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

CME FX Spot+ is a 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 are able to access CME FX futures liquidity in OTC spot terms within an open, transparent, central limit order book.

Contents

Overview

The FX Spot+ instruments are 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 are 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 are 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 are 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

There are two CME FX Spot+ MDP channels:

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

• 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 CME FX Spot+ MDP 3.0 channel ID 330 is 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 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 are 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 is 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 follows 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 is available through CME Request Center.
  For instructions, see the CME Customer Center > EBS Requests: Market Data Sessions

Product

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

Product Attributes

Symbol

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) are specified in notional terms.

An FX Spot+ order or order modification submitted with a quantity less than the minimum order size are rejected with a reason code indicating the required minimum order size was not met, and specify the minimum order size.

Maximum Order Size

The FX Spot+ Maximum Order Size (MDP 3.0 tag1140-MaxTradeVol) vary by product, but are set lower than the EBS Spot Maximum Order Sizes.

Minimum Order Cancel Threshold

A new order cancel threshold notional value is 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 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

The values for FX Spot+ tag 15-Currency and tag 120-SettlCurrency in the MDP 3.0 Security Definition (35=d) message are 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 are as follow, except the New Zealand Dollar/US Dollar (NZD/USD):

FX Spot+ Matching

Match Algorithm

A FIFO algorithm is 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 is 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 cancels 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 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 is only for 3. With IFM disabled, the new order goes 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 are 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 Fill Quantity and Remaining Quantity are disseminated in notional terms, not in contracts. 

• Fill Quantity (tag 32-LastQty) is always rounded UP on fills to the integer amount.

• Because of the rounding up on Fill Quantity, the Remaining Quantity (tag 115-LeavesQty) is rounded down from each fill.

FX Spot+ Fill execution reports 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 also include trade date/value (settlement) date information.

The Remaining Quantity (tag 115-LeavesQty) is calculated based upon the rounded notional quantity on the Fill Quantity (tag 32-LastQty).

For example:

Given:

A 10 lot USD/CAD FX Link order and a 700K FX Spot+ order @ 1.30001 generate an implied order for 9 lots in the CAD FX Futures order book.

When:

Aggressing for 2 lots hits the CAD FX Futures order book.

Then:

The FX Spot+ implied quantity traded would be calculated as (2*100,000)/1.30001=153,844.97 and would be rounded up to 153,845.

FX Spot+ Execution Report:

• LastQty (tag 32) = 153,845

• LeaveQty (tag 115)=546,155 (700,000 - 153,845)

• GrossTradeAmt (tag381)=153,844.97

• CalculatedCcyLastQty (tag 1056) =200,000

Cancel on Disconnect

All iLink 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 is invoked; FX Spot+ working orders are 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 that 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 is 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 is rejected. 

Location

Location (tag 9537) is optional for trading FX Spot+. If not populated on the FX Spot+ message, the message is accepted and acknowledged with the values as "$CME".

Binary Trade Reporting

To reconcile the order entry iLink trade messages to the corresponding STP Trade Capture Report messages, FX Spot+ trades support binary trade reporting (i.e., child trades) on iLink Execution Report - Trade Outright.

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