This topic provides information on CME FX Spot Plus (CME FX Spot+) for futures markets.

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+. CME FX participants are able to expand access to OTC spot liquidity within an open, transparent, central limit order book.

Contents

Overview

The new FX Spot+ instruments are separate from the EBS Spot instruments:

• Support FX Spot+ CLOB order entry based in notional term

• Support implied functionality across each related FX Link spread, FX Spot+, and FX futures

• New CME MDP User Datagram, Protocol (UDP) Channel 

Connectivity and Access Model

FX Spot+ connectivity and access for order entry and market data are accessible via the standard CME network gateways and connectivity options. CME futures customers can choose to access FX Spot+ markets through the MSGW or CGWs, which route through the MSGWs.

Convenience Gateway

CME customers are able to leverage the existing CME CGWs for trading the FX Spot+ instruments.

Market Segment Gateway

MSGW provides the fastest route for order entry access to the FX Spot+ matching engine, only available over CME networks. 

Client system messaging must specify the market segment for order entry routing. Market Segment ID 88 is defined in tag 1300-MarketSegmentID in the MDP Security Definition message for each FX Spot+ instrument.

Order Entry Service Gateway 

CME customers can use an existing Order Entry Service Gateway (OESGW) to register administrative information:

• No new iLink session is required.

• Customers can use the same iLink 3 session session to connect to the OESGW, and submit Party Details Definition Request messages.

For CGW session, use OESGW "6" to pre-register for FX Spot+ market.

• <marketsegment id="6" label="Globex OESGW for all CGWs">

For MSGW session, use OESGW "12" to pre-register for FX Spot+ market.

• <marketsegment id="12" label="Order Entry Service Gateway ">

New CME FX Spot+ MBO/MBP UDP Channel 

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

• Supported over existing CME network gateways and connectivity circuited access.

• FX Spot+ market data disseminated in notional terms.

• The market data info follows futures-style market data except where noted in the MDP 3.0 Market Data section.

The market data configuration information for the CME FX Spot+ channel are added as follows:

FTP: https://www.cmegroup.com

SFTP: sftpng.cmegroup.com

For additional information on accessing the configuration file, please review the MDP 3.0 - Support services page on the Client System Wiki.

Product

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

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.

Contract Size

The FX Spot+ contract size (MDP 3.0 tag 1147-UnitOfMeasureQty) is modified to "1" to reflect the change to notional quantity.

Currently, tag 1147 values are suppressed in the FX Link Spot leg Security Definition.

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 specifies the minimum order size.

Maximum Order Size

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

Minimum Order Cancel Threshold

An order cancel threshold notional value is established and initially 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.

Minimum Price Increment

There are differences in the FX Spot+ minimum tick used in FX Link spread to FX Link spread trades, and the minimum tick in FX Spot+ outright and implied trading. 

• Minimum Tick FX Spot+ traded as Outright/Implied Trading is sent in tag 969-MinPriceIncrement in the MDP 3.0 Security Definition (35=d) message.

• Minimum Tick for FX Spot+ leg from FX Link Spread Trading is added to CME Reference Data API Version 3.

Price Precision

Tag 2349 - PricePrecision is sent in the MDP3 Security Definition (35=d) message to specify price decimal precision for FX Spot+ instruments.

Currently, tag 2349 values are suppressed in the FX Link Spot leg Security Definition.

Display Factor

Tag 9787-DisplayFactor is set to 1 in the MDP3 Security Definition (35=d) message for FX Spot+ instrument to use the real economic price in CME Globex.

Additional Considerations

Notional Quantity

FX Spot+ instruments on CME Globex trade in notional terms. iLink Order entry, MDP 3.0 Market Data, and 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 is switched to be consistent with EBS FX Spot.

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 (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).