CME FX Spot Plus - EBS
This topic provides information on CME FX Spot+ for EBS client systems connecting to CME Group API services on the CME Globex platform.
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+. EBS spot FX participants will be able to access CME FX futures liquidity in OTC spot terms within an open, transparent, central limit order book.
Contents
Revision History
Date | Description |
---|---|
October 30, 2024 | Updated note for 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 25, 2024 | Added table row for FX Spot+ Product Code USDCNH. Added table row for FX Spot+ Currency Pair USD/CNH. Added table row for Futures Product Code CNH. |
October 9, 2024 | Modified descriptions for Tags 1795, 1802, 1797, 1800, 5542, and 5971. Added new table under CME Reference Data API Changes. Under Product Attributes, numbers changed for Min Order Cancel Threshold column. Changed text under Minimum Order Cancel Threshold: "With this launch, a new order cancel threshold notional value will be established and equal to the minimum order increment per each FX Spot+ instrument." Changed text in note box "The minimum order cancel threshold could be different from the Minimum Order Increment." |
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 EBS client systems to support trading FX Spot+ products:
- iLink 3 certification via AutoCert+ is required. Client systems will need to complete the supplemental test suite.
- MDP 3.0 certification is not required. However, CME Group strongly recommends client systems to test the FX Spot+ products in New Release before the production launch.
- CSET will configure credit setup to enable testing.
Overview
The new FX Spot+ instruments will be separate from the EBS Market listed instruments:
- Support FX Spot+ CLOB order entry based in notional terms
- Support implied functionality across each related FX Link spread, FX Spot+, and FX futures
- New Consolidated Order Books on the new CME MDP Transmission Control Protocol (TCP) Channel
FX Spot+ Overview | ||||
---|---|---|---|---|
CLOB Instrument | Order Entry Quantity Value | Order Entry Accessibility | Market Data | Market Data Accessibility |
FX Spot+ | Notional | iLink 3 Convenience Gateway (CGW) | New CME MDP TCP Channel
| Available over existing EBS network gateways |
Connectivity and Access Model
FX Spot+ Connectivity and access for order entry and market data will be accessible via the existing EBS network gateways and connectivity options. EBS customers can access FX Spot+ markets through the existing CGWs, which route through the MSGWs.
Convenience Gateway
EBS customers will be able to leverage the existing EBS CGWs for trading the FX Spot+ instruments.
Order Entry Service Gateway
EBS customers can use an existing Order Entry Service Gateway (OESGW) to register administrative information:
- No new session will be required.
- Customers can use the same CGW session to connect to the OESGW, and submit Party Details Definition Request messages.
For CGW session, use OESGW "8" to pre-register for FX Spot+ market.
- <marketsegment id="8" label="EBS OESGW for all CGWs">
New CME FX Spot+ MDP TCP Channel
New CME FX Spot+ MBP 1 Millisecond Conflated TCP Channel in EBS regions (i.e. New York, London, Tokyo).
Market | Channel ID | Market Data Group | Channel Name |
---|---|---|---|
FX | 331 | FX Spot + | CME FX Spot+ MDP 1 Millisecond Conflated TCP |
- Supported over existing EBS network gateways and connectivity circuit access.
- FX Spot+ market data will be disseminated in notional terms.
- Enhanced TCP Market Data to consolidate Customer and Implied Order Books to publish a single incremental feed at a given price level.
- FX Spot+ market data information will follow EBS-style market data except where noted in the MDP 3.0 Market Data section.
Product
The FX Spot+ tradable instruments will be available for the select currency pairs.
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 Futures Contract | Min Order Size | Min Order Increment | Max Order Size | Min Order Cancel Threshold | 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 | 0.00001 | 1.09481 |
GBPUSD | GBPUSDZ5031 | 1 GBP | No | 250,000 | 62,500 | 5,000,000 | 62,500 | 0.00001 | 1.37251 |
AUDUSD | AUDUSDZ5031 | 1 AUD | No | 200,000 | 100,000 | 5,000,000 | 100,000 | 0.00001 | 0.72161 |
NZDUSD | NZDUSDZ5031 | 1 NZD | No | 200,000 | 100,000 | 3,000,000 | 100,000 | 0.00001 | 0.68963 |
USDCAD | USDCADZ5031 | 1 USD | Yes | 200,000 | 100,000 | 5,000,000 | 100,000 | 0.00001 | 1.26551 |
USDJPY | USDJPYZ5031 | 1 USD | Yes | 200,000 | 100,000 | 5,000,000 | 100,000 | 0.001 | 109.688 |
USDCHF | USDCHFZ5031 | 1 USD | Yes | 250,000 | 250,000 | 3,000,000 | 250,000 | 0.00001 | 0.91237 |
USDMXN | USDMXNZ5031 | 1 USD | Yes | 100,000 | 50,000 | 3,000,000 | 50,000 | 0.0005 | 13.3919 |
CME FX Spot Leg (non-tradable) | |||||||||
USDZAR | USDZARF5102 | 1 USD | Yes | 50,000 | 50,000 | 3,000,000 | 50,000 | 0.0001 | 18.4445 |
USDCNH | USDCNHF5102 | 1 USD | No | 100,000 | 100,000 | 3,000,000 | 100,000 | 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.
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
A 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 Maximum Order Sizes.
Minimum Order Cancel Threshold
With this launch, a new order cancel threshold notional value will be established and 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.
Additional Considerations
Notional Quantity
FX Spot+ instruments on CME Globex trade in notional terms. iLink 3 Order entry, MDP 3.0 Market Data, 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 as follows.
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 |
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 (i.e. MDP 3.0 tag 1151-SecurityGroup).
Futures Product Code | Futures Pair | FX Spot+ Group Code |
---|---|---|
6A | AUD/USD | 5A |
6E | EUR/USD | 5E |
6B | GBP/USD | 5B |
6N | NZD/USD | 5N |
6C | USD/CAD | 5C |
6S | USD/CHF | 5S |
6J | USD/JPY | 5J |
6M | USD/MXN | 5M |
CME FX Spot Leg (non-tradable) | ||
6Z | USD/ZAR | 01 |
CNH | USD/CNH | 01 |
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. Within the FX Spot+ order book, at a given price level, if there are both customer orders and implied orders, then the order priority will be FX Spot+ customer orders first, and FX Spot+ implied orders next.
Implied functionality provides liquidity between FX Spot+, FX Link Spread, and the related underlying FX futures market.
Both Implied IN and Implied OUT orders are available.
- Implied IN: Two customer outright orders, one in futures and one in FX Spot+, create an implied order in the FX Link spread book
- Implied OUT: Customer FX Link spread and outright orders create an implied order in an outright book.
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
Futures and Options style CME Globex Self-Match Prevention (SMP) is available for FX Spot+ instruments. See also the SMP Frequently Asked Questions section.
SMP will cancel based on SMP instruction (i.e. tag 8000-SelfMatchPreventionInstruction) either aggressor or resting orders.
In the event of a self-match:
- Tag 8000 on the aggressing order always determines which order(s) is cancelled.
- When tag 8000 is not present on the aggressing order, the resting order(s) is cancelled.
- Tag 8000 on the resting order(s) does not determine which order(s) is cancelled.
EBS style SMP will not be available for FX Spot+.
In-Flight Mitigation
FX Spot+ products leverage CME Globex-style In-flight mitigation (IFM). IFM is an optional feature on CME Globex that allows client systems submitting cancel/replace messages to prevent overfilling in the event that the original order is filled while the cancel/replace message is being processed. See full details and a video on CME Globex-style IFM.
EBS customers who want to use the IFM Cancel/Replace functionality must explicitly indicate their choice in the first Cancel/Replace messages by including Tag 9768=1.
For example, with IFM enabled, if an order for 10 is filled for 2 prior to being replaced with an order for 5, the new order on the book will only be for 3. With IFM disabled, the new order will go on the book as 5.
CME recommends that EBS client systems submit Order Cancel Replace (tag 35-MsgType=G) messages using tag 9768=Y to avoid overflow of cumulative quantity, since the quantity is in notional value.
Matching Priority
FX Spot+
For FX Spot+ outright trades, the match quantities must be in notional amounts to the dollar in Base Quantities regardless whether the related implied futures contract is inverted to OTC convention or not.
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)
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.
FX Spot+ Implied Quantity Calculations:
- Non-Inverted futures currency pair
- Base Notional = contract unit * contract qty
- Quote Notional = Base Notional * FX Spot+ price
- Non-Inverted FX Spot+ example
- Assume 5 EUR/USD FX futures contracts were resting on the futures CLOB and the notional equivalent implied match occurs on the FX Spot+ CLOB @ $1.23401
- 1 EUR/USD futures contract unit = 125,000 Euro
- FX Spot+ Base Notional = 625,000 EUR (or 125,000 Euro contract unit * 5 contract quantity)
- FX Spot+ Quote Notional = $771,256.25 (or 625,000 Euro * $1.23401)
- Inverted futures currency pair
- Quote Notional = contract unit * contract qty
- Base Notional = Quote Notional / FX Spot+ price
- Inverted FX Spot+ example
- Assume 10 USD/CAD FX futures contracts were resting on the futures CLOB and the notional equivalent implied match occurs on the FX Spot+ CLOB @ C$1.259031
- 1 CAD/USD futures contract unit = 100,000 Canadian dollars
- Quote Notional = 1,000,000 Canadian dollars (or 100,000 Canadian dollars * 10 contract quantity)
- 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.
Cancel on Disconnect
All iLink 3 sessions are Cancel on Disconnect (CoD) mandatory for FX Spot+ instruments on CME Globex. CoD is the auto-elimination of all working orders including GFS orders, when a session stops responding to heartbeat requests without Terminating. Detailed information on CoD is available in Risk Management Services.
FX Spot+ orders are from multiple regions (New York, London, Tokyo). In the event of network failure, CME Globex COD will be invoked; FX Spot+ working orders will be canceled.
For a graceful session disconnect, Cancel on Conclusion is NOT supported for FX Spot+ instruments.
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 table summarizes the supported order types and qualifiers for EBS client systems who want to trade the FX Spot+ products.
EBS Order Types / Qualifiers | FX Spot+ Message Changes |
---|---|
Limit + GFS |
|
Limit + GFS + Display Quantity |
|
Limit + GFS + PD |
|
Limit + GFS + Display Quantity + PD |
|
Limit + FOK |
|
Limit + FAK |
|
Optional Order Types & Order Qualifiers
The following order types and order type qualifiers are optional for EBS client systems who want to trade the FX Spot+ products.
Order Types (tag 40-OrderType)
- OrderType=1 (Market order with protection)
- 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=6 (GTD)
Party Details
The following fields are optional for EBS products, but are required for trading FX Spot+. The recommended values for these fields are as follows:
Field Name | Tag | Recommended Values |
---|---|---|
CustOrderCapacity | 582 | 2 -proprietary accounts of a member firm |
ClearingAccountType | 1816 | 1 - Firm |
CustOrderHandlingInst | 1031 | Y - Electronic |
Customer Account | 1693 (PartyDetailRole=24) | GFID + "FXSPOT"
EBS clients must populate the account values on FX Spot+ orders. If no value in account party role is submitted, the FX Spot+ orders will be rejected. |
Location
Location (tag 9537) is required for trading FX Spot+. The recommended value for Location field is "$CME".
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
Unlike EBS binary trade reporting, which reports the number of fills the aggressor order traded with, the FX Spot+ binary trade reporting will report the consolidated fill as a a single fill entry in tag 1795-NoOrderEvents repeating group.
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 | OrderEventType | 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. EBS client applications will not receive MDP 3.0 Trade Cancel and iLink Trade Cancellation/Trade Correction messages.
New Reject Codes/Texts
FX Spot+ uses the same reject text and error code as CME Globex futures and options.
Not Supported Functionalities
The following functionality will not be supported for FX Spot+:
- Order Mass Action
- MQL
- Latency Floor
- Cancel on-behalf
- Price Discretion Orders
- Display Quantity Orders
MDP 3.0 Market Data
The new FX Spot+ market data channel will use Simple Binary Encoding (SBE) order schema version 13. The following templates will be used on the new FX Spot+ market data channel.
Template Name |
---|
MDInstrumentDefinitionFX63 |
MDIncrementalRefreshBookLongQty64 |
MDIncrementalRefreshTradeSummaryLongQty65 |
MDIncrementalRefreshVolumeLongQty66 |
MDIncrementalRefreshSessionStatisticsLongQty67 |
SnapshotFullRefreshTCPLongQty68 |
FX Spot+ instruments have the following market data considerations.
Message Type | New channel (331) Multicast FX Spot+ using notional templates | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Security Definition | MDInstrumentDefinitionFX63
| ||||||||||||
Security Status | SecurityStatus30
| ||||||||||||
Market by Price | MDIncrementalRefreshBookLongQty64 New Consolidated Customer and Implied Order Books at a given price level
For example:
| ||||||||||||
Trade Summary | MDIncrementalRefreshTradeSummaryLongQty65
Number of Order ID Entries will be set to 0
| ||||||||||||
Electronic Volume | MDIncrementalRefreshVolumeLongQty66
| ||||||||||||
Daily Statistics
| MDIncrementalRefreshSessionStatisticsLongQty67
| ||||||||||||
Session Statistics
| MDIncrementalRefreshSessionStatisticsLongQty67
|
Market data messaging for FX Spot+ products are standard EBS market data except where noted.
Security Definition
The following attributes will be specified in notional terms in the security definition (35=d) message.
- Minimum Order Size
- Minimum Order Increment
More information regarding the Minimum Order Size/Minimum Order Increment is available.
Market States
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.
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.
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+ order book will consolidate customer and implied order books, and support 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).
Customer Order Book Publication | |
---|---|
FX Spot+ | 10-deep |
New Consolidated Order Book Messages
Consolidated customer and implied order book will be disseminated on the new CME FX Spot+ MDP TCP Channel with incremental messages that look like customer book updates.
For TCP MDP channel 331, tag 269-MDEntryType will support the following values on the Market Data Incremental Refresh (tag 35-MsgType =X) message:
- 0=Bid
- 1=Offer
Example - FX Spot+ Book Consolidation
Given
Initial book for FX Spot+ instrument with multiple price levels available from FX Spot+ market and two implied levels generated from customer orders in the FX Link and FX futures markets.
EURUSDZ5031spot | |||
---|---|---|---|
Bid Order Count | Bid Quantity@Price | Ask Quantity@Price | Ask Order Count |
n/a 19 n/a 34 25 | 250000@1.06473 ( i ) 500000@1.06470 675000@1.06470 ( i ) 500000@1.06469 500000@1.06465 | 500000@1.06475 1500000@1.06476 2500000@1.06480 500000@1.06491 250000@1.06550 | 35 55 32 25 14 |
When
Consolidated book with Implied quantity consolidated and prices merged with customer-order book display.
Then
Number of bid order count will be added by 1 to count the implied order quantity as one order.
| EURUSDZ5031 Consolidated display, implied quantity is presented as customer quantity |
| |
---|---|---|---|
Bid Order Count | Bid Quantity@Price | Ask Quantity@Price | Ask Order Count |
1 20 34 25
| 250000@1.06473 1175000@1.06470 500000@1.06469 500000@1.06465 | 500000@1.06475 1500000@1.06476 2500000@1.06480 500000@1.06491 250000@1.06550 | 35 55 32 25 14 |
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 331. The number of Order ID entries will be set to zero, and the following fields will not be included:
- tag 32-LastQty
- tag 37-OrderID
FX Spot+ trades can be with or without aggressors:
- Trade with Aggressors (tag 5797-AggressorSide =1-Buy, 2-Sell) indicates which side is aggressor of trade.
- Trade without Aggressor (tag 5797-AggressorSide=0-No aggressor ) occurs when the event includes customer order participation in a trade with an implied FX Spot+ implied bid or offer.
New Electronic Trade Volume
With this launch, the updates to FX Spot+ electronic volume will be disseminated on the new CME FX Spot+ MDP TCP channel 331.
Currently, electronic volume is suppressed on all EBS TCP and Multicast external channels.
How was your Client Systems Wiki Experience? Submit Feedback
Copyright © 2024 CME Group Inc. All rights reserved.