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

DateDescription
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, 2024Initial publication of topic.

Key Events and Dates

DateMilestone
November 11, 2024

Available in New Release

For the complete release schedule, please see CME FX Spot Plus Launch Schedule in New Release.

March 2025Available 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 InstrumentOrder Entry Quantity ValueOrder Entry AccessibilityMarket DataMarket Data Accessibility
FX Spot+NotionaliLink 3 Convenience Gateway (CGW) New CME MDP TCP ChannelAvailable 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).

MarketChannel IDMarket Data Group Channel Name
FX331FX 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.
TCP MDP channel 331 - 1 Millisecond Conflation Interval

Product

The FX Spot+ tradable instruments will be available for the select currency pairs.

Tradable FX Spot+ Products
Product NameMDP 3.0: tag 55-Symbol
Euro / US Dollar Spot FXEURUSDZ5031
US Dollar / Canadian Dollar Spot FXUSDCADZ5031
British Pound / US Dollar Spot FXGBPUSDZ5031
Australian Dollar / US Dollar Spot FXAUDUSDZ5031
US Dollar / Japanese Yen Spot FXUSDJPYZ5031
US Dollar/Swiss Franc Spot FXUSDCHFZ5031
New Zealand Dollar/US Dollar Spot FXNZDUSDZ5031
US Dollar / Mexican Peso Spot FXUSDMXNZ5031

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 CodeFX Spot+ SymbolContract SizeInverted Futures ContractMin Order SizeMin Order IncrementMax Order SizeMin Order Cancel ThresholdMin Tick FX Spot+ Traded as Outright / ImpliedPrice Example Outright / Implied
EURUSDEURUSDZ50311 EURNo250,000125,0005,000,000125,0000.000011.09481
GBPUSDGBPUSDZ50311 GBPNo250,00062,5005,000,00062,5000.000011.37251
AUDUSDAUDUSDZ50311 AUDNo200,000100,0005,000,000100,0000.000010.72161
NZDUSDNZDUSDZ50311 NZDNo200,000100,0003,000,000100,0000.000010.68963
USDCADUSDCADZ50311 USDYes200,000100,0005,000,000100,0000.000011.26551
USDJPYUSDJPYZ50311 USDYes200,000100,0005,000,000100,0000.001109.688
USDCHFUSDCHFZ50311 USDYes250,000250,0003,000,000250,0000.000010.91237
USDMXNUSDMXNZ50311 USDYes100,00050,0003,000,00050,0000.000513.3919
CME FX Spot Leg (non-tradable)
USDZARUSDZARF51021 USDYes50,00050,0003,000,00050,0000.000118.4445
USDCNHUSDCNHF51021 USDNo100,000100,0003,000,000100,0000.00017.1471

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 PairInverted/Non-InvertedTag 15-CurrencyTag 120-Settle Currency
EUR/USDNon-InvertedEURUSD
GBP/USDNon-InvertedGBPUSD
AUD/USDNon-InvertedAUDUSD
NZD/USDNon-InvertedNZDUSD
USD/JPYInvertedUSDJPY
USD/CADInvertedUSDCAD
USD/CHFInvertedUSDCHF
USD/MXNInverted USDMXN
CME FX Spot Leg (non-tradable)
USD/ZARInvertedUSDZAR
USD/CNHNon-InvertedUSDCNH

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 CodeFutures PairFX Spot+ Group Code
6AAUD/USD5A
6EEUR/USD5E
6BGBP/USD5B
6NNZD/USD5N
6CUSD/CAD5C
6SUSD/CHF5S
6JUSD/JPY5J
6MUSD/MXN5M
CME FX Spot Leg (non-tradable)
6ZUSD/ZAR01
CNHUSD/CNH01

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
MARKETSTATETIMETIME ZONE CITY
FX Spot+Open17:00Chicago
Close16:00Chicago

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)
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.

FX Spot+ Implied Quantity Calculations:  

  1. Non-Inverted futures currency pair
    1. Base Notional = contract unit * contract qty
    2. Quote Notional = Base Notional * FX Spot+ price
    3. Non-Inverted FX Spot+ example
      1. 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 
      2. 1 EUR/USD futures contract unit = 125,000 Euro
      3. FX Spot+ Base Notional = 625,000 EUR (or 125,000 Euro contract unit * 5 contract quantity)
      4. FX Spot+ Quote Notional = $771,256.25 (or 625,000 Euro * $1.23401) 
  2. Inverted futures currency pair
    1. Quote Notional = contract unit * contract qty
    2. Base Notional = Quote Notional / FX Spot+ price
    3. Inverted FX Spot+ example
      1. 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
      2. 1 CAD/USD futures contract unit = 100,000 Canadian dollars
      3. Quote Notional  = 1,000,000 Canadian dollars (or 100,000 Canadian dollars * 10 contract quantity) 
      4. 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 / QualifiersFX Spot+ Message Changes
Limit + GFS
  • Supported, but FX Spot+ GFS orders will have the same behavior as a DAY order (i.e. eliminate remaining qty after the market close each day)
    • Allow tag 59-TimeInForce=99 (GFS) in new order or order modifies.
  • Returns value sent by client systems in tag 59 TimeInForce=99 (GFS).
  • EBS FX Spot+ clients would need to use GT qualifiers for order to stay active through the week.
Limit + GFS + Display Quantity
  • Tag 1138-Display Quantity (DQ) order qualifier is not supported for all FX Spot+ instruments.  
  • FX Spot+ orders submitted with tag 1138 instructions will be rejected.  CME Globex will send an Execution Report-Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message with tag 103-OrdRejReason = 1013  and tag 58-Text = Invalid order qualifier 'Order's group: XX is ineligible for Display Quantity Order'.
Limit + GFS + PD
  • Tag 845-Price Discretion (PD) is not supported for all FX Spot+ instruments. 
  • PD should be set as null, and will be ignored if submitted on the FX Spot+ orders. Tag 845-DiscretionPrice will NOT be returned on execution report, even if customer submit messages with tag 845.
Limit + GFS + Display Quantity + PD
  • DQ and PD are not supported for all FX Spot+ instruments.
    • If DQ and PD orders are submitted to FX Spot+ instruments, these orders will be rejected.  
    • CME Globex will send an Execution Report-Reject (tag 35-MsgType=8, tag 39-OrdStatus=8) message with tag 103-OrdRejReason = 1013  and tag 58-Text = Required Field Missing 'Unsupported value for tag TIME_IN_FORCE(59): '4''.
Limit + FOK
  • The Fill Or Kill (FOK) order qualifier is not supported for all FX Spot+ instruments.
    • If FOK orders (tag 59-TimeInForce=4) are submitted to FX Spot+ instruments, these orders will be rejected.  
    • CME Globex will send a Business Reject (tag 35-MsgType=j) message with  tag 380-BusineeRejectReason=5 and tag 58-Text = Required Field Missing 'Unsupported value for tag TIME_IN_FORCE(59): '4''
  • EBS FX Spot+ clients can submit FOK order by using the FAK (tag 59-TimeInForcequalifier=3) order qualifier and setting the minimum quantity (tag 110-MinQty) to the total order quantity. 
Limit + FAK
  • No changes to Fill and Kill (FAK) orders.

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 NameTagRecommended Values
CustOrderCapacity5822 -proprietary accounts of a member firm
ClearingAccountType18161 - Firm
CustOrderHandlingInst1031Y - Electronic
Customer Account1693 (PartyDetailRole=24)
GFID + "FXSPOT"
  • GFID value as in  Executing Firm (tag 1693- PartyDetailRole=1)
  • example: when GFID="ABC2" then Account="ABC2FXSPOT"
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: 

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.

  • 4=Partially Filled
  • 5=Filled

→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 TypeNew channel (331) Multicast
FX Spot+ using notional templates
Security DefinitionMDInstrumentDefinitionFX63
  • EBS style Instrument definition, key trading parameters
  • Trade Session List is part of Security definition provides scheduled Trade Date, Settlement Date
Security Status SecurityStatus30
Market by Price

MDIncrementalRefreshBookLongQty64

New Consolidated Customer and Implied Order Books at a given price level

  • If implied order quantity is added to the price level, tag 346 NumberOfOrders value will be increased by 1 to count the implied order quantity as 1 order.

For example: 

  • EURUSDZ5031 - FX Spot+ contract for EUR/USD currency pair
  • 6EZ3 - FX futures contract for EUR/USD December 2023
  • 6E:XF:EURUSD:H4 - FX Link Spread contract between 6EZ3 futures and  FX Spot+ contract

Customer Orders

Implied Orders

CME FX Spot+ MDP TCP Channel 331

Resting Fut order

6EZ3

  • Customer Bid 2@10686.0

  - 

New FX Link order is accepted

6E:XF:EURUSD:H4

  • Customer Offer 6@38.9

Implied FX Spot+ Bid order will be created 

EURUSDZ5031 

  • Implied Bid 250000@1.06471(i)

MDIncrementalRefreshBookLongQty64

  • 279=New
  • 269=Bid (Customer Book)
  • Instr=EURUSDZ5031
  • 271=250000
  • 346=1
  • 270=1.06471
  • 1023=1

New FX Spot+ bid order is accepted 

EURUSDZ5031 

  • Customer bid 250000@1.06471 
  • Will join implied qty at price level 1

 

 

MDIncrementalRefreshBookLongQty64

  • 279=Update
  • 269=Bid (Customer Book)
  • Instr=EURUSDZ5031
  • 271=500000 (consolidated quantiy)
  • 346=2 (number of orders:  1 customer order + 1 implied order)
  • 270=1.06471
  • 1023=1


Trade SummaryMDIncrementalRefreshTradeSummaryLongQty65
  • Trade price
  • Traded quantity 
  • Number of orders
  • Aggressor side
  • Trade reference id

Number of Order ID Entries will be set to 0

  • OrderID = not sent
  • LastQty = not sent
Electronic Volume
 

MDIncrementalRefreshVolumeLongQty66

  • Notional qty template
  • New cumulative volume of the FX Spot+ instruments for current Trade Date
  • Volume update when FX Spot+ traded as outright, implied, or spread leg (i.e. FX Link to FX Link fills)
  • Reset at the start of Trade Date

    Clients can receive the electronic volume message without FX Spot+ order  book updates or trades.

Daily Statistics 
  • Settlement
  • Fixing
  • Cleared Volume
  • Open Interest

MDIncrementalRefreshSessionStatisticsLongQty67

  • Not generated
Session Statistics
  • Open Price
  • IOP
  • Highest Bid
  • Lowest Ask
  • High Trade
  • Low Trade

MDIncrementalRefreshSessionStatisticsLongQty67

  • Not generated

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

  1. No opening price match calculation will occur for FX Spot+, with new orders being accepted only after the Open.

Continuous Trading, Implieds and Matching 

  1. After the opening matches occur and ongoing as the market remains open.
  2. Implieds are created within the FX futures, FX Spot+ and FX Link spread CLOBs.
    1. 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 

TagOpenPause

Close

(Not-Final)

Close

(Final)

Implied Matching status ON/OFF
StateDescriptionStart 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 allowedNot 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 TransactTimeXXXXX
75 TradeDateXXXXX
1151 SecurityGroup5E5E5E5E5E
6937 Asset----EURUSD 
48 SecurityID-----
326 SecurityTradingStatus17= Ready to trade2 = Trading halt18= Not available for trading4 = Close103= N/A
327 HaltReason0 (schedule)1 (GCC)0 (schedule)1 (GCC)0 (schedule)1 (GCC)0 (schedule)1 (GCC)0 (schedule)1 (GCC)
1174 SecurityTradingEvent0 (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 CountBid Quantity@PriceAsk Quantity@PriceAsk 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 CountBid Quantity@PriceAsk Quantity@PriceAsk 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.





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