 35-MsgType=9) message including tag 102-CxlRejReason=2045 and tag 58-Text=<This order is not in the book 'Order: XXX SenderCompID: XXX'>, once the MQL interval is over.
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Scenario 4 - Order Cancel Replace and Order Cancel within the same Latency Floor while resting order has no MQL Protection
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Product Aggregate
Multiple currency pairs (CCYs) can be aggregated to share the same Latency Floor (i.e. a single product or multiple products can share the same Latency Floor).
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- Tag 60-TransactTimerepresents the time when MSGW releases the message from the Latency Floor.
- Tag 7552-DelayToTimeindicates the amount of time that a message was subject to additional processing as a result of Latency Floor.
- Subtracting this number from tag 60-TransactTime will represent the original received time of in-flight message.
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| CGW iLink3 EBS sessions will not support tag 7552-DelayToTime. |
eFix Matching
Orders for e-FIX instruments will be sent as a Good For Session (GFS) limit orders with price = 0 and executed at the fixing price with two Execution Report - Trade Outright messages having different ExecID (tag 17) values.
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