CME FX Spot Plus - Futures
This topic provides information on CME FX Spot Plus (CME FX Spot+) for futures markets.
In March 2025, CME Group will launch CME FX Spot+, a new tradable FX spot instrument, leveraging CME FX Link liquidity to bring together OTC spot FX and FX futures.
FX Spot+ uses FX Link and Globex implied functionality to connect liquidity across FX futures, FX Link, and FX Spot+. CME FX participants will be able to expand access to OTC spot liquidity within an open, transparent, central limit order book.
Contents
Revision History
Date | Description |
---|---|
November 1, 2024 | From New CME FX Spot+ MDP 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. |
Key Events and Dates
Date | Milestone |
---|---|
November 11, 2024 | Available in New Release For the complete release schedule, please see CME FX Spot Plus Launch Schedule in New Release. |
March 2025 | Available in Production |
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.
Overview
The new FX Spot+ instruments will be separate from the EBS Spot instruments:
- Support FX Spot+ CLOB order entry based in notional term
- Support implied functionality across each related FX Link spread, FX Spot+, and FX futures
- New CME MDP User Datagram, Protocol (UDP) Channel
FX Spot+ Overview | ||||
---|---|---|---|---|
CLOB Instrument | Order Entry Quantity Value | Order Entry Accessibility | Market Data | Market Data Accessibility |
FX Spot+ | Notional | iLink 3 Market Segment Gateway (MSGW) iLink 3 Convenience Gateway (CGW) | New CME MDP UDP Channel
| Available over existing CME network gateways |
Connectivity and Access Model
FX Spot+ connectivity and access for order entry and market data will be accessible via the standard CME network gateways and connectivity options. CME futures customers can choose to access FX Spot+ markets through the MSGW or CGWs, which route through the MSGWs.
Convenience Gateway
CME customers will be able to leverage the existing CME CGWs for trading the FX Spot+ instruments.
Market Segment Gateway
MSGW provided the fastest route for order entry access to the FX Spot+ matching engine, only available over CME networks.
Client system messaging must specify the market segment for order entry routing. Market Segment ID 88 is defined in tag 1300-MarketSegmentID in the MDP Security Definition message for each FX Spot+ instrument.
Order Entry Service Gateway
CME customers can use an existing Order Entry Service Gateway (OESGW) to register administrative information:
- No new iLink 3 session will be required.
- Customers can use the same iLink 3 session session to connect to the OESGW, and submit Party Details Definition Request messages.
For CGW session, use OESGW "6" to pre-register for FX Spot+ market.
- <marketsegment id="6" label="Globex OESGW for all CGWs">
For MSGW session, use OESGW "12" to pre-register for FX Spot+ market.
- <marketsegment id="12" label="Order Entry Service Gateway ">
New CME FX Spot+ MDP UDP Channel
New CME FX Spot+ MBO/MBP Real-time Market Data Channel:
Market | Channel ID | Market Data Group | Description |
---|---|---|---|
FX | 330 | FX Spot+ | CME FX Spot+ MDP UDP |
- Supported over existing CME network gateways and connectivity circuited access.
- FX Spot+ market data disseminated in notional terms.
- The market data info will follow futures-style market data except where noted in the MDP 3.0 Market Data section.
New CME FX Spot+ MBO/MBP UDP Channel
The market data configuration information for the CME FX Spot+ channel will be added as follows:
SFTP: sftpng.cmegroup.com | ||||
Channel ID | Channel Label | Directory Location | New Release | Production |
---|---|---|---|---|
330 | CME Globex FX Spot+ | /SBEFix/NRCert/Configuration | November 3, 2024 | TBD |
For additional information on accessing the configuration file, please review the MDP 3.0 - Support services page on the Client System Wiki.
Product
The FX Spot+ tradable instruments will be available for select currency spreads.
Tradable FX Spot+ Products | |
---|---|
Product Name | MDP 3.0: tag 55-Symbol |
Euro / US Dollar Spot FX | EURUSDZ5031 |
US Dollar / Canadian Dollar Spot FX | USDCADZ5031 |
British Pound / US Dollar Spot FX | GBPUSDZ5031 |
Australian Dollar / US Dollar Spot FX | AUDUSDZ5031 |
US Dollar / Japanese Yen Spot FX | USDJPYZ5031 |
US Dollar/Swiss Franc Spot FX | USDCHFZ5031 |
New Zealand Dollar/US Dollar Spot FX | NZDUSDZ5031 |
US Dollar / Mexican Peso Spot FX | USDMXNZ5031 |
The USD/South African Rand and USD/Offshore Chinese Renminbi FX Spot leg are only tradable as part of the CME FX Link spread.
Product Attributes
FX Spot+ Product Code | FX Spot+ Symbol | Contract Size | Inverted Link Spread | Min Order Size | Min Order Increment | Max Order Size | Min Order Cancel Threshold | Min Tick FX Spot+ Leg (FX Link to FX Link Fills) | Min Tick FX Spot+ Traded as Outright / Implied | Price Example Outright / Implied |
---|---|---|---|---|---|---|---|---|---|---|
EURUSD | EURUSDZ5031 | 1 EUR | No | 250,000 | 125,000 | 5,000,000 | 125,000 | 0.000005 | 0.00001 | 1.09481 |
GBPUSD | GBPUSDZ5031 | 1 GBP | No | 250,000 | 62,500 | 5,000,000 | 62,500 | 0.00001 | 0.00001 | 1.37251 |
AUDUSD | AUDUSDZ5031 | 1 AUD | No | 200,000 | 100,000 | 5,000,000 | 100,000 | 0.00001 | 0.00001 | 0.72161 |
NZDUSD | NZDUSDZ5031 | 1 NZD | No | 200,000 | 100,000 | 3,000,000 | 100,000 | 0.00001 | 0.00001 | 0.68963 |
USDCAD | USDCADZ5031 | 1 USD | Yes | 200,000 | 100,000 | 5,000,000 | 100,000 | 0.000001 | 0.00001 | 1.26551 |
USDJPY | USDJPYZ5031 | 1 USD | Yes | 200,000 | 100,000 | 5,000,000 | 100,000 | 0.0001 | 0.001 | 109.688 |
USDCHF | USDCHFZ5031 | 1 USD | Yes | 250,000 | 250,000 | 3,000,000 | 250,000 | 0.000001 | 0.00001 | 0.91237 |
USDMXN | USDMXNZ5031 | 1 USD | Yes | 100,000 | 50,000 | 3,000,000 | 50,000 | 0.00001 | 0.0005 | 13.3919 |
CME FX Spot Leg (non-tradable) | ||||||||||
USDZAR | USDZARF5102 | 1 USD | Yes | 50,000 | 50,000 | 3,000,000 | 50,000 | 0.00001 | 0.0001 | 18.4445 |
USDCNH | USDCNHF5102 | 1 USD | No | 100,000 | 100,000 | 3,000,000 | 100,000 | 0.00001 | 0.0001 | 7.1471 |
Symbol
With this launch, the FX Spot+ instrument name (MDP 3.0 tag 55-Symbol) remains the same as the current FX Link Spot leg instrument name.
Contract Size
The FX Spot+ contract size (MDP 3.0 tag 1147-UnitOfMeasureQty) will be modified to "1" to reflect the change to notional quantity.
Currently, tag 1147 values are suppressed in the FX Link Spot leg Security Definition.
Minimum Order Size/Minimum Order Increment
The FX Spot+ Minimum Order Sizes (MDP 3.0 tag 562-MinTradeVol) and Minimum Order Increments (MDP 3.0 tag 1231-MinLotSize & tag 1093-LotType = 5) will be specified in notional terms.
An FX Spot+ order or order modification submitted with a quantity less than the minimum order size will be rejected with a reason code indicating the required minimum order size was not met, and specifying the minimum order size.
Maximum Order Size
The FX Spot+ Maximum Order Size (MDP 3.0 tag1140-MaxTradeVol) will vary by product, but will be set lower than the EBS Spot Max Order Sizes.
Minimum Order Cancel Threshold
With this launch, a new order cancel threshold notional value will be established and initially equal to the minimum order increment per each FX Spot+ instrument.
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.
In the event of a partial fill with remaining quantity less than the auto-cancel threshold notional, CME Globex cancels the remainder. Upon cancellation, CME Globex sends an unsolicited Order Cancel Acknowledgment message (tag 35-MsgType=8, tag 39-OrdStatus=4) with tag 378-ExecRestatementReason=108 (Cancel due to resting order quantity less than minimum order size)
The auto-cancel threshold attributes are added to CME Reference Data API Version 3.
Minimum Price Increment
With this launch, there will be differences in the FX Spot+ minimum tick used in FX Link spread to FX Link spread trades, and the minimum tick in FX Spot+ outright and implied trading.
- Minimum Tick FX Spot+ traded as Outright/Implied Trading will be sent in tag 969-MinPriceIncrement in the MDP 3.0 Security Definition (35=d) message.
- Minimum Tick for FX Spot+ leg from FX Link Spread Trading will be added to CME Reference Data API Version 3.
Price Precision
With this launch, tag 2349 - PricePrecision will be sent in the MDP3 Security Definition (35=d) message to specify price decimal precision for FX Spot+ instruments.
Currently, tag 2349 values are suppressed in the FX Link Spot leg Security Definition.
Display Factor
Tag 9787-DisplayFactor will be set equal to 1 in the MDP3 Security Definition (35=d) message for FX Spot+ instrument to use the real economic price in CME Globex.
Current | New | Sample Price | ||||||
---|---|---|---|---|---|---|---|---|
FX Spot+ Product Code | FX Spot+ Tick | Display Factor | Globex Tick | FX Spot+ Tick | Display Factor | Globex Tick | Economic Price | Globex Price |
EURUSD | 0.000005 | 0.0001 | 0.05 | 0.00001 | 1 | 0.00001 | 1.01561 | 1.01561 |
GBPUSD | 0.00001 | 0.00001 | 1.0 | 0.00001 | 1 | 0.00001 | 1.21411 | 1.21411 |
AUDUSD | 0.00001 | 0.00001 | 1.0 | 0.00001 | 1 | 0.00001 | 0.69591 | 0.69591 |
NZDUSD | 0.00001 | 0.00001 | 1.0 | 0.00001 | 1 | 0.00001 | 0.63121 | 0.63121 |
USDCNH | 0.00001 | 0.0001 | 0.1 | 0.00001 | 1 | 0.0001 | 7.1416 | 7.1416 |
USDCAD | 0.000001 | 0.00001 | 0.1 | 0.00001 | 1 | 0.00001 | 1.28241 | 1.28241 |
USDJPY | 0.0001 | 0.001 | 0.1 | 0.001 | 1 | 0.001 | 134.123 | 134.123 |
USDCHF | 0.000001 | 0.000001 | 1.0 | 0.00001 | 1 | 0.00001 | 0.96103 | 0.96103 |
USDMXN | 0.00001 | 0.00001 | 1.0 | 0.0005 | 1 | 0.0005 | 20.4586 | 20.4586 |
USDZAR | 0.00001 | 0.00001 | 1.0 | 0.0001 | 1 | 0.0001 | 18.5181 | 18.5181 |
Additional Considerations
Notional Quantity
FX Spot+ instruments on CME Globex trade in notional terms. iLink 3 Order entry, MDP 3.0 Market Data, and Product and Instrument records on Reference Data API v3 reflect notional terms for all quantity fields and attributes.
Base and Settlement Currency
With this launch, the values for FX Spot+ tag 15-Currency and tag 120-SettlCurrency in the MDP 3.0 Security Definition (35=d) message will be switched to be consistent with EBS FX Spot.
FX Spot+ Currency Pair | Inverted/Non-Inverted | Tag 15-Currency | Tag 120-Settle Currency |
---|---|---|---|
EUR/USD | Non-Inverted | EUR | USD |
GBP/USD | Non-Inverted | GBP | USD |
AUD/USD | Non-Inverted | AUD | USD |
NZD/USD | Non-Inverted | NZD | USD |
USD/JPY | Inverted | USD | JPY |
USD/CAD | Inverted | USD | CAD |
USD/CHF | Inverted | USD | CHF |
USD/MXN | Inverted | USD | MXN |
CME FX Spot Leg (non-tradable) | |||
USD/ZAR | Inverted | USD | ZAR |
USD/CNH | Non-inverted | USD | CNH |
Tag 15 and tag 120 values for U.S. Dollar/South African Rand Spot FX (non-tradable) will remain unchanged.
Security Exchange
Tag 207-SecurityExchange value "GLBX" is sent for the FX Spot+ instruments in the MDP 3.0 Security Definition (35=d) message.
Tag 167-SecurityType value "FXSPOT" for the FX Spot+ instruments is populated for iLink and MDP 3.0 Security Definition (35=d) messages.
Security Group
Each FX Spot+ tradable instrument is populated with a new group code (MDP 3.0 tag 1151-SecurityGroup).
Futures Product Code | Futures Pair | Futures Group Code | Link Spread Group Code | Existing FX Spot Leg Group Code | Existing MDP 3.0 Channel | New FX Spot+ Group Code | New MDP 3.0 Channel |
---|---|---|---|---|---|---|---|
6A | AUD/USD | 6A | 6A | 01 | 314 | 5A | 330 |
6E | EUR/USD | 6E | 6E | 01 | 314 | 5E | 330 |
6B | GBP/USD | 6B | 6B | 01 | 314 | 5B | 330 |
6N | NZD/USD | 6N | 6F | 10 | 314 | 5N | 330 |
6C | USD/CAD | 6C | 6C | 01 | 314 | 5C | 330 |
6S | USD/CHF | 6S | 6S | 01 | 314 | 5S | 330 |
6J | USD/JPY | 6J | 6J | 01 | 314 | 5J | 330 |
6M | USD/MXN | 6M | 6M | 01 | 314 | 5M | 330 |
CME FX Spot Leg (non-tradable) | |||||||
6Z | USD/ZAR | 6Z | 6Z | 01 | 314 | 01 | 330 |
CNH | USD/CNH | RM | RM | 01 | 314 | 01 | 330 |
With this launch, the existing FX Spot Leg (tag 1151-SecurityGroup=01, 10) will move from MDP 3.0 channel 314 to 330.
Trading Schedules
The FX Spot+ Trading Schedules will be as follow, except the New Zealand Dollar/US Dollar (NZD/USD).
NZD/USD closes at 7:00 a.m. Auckland time on Fridays, and remain closed until the reopen on Sunday.
SUNDAY - FRIDAY | |||
---|---|---|---|
MARKET | STATE | TIME | TIME ZONE CITY |
FX Spot+ | Open | 17:00 | Chicago |
Close | 16:00 | Chicago |
FX Spot+ Matching
Match Algorithm
A FIFO algorithm will be applied for matching occurring within FX Spot+ order books. There will be no change to the existing match algorithm of the FX Link spread and FX futures books.
Central Limit Order Book (CLOB)
FX Spot+ CLOB orders can directly match against each other. Liquidity across order books is supported by implied functionality.
FX Spot+ implied orders are created by related liquidity from FX futures customer orders and FX Link customer orders.
Self-Match Prevention
Standard CME Globex Self-Match Prevention (SMP) is available for FX Spot+ instruments.
See also the SMP Frequently Asked Questions section.
Matching Priority
FX Futures
With this launch, FX futures implied OUTs will be sourced from two different implied trading units:
- Customer orders from the FX futures + FX Calendar Spreads
- Customer orders from FX Link Spread + FX Spot
Within the FX futures order book at a given price--if there are both customer orders and implied orders--then an aggressing FX futures order will match against those orders in the following sequence:
- 1st matching = all customer resting FX futures orders
- 2nd matching = all implied orders generated from customer orders in FX futures and FX Calendar spreads
- 3rd matching = all implied orders generated from customer orders in FX Link Spread and FX Spot+ orders
FX Spot+
For FX Spot+ outright trades, the match quantities must be in notional amounts to the dollar in Base Quantities regardless whether currency pair is inverted or non-inverted.
For example:
- Quantities in EUR/USD can be matched to 1 EUR (non-inverted pair)
- Quantities in USD/CAD can be matched to 1 USD (inverted pair)
Even though matches can occur to the 1 dollar, orders will be constrained by minimum order size and minimum order increment configurations.
For FX Spot+ implied trades, the match quantities will be in notional contract equivalents, as determined by the related FX Link Spreads and FX futures contracts.
Quantity calculations:
- Non-Inverted currency pair
- Base Notional = contract unit * contract qty
- Quote Notional = Base Notional * FX Spot+ price
- Non-Inverted FX Spot+ example
- Buy 5 EUR/USD FX Spot+ contract equivalents @ $1.23401 from an implied match
- 1 EUR/USD futures contract unit = 125,000 Euro
- FX Spot+ Base Notional = 625,000 EUR (or 125,000 Euro contract unit * 5 contract qty)
- FX Spot+ Quote Notional = $771,256.25 (or 625,000 Euro * $1.23401)
- Inverted currency pair
- Quote Notional = contract unit * contract qty
- Base Notional = Quote Notional / FX Spot+ price
- Inverted FX Spot+ example
- Buy 10 USD/CAD contract equivalents @ C$1.259031 from an implied match
- 1 CAD/USD futures contract unit = 100,000 Canadian dollars
- Quote Notional = 1,000,000 Canadian dollars (or 100,000 Canadian dollars * 10 contract unit)
- Base Notional = $794,261.62 (or 1,000,000 Canadian dollars / $1.259031) - See next section on rounding
FX Spot+ Execution Report
When FX Spot+ is traded as outright or implied, iLink 3 Fill Quantity and Remaining Quantity will be disseminated in notional terms, not in contracts.
- Fill Quantity (tag 32-LastQty) will always be rounded UP on fills to the integer amount.
- Because of the rounding up on Fill Quantity, the Remaining Quantity (tag 115-LeavesQty) will be rounded down from each fill.
FX Spot+ Fill execution reports will include the actual Base and Quote quantities for settlement in notional amounts, rounded to the nearest "penny" (two decimal place equivalent in corresponding currencies), as is the case for FX Link fills.
The actual settlement amounts will be reported in separate fields on the iLink 3 Execution Report - Trade.
- The actual settlement amount for Base Notional will be reported in tag 381-GrossTradeAmt.
- The actual settlement amount for Quote Notional will be reported in tag 1056-CalculatedCcyLastQty
FX Spot+ Fill Execution Reports will also include trade date/value (settlement) date information.
FX Spot+ Implied Functionality
Implied functionality provides liquidity between FX Spot+, FX Link Spread, and the related FX futures market. An instrument is implied-eligible if the market data Security Definition message (tag 35-MsgType=d) contains tag 872-InstAttribValue bit 19-Implied Matching Eligible=1.
Both Implied IN and Implied OUT orders are available. Implied orders will be allowed in FX Spot+ by combining FX futures and FX Link resting orders. Only the following combinations are supported:
- FX Spot+ implied order = FX futures customer order + FX Link customer order (blue arrow in below diagram)
- FX Link implied order = FX futures customer order + FX Spot+ customer order (green arrow in below diagram)
- FX futures implied order = FX Spot+ customer order + FX Link customer order (red arrow in below diagram)
Implied Quantity
FX Spot+ Instruments
FX Spot+ instruments only trade in notional quantity terms.
- The implied notional value will always be rounded-up to the closest single unit notional value (always "1" unit).
- A FX Spot+ implied order will only be created if its implied notional value is equal to or greater than the FX Spot+ instrument's minimum order size, which is defined as a notional value.
- For Example:
- FX Spot+ Minimum Order Size = 200,000 notional
- FX Spot+ implied order only created when its notional value is > or = 200,000
- For Example:
FX Futures and FX Link Instruments
FX futures and FX Link instruments only trade in contract quantity terms.
- The implied contract quantity will always be rounded down to a positive contract integer increment.
- The implied contract quantity can be less than the contract's standard order minimum size.
Implied OUT Notional Rounding for Inverted
As the quantity fields in MDP are integers, the MDP FX Spot+ Implied out notional quantity from the spread must be rounded. To ensure enough quantity is available to match, the notional quantity on implied orders out from the inverted FX link spreads for the FX Spot+ leg must always be rounded up to the nearest whole integer (1 USD, EUR, etc.).
Example:
- 10 Contracts implied out USD/CAD FX Link Spread, FX Spot+ implied price 1.31002
- 10 Contracts = 1,000,000 CAD at price 1.31002 must be converted to USD Notional
- 1,000,000 / 1.31002 = 763,347.12
- Round up Implied Out Notional Quantity = 763,348 USD
Implied CLOB Price Rounding
The calculated Implied IN or OUT can be off-tick due to differing product tick granularity and/or converting contracts to notional or vice versa.
Regardless of contracts or notional:
- Off-tick bid prices are rounded down and published to the nearest on-tick value.
- Off-tick ask prices are rounded up and published to the nearest on-tick value.
- MDP 3.0 Trade Summary is always published on-tick.
Implied Spread Price Improvement
- There will be a match event price improvement when an aggressing order matches against a rounded implied price.
- FX Link Spread will receive price improvement.
Example:
The below example shows all market prices in the economic prices.
- However, the prices used in iLink and MDP 3.0 are sent in the CME Globex price for FX Link and FX futures.
- When displaying FX Link and FX futures instruments, CME Group recommends that client systems use the Display Factor (tag 9787). See more information regarding the Display Factor.
FX Spot+ API and Message Impacts
CME Reference Data API Changes
To support the FX Spot+, the following attributes are added to CME Reference Data API Version 3:
New Attributes | |||
---|---|---|---|
API Endpoint | Attribute Name | Description | Type |
Product | roundingTick | Minimum Tick for FX Spot+ spread Leg on FX Link to FX Link spread trade. | NUMBER |
autoCancelThreshold | Minimum Order cancel threshold notional value established for each FX Spot+ instrument. |
iLink Order Entry
With the FX Spot+ launch, the order entry messaging impacts include:
Supported Order Types & Order Qualifiers
The following order types and order type qualifiers are supported:
Order Types (tag 40-OrderType)
- OrderType=1 (Market order with protection)
- OrderType=2 (Limit order)
- OrderType=3 (Stop order with protection)
- OrderType=4 (Stop limit order)
- OrderType=K (Market limit order)
Order Type Qualifiers (tag 59-TimeInForce)
- TimeInForce=0 (Day)
- TimeInForce=1 (GTC)
- TimeInForce=3 (FAK)
- TimeInForce=6 (GTD)
The following fields are required for FX Spot+ orders:
- tag 1693-PartyDetailRole=24 (Customer Account)
- tag 582-CTI Code
- tag 1816-ClearingAccountType
- tag 1031-CustOrderHandlingInst
- tag 9537-Location
Binary Trade Reporting
To reconcile the order entry iLink 3 trade messages to the corresponding STP Trade Capture Report messages, FX Spot+ trades will support binary trade reporting (i.e. child trades) on the following messages:
- iLink 3 Execution Report - Trade Outright
- iLink 3 Execution Report - Trade Spread
- iLink 3 Execution Report - Trade Spread Leg
The repeating fields of the NoOrderEvents (tag 1795) repeating group will be populated with the following values.
Tag | Name | Req | Binary Type | Binary Length | Description |
---|---|---|---|---|---|
1795 | NoOrderEvents | N | groupSize | 3 | Number of fills which comprise fill quantity. This tag value is always set to ‘1’ to indicate a single fill. |
→1799 | OrderEventPx | Y | PRICE9 | 8 | Refers to the fill price; same as tag 31-LastPx. |
→1802 | OrderEventText | N | String5 | 5 | Will be populated with ‘FXS+’ for CME FX Spot+ trades. |
→1797 | OrderEventExecID | Y | uInt32 | 4 | This is a unique ID that ties together a specific fill between two orders. It will be globally unique across all FXS+ instruments. |
→1800 | OrderEventQTY | Y | uInt32 | 4 | Refers to the specific fill quantity between this order and the opposite order; same as tag 32-LastQty. |
→1796 | OrderEventType | Y | OrderEventTye | 1 | The type of event affecting an order.
|
→1798 | OrderEventReason | Y | uInt8 | 1 | Action that caused the event to occur. 100=Binary Trade Reporting. |
→5542 | ContraGrossTradeAmt | N | Decimal64NULL | 9 | Amount traded (in notional) in base currency for the Spot with this counterparty; same as tag 381-GrossTradeAmt. |
→5971 | ContraCalculatedCcyLastQty | N | Decimal64NULL | 9 | Amount traded (in notional) in counter currency for the Spot with this counterparty; same as tag 1056- CalculatedCcyLastQty. |
Trade Cancellation and Trade Correction
FX Spot+ supports Trade Cancellation and Trade Correction.
If CME Global Command Center (GCC) amends or cancels a FX Spot+ trade, GCC will implement the trade correction or cancellation via parties to the transaction, their prime brokers, and the Central FX Prime Broker. Client applications will not receive iLink Trade Cancellation and Trade Correction messages for FX Spot+.
There are no changes to FX futures and FX Link spread trade cancelation and Trade correction. Client applications can still receive iLink Trade Cancellation and Trade Correction messages for FX futures and FX Link spread.
Not Supported Functionalities
The following functionality will not be supported for FX Spot+:
- Security Definition Request
- Mass Quote and Quote Cancel
- Cancel on-behalf
- Display Quantity Orders
MDP 3.0 Market Data
A new Simple Binary Encoding (SBE) incremental schema version 13 will be used on the new FX Spot+ market data channels. More information regarding the MDP 3.0 - futures and options V13 SBE schema updates are now available.
The following new templates will be used on the new FX Spot+ market data channel 330.
Template Name |
---|
MDInstrumentDefinitionFX63 |
MDIncrementalRefreshBookLongQty64 |
MDIncrementalRefreshTradeSummaryLongQty65 |
MDIncrementalRefreshVolumeLongQty66 |
MDIncrementalRefreshSessionStatisticsLongQty67 |
SnapshotFullRefreshLongQty69 |
FX Spot+ instruments have the following market data considerations.
Message Type | New channel (330) Multicast |
---|---|
Security Definition | MDInstrumentDefinitionFX63
|
Security Status | SecurityStatus30
|
Market by Order | MDIncrementalRefreshOrderBook47
|
Market by Price | MDIncrementalRefreshBookLongQty64
|
Trade Summary | MDIncrementalRefreshTradeSummaryLongQty65
|
Electronic Volume | MDIncrementalRefreshVolumeLongQty66
|
Daily Statistics
| MDIncrementalRefreshSessionStatisticsLongQty67
|
Session Statistics | MDIncrementalRefreshSessionStatisticsLongQty67
|
Market data messaging for FX Spot+ products are standard CME market data except where noted.
Security Definition
The following changes will be added to the security definition (35=d) template in the new SBE schema version 13.
- Tag 1147-UnitOfMeasureQty will be specified as 1 to reflect trading in notional value.
- Minimum Order Size and Minimum Order Increment will be specified in notional terms in the security definition message.
FX Link Spread Security Definitions will continue to list the spread ratio as 1:1, even though the actual ratio will be 1 contract : X Notional Value (e.g. 125,000).
Market States
With the exception of the pre-open state, the market schedules will be synchronized across FX futures, FX Spot+ and FX Link spreads for most currency pairs, except the New Zealand Dollar/US Dollar schedule.
Pre-Open
- FX Spot+ market will not have a Pre-Open state to be consistent with the existing EBS Spot market – Open and Close will be the only eligible market states
- An Indicative Opening Price (IOP) will be calculated for the FX futures and FX Link Spread Markets, but will not be calculated for Spot+
Open
- An Opening Price match calculation will be supported for FX futures and FX Link Spread, inclusive only of customer orders in each of the markets, with the applicable trades occurring at the open
- No opening price match calculation will occur for FX Spot+, with new orders being accepted only after the Open
Continuous Trading, Implieds and Matching
- After the opening matches occur and ongoing as the market remains open.
- Implieds are created within the FX futures, FX Spot+ and FX Link spread CLOBs.
- Implied ON/OFF - MDP 3.0 Security Status messages (tag 35-MsgType = f ) will be sent for Implied matching state.
Close
- Close for the date.
- Day orders are eliminated.
Summary of FX Spot+ Group and Instrument Security Status
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. This state allows a mid-session pre-open to be initiated. | 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) |
Order Book Dissemination
FX Spot+ will support Market By Order (MBO) and 10-Deep Market by Price (MBP) via the Market Data Incremental Refresh (tag 35-MsgType =X) message with tag 269=0 (Bid) or 1 (Offer).
Only 3-deep book is disseminated for FX Spot+ Implied books via the Market Data Incremental (tag 35=X) message with tag 269=E (Implied Bid) or F (Implied Offer). Implied book depth is designated on the Security Definition Message (tag 35-MsgType=d) via tag 1022-MDFeedType=GBI.
Customer Order Book Publication | Implied Book Publication | |
---|---|---|
FX Spot+ | 10-deep | 3-deep |
FX Futures | 10-deep | 2-deep |
FXS Link | 10-deep | 2-deep |
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.
Tag 264-MarketDepth in the Security Definition (Tag 35-MsgType=d) message must be referenced to obtain the book depth per instrument.
Trade Summary
With this launch, FX Spot+ trade quantity (tag271=MDEntrySize) in the Trade Summary market data entry (tag 269-MDEntryType=2) will be sent in notional terms on the new CME MDP TCP Channel 330.
- Summary Level repeating groups (1st repeating group)
- Trade price,
- Trade quantity
- Number of orders
- Aggressor side
- Trade reference id
- Order Detail repeating group (2nd repeating group)
- Order Id
- Quantity filled
Electronic Trade Volume
The updates to FX Spot+ electronic volume will be disseminated on the new CME FX Spot+ MDP TCP channel 330.
- Electronic Volume (in notional Term)
Session Statistics
FX Spot+ Session Statistics will support:
- Indicative Opening
- Opening Price
- High Bid and Low Ask
- Session High and Low Trade Price
- Session Statistics Reset
Daily Statistics
The following Daily Statistics will not be supported:
- Cleared Volume
- Fixing Price
- Settlement Price
- Open Interest
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