EBS Ai on CME Globex

EBS customers use EBS Ai to transact on CME Globex over FIX protocol with minimal modifications to their trading and market data solutions.

This topic presents the differences between the Legacy Ai protocol and the new EBS Ai protocol. For full technical information, please refer to the Ai 2.0.5 FIX Developer's Guide available in the EBS Support Portal

Additional Resources

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

ServiceCert Data CenterCert VPN(Internet)Legacy EBS Lab
EBS Ai(tick)(tick)(error)

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:

Service

GLink

New York

GLink

London

GLink

Tokyo

CME Globex Hubs

NEX CDN

LNET

EConnect

EBS Ai(tick)(tick)(tick)(tick)(tick)(tick)(tick)


For Disaster Recovery, Tokyo customers will connect to London EBS Ai, New York customers will connect to London EBS Ai, and London customers will connect to New York EBS Ai.

Summary of Functional Changes from Legacy Ai to EBS Markets Ai

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


Legacy Ai

EBS Ai

Protocol
  • Use FIX ASCII or XML
  • Use FIX ASCII

EBS Venue Support

  • EBS Market
  • EBS eFix
  • EBS Direct
  • EBS Select
  • EBS Market
  • EBS eFix



Authentication

  • Use source IP address to identify the firm of the user
  • Use cleartext username and password 
  • Support forced and requested password changes via Ai
  • Use cleartext username and password 
  • Password must be changed manually via the CME Customer Center.

Market Data Support

  • Market Views for order book management 
    • Price Depth view
    • Spread view
    • Amount view
    • Full Amount view
  • Trade information over the market data publication interval is summarized into two prices:
    • Paid price is highest resting offer price executed during the interval
    • Given price is lowest resting bid price executed during the interval
  • Incremental Refresh Message (35=X)
    • MDEntries are published for Bid/Offer, EBS Best offer/EBS Best Bid, and Trade in the same  35=X message 
  • In the event of the Trading System component failure, Legacy Ai  sends the snapshot message to empty order book for only instruments that customer is currently subscribed to.
  • Market View for order book management 
    • Price Depth view
  • Provide the following market data to the client
    • Credit-screened market by price
    • EBS Best (top of book, unscreened)
    • Paid/Given
  • Incremental Refresh Message
    • MDEntries will be published for Bid/Offer and EBS Best offer/EBS Best Bid  in one 35=X message 
    • MDEntries for Trade (Paid/Given) will be published in a separate 35=X message
  • In the unlikely event of a CME Group component failure,  the FIX session is terminated and the Ai client is disconnected.  All working orders will be cancelled on behalf of Ai customers.  

Order Support

  • Order Types
    • Limit
    • eFix
  • Time in Force
    • GTC
    • IOC
    • FOK
  • Iceberg
    • Iceberg randomized quantity
    • Iceberg randomized replenishment time
  • Price Discretion (PD)
    • Specified as delta to limit price
    • Mid-PD (half price increment)
  • Self-Match Prevention
    • User's orders never allowed to match with own orders 
    • User's orders conditionally allowed to match with orders from the same firm (i.e. Intra-floor trading)
  • Order Types
    • Limit
    • eFix
  • Time in Force
    • GTC
    • IOC
    • FOK
  • Support for Iceberg orders will be be available
    • The following iceberg parameters will not be available:
      • Randomized quantity
      • Randomized replenishment time
  • Price Discretion
    • Specified as delta to limit price
  • Self-Match Prevention at Trader Floor level

Trade Support 

  • Support Trade Query
  • Support Trade Query

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

Bid


Offer


Quantity

Price

Price

Quantity

1M

76.02

76.05

1M



78.71

1M



78.72

1M



78.84

1M



78.85

1M

The first 35=X Data Block:

  • Add 1M Offer @ 76.04
Tag NumberTag NameValueDescription
279MDUpdateAction0New
269MDEntryType1Offer
55SymbolNZD/JPYCurrency Pair
461CFI CodeRCSXXXFX Spot
63SettlType0Regular Spot Settlement
1300MarketSegmentIDStandardIdentifies the type of order book in which the instrument is traded.
270MDEntryPx76.04Price
271MDEntrySize1MQuantity

Updated book:

Bid
Offer
QuantityPricePriceQuantity
1M76.0276.041M


76.051M


78.711M


78.721M


78.841M


An update message is not sent to delete the existing 1M Offer @ 78.85 that has exceeded the 5-Deep book.

The second 35=X Data Block:

  • Delete 1M Offer @ 76.05
Tag NumberTag NameValueDescription
279MDUpdateAction2Delete
269MDEntryType1Offer
55SymbolNZD/JPYCurrency Pair
461CFI CodeRCSXXXFX Spot
63SettlType0Regular Spot Settlement
1300MarketSegmentIDStandardIdentifies the type of order book in which the instrument is traded
270MDEntryPx76.05Price
271MDEntrySize1MQuantity
  • Add 1M Offer @ 78.85
Tag NumberTag NameValueDescription
279MDUpdateAction0New
269MDEntryType1Offer
55SymbolNZD/JPYCurrency Pair
461CFI CodeRCSXXXFX Spot
63SettlType0Regular Spot Settlement
1300MarketSegmentIDStandardIdentifies the type of order book in which the instrument is traded
270MDEntryPx78.85Price
271MDEntrySize1MQuantity

Updated Book:

Bid
Offer
QuantityPricePriceQuantity
1M76.0276.041M


78.711M


78.721M


78.841M


78.851M

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.


Legacy Ai

New EBS Ai

Market Data Subscribe Response

When a client is subscribed for multiple instruments in a single Subscription Request, Incremental Refresh messages will be sent after all Snapshot/Full Refresh messages are sent for subscribed instruments.

When a client is subscribed for multiple instruments in a single Subscription Request, EBS Ai may interleave Snapshot/Full Refresh messages with Incremental Refresh messages.

Market Data Update

The Incremental Refresh message can contain updates for multiple instruments in a single message.

Each Incremental Refresh message contains a single instrument update and not batch multiple instruments together.

MDEntries (tag 269)

MDEntries are published for Bid/Offer, EBS Best offer/EBS Best Bid, and Trade  (Paid/Given) in a single  35=X message.

MDEntries are published as follows:

  • Bid/Offer and EBS Best offer/EBS Best Bid updates in one 35=X message 

  • MDEntries for Trade (Paid/Given) in a separate 35=X message

MDLastIncrementalRefresh (tag 20203)

Send tag 20203=1 to indicate  the last Incremental Refresh message specific to the instrument(s) contained in each client subscription.

Send tag 20203= 1 to indicate  the last Incremental Refresh message for any updates that happened on the market for overall subscribed instruments (i.e. client can send multiple subscription requests for different instruments each time).

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


EBS Ai clients that expect tag 20203 to be set on a per-subscription basis within a publication interval should process each 35=X incremental update message independently, trimming the associated books and performing other per-instrument processing as appropriate.

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. 

Legacy Ai

New EBS Ai

  • Client sends the Logoff Request message
  • Legacy Ai cancels all working orders and send Execution Report with OrdStatus = Cancelled[4] to client
  • Legacy Ai sends Logoff Response message
  • Client sends the Logoff Request message
  • EBS Ai cancels all working orders without sending cancel acknowledgment to client
  • EBS Ai sends Logoff Response message

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.

Tag 1300-Market SegmentID

Tag 336-TradingSessionID

Tag 1326 -Trading SessionDesc

eFix Instruments

Fixing

8

WM 16:00 Europe/London

eFix USD/CAD WM 1600 London


eFix EUR/NOK WM 1600 London


eFix NZD/USD WM 1600 London


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:

FunctionalityNotes

Auto cancel duplicate session

These features will  be ignored if specified at the application logon.

Large difference check

Price check

Wide spread check

Order throughput

Deal code specification

Allow Attempted Fill Or Kill (AFOK) info

Allow Prime Customer (PC) gross credit events

Allow Prime Customer (PC) netted credit events

Hide-my-prices

Allow mid price

Allow fix points info

Allow NDF swap info

Allow execution region info

Alternative deal code

QDM platform access

NDF Swaps

NDF Swap reference rate

Credit event notification

Iceberg randomized quantity

Iceberg randomized replenishment time

Price discretion - Mid PD

eFix - residual auction

AI XML protocol support

Credit events via AI

Trader ID-level self match prevention

PD min quantity

Password change via AI Protocol

Market by price depth on MD subscription

Multi-order amendment by non-unique client order ID

Session recoveryIf messages are received out of sequence by the client, it is recommended that the client discontinue the session and contact the Global Command Center (GCC) to investigate the missing message(s).
Entitlements enforcement

CME Globex will enforce EBS Ai entitlements for:

  • Order submission
  • Market data subscription
  • Feature access

EBS Ai will use product entitlements to filter Security Definitions.

User disablement / session kill switchCME Globex implement EBS Ai user controls
Market status and associated controls

CME Globex will enforce Market State and other Market Integrity Controls.

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.

MessageFIX TagEnhancement

EBS Ai Standard Header

tag 56-TargetCompID

The value sent in tag 56 will be returned in the tag 49-SenderCompID of the response.

EBS Ai Application Logon Request

tag 553-UsernameEach EBS AI instance will only support a single trader, not multiple traders.

tag 5977-UserDataName

EBS Ai will only support the following parameters:

  • SendConfirmedDeals 
  • AllowFixingInfo 
  • AllowAFOKInfo

EBS Ai will not support the following parameters: 

  • AutoCancelDuplSession 
  • LargeDifferenceCheck 
  • PriceCheck 
  • WideSpreadCheck 
  • HideMyPrices 
  • OrderThroughput
  • ClientType 
  • AggregationProvider 
  • Dealcode
  • AllowFixPointsInfo 
  • AllowNDFSwapInfo 
  • AllowMidPx 
  • AllowExecRegionInfo 
  • AllowPCGrossCreditEvents
  • AllowPCNettedCreditEvents 
EBS Ai will ignore the unsupported parameters which are set by the client.

EBS Ai Application Logon Response - Success










tag 5977-UserDataName

EBS Ai will only support the following parameters:

  • TotalActiveOrders
  • NumberOfOrders
  • NumberOfOrdersTimeInterval
  • AiHostName
  • AiPort

EBS Ai will not support the following parameters:

  • IcebergRandomTimeIncrement
  • IcebergMaxRandomTime
tag 12008-SettlType2







These tags will be deprecated and will not be present on EBS Ai outbound messages.





tag 12013-MaturityDate2

tag 20101-NoSpreads

tag 20103-SpreadPriceOffset

tag 20102-NoAmounts

tag 20104-CumulativeAmount

tag 20113-NoFullAmounts

tag 20114-FullAmount

tag 336-TradinSessionID

EBS Ai will set tag value to 1 for  “Standard” session.

tag 20105-PriceDepthRangeEBS Ai will not support this parameter and will set tag value to 999999.
tag 1300-MarketSegmentID

Valid values are:

“Fixing”
“Standard”

EBS Ai will not support "FixingOffset” and “SwapOffset”

tag 9001-NestedUserDataName

EBS Ai will support the following parameters:

  • priceIncrement
  • maxSize

  • sizeIncrement

  • maxPriceDiscretion

  • minPDOrderQty

  • quotePriceIncrement

  • minQuoteSubmitSize

  • minHitSubmitSize

  • icebergMinDisplayQty

  • icebergMaxHiddenQty

  • midPDEnabled
  • aFOKEnabled

EBS Ai will not support the following parameters:

  • EBS Ai will not support the following parameters:

    • xPips

      • tag 9002-NestedUserData value for these 2 parameters will default  to 99999.0000
    • wideSpread

    • largeDiff
      • tag 9002-NestedUserData value for these 2 parameters will default  to 9999.0000
  • isBasket

  • formula

  • fixPointIncrement

  • maxFixPoints

  • minFixPremiumOrderQty

  • maxFixPremiumOrderQty

  • execRegionEnabled

EBS Ai Trading Session List

tag 1300-MarketSegmentID

Valid values are:

“Fixing”
“Standard”

EBS Ai will not support "FixingOffset” and “SwapOffset”

EBS Ai Heartbeat


If the EBS Ai Client fails to send a Heartbeat message, and no other message from the EBS Ai Client was received by the EBS Ai for a period of 3 seconds, the EBS declares the connection stale, interrupts all EBS Ai Client’s active orders, and the EBS Ai terminates the session and disconnects the EBS Ai Client.

The EBS Ai will not continue to wait for Heartbeats for another 3 seconds , after the connection is declared stale

EBS Ai Market Data Request 

tag 1021-MDBooktype

Valid values is: 2 – Price Depth View

EBS Ai will not support:

  • 1101 - Spread View
  • 1102 - Amount View
  • 1103 – Full Amount View

tag 20201-MDMarketDepthFromLevel

tag 20202-MDMarketDepthToLevel

tag 12008-SettlType2

EBS Ai will not support these tags.
tag 1300-MarketSegmentID

Valid values are:

“Fixing”
“Standard”

EBS Ai will not support "FixingOffset” and “SwapOffset”

EBS Ai Market Data Snapshot Full Refresh - Trade Only

tag 12008-SettlType2This tag will be deprecated and will not be present on Snapshot Full Refresh messages.
tag 1300-MarketSegmentID

Valid values are:

“Fixing”
“Standard”

EBS Ai will not support "FixingOffset” and “SwapOffset”

EBS Ai Market Data Snapshot Full Refresh - Trade and Market



tag 276-Quote condition

tag 277-Trade condition

Valid value is  1000 - No market sctivity

EBS Ai will not support 1001 - No data available

tag 269-MDEntryType

Valid values: 

  • 0 = Bid
  • 1 = Offer
  • 2 = Trade (paid, given)  (Not applicable for Direct pairs)
  • w = EBS Best Offer
  • x = EBS Best Bid

EBS Ai will not support:

  • y = Reference rate

tag 1021-MDBooktype

Valid values is: 2 – Price Depth View

EBS Ai will not support:

  • 1101 - Spread View
  • 1102 - Amount View
  • 1103 – Full Amount View
tag 1300-MarketSegmentID

Valid values are:

“Fixing”
“Standard”

EBS Ai will not support "FixingOffset” and “SwapOffset”

EBS Ai Market Data Incremental Refresh





tag 1021-MDBooktype

Valid values is: 2 – Price Depth View

EBS Ai will not support:

  • 1101 - Spread View
  • 1102 - Amount View
  • 1103 – Full Amount View
tag 20203-MDLastIncrementalRefresh

Market Data End of Interval Handling

tag 269-MDEntryType

Valid values are:

  • 0 = Bid
  • 1 = Offer
  • 2 = Trade (paid, given)  (Not applicable for Direct pairs)
  • w = EBS Best Offer
  • x = EBS Best Bid

EBS Ai will not support:

  • y = Reference rate
tag 1300-MarketSegmentID

Valid values are:

“Fixing”
“Standard”

EBS Ai will not support "FixingOffset” and “SwapOffset”

tag 276-QuoteCondition

Valid values is 1000 - No market activity

EBS Ai will not support 1001=No data available

tag 12008-SettlType2

This tag will be deprecated and will not be present on Incremental Refresh messages.

EBS Ai Order Submit Request

tag 461-CFICode

Valid values are:

  • RCSXXX = SPOT
  • FFCNNO = NDF

EBS Ai will not support FFCNNW = NDF Swap (NDS)

tag 1300-MarketSegmentID

Valid values are:

“Fixing”
“Standard”

EBS Ai will not support "FixingOffset” and “SwapOffset”

tag 1084-DisplayMethod

tag 12008-SettlType2

tag 12014-Points

tag 20112-IcebergHigh
RandomTime

tag 20405-ExecRegion

EBS Ai will not support these tags.
EBS Ai Order Submit Responsetag 1084-DisplayMethod

EBS Ai does not support random replenishment quantity on iceberg orders.

Always set value to 1 on Order Submit Response

tag 20112-IcebergHigh
RandomTime
EBS Ai will not support this tag.

tag 31-LastPx

tag 32-LastQty

These tags are not required when ExecType=F and OrdStatus=2. 
EBS Ai Order Amend Request

tag 12008-SettlType2

tag 12014-Points

EBS Ai will not support these tags.

EBS Ai Order Interrupt Response

tag 12008-SettlType2

tag 12014-Points

EBS Ai will not support these tags.
EBS Ai Trading Session Status and Date Updates

tag 193-SettlDate2

tag 12008-SettlType2

tag 12013-MaturityDate2

These tags will be deprecated and will not be present on Trading Session Status messages.
tag 340-TradSesStatus

Valid values are:

  • 2 = Open
  • 3 = Closed
  • 1006 = Trading Day Update
  • 1007 = Value Date Update
  • 1008 = Trade Date Update

EBS Ai will not support the following values:

  • 1000 = Credit Available
  • 1001 = Credit Low
  • 1002 = Credit Exhausted
  • 1003 = EBS Up
  • 1004 = EBS Down
EBS Ai Trade Capture ReportTag 423-PriceType

Valid values are:

101 - Fixed Rate 

102 - Waiting for fixing

EBS Ai will not support:

100 - Reference Rate

103 - Fixed price

Tag 573-MatchStatus

Valid Values are:

0 = Done

2 = Confirmed

X = Fixed

Z = Pending, awaiting conclusion

EBS Ai will not support

1 = Unverified

Z = Unknown

tag12015tag12015 = always the same as the Fixing rate.

tag 12016

tag 193

tag 1200

tag 12013

tag 9995

Deprecated


EBS Ai Messaging Inbound/Outbound

FIX Messages
EBS Ai Request FIX MsgEBS Ai ResponseFIX Msg
Logon

FIX Session Logon Request

A

FIX Session Logon Response

A

Logon Request

BE

Logon Response

BF

Trading Session List

BJ

Application Logoff Request

BE

Logoff Response

BF

Market Data

Trading Subscribe

Market Data Subscribe


V

Subscribe Response (snapshot/full refresh)

W

Subscription Rejection

Y

N/A


Incremental updates (following the initial subscription)

X

Market Data Unsubscribe request (no response needed)

V

N/A


Orders

Order Submit request

D

Execution Report

8

N/A


Execution report (generated by changes to Order Status)

8

Order Amend

G

Execution Report (with status)

8

Order Cancel/Replace Reject

9

Order Interrupt

F

Execution Report (with status)

8

Order Cancel Reject

9

Interrupt All

q

Execution Report (with status)

8

Trades

N/A


Trade Capture Report (generated by the execution of a trade)

AE

Trade Capture request (query) 

AD

Trade Capture report 

AE

Request Failed 

AR

Session

N/A


Session Message (initiated by session events)

h




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