MDP 3.0 - Trade Embargo Processing for ON-SEF NDF Instruments

On-SEF NDF instruments implement an embargo rule for trade messaging (tag MDEntryType-269=2). The embargo sends trade information during a conflation interval at a minimum of 400 milliseconds after the trade occurs. Consequently, tag 60-TransactTime for trade messages may not be sequential with other messages. Trade cancels and trade adjustments are also subject to the embargo delay. Trades subject to the embargo rule are not flushed for non-conflated messages. On-SEF instruments can be determined via the CME Reference Data API Version 3 product attribute onSef. For embargo trades, tag 5799-MatchEventIndicator values keep the pre-embargo value. 

Example 1 - Trade Update for Instrument

In the example below, a trade and book update occur for an On-SEF NDF instrument. The trade message is sent after the 4th conflation interval due to the trade embargo rule.

Example 2 - Multiple Updates for an Instrument

In the example below, a trade and book update occur for an On-SEF NDF instrument. A second book update occurs and is sent before the initial trade update. The trade message is sent after the 4th conflation interval due to the trade embargo rule.

Example 3 - Non-Conflated Message Flush

In this example, a non-conflated pass through Security Status (tag 35-MsgType=f) message is sent. Consequently, all conflated messages are flushed except the trade update due to the embargo rule.