EBS Conditional Price Increments

Owned by Space Sync for Confluence
yesterday at 11:11 AM
14 min read

This topic describes the EBS Market on CME Globex Conditional Price Increments (CPI) for select Spot instruments. CPI enables submission of  "sub-pip" prices in applicable EBS products subject to pre-defined conditions and requirements being satisfied as orders arrive at the matching engine.

EBS CPI is beneficial in that it maintains primary order placement and liquidity consolidation at established EBS Market price points and conditionally allows flexibility when improving Top of Book (TOB), which enhances liquidity and market data quality. 

Orders using the CPI sub-pip price increments may be subject to a different iLink 3 Binary Order Entry - EBS Market on CME Globex - Minimum Quote Life (MQL) duration, which is defined in the new tag 37739-AltMinQuoteLfe in the MDP 3.0 - Security Definition.

The price dissemination precision (MDP 3.0 Security Definition, tag 2349-PricePrecision) for the EBS CPI products is increased from 5 to 6.



Contents

Product Availability

Conditional Price Increments is available for the following EBS products. 

Product Name

Product Code: MDP 3.0: Tag 6937-Asset

Group Code: iLink 3/MDP 3.0: Tag 1151-Security Group

Market Data Channel

Market Identifier Code (MIC Code)

Market Segment ID

Product Name

Product Code: MDP 3.0: Tag 6937-Asset

Group Code: iLink 3/MDP 3.0: Tag 1151-Security Group

Market Data Channel

Market Identifier Code (MIC Code)

Market Segment ID

FXSPOT.AUD/USD

6AUS

6SUS

  • EBSULTRA - 518

  • EBSULTRA - 528

  • EBSSCREENED - 532

  • EBSUNSCREENED20 - 545

EBSC

36

FXSPOT.EUR/USD

6EUS

6SUS

FXNDF.USD/TWD.1M

TWD1M

RNDF

EBSULTRA - 530
EBSSCREENED – 534

XEBS

38

FXNDF.USD/TWD.1M_SEF

TWD1MS

SNDF

EBSULTRA - 531
EBSSCREENED – 535

NEXS


Alternate Globex Minimum Tick

With CPI, CME Globex introduced the new Alternate Globex Minimum Tick in addition to the current Standard Globex Minimum Tick for EBS Market products. The Standard Globex Minimum Tick must be divisible by the Alternate Globex Minimum Tick. 

For example:  Standard Globex Minimum Tick = 0.00005, Alternate Globex Minimum Tick =0.000025

  • Standard Globex Minimum Tick is always used for order submission.

  • Alternate Globex Minimum Tick is only available for order entry when the following conditions are met:

No.

Conditions

Client Use

Example

No.

Conditions

Client Use

Example

1

Max Bid/Ask Constraint

Maximum Bid/Ask spread for which Alternate Globex Minimum Tick orders are accepted (Sub Tick orders are rejected if Bid/Ask spread is greater than this value).

TOB spread in 
EUR/USD must be <= 1.5 pip

2

Alternate Globex Tick Constraint

Minimum price offset better than the best Standard Globex Minimum Tick order for an order to be allowed into the market.

Improve best half or full 
pip Bid/Ask by at least 0.2 pips.



An Alternate Globex Tick of Null is interpreted as not allowing Alternate Globex Minimum Tick. Any values for Alternate Globex Tick Constraint, CLOB Spread Constraint, and Alternate Minimum Quote Life should be ignored.



EBS CPI has no impacts to iLink 3 Binary Order Entry - EBS Market on CME Globex - Latency Floor.

Minimum Quote Life Change

There is a different iLink 3 Binary Order Entry - EBS Market on CME Globex - Minimum Quote Life (MQL) duration for orders that use the Alternate Globex Minimum Tick, as opposed to orders that have the Standard Globex Minimum Tick.   

For example:  100 ms MQL on sub pip orders

  1. Standard Globex Minimum Tick = 0.00005 (Current)

  2. Minimum Quote Life = 20 ms  (Current)

  3. Alternate Globex Minimum Tick = 0.000025 (New)

  4. Alternate Minimum Quote Life = 100 ms (New)

The MQL timer is defined for each eligible product individually and communicated via the MDP 3 Security Definition and Reference Data API v3.

EBS CPI Example Values

Standard Globex Minimum Tick

  • Current product tick value.

  • Example:

    • Standard Globex Minimum Tick = 0.00005

Alternate Globex Minimum Tick (NEW)

  • A tick value that is more granular relative to the existing Standard Globex Minimum Tick.

    • Standard Globex Minimum Tick = 0.00005

    • Alternate Globex Minimum Tick= 0.000025

Max Bid/Ask Constraint (NEW)

  • The Max Bid/Ask Constraint value is an input into a process that compares the best resting limit order bid/ask spread value relative to this product setting.

    • If the Max Bid/Ask value result > Max Bid/Ask Constraint (i.e., bid/ask spread is too wide), then the incoming order cannot use an Alternate Globex Minimum Tick.

    • If the Max Bid/Ask Constraint result < or = Max Bid/Ask Constraint (i.e., bid/ask spread is sufficiently narrow), then the incoming order can potentially use an Alternate Globex Minimum Tick provided it passes a subsequent - Alternate Globex Minimum Tick Constraint process.

  • Example:

    • Standard Globex Minimum Tick = 0.00005

    • Alternate Globex Minimum Tick= 0.00001

    • Max Bid/Ask Constraint = 0.00015

    • Current Best Bid 0.97345 / Current Best Ask 0.97359

    • Max Bid/Ask Constraint of 0.00015 is compared against 0.00014, which is the Max Bid/Ask value result – Passes as 0.00014 is <=0.00015.

Alternate Globex Tick Constraint (NEW) 

  • The Alternate Globex Tick Constraint process occurs after the Max Bid/Ask Constraint process.

  • The Alternate Globex Tick Constraint value is an input to a Globex process that initially determines the Order Tick Difference result between the Standard Globex Minimum Tick Limit price of the best resting order that is on the same side as the incoming order relative to the Alternate Globex Minimum Tick Limit price of the incoming order.

  • The Order Tick Difference Result, in turn, is compared against the Alternate Globex Tick Constraint.

    • If the Order Tick Difference Result is > or = Alternate Globex Tick Constraint, then the order can use the Alternate Globex Minimum Tick.

    • If the Order Tick Difference Result is < Alternate Globex Tick Constraint, then the order cannot use the Alternate Globex Minimum Tick.

  • Example:

    • Standard Globex Minimum Tick = 0.00005

    • Alternate Globex Minimum Tick= 0.00001

    • Alternate Globex Minimum Tick Constraint = 0.00002

    • 0.00003 = Order Tick Difference Result between best Standard Globex Minimum Tick resting order that is on the same side as the incoming order relative to the Alternate Globex Minimum Tick incoming order.

    • Since Order Tick Difference Result of 0.00003 is > 0.00002 Alternate Globex Tick Constraint, then the incoming order can use the Alternate Globex Minimum Tick.

EBS CPI Requirements

A iLink 3 Binary Order Entry - EBS Market on CME Globex - Good for Session (GFS) order can be accepted on an Alternate Globex Minimum Tick in conditions when meeting the CPI requirements:

  • Max Bid/Ask Constraints

  • Alternate Globex Minimum Tick Constraints 

Once a GFS order is accepted at an Alternate Globex Minimum Tick level, it can remain at that price even if a new best Standard Globex Minimum Tick Price has been established.

A iLink 3 Binary Order Entry - EBS Market on CME Globex - Fill and Kill (FAK) / iLink 3 Binary Order Entry - EBS Market on CME Globex - Fill or Kill (FOK) (FOK) order can be submitted at any Alternate Globex Minimum Tick or the Standard Globex Minimum Tick and match against any resting orders at any eligible price levels.

Max Bid/Ask Constraint

The Max Bid/Ask Constraint value is an input into a process that compares the best overall limit order bid/ask spread value relative to this product setting. 

  • If the Max Bid/Ask value result > Max Bid/Ask Constraint, then the incoming order cannot use an Alternate Globex Minimum Tick.

  • If the Max Bid/Ask Constraint result < or = Max Bid/Ask Constraint, then the incoming order can potentially use an Alternate Globex Minimum Tick provided it passes a subsequent Alternate Globex Tick Constraints process.

Example 1 - Accepted Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.000025

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.000025

Incoming bid HHH is accepted as Max Bid/Ask value  0.00015 (0.97360-0.97345) is equal to Max Bid/Ask Constraint, and it passes a subsequent Alternate Globex Minimum Tick Constraint.

Example 2 - Rejected Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.000025

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.000025

Incoming bid HHH is rejected as Max Bid/Ask value (0.00020) is not less than or equal to Max Bid/Ask Constraint (0.00015).

Example 3 - Accepted Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.000025

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.000025

Incoming bid HHH is accepted as the price (0.97345) is on Standard Globex Minimum Tick; Max Bid/Ask Constraint is irrelevant.

Example 4 - Rejected Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.000025

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.000025

Incoming bid HHH is rejected as Max Bid/Ask Constraint not met because of empty book on the bid side.

Alternate Globex Minimum Tick Constraint

If the Max Bid/Ask Constraint is met, the next validation for an incoming order to be accepted on an Alternate Globex Tick is to pass the Alternate Globex Tick Constraint.

The Alternate Globex Tick Constraint value is an input into a process that initially determines the Order Tick Difference result between the Standard Globex Minimum Tick Limit price of the best resting order that is on the same side as the incoming order relative to the Alternate Globex Minimum Tick Limit price of the incoming order. The Order Tick Difference Result, in turn, is compared against the Alternate Globex Tick Constraint.

  • If the Order Tick Difference Result is > or = Alternate Globex Tick Constraint, then the order can use the Alternate Globex Minimum Tick.

  • If the Order Tick Difference Result is < Alternate Globex Tick Constraint, then the order cannot use the Alternate Globex Minimum Tick.

Example 5 - Accepted Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.000025

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.000025

Incoming bid HHH is accepted since Max Bid/Ask Constraint is met and Order Tick Difference Result 0.000025 (0.973475 - 0.97345) is equal to Alternate Globex Minimum Tick Constraint. 

Example 6 - Rejected Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.000025

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.000025

Incoming bid HHH is rejected since Max Bid/Ask Constraint is met, but Order Tick Difference Result -0.000025 (0.973425 - 0.97345) is less than Alternate Globex Minimum Tick Constraint.

Example 7 - Accepted Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.000025

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.000025

Incoming bid HHH is accepted since Max Bid/Ask Constraint is met and Order Tick Difference Result 0.000025 (0.973475 - 0.97345) is equal to Alternate Globex Minimum Tick Constraint.

Example 8 - Rejected Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.000025

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.00005 

Incoming bid HHH is rejected since Max Bid/Ask Constraint is met, but Order Tick Difference Result 0.000025 (0.973475 - 0.97345) is less than the Alternate Globex Minimum Tick Constraint (0.00005).

Example 9 - Accepted Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.000025

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.000025

Incoming bid HHH is accepted since Max Bid/Ask Constraint is met and Order Tick Difference Result 0.000075 (0.973475 - 0.97340) is greater than Alternate Globex Minimum Tick Constraint.

EBS CPI Exceptions

The new Alternate Globex Minimum Tick Orders can be accepted in conditions that would normally not meet the CPI requirements (i.e., Max Bid/Ask and/or Alternate Globex Tick Constraints).

  1. Trade Exception

  2. Crossing Top of Book Exception

  3. Join Exception

Trade Exception

A GFS order can be accepted on an Alternate Globex Minimum Tick if the order can potentially match on Limit Price against the opposite side of book before it rests.

Example 10 - Accepted Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.00001

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.00002

  • Incoming bid HHH is accepted and matched resting ask EEE at price 0.97346 - Match 4 @ 0.97346.

  • Remaining order quantity (1) can rest in the market even though it violates the CPI requirements; i.e., Order Tick Difference Result 0.00001 (0.97346 - 0.97345) is less than Alternate Globex Minimum Tick Constraint (0.00002).

Crossing Top of Book Exception

If an order crosses the opposite top of book (i.e., a bid with a limit price >= best offer, or an offer with a limit price <= best bid) but it cannot match with the resting orders on the other side due to bilateral credit or Self Match Prevention (SMP),  the order can still be accepted on an Alternate Globex Minimum Tick and rest in the market, even if the CPI requirements are not met.

Example 11 - Accepted Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.00001

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.00002

  • HHH does not have bilateral credit with EEE

Incoming bid HHH is accepted for crossing the top of book and resting in a crossed market even though the Max Bid/Ask Constraint has been exceeded.

Join Exception

A GFS order can be accepted on an Alternate Globex Minimum Tick if the order joins an existing price level (at least one resting order exists at that price) on the order book based on the limit price.

Example 12 - Accepted Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.00001

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.00002

Incoming bid HHH is accepted due to joining an existing price level, even though the Max Bid/Ask value 0.00025 (0.97373 - 0.97348) is greater than the Max Bid/Ask Constraint (0.00015).

Example 13 - Accepted Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick= 0.00001

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.00002

Incoming bid HHH is accepted due to joining an existing price level, even though the Order Tick Difference Result 0.00001 (0.97346 - 0.97345) is less than Alternate Globex Minimum Tick Constraint (0.00002).

Display Quantity Orders

iLink 3 Binary Order Entry - EBS Market on CME Globex - Display Quantity Order must follow the rules above for Conditional Price Increments on initial order entry.

Price Discretion Orders

iLink 3 Binary Order Entry - EBS Market on CME Globex - Price Discretion Order (PD) support Alternate Globex Minimum Tick on the PD values (tag 845-DiscretionPrice) to allow interaction with incoming Alternate Globex Minimum Tick orders.

  1. PD orders must still comply with the CPI requirements by comparison of the order's Limit Price with the CPI requirements (i.e., Max Bid/Ask constraint and Alternate Globex Tick constraint must be met).

  2. PD prices at the Alternate Globex Minimum Tick are still subject to the Max Price Discretion Offset from limit order price (e.g., 0.00030 for EUR/USD).

  3. PD prices are not subject to the CPI requirements (i.e., Max Bid/Ask constraint and Alternate Globex Tick constraint do not have to be met for the PD price to use the Alternate Globex Minimum Tick)

  4. Trade Exception for CPI does not apply to PD matches, either for incoming PD to resting limit price or PD to PD matches.

Example 14 - Rejected Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick = 0.00001

  • Max Price Discretion Offset = 0.00030

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.00002

Incoming PD HHH is rejected since the limit price (0.97346) is not better than the best Standard Globex Minimum Tick price (0.97345) by the Alternate Globex Minimum Tick Constraint Amount (0.00002) or more, even though the PD price (0.97348) is higher.

Example 15 - Rejected Bid

Given

Result

Given

Result

  • Standard Globex Minimum Tick = 0.00005

  • Alternate Globex Minimum Tick = 0.00001

  • Max Price Discretion Offset = 0.00030

  • Max Bid/Ask Constraint = 0.00015

  • Alternate Globex Minimum Tick Constraint = 0.00002

Incoming PD bid HHH is rejected since it cannot match with PD ask EEE at 0.97348 since PD matches are not subjected to CPI Trade Exception.

Order Modifications

Once a GFS order is accepted at an Alternate Globex Minimum Tick level, Order Modifications are allowed at that price even if a new best Standard Globex Minimum Tick price has been established as long as the modification is not to the order limit price. 

  • Order Modifications that do not modify the price are not re-assessed for compliance with the CPI requirements.

  • Order Modifications to the Limit Price must be re-assessed for compliance with the CPI requirements.

    • Order Modifications that are not in compliance with the CPI requirements are rejected, and the order remains as-is.

EBS CPI API

CME Reference Data API Changes

To support the EBS Conditional Price Increments, the following attributes are added to CME Reference Data API Version 3:

New Attributes

New Attributes

API Endpoint

Attribute Name

Description

Type

Product

altGlobexMinTick

New Alternate Globex Minimum Tick, which is only available for order entry when certain conditions are met.

String







altGlobexTickConstraint

Minimum amount better than the best Standard Globex Minimum Tick order for which Alternate Globex Minimum Tick orders are accepted.

maxBidAskConstraint

Maximum bid/ask spread for which Alternate Globex Minimum Tick orders are accepted.

altMinQuoteLife

MQL duration for orders at the alternative tick, in microseconds.

MDP 3.0 Market Data 

The following Conditional Price Increment fields are added to the new SBE schema in the security definition (35=d) template MDInstrumentDefinitionFX63.

Tag

FIX Name

Type

Description

Tag

FIX Name

Type

Description

37739

AltMinPriceIncrement

PRICENULL9

Sub-tick, which is only available for order entry when certain conditions are met, tick value that corresponds to the Alt Min Quote Life.

37738

AltMinQuoteLife

uInt32NULL

MQL duration in number of microseconds applied to orders at AltMinPriceIncrement.

37742

AltPriceIncrementConstraint

PRICENULL9

Minimum price offset better than the best Standard Globex Minimum Tick order for which Alternate Globex Minimum Tick order is accepted.

37743

MaxBidAskConstraint

PRICENULL9

Maximum bid/ask spread for which Alternate Globex Minimum Tick orders are accepted (Sub tick orders are rejected if bid/ask spread is greater than this value).

The CPI requirements must be validated based on the current state of the market at the time of order receipt by the matching engine.  Because of conflated and/or credit screened market data, individual participants may have a view of certain conditions that impact these requirements that is different from the state of the overall market.

Regardless of whether the prices are on the Standard Globex Minimum Tick or the Alternate Globex Minimum Tick: 

  • All resting order prices (EBS credit screened, unscreened, best bid/ask, etc.) continue to be price reported in all relevant formats.

  • All trades must be price reported in all formats (including EBS Ticker, EBS Spectrum) at the actual trade prices.

iLink 3 Order Entry 

Orders with an Alternate Globex Minimum Tick price that do not meet CPI requirements upon reaching the match engine are rejected for invalid Alternate Globex Minimum Tick order. CME Globex sends the Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8, tag 103- OrdRejReason) with the new reject codes:

Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8, tag 103-OrdRejReason)

Execution Report - Reject (tag 35-MsgType=8, tag 39-OrdStatus=8, tag 103-OrdRejReason)

Tag 103-OrdRejReason

Tag 58-Text

4050

TOB spread (Bid / Offer) not available to evaluate spread constraint for Conditional Price Increments

4051

TOB spread (.XXXX) exceeds max allowed (.XXXX) for Conditional Price Increments

4052

Order does not improve TOB by min allowed (.XXXX) for Conditional Price Increment

If in an emergency situation, CPI functionality can be disabled. The following messages are sent to customers for cancellation of current orders and entry of new orders.

When

Results

Reject Reason

When

Results

Reject Reason

EBS CPI is disabled on CME Globex

All resting CPI orders  are cancelled

CME Globex sends Execution Report - Cancel (tag 35-MsgType=8, tag 39-OrdStatus=4) messages

tag 378-ExecRestatementReason=111 (System cancel)

EBS clients attempt to submit new CPI orders during the CPI is unavailable

CME Globex send Business Reject (tag 35-MsgType=j)  messages

tag 380-BusinessRejectReason=144 (Conditional Price Increment Orders are not currently being accepted)

EBS Ai

There are no changes to EBS Ai. EBS Ai clients are able submit orders and receive market data at both Standard Globex Minimum Tick or the Alternate Globex Minimum Tick.

For EBS Ai Clients who desire to submit orders at the Alternate Globex Minimum Tick, they need to retrieve the CPI attributes from the Ref Data API or Ref Data Warehouse.   

EBS Ai Orders with the invalid Alternate Globex Minimum Tick are rejected with the EBS Ai reject code ATI112002 - Invalid order price - bad value.





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