EBS Ai on CME Globex

Contents

System Architecture

This diagram shows the EBS Ai component integration with CME Globex Platform.

Connectivity

New Release Connectivity

All EBS Ai client systems must establish connectivity to the CME Globex New Release environments to enable testing.  See the EBS environments overview for details about accessing the test environments. 

• EBS Ai is physically located in the Chicago data center
  • No EBS Customer Lab instance
• Accessible over CMEG Cert Data Center and CMEG Cert VPN 

  • Not accessible over EBS VPN or EBS STunnel

Production Connectivity

EBS Production Connectivity Options reflects connectivity product descriptions, availability, setup, and more for each production connectivity option.

• EBS Ai is physically located in the CME Group primary data centers in New York, London, and Tokyo
• EBS Ai is accessible over production CME Group network connections as follows:

Summary of Functional Changes from Legacy Ai to EBS Markets Ai

This table summarizes the differences across Legacy Ai and EBS Ai.

EBS Ai Version Compatibility

EBS Ai will support version 1.6 and above:  (i.e. v1.6 - v2.0.5)  

A client logging in with a version different from what is stated above will result in a protocol violation and the client will be disconnected.

Instruments

The following instruments will be supported by EBS Ai:

• FX Spot
  • Central Limit Order Book
  • eFix
• Non-Deliverable Forward(NDF)
  • Rolling-date  NDFs
  • Fixed-date NDFs 

Market Segments

The following Market Segments will be support by EBS Ai:

• Standard
• Fixing (eFix)

The following Market Segments will NOT be available:

• Fixing Offset

• Swap Offset

Functionality Overview

EBS Ai functionality supports the following functional areas:

• Logon – Session and Application logon, change password, Session and Application logoff
• Trading and Market Data – subscribe, unsubscribe
• Orders – order submit, order amend, order interrupt, interrupt all, execution report
• Deals – trade capture, trade capture request
• Session – trade date change, value date change, system up/down, credit low/exhausted, etc.

New and Modified Functionality

Existing EBS customers leveraging EBS Ai to trade EBS Market and eFix Matching Service products on CME Globex must be aware of the changes in functionality described below.

Authentication

To send logon request to EBS Ai:

1. The EBS Ai user connects using FIX ASCII over TCP connection
2. After establishing a network connection, user sends two logon messages:
   1. FIX session logon message (tag 35-MsgType=A) to EBS Ai
   2. Application logon request message (tag 35-MsgType=BE) with username and password to begin a new Trading Session
      1. Current usernames cannot be used, as they are not unique across Globex Firm IDs (GFIDs)
      2. New unique usernames have been issued to customers

Passwords

To align with CME Globex logon, EBS Ai does not support password change as part of the logon process.  If the EBS Ai client supports a periodic password change, the password must be manually changed  via the CME Customer Center. 

Self-Match Prevention (SMP)

Legacy Ai prevents users from self-matching by "matching around" orders from the same user.  EBS Ai allows a customer to prevent the matching of orders with the same Self-Match Prevention Identifier (SMP ID), within or across GFIDs.  

Customers that need to avoid self-match must register their GFID and SMP ID via the Firm Administrator Dashboard (FADB). The SMP ID must then be associated to the GUS by CME Global Account Management.

• GFIDs may register for as many SMP IDs as desired
• SMP IDs may be shared across GFIDs only if the GFIDs are part of the same Institutional Group

EBS Ai customers cannot submit orders with an SMP Identifier (SMP ID). To apply SMP to EBS Ai orders, an SMP ID must be registered to the GUS in Firm Admin Dashboard. EBS Ai will then add the SMP ID to all submitted orders from that GUS before sending them to the matching engine.  The matching engine will then prevent orders from trading when the SMP IDs match.

In the event of a self-match event, the arriving order will trade around any resting order(s) with the same SMP ID.

MiFID Short Code

CME Globex supports numeric short codes.

Market View

EBS Ai supports Price Depth market view. 

The following market view types are no longer supported:

• Spread view
• Amount view
• Full Amount view

Price Depth View

In Price Depth view, an aggregate depth book is sequenced by price, descending for bid and ascending for Offer.

EBS Ai maintains the Aggregate Depth view with the following data blocks:

• Add - create/insert a new price (tag 279 MDUpdateAction=0)
• Change - change quantity for a price (tag 279 MDUpdateAction=1)
• Delete - remove a price (tag 279 MDUpdateAction=2)

An Aggregate book is built from a series of data blocks which indicate whether an entry is to be inserted (Add), changed (Change), or removed (Delete). All data blocks are issued for a specified entry type (tag 269), and price (tag 270). The incremental instruction approach assumes the use of the EBS Ai Market Data Incremental Refresh (tag 35-MsgType = X) message.

When a new price level is added to the order book, and followed by updates to delete an existing price level and add a new price level:

• MDUpdateAction to add the entry (tag 279 = 0) will be published in one 35=X message
• MDUpdatesAction to delete the entry (tag 279 = 2) and add the new entry (279=0) will be published in a separate 35=X message

Price Depth View Example

The example in this topic shows the update performed on an existing Price Depth book when a new price level is added to the order book, and followed by an update message to delete the existing price.

Starting book: 5-Deep - Best Bid/Offer

The first 35=X Data Block:

• Add 1M Offer @ 76.04

Updated book:

The second 35=X Data Block:

• Delete 1M Offer @ 76.05

• Add 1M Offer @ 78.85

Updated Book:

Market by Price Depth

EBS Ai does not allow the user to specify the number of price levels. Client systems must determine the maximum number of levels for each instrument from tag 20100-PriceDepth in the logon response message. 

The Subscribe message sent by the Client will be rejected if tag 264-MarketDepth does not equal '0' or the price depth sent in logon response.

Market Data and Trading Subscription

When the  EBS Ai client sends Market Data Subscription Request for the specific instruments,

• For a trade only subscription request, the EBS Ai’s response to each successful request is a Market Data – Snapshot/Full Refresh (W), devoid of initial bid and offer values.
• For a request to trade and subscribe to market views, the EBS Ai’s response to each successful request is composed of two message types:
  
  • Market Data – Snapshot/Full Refresh (W) message, containing the full set of market data
  • Market Data – Incremental Refresh (X) messages, sent whenever there is a change to the market data

Market Data – Incremental Refresh

This table summarizes the Market Data-Incremental Refresh message differences across Legacy Ai and EBS Ai.

MDLastIncrementalRefresh (tag 20203)

EBS Ai will also notify the client whether or not this market data update message is the last in the corresponding time-slice by means of custom tag 20203-MDLastIncrementalRefresh.

Legacy Ai currently sends tag 20203=1 to indicate the last Incremental Refresh message specific to the instrument(s) for each Subscription Request.

EBS Ai will send tag 20203=1 to indicate the last Incremental Refresh message for any updates that happened on the market for overall subscribed scope as follows:

• Singe subscription request with multiple instruments
• Multiple subscription requests with one instrument each

Single Subscription Request with Multiple Instruments

3 Subscription Requests with 1 Instrument in Each

Order Price Validation

Legacy Ai provided additional, optional price validations that could be requested by the user as part of the logon process. These additional validations are deprecated.

Order Amend Request Reject

EBS Ai will emulate Legacy Ai behavior and cancel the order if an Order Amend Request is rejected.

Application Logon

The Logon process allows the client to configure certain parameters that will be in effect for the duration of the session. The client will receive a response indicating a successful Logon, a response indicating an existing session needs to be cancelled, or a response indicating the password has expired, or a logon failure message.

The Logon Response sent by EBS Ai before the market opens on Sunday startup will reflect the Monday as Trade Date, and the Settlement Date reflect a Monday trade date.

For instance, a T+2 trade will have the following dates before the market opens on Sunday:

• TradeDate (Tag 75): Monday
• SettlDate (Tag 64): Wednesday

Trading Session List

The Trading Session List immediately following a successful Logon Response will be sent only to clients who requested the Fixing information in the Logon Request and are enabled for Fix orders. This message is not sent for “Standard” sessions.

TradSesOpenTime will no longer accurately depict the eFix schedules. The following placeholder times will be sent:

• On Sundays, the tag 342-TradSesOpenTime value will be set to 17:00 GMT across all products.
• On weekdays:
• • If the Fixing Time doesn't coincide with 17:00 ET or 18:00 ET, then the tag 342-TradSesOpenTime value will be set to 17:00 ET (expressed in "GMT").
  • If the Fixing Time coincides with 17:00 ET or 18:00 ET, then the tag 342-TradSesOpenTime value will be set to 19:00 ET (expressed in "GMT").

As of May 15, 2022, the accurate eFix schedule will be found on the CME Group Trading Hours page.

Application Logoff

Upon an Application Logoff, the EBS Ai will cancel all working orders  without sending cancel acknowledgments. 

Trading Session Status

EBS Ai sends Trading Session Status (35-MsgTyp=h, 340-TradSesStatus=2 or 3) message to notify EBS Ai clients of eFix Open or Close state of the trading session.  

• eFix Instruments are grouped together to create Trading Session ID
• Trading Session Status messages are sent at the Trading Session ID level

In the unlikely event of a CME Group component failure or unscheduled market close of an eFix instrument, EBS Ai will send a single “Closed” Trading Session Status message for all eFix instruments within the same Trading Session ID.   As a result, the market can appear closed on EBS AI on some eFix instruments even though they are open.

For example,  If eFix USD/CAD WM 1600 London is paused, a  single “Closed” Trading Session Status message will be sent for all three eFix instruments in the trading session ID 8 even though eFix EUR/NOK WM 1600 London and eFix NZD are open.

Trade Query

EBS Ai does not support retransmission of messages. To ensure no trades are lost during session interruption, EBS Ai provides the Deal Query feature.

• Deal Query can be used to request information about deals executed within the most recent week by OrderID or ClOrdID.
• Queries can be performed based on ClOrdID or OrderID.

• Deal Query allows the EBS Ai client to retrieve the status and details of deals associated with the orders on CME Globex.

• To use Deal Query, the Ai client application must retain one of the IDs associated with the order; ClOrdID or OrderID.

• EBS Ai supports Deal Query with the Trade Capture Report Request, Trade Capture Report Request Ack, and Trade Capture Report FIX messages.

  • The Trade Capture Report message contains information for the associated deals based on selected criteria (requested by unique customer Reference ID or Globex order ID) within a week.

  • For a specific order that resulted in multiple deals, a successful Deal Query returns a Trade Capture Report Request message containing all deal information related to that order.

  • If there is no result for a valid Deal Query, a Trade Capture Report Request Ack message returns with the total number of Trade Reports set to zero.

  • Deal Queries are limited to retrieving deals for the current week. Attempts to retrieve earlier deals will result in a Report Ack message with a Warning message indicating the deals were out of the time range.

    • EBS Ai rejects Trade Capture Report Requests submitted without qualifiers, more than one qualifier, with incorrectly formatted references, or with invalid deal or order IDs.

Counterparty Trader ID

Counterparty Trader ID will no longer be provided via EBS Ai. The tag 448-PartyID value will be set to 'GUS' for Counterparty Trader ID (tag 452-PartyRole = 37).

Deprecated Ai Functionality

The following table includes deprecated Ai functionality:

Message-Level Changes

In the EBS Ai release, there will be changes to certain supporting FIX message layouts.

The following sections contain the tag-level client system messaging impacts that must be accommodated to integrate to the EBS Ai on CME Globex for Trading and Market Data.

EBS Ai Messaging Inbound/Outbound