This topic provides information on CME FX Spot+ for EBS client systems connecting to CME Group API services on the CME Globex platform.

Effective Sunday, April 13 (trade date Monday April 14), 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

Key Events and Dates

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 CME MDP User Datagram, Protocol (UDP) Channel 

• New Consolidated Order Books on the new CME MDP Transmission Control Protocol (TCP) Channel 

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 Channels

With this launch, there are two new CME FX Spot+ MDP channels:

• New CME FX Spot+ MBO/MBP Real-time Market Data Channel

• New CME FX Spot+ MBP 1 Millisecond Conflated TCP Channel in EBS regions (i.e. New York, London, Tokyo)

MDP 3.0 Channel ID 330

• The new CME FX Spot+ MDP 3.0 channel ID 330 will be supported on CME Smart Stream on GCP 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.

• MDP configuration (i.e. Port, multicast addresses, and source IPs) for channel 330 will be available in the config.xml file located on the CME FTP and SFTP Site.

MDP 3.0 Channel ID 331

• 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.

• MDP configuration (i.e. IPs and Port) for channel 331 will be available through CME Request Center.
  For instructions, see the CME Customer Center > EBS Requests: Market Data Sessions

Product

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

Product Attributes

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. 

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.

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).

Trading Schedules

The FX Spot+ Trading Schedules will be as follow, except the New Zealand Dollar/US Dollar (NZD/USD). 

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.

The following examples illustrate Futures and Options style SMP in a FIFO market.

• FIFO Market with SMP functionality configured across multiple CME Globex Firm IDs

• FIFO Market without Self-Match Event

• FIFO Market with Cancel Resting

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.

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.

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:

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.

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.

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: 

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.

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=99 (GFS)

Party Details

The following fields are optional for trading FX Spot+. If not populated on the FX Spot+ message, the message will be accepted and acknowledged with these default values.

Customer Account, tag 1693 (PartyDetailRole=24),  is required for trading FX Spot+.  If not populated on the FX Spot+ message, the message will be rejected. 

Location

Location (tag 9537) is optional for trading FX Spot+. If not populated on the FX Spot+ message, the message will be accepted and acknowledged with the values as "$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 iLink 3 Execution Report - Trade Outright.

The repeating fields of the NoOrderEvents (tag 1795) repeating group will be populated with the following values.

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 TCP Channel

The new FX Spot+ market data channel 331 will use Simple Binary Encoding (SBE) order schema version 13. The following templates will be used on the new FX Spot+ market data channel 331.

FX Spot+ instruments have the following market data considerations.

Market data messaging for FX Spot+ products are standard EBS market data except where noted.

New GTC and GTD order qualifiers for BrokerTec Markets have the following market data considerations.

Security Definition

The new CME FX Spot+ products have the following market data considerations.

Order Size / Order Increment

The following attributes will be specified in notional terms in the security definition (35=d) message.

• Minimum Order Size (tag 562-MinTradeVol)

• Maximum Order Size (tag 1140 - MaxTradeVol)

• Minimum Order Increment  (tag 1231-MinLotSize & tag 1093-LotType = 5) 

More information regarding the Minimum Order Size/Minimum Order Increment is available.

Maturity

To ensure continuity, all CME FX Spot+ will be set with a maturity (tag 200-MaturityMonthYear) of December 2050 (Format YYYYMM; e.g. 205012), except the U.S. Dollar/South African Rand Spot FX (USD/ZAR). USD/ZAR Spot FX will be set with a maturity of January 2051.

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 

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).

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.

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.

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.

MDP 3.0 UDP Channel

The new FX Spot+ market data channel 330 will use Simple Binary Encoding (SBE) order schema version 13.

For more information regarding the MDP3.0 UDP Channel, see CME FX Spot Plus - Futures.