Drop Copy Service for iLink - EBS Market

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CME Group supports the CME Drop Copy service for EBS Market. The CME Drop Copy service, a FIX ASCII API for real-time risk management, publishes copies of CME iLink order acknowledgment and trade messages. 

Customers leveraging the CME Drop Copy service to monitor trading activity in the EBS Market on CME Globex must also be aware of the EBS-specific functionality described in this topic. 

See: iLink 3 Binary Order Entry - EBS Market on CME Globex

Drop Copy is not available for EBS Direct.

Contents

CME Drop Copy for EBS Market

Current CME Group, EBS Market customers developing Drop Copy applications to sequence Execution Report and Acknowledgment messages from target sessions trading EBS Market products on CME Globex must be aware of the topics described below.

CME Drop Copy Architecture

See Drop Copy Architecture for details about the session models featuring the Drop Copy Convenience Gateway (CGW) and Market Segment Gateway (MSGW) models.

An SFTP site (sftpng.cmegroup.com) is used to disseminate the Drop Copy 4.0 MSGW configuration information, allowing client systems to receive the list of all market segments and MSGW IPs for all environments.

Customers may connect directly to all Market Segment Gateways using the same Session ID. Customers can use tag 1300-MarketSegmentID from the market data Security Definition (tag 35-MsgType=d) message to specify the market segment for the products they want to trade on CME Globex. MSGW customers can leverage tag 57-TargetSubID to specify the market segment of the instrument. Tag 57-TargetSubID contains the tag 1300-MarketSegmentID value.

Both EBS Drop Copy CGW and MSGW sessions use FIX ASCII messaging protocol.

Market Access

The CME Drop Copy service for EBS Market on CME Globex is available through dedicated Drop Copy Convenience Gateways (CGW) and Drop Copy Market Segment Gateways (MSGW). Customers can choose to sequence Drop Copy messages from the EBS Market through the MSGWs directly, or the CGW, which will route customer orders to the appropriate MSGWs.

  • Drop Copy Convenience Gateway (CGW) target session - consumers manage sequence streams from Convenience Gateway iLink source sessions across all market segments.

  • Drop Copy Market Segment Gateway target session - consumers manage sequence streams from Market Segment Gateway iLink source sessions per unique market segment.

EBS Market trades on one of the two distinct regions. Each product is available for trading in a single location.  

Products

Primary Region

Backup Region

MSGW

CGW

Products

Primary Region

Backup Region

MSGW

CGW

New York Spot

New York Metals

Equinix Secaucus NY5

Equinix Slough  LD4.2

London Spot

London NDFs

Equinix Slough LD4.2

Equinix Secaucus NY5

N/A

Tokyo TY3

N/A


The Drop Copy MSGW and Drop Copy CGW is physically located in the Primary Region for production and the Backup Region for Disaster Recovery.

  • The New York and London regions each support both Drop Copy MSGW and CGW, while the Tokyo location only supports Drop Copy CGW

  • The New York and London Drop Copy CGWs route orders to either New York or London

  • The Tokyo Drop Copy CGW routes orders to either New York or London

Clients leveraging Drop Copy for EBS Market must establish separate Drop Copy groups per region. Each Drop Copy group can only consume sequence streams from one region.

EBS Market Modes

The CME Drop Copy service supports EBS Market messaging, which includes Central Limit Order Book (CLOB) and eFix Matching, as available on Order Entry APIs. 

Trading Mode

Products

Market Structure

Drop Copy Service APIs

Trading Mode

Products

Market Structure

Drop Copy Service APIs

EBS Market CLOB

New York Spot

New York Metals

London Spot

London NDFs

Market by Price 

Central Limit Order Book



Execution reports and Acknowledgment messages published

eFix Matching

New York Spot

London 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.

Execution reports and Acknowledgment messages published

EBS Market Segments

New Market Segment IDs for EBS Market is defined for each EBS product in tag 1300-MarketSegmentID in the MDP 3.0 - Security Definition (tag 35-MsgType=d) message.

Market Segment ID

Market Segment Description

Product

Market Segment ID

Market Segment Description

Product

36

EBS FX Spot and Metals

New York Spot

New York Metals

38

EBS FX Spot and NDFs

London Spot

London NDFs

Summary of Drop Copy Message Payload Considerations

The following sections contain the tag-level client system messaging impacts that must be accommodated in order to sequence Drop Copy message payloads from source sessions trading EBS Market products on CME Globex.

This section details the Execution Report message impacts.

Current CME Group and EBS customers developing Drop Copy applications to sequence execution reports and acknowledgment messages for EBS products on the CME Globex platform must be aware of the EBS product specific features described below.  

FX markets are usually quoted and market data disseminated in notional terms.

  • In all Execution Report - Fill messages the notional values are calculated as follows:

    • Base Currency Notional (tag 381) = LastQty (tag 32) 

    • Counter Currency Notional  (tag 1056) = LastQty (tag 32) x LastPx  (tag 31)

    • Contra Base Currency Notional (tag 5542) = OrderEventQty (tag 1800)

    • Contra Counter Currency Notional (tag 5971) = OrderEventQty (tag 1800) x OrderEventPrice (tag 1799) 

  • All of these tags in the following Execution Report messages contain notional values instead of lot size:

Tag

Execution Report Message

tag 38-OrderQty

tag 110-MinQty

tag 1138-DisplayQty

tag 14-CumQty 

tag 151-LeavesQty

tag 32-LastQty

Execution Report Reject

Execution Report New

Execution Report Modify

Execution Report Pending Replace

Execution Report Cancel

Execution Report Pending Cancel

Execution Report Elimination

Execution Report Trade Outright

The following fields in the Execution Report Trade Outright - Fill message support Spot FX and NDFs:

  • GrossTradeAmt (tag 381)

  • CalculatedCcyLastQty (tag 1056)

  • ContraGrossTradeAmt (tag 5542) in NoOrderEvents (tag 1795) repeating group

  • ContraCalculatedCcyLastQty (tag 5971) in NoOrderEvents (tag 1795) repeating group

  • SettlementDate (tag 64)

  • MaturityDate (tag 541)

The following tags support notional amounts:

Tag

Field Name

FIX Type

Required

Value

Description

381

GrossTradeAmt

Int(20)

N


Total amount traded (in notional) in base currency for the Spot

1056

CalculatedCcyLastQty

Qty(9)

N


Total amount traded (in notional) in counter currency for the Spot

The following tags for notional amounts are sent in the NoOrderEvents (tag 1795) repeating group:

Tag 

Field Name

FIX Type

Required

Value

Description

→5542

ContraGrossTradeAmt

Int(20)

N


Amount traded (in notional) in base currency for the Spot with this counterparty

→5971

ContraCalculatedCcyLastQty

Qty(9)

N


Amount traded (in notional) in counter currency for the Spot with this counterparty

The following tags in the Execution Report Trade Outright - Fill message support date values for Spot FX and NDFs:

Tag

Field Name

FIX Type

Required

Value

Description

64

SettlementDate

LocalMktDate(8)

N


Specific date of trade settlement

541

MaturityDate

LocalMktDate(8)

N


Fixing date

Price Discretion (PD) allows an order to rest and automatically improve its Limit price for matching opportunity while maintaining a given visible Limit price. 

Tag 845-DiscretionPrice is sent in the following messages to support Price Discretion:

  • Execution Report New

  • Execution Report Reject

  • Execution Report Modify

  • Execution Report Cancel

  • Execution Report Elimination

  • Execution Report Trade Outright

  • Execution Report Status 

Tag

Field Name

FIX Type

Required

Value

Description

845

DiscretionPrice

Price(20)

N


The presence of DiscretionPrice on an order indicates that the trader wishes to display one price but will accept trades at another price

Applicable only for EBS

The TimeInForce=99 (GFS) order qualifier can be included in the following Drop Copy Market Segment (MSGW) message payloads.

  • Execution Report New

  • Execution Report Reject

  • Execution Report Elimination

  • Execution Report Trade Outright

  • Execution Report Modify

  • Execution Report Status

  • Execution Report Cancel

Tag

Name

FIX Type

Required

Enumeration

Description

59

TimeInForce

String(2)

N

TimeInForce=0 (Day)

TimeInForce=1 (GTC)

TimeInForce=3 (FAK)

TimeInForce=4 (FOK)

TimeInForce=6 (GTD)

TimeInForce=99 (GFS)

Specifies how long the order remains in effect.
If not present, DAY order is the default.

FOK is only for BrokerTec and EBS

GFS is only for EBS



Good for Session (GFS) order qualifier is supported for all EBS instruments. If GFS orders (tag 59-TimeInForce=99) are submitted to CME Globex, these orders will expire at the end of the trading session depending upon which instruments are subject to daily open/close or weekly open/close.

This section features message types reflected in the Drop Copy message payload that support Minimum Quote Life (MQL) messaging.

The CME Drop Copy service will reflect the Execution Report Pending Cancel message sent in response to an Order Cancel Request for an FX product subject to Minimum Quote Life to acknowledge the cancel request and to confirm the order will be cancelled at the end of the MQL time limit.

At the end of the MQL time limit, Drop Copy message payload will reflect the Execution Report Cancel message CME Globex sends to the client system confirming order cancellation.

If the resting order on the book could not be cancelled at the end of the time limit, Drop Copy will publish an Order Cancel Reject in the payload message. 

The Execution Report Pending Cancel message identifiers refer to the incoming Order Cancel Request message—not those from the resting order. Any Execution Report published after pending cancel but before cancellation will contain the identifiers from the original order.

CME Drop Copy will reflect the Execution Report Pending Replace message sent in response to an Order Cancel Replace request for an FX product subject to Minimum Quote Life to acknowledge the cancel replace request and to confirm the order will be evaluated for replacement at the end of the MQL time limit.

If at the end of the MQL time limit, the order is successfully replaced, the Drop Copy message payload will reflect the Execution Report Cancel Replace message CME Globex sends to the client system confirming order replacement.

If the client receives an Order Cancel Reject, the resting order on the book could not be replaced at the end of the time limit.

The Execution Report Pending 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.

EBS on CME Globex supports reporting of the these MiFID tags in the following application messages on the Drop Copy message payload:

  • Execution Report - Reject

  • Execution Report - New

  • Execution Report - Modify

  • Execution Report – Cancel

  • Execution Report – Elimination

  • Execution Report - Status

  • Execution Report - Trade Outright

  • Execution Report - Trade Spread 

  • Execution Report - Trade Addendum Outright

  • Execution Report - Trade Addendum Spread 

Tag

Field Name

FIX Type

Req

Description

5290

Executor

Int(20)

N

Will be populated with a short code for the person or algo identified in FIX tag 5392 which will be mapped to National ID or Algo at reporting time

Applicable for EU BrokerTec and EBS MiFID

6581

BeneficiaryCode

Int(20)

N

Represents the Investment Decision Maker Short Code; reflects value submitted in tag 36023-IDMShortCode

9373

LiquidityProvision

Boolean(1)

N

Field added to capture if an order was submitted for market making obligation or not

Applicable only for EU BrokerTec and EBS MiFID

The following MiFID tags are not supported in EBS Market:

  • ShortSaleType – Tag 5409

  • NoTrdRegPublications – Tag 2668

    • TrdRegPublicationType – Tag 2669

    • TrdRegPublicationReason – Tag 2670

Orders for e-FIX instruments will be sent as Good For Session (GFS) limit orders with price = 0 and executed at the fixing price and published on CME Drop Copy payload message with two Execution Report - Trade Outright messages having different ExecID (tag 17) values. 

  • The first Execution Report - Trade Outright will be sent with price = 0 and no counterparty indicates that the order is matched and the trade is for fixing price.

    • No Counterparty details published in tag 1802-OrderEventText; the ticket has yet to be generated. 

  • The second Execution Report -Trade Outright will be sent after the Fixing price is published and assigned to the trade.

    • Counterparty details will be populated under Tag 1802-OrderEventText

Refer to the CME Reference Data API Version 3 for fixing benchmarks and times.

eFix Matching instruments will be available for the same region as the underlying FX Spot instrument. Clients must send eFix Matching orders before the scheduled fixing time.

After market close, shortly before the scheduled fixing time, all unmatched eFix Matching orders submitted will be eliminated by CME Globex.

This table summarizes the supported order types for eFix Matching instruments:

EBS Summary

Description

Available Combinations

Order Types(tag 40-OrdType)

Limit

Limit + GFS

Note - All other combinations will be rejected

Duration Qualifiers (tag 59-TimeInForce)

Good for Session (GFS)

eFix Matching Message Sequence  

See an example eFix Matching order entry and trade messaging scenario details.

  • Customer enters eFix Matching order

  • If two customers are submitting an order for buy and sell, then CME Drop Copy service will publish the first Execution Report Trade Outright on its message payload with:

    • TradeType (tag 828)=1000 (Trade at Fixing Price )

    • BenchmarkPrice (tag 6262)=0 

    • No Counterparty details published in tag 1802-OrderEventText; the ticket has yet to be generated. 

  • Once the eFix Matching price is published, price adjustment is done for the given eFix Matching instrument, then the second Execution Report Trade Outright populated with the fix price reflected on the Drop Copy message payload.

    • TradeType (tag 828)=1000 (Trade at Fixing price ) 

    • BenchmarkPrice (tag 6262) for Fixing price

    • ExecRestatementReason (tag 378)=8 (Exchange)

    • Counterparty details will be populated under tag 1802-OrderEventText

The following tags in the Execution Report Trade Outright - Fill message support eFix Matching and will be reflected in the CME Drop Copy payload message.

Tag

Field Name

FIX Type

Required

Value

Description

828

TradeType

Int(6)

N

1000=Trade at Fixing

Represents a trade at fixing price

378

ExecRestatementReason

Int(1)

N

ExecRestatementReason=8 (Exchange) 

Will be present when trade at fixing is assigned fixing price

6262

BenchmarkPrice

Price(20)

N


The price assigned to an eFix Matching which is determined by an automated set market mid-price from a third party market data feed. The Fixing Price will be distributed as soon as practicable after the Fixing Time



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