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.