To trade EBS products on the CME Globex platform customers must implement the order entry functionality described in this topic, and, if applicable, the market data functionality described in CME MDP 3.0 Market Data. Customers with this functionality in place can refer to the EBS-specific functionality described in this topic.
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Both EBS CGW and MSGW sessions use the iLink Binary Order Entrymessaging protocol.
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Trading Type | Products | Market Structure | Order Entry APIs |
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EBS Market CLOB | New York FX Spot New York Metals London FX Spot London NDFs | Market by Price Central Limit Order Book | iLink |
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 |
Order Entry Service Gateway
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For iLink EBS Fill and Kill (FAK) and Fill or Kill (FOK) order behavior, where credit is insufficient, if an FAK/FOK order cannot match due to insufficient bilateral credit, it will be accepted and then cancelled. |
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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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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 expired, then the order can be cancelled or modified immediately and book updates will be reported on market data.
If the MQL timer has not expired:
CME Globex will queue any order cancels and acknowledge a cancel request with a iLink 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 Execution Report Pending Replace (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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The Execution Report Pending Cancel Replace message identifiers refer to the incoming Order Cancel Replace message—not those from the resting order. Any Execution Report published after pending replace but before replacement will contain the identifiers and attributes (e.g. OrderQty, Price) from the original order.
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The Party Details Definition Request Acknowledgment (tag 35-MsgType=CY) of the Pending Cancel or Pending Cancel/Replace messages will reflect the party details from the Cancel or Modify requests. |
Latency Floor
Latency Floor functionality is only applicable to EBS Market and all products listed on EBS Market utilize this functionality. The Latency Floor enables broader trading participation and moderates unwanted executions by prioritizing order cancel processing before aggressing order matching.
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Tag 60-TransactTime represents the time when MSGW releases the message from the Latency Floor.
Tag 7552-DelayToTime indicates 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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For a graceful session disconnect, please refer to Cancel on Conclusion.
Cancel on Conclusion
Cancel On Conclusion (COC) is the auto-elimination of all working orders when a session Terminates and disconnects gracefully—a voluntary disconnect performed by the client system which executes the full Termination process. This is mandatory on all iLink sessions and only applies to EBS Market and eFix Matching Service instruments.
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