On-SEF NDF Tailored Order Books
In a future announcement, pending the completion of all regulatory review periods, On-SEF NDF tailored order books capability will be made available on CME Globex. Â With this functionality, the initiator of a tailored order book can interact with a pre-determined set of counterparties within a firm, pre-trade anonymous order book on CME Globex.
This topic provides an overview of the concepts with which clients must be familiar with to process Tailored Order Books.
Contents
Revision History
Date | Description |
|---|---|
February 21, 2024 | Production date update |
December 6, 2023 | Effective date and Production date updated |
October 13, 2023 | Updated Production date |
September 14, 2023 | New client impact assessment added. |
September 13, 2023 | Initial version of content published. |
Key Events and Dates
Date | Milestone |
|---|---|
Now Available | New Release |
TBA | Production |
Testing and Certification
Certification is required for new client systems. Certification is optional for previously certified EBS MDP conflated TCP and iLink systems. Â
Tailored Order Book Impacts
The following section outlines tailored order book client impacts.
Credit
Tailored order books will be configured utilizing existing EBS functionality as follows:
New CME Globex Firm IDs (GFIDs) and credit relationships will be set up for all participants in a given tailored order book
Order book initiators will have a bi-lateral credit relationship to interact with all other enabled participants
Other participants in a tailored order book will not have a credit relationship with or interact with each other Â
Tailored order book transactions will be reported under new Market Identifier Code (MIC), "EBSO"
Order Entry
With this launch, all iLink Order Entry EBS Market functionality is supported. Â
Market Data
The new TCP MDP market data group to support tailored order books is outlined below.
CME Globex Market Data Services
Market | NEW - Market Data Group | Channel ID | Description |
|---|---|---|---|
EBS Market ON SEF NDF London | CME MDP Conflated TCPÂ for Tailored Order Books | 548 |
|
EBS Market on CME Globex Market Data FeaturesÂ
This section compares MDP 3.0 services and features available for EBS markets on CME Globex, including Conflated TCP Support for On-SEF NDF Tailored Order Books.
MDP 3.0 Feature | Conflated UDP Support | Conflated TCP Support | NEW - Conflated TCP for Tailored Order Books | CME MDP EBS Ultra 20 Millisecond Conflated TCP | Description |
|---|---|---|---|---|---|
Protocol for decoding and encoding messages in binary format. | |||||
The CME Group Market Data Platform (MDP) disseminates bid, ask, trade, and statistical data for CME Group markets and also provides recovery and supporting services for market data processing. Conflated TCP Support for Tailored Order Books does not support UDP Market Data Configuration files. | |||||
Event Based - market data generated by order activity and market state events. Additional examples of event processing for conflated feeds can be found in Conflated Market Data Processing. | |||||
Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client. | |||||
Conflated market data combines multiple updates within an interval to a single event. | |||||
Conflated market data combines multiple updates within an interval to a single event. | |||||
Trade and trade-driven market data. Additional examples of Trade Summary messages for conflated feeds can be found in Conflated Market Data Processing. | |||||
This topic describes how to obtain and display tick size and pricing data for products traded on CME Globex. | |||||
EBS Market provides the Trade Session List for trade and value date processing | |||||
ON-SEF NDF instruments implement an embargo rule for trade messaging. The embargo sends trade information during a conflation interval at a minimum of 400 milliseconds after the trade occurs. | |||||
The Market Data Security Status message is used to indicate:
| |||||
Book Management | Conflated UDP Support | Conflated TCP Support | NEW - Conflated TCP for Tailored Order Books | CME MDP EBS Ultra 20 Millisecond Conflated TCP | Description |
CME Group provides a multiple-depth Market by Price (MBP) book for most products. | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
TCP Credit screened market data provides client systems price levels where there is applicable credit. The EBS Ultra Russian Ruble TCP channel is not credit screened.  | |||||
Statistics | Conflated UDP Support | Conflated TCP Support | NEW - Conflated TCP for Tailored Order Books | CME MDP EBS Ultra 20 Millisecond Conflated TCP | Description |
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
N/A | |||||
Recovery |  Conflated UDP Support | Conflated TCP Support | NEW - Conflated TCP for Tailored Order Books | CME MDP EBS Ultra 20 Millisecond Conflated TCP | Description |
Data recovery to synchronize client order books with the current state maintained by CME Group. MBO recovery is not available for EBS. MBP books are only available. Therefore, MBO recovery concepts can be ignored in the MDP 3.0 - Recovery document. | |||||
Data recovery to synchronize client order books with the current state maintained by CME Group. |
Straight-Through Processing and Central Post Trade
There are no functional impacts. Â Tailored order book trades will be reported under new MIC code, "EBSO". In CPT FIX, the MIC code is populated in tag 448-PartyID with tag 447-PartyIDSource=G (Market Identifier Code).
Client Reports
For customers participating in TOB, EOD Client Order Events - On-SEF (CEOD201) report will be available with the new MIC EBSO. See more information about EBS Reporting.
Product Specifications
Product specifications for contracts available for the ON-SEF NDF Tailored Liquidity Pool are as follows.
Tailored Ordered book product and instrument information will be available in Reference Data API.
Product Name | Product Long Name | MDP 3.0: Tag 6937-Asset | iLink: Tag 55-Symbol / MDP 3.0: Tag 1151-Security Group | MDP 3.0: Tag 969-MinPriceIncrement | MDP 3.0: Tag 1142-MatchAlgorithm |
|---|---|---|---|---|---|
ON-SEF NDF Tailored Liquidity Pool USD/TWD 1M | FXNDF.TLP.USD/TWD.1M_SEF | TWD1TL | TNDFÂ | 0.001000000 | |
ON-SEF NDF Tailored Liquidity Pool USD/KRW 1M | FXNDF.TLP.USD/KRW.1M_SEF | KRW1TL | TNDFÂ | 0.010000000 | |
ON-SEF NDF Tailored Liquidity Pool USD/INR 1M | FXNDF.TLP.USD/INR.1M_SEF | INR1TL | TNDFÂ | 0.001000000 | |
ON-SEF NDF Tailored Liquidity Pool USD/IDR 1M | FXNDF.TLP.USD/IDR.1M_SEF | IDR1TL | TNDFÂ | 1.000000000 | |
ON-SEF NDF Tailored Liquidity Pool USD/PHP 1M | FXNDF.TLP.USD/PHP.1M_SEF | PHP1TL | TPHP | 0.001000000 | |
ON-SEF NDF Tailored Liquidity Pool USD/BRL 1M | FXNDF.TLP.USD/BRL.1M_SEF | BRL1TL | TNDFÂ | 0.000100000 | |
ON-SEF NDF Tailored Liquidity Pool USD/CLP 1M | FXNDF.TLP.USD/CLP.1M_SEF | CLP1TL | TNDFÂ | 0.010000000 | |
ON-SEF NDF Tailored Liquidity Pool USD/COP 1M | FXNDF.TLP.USD/COP.1M_SEF | COP1TL | TNDFÂ | 0.010000000 |
Contact Information
For technical development support, contact Certification Support for Electronic Trading (CSET).
For production requests, please contact the Global Command Center (GCC).
For all other inquiries, please contact Global Account Management (GAM).
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