The EBS Size Priority match algorithm is an enhanced matching logic that prioritizes orders with shown quantities above a defined size priority threshold for matching ahead of smaller orders at a given price level.

Potential benefits and considerations include:

• Increased crossing of the spread due to greater TOB inventory and more probable higher fill rates, in turn attracting more latent interest

• Improved market data via the increased inventory, improved inputs, and expected increased trade events

• Limited risk of increased price signaling if adopted in scale by a cross-section of counterparties

• Increased Top of Book (TOB) inventory and overall book depth can support a lower minimum price increment with inventory available at additional price points

This matching algorithm supports TOP order allocation, where priority is first given to the TOP order regardless of whether its remaining quantity is greater than the size priority minimum quantity or not.

The Size Priority matching algorithm prioritizes orders with shown quantities above a defined size priority threshold for matching ahead of smaller orders at a given price level.

• The code ‘P’ for the Size Priority matching algorithm is sent via tag 1142-MatchAlgorithm of the MDP 3.0 - Security Definition (tag 35-MsgType=d) message and CME Reference Data API Version 3

• The TOP parameter (topEligible) is available in CME Reference Data API for the Size Priority matching algorithm with TOP.

• The size priority threshold (sizePriorityQuantity) is included in the Security Definition (35=d) message CME Reference Data API.

• The iLink tag 638-Priority Indicator indicates if the order qualifies for Large Order Size (LOS) prioritization when it rests on the book.

Detailed information on which EBS products use the Size Priority Matching algorithm are available in the CME Globex Reference Sheet.

Contents

Supported Order Types/Order Qualifiers

1. Size Priority Matching only applies to resting orders. 

2. Size Priority Matching only applies to the Good For Session (GFS) order type.

3. Fill and Kill (FAK) / Fill or Kill (FOK) orders are impacted only in terms of the priority of the resting orders which they match against.  

4. Size Priority Matching is applicable to Price Discretion orders, as described below

5. Size Priority Matching is available for Display Quantity orders, as described below

Size Priority Match Algorithm Process

To qualify for Large Order Size prioritization, the original resting quantity of each order must be greater than or equal to the Large Order Size minimum quantity (configured by product). Orders fill in the following order: 

• by price

  • within each price

    • TOP orders fill (ascending), then

    • LOS orders fill in FIFO order by timestamp (ascending), then

    • Standard orders fill in FIFO order by timestamp (ascending)

Size Priority Retention

Resting Orders

Following a size priority match, if a resting order initially received Size Prioritization and then receives a partial fill that brings it below the threshold, that order retains the LOS prioritization, as it is based on the original resting quantity, and not on the current order size. Therefore, the Priority Indicator will remain for the life of the order unless the quantity of the order is modified.

Order modifications must be re-assessed for LOS Prioritization based on the new resting shown quantity in the order book after any new matches that occur after the modification is applied.

Aggressing Orders 

If an aggressing order initially received LOS prioritization and then receives a partial fill that brings it below the threshold, that order loses LOS prioritization.

Example: Size Priority - Order Matching

Large Order Size Min Qty = 7M

EBS Size Priority Matching Attributes

This table lists all the new size priority fields:

iLink Order Entry

• A FIX tag 638-PriorityIndicator has been added to the Execution Reports to indicate whether an incoming New Order/Cancel-Replace entered the book or subsequently rests on the book with:

  • Tag 638=100 (Large Order Size Priority)

  • Tag 638=101 (Standard Order Size Priority)

• A Fill Reason ‘24’ has been added to the existing tag 1622-FillYieldType to represent the new Size Priority match algorithm in the ExecutionReportTradeOutright message.

MDP 3.0 Market Data

• A matching algorithm value 'P=Size Priority' is added to the existing tag 1142-MatchAlgorithm of the EBS Security Definition (35=d) message

• Values added to the existing repeating group in the Security Definition (35=D) message include:

  • Tag 1093-LotType=6

  • Tag 1231-MinLotSize - with LotType=6 will contain the minimum order size quantity that improves order priority for execution

EBS Size Priority Matching Examples

This section contains examples that illustrate EBS LOS matching scenarios.

Size Priority without TOP