EBS Market on CME Globex Market Functionality

This topic describes market functionality for EBS Market's central limit order book and eFix Matching Services on the CME Globex platform. Products are on the CME Globex platform. 

CME Globex Services Schedules for EBS Market and eFix

Clients can connect and begin logging in to CME Group services starting 10:00 a.m. Central time (CT) Sundays, before the first market open. 

Clients must logout and disconnect from all services at 5:00 p.m. CT on Fridays, after the last market close for the week.

CME Group internal testing in the Production environment can occur during the weekend. Any trades or market data generated during these tests should be disregarded.

Getting Started with CME Group Services

This section provides an overview of current CME Group services that are used for EBS Market including eFix Matching on CME Globex. If you are new to CME Group services, CME Group recommends starting here.

Contents

Revision History

Testing and Certification

Functional certification via the AutoCert+ tool is mandatory for client systems accessing the following CME Group API services for EBS:

• iLink 3 for Convenience Gateways (CGW)
• iLink 3 for Market Segment Gateways (MSGW)
• Drop Copy
• MDP 3 services

EBS Market on CME Globex Services

See the full list of client services for EBS Market and eFix Matching Service on CME Globex.

Regional Deployments for EBS Market and eFix Matching

EBS Market and eFix Matching products trade in one of two distinct regions. Shared Services are available in the Chicago DC3 data center.

Each product is available for trading in a single location.

Shared Services includes Global Credit Limits, Data Insights Spectrum market data and EBS CPT post-trade service.

Products	Primary Region	Backup Region	Trading Engine	MSGW	CGW	MDP 3	Drop Copy	Shared Services
New York FX Spot New York Metals	Equinix Secaucus NY5	Equinix Slough LD4.2
London FX Spot London NDFs	Equinix Slough LD4.2	Equinix Secaucus NY5
None	Tokyo TY3	N/A				Conflated TCP Credit Screened only
None	Chicago DC3	New York - Vesey				Data Insights Spectrum only

The trading engines, MSGWs, CGWs, Market Data services and Drop Copy Gateways are physically located in the Primary Region for production and the Backup Region for Disaster Recovery.

Products

EBS products are available from CME Globex. Additional information is available in the EBS Product Overview topic.

Notional Quantity 

EBS instruments on CME Globex trade in Notional Quantity terms. Order entry via iLink 3, all market data, and Product and Instrument records on Reference Data API v2 reflect notional terms for all quantity fields and attributes. All other instruments on CME Globex use contract or lot terms.

Detailed information on the Notional Quantity handling for each API is available in the Client Impact Assessments for each interface.

Self-Match Prevention

For EBS Market and eFix Matching, the CME Globex-style Self-Match Prevention is supported with the following changes:

• SMP IDs
  • 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
• SMP Instructions are not supported
• In the event of a self-match event, the arriving order will trade around any resting order(s) with the same SMP ID.
  • If arriving order is a Good For Session order, and does not fully trade, the remaining quantity will rest on the book at the same or better price level as the resting order(s). Market data will reflect the crossed book.

SMP Features by Access Method

In-Flight Mitigation

EBS Market and eFix Matching leverage CME Globex-style In-Flight Mitigation. 

In-flight mitigation (IFM) is an optional feature on CME Globex that allows client systems submitting cancel/replace messages to prevent overfilling in the event that the original order is filled while the cancel/replace message is being processed.

For example, with IFM enabled, if an order for 10 is filled for 2 prior to being replaced with an order for 5, the new order on the book will only be for 3. With IFM disabled, the new order will go on the book as 5.

CME Globex customers who want to use the IFM Cancel/Replace functionality must explicitly indicate their choice in the first Cancel/Replace messages by including Tag 9768=1.

See full details and a video on CME Globex-style IFM.

Market Integrity Controls

The following Market Integrity Controls are supported for EBS Market and eFix Matching on CME Globex:

• Automated port closure
• Messaging controls (rolling 3 seconds)
• Cancel on Disconnect
• Cancel on Conclusion
• Maximum and Minimum Order Sizes
• Kill Switch
• Price Banding
• Unexecuted Order to Transaction Ratio

Unexecuted Order to Transaction Ratio

EBS calculates the ratio of unexecuted orders to transaction for each of its NDF participants at the end of every trading session in both (i) volume terms and (ii) number terms:

• Volume terms: (Total volume of orders/Total volume of transactions) - 1
• Number terms: (Total number of orders/Total number of transactions) - 1

Unexecuted orders to transaction ratios are monitored against the maximum thresholds set out in the below table, which have been determined taking into account the nature and liquidity of NDFs instruments on the EBS and normal trading patterns.

These thresholds are subject to ongoing review and calibration. Participants will be notified via the appropriate channels of any changes to these thresholds.

Institutional Prioritization Match Algorithm

The Institutional Prioritization algorithm is a two allocation FIFO algorithm that provides matching priority to Globex Firm IDs (GFIDs) in the same Institution Group.  The first FIFO allocation fills the Institutional Group the aggressing order is associated with. The second pass allocation matches orders without an Institutional Group association.  The Institutional Prioritization algorithm uses time as the only criteria for filling an order for each FIFO pass. An order loses order priority and is re-queued if the order modified with an increase in quantity.  The Institutional Prioritization Algorithm is denoted on the MDP Security Definition Message (35=d) via tag 1142-MatchAlgorithm=V .

Institutional Prioritization Example

In the example below, an aggressing bid order first fills offer orders within the same Institution Group.  In the second allocation, the remaining aggressor bid quantity  fills orders that are not within the Institution Group.

Orders in the Market 

Allocation 1 - Institution Group Fills

For the first allocation, the orders with the same Institution Group (BB1 & BB2) as the aggressor (BB3) are filled.

Allocation 2 - Resulting Orders in the Market 

Next, the offer for AAA, which is not part of the aggressor Institution Group, is reduced from 10 to 3.