EBS Conditional Price Increments
- Space Sync for Confluence
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
- 1 Product Availability
- 2 Alternate Globex Minimum Tick
- 3 Minimum Quote Life Change
- 4 EBS CPI Example Values
- 5 EBS CPI Requirements
- 5.1 Max Bid/Ask Constraint
- 5.1.1 Example 1 - Accepted Bid
- 5.1.2 Example 2 - Rejected Bid
- 5.1.3 Example 3 - Accepted Bid
- 5.1.4 Example 4 - Rejected Bid
- 5.2 Alternate Globex Minimum Tick Constraint
- 5.2.1 Example 5 - Accepted Bid
- 5.2.2 Example 6 - Rejected Bid
- 5.2.3 Example 7 - Accepted Bid
- 5.2.4 Example 8 - Rejected Bid
- 5.2.5 Example 9 - Accepted Bid
- 5.1 Max Bid/Ask Constraint
- 6 EBS CPI Exceptions
- 7 Display Quantity Orders
- 8 Price Discretion Orders
- 9 Order Modifications
- 10 EBS CPI API
- 10.1 CME Reference Data API Changes
- 10.2 iLink 3 Order Entry
- 10.3 EBS Ai
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 |
|---|---|---|---|---|---|
FXSPOT.AUD/USD | 6AUS | 6SUS |
| EBSC | 36 |
FXSPOT.EUR/USD | 6EUS | 6SUS | |||
FXNDF.USD/TWD.1M | TWD1M | RNDF | EBSULTRA - 530 | XEBS | 38 |
FXNDF.USD/TWD.1M_SEF | TWD1MS | SNDF | EBSULTRA - 531 | 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 |
|---|---|---|---|
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 |
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 |
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
Standard Globex Minimum Tick = 0.00005 (Current)
Minimum Quote Life = 20 ms (Current)
Alternate Globex Minimum Tick = 0.000025 (New)
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 |
|
|---|---|
Alternate Globex Minimum Tick (NEW) |
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Max Bid/Ask Constraint (NEW) |
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Alternate Globex Tick Constraint (NEW) |
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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 |
|---|---|
| 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. |