To trade EBS products on the CME Globex platform customers must implement the order entry functionality described in this topic, and, if applicable, the market data functionality described in CME MDP 3.0 Market Data. Customers with this functionality in place can refer to the EBS-specific functionality described in this topic.  

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Market Access

EBS Market on CME Globex is available through iLink Binary Order Entry on dedicated iLink Architecture. Customers can choose to access EBS Market through the MSGWs directly, or the CGWs, which route customer orders to the appropriate MSGWs.

For an order submitted over an iLink Convenience Gateway, that order will be routed to the dedicated Market Segment Gateway to the CME Globex matching engine supporting the given instrument.

Orders for EBS Market products can also be submitted over the Market Segment Gateway directly to the matching engine supporting the given instrument.

Convenience Gateway

The CGW provides a single point of order entry for all EBS Market instruments regardless of matching region.

All orders are routed to the MSGW in the matching region.

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Market Segment Gateway

• Provides the fastest route for order entry for instruments in the local region over a dedicated MSGW.

• Orders are not routed to the matching region. An order submitted for an instrument not matched locally will be rejected.

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EBS Market trades on one of the two distinct regions. Each product is available for trading in a single location.  

The MSGWs and CGWs are physically located in the Primary Region for production and the Backup Region for Disaster Recovery.

• The New York and London regions each support both MSGW and CGW, while the Tokyo location only supports CGW.

• The New York and London CGWs route orders to either New York or London.

• The Tokyo CGW routes orders to either New York or London.

Both EBS CGW and MSGW sessions use the iLink Binary Order Entry messaging protocol.

EBS Market

EBS Market includes Central Limit Order Book (CLOB) and eFix Matching.

Order Entry Service Gateway

The Order Entry Service Gateway (OESGW) is the means for customers to register administrative information.

OESGW market segment semantics are:

<marketsegment id="8" label="EBS CGW Order Entry Service  Gateway">

<marketsegment id="18" label="EBS NY Order Entry Service Gateway">  

<marketsegment id="20" label="EBS London Order Entry Service Gateway">

• If the EBS customer opts for on-demand administrative information to MSGW, they do not need to support OESGW.

• If the EBS customer opts to pre-register their administrative information, they MUST use the same iLink session to connect to the Service Gateway using FIXP protocol, and submit Party Details Definition Request messages as follows:

  • For CGW session, use OESGW "8" to pre-register for all EBSM and eFIX markets

  • For  MSGW session, 

    • Use OESGW "18" for “New York FX Spot and New York Metals”

    • Use OESGW "20" for “London FX Spot and London NDFs”

Product-Specific Features

Customers developing applications to trade EBS products on the CME Globex platform must be aware of the EBS features described below.  

Notional Quantity

FX markets are usually quoted and market data disseminated in Notional terms.

• In all Execution Report - Fill messages the notional values are calculated as follows:

  • Base Currency Notional (tag 381) = LastQty (tag 32) 

  • Counter Currency Notional  (tag 1056) = LastQty (tag 32) x LastPx  (tag 31)

  • Contra Base Currency Notional (tag 5542) = OrderEventQty (tag 1800)

  • Contra Counter Currency Notional (tag 5971) = OrderEventQty (tag 1800) x OrderEventPrice (tag 1799) 

• All of these tags in the New Order Single and Order Cancel Replace Request messages contain notional values instead of lot size:

• All of these tags in the following Execution Report messages contain notional values instead of lot size:

The following new fields have been added to the Execution Report Trade Outright - Fill message to support Spot FX and NDFs:

• GrossTradeAmt (tag 381) – Notional in base currency

• CalculatedCcyLastQty (tag 1056) – Notional in counter currency

• ContraGrossTradeAmt (tag 5542) in NoOrderEvents (tag 1795) repeating group

• ContraCalculatedCcyLastQty (tag 5971) in NoOrderEvents (tag 1795) repeating group

New tags added to support notional amounts:

New tags for notional amounts added to the NoOrderEvents (tag 1795) repeating group:

Value Date

The following tags in the Execution Report Trade Outright - Fill message support Spot FX and NDFs:

• SettlementDate (tag 64) – Value date

• MaturityDate (tag 541)- Date of maturity

For Spot products, Intervening days = number of business days to value date. (Example: If value date is T+2 then intervening days = 2).

For NDFs, maturity occurs on the fixing date. The tenor must be added to the Spot value date to determine the Settlement Date.

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New Date tags for Spot FX and NDF trades:

EBS Market Order Entry

This section describes iLink functionality for EBS Market.

Supported Order Types & Order Qualifiers

The table summarizes the supported order types and qualifiers for EBS Market on CME Globex:

*On CME Globex an iceberg order is referred to as a Display Quantity order.

Good for Session

The Good for Session (GFS) order qualifier is supported for all EBS instruments. If GFS orders (tag 59-TimeInForce=99) are submitted to CME Globex, these orders will expire at the next instrument Close.

EBS instruments on CME Globex close either daily or weekly.

• Daily close

  • All eFix instruments (at fixing close, shortly before each fixing time)

  • End of Month NDFs, OFF SEF/ON MTF

  • Rolling Dated OFF SEF/ON MTF NDFs

• Weekly close

  • Spot FX

  • Spot Metals

A new value ‘99’ will be added to TimeInforce (tag 59) to support GFS orders:

Fill and Kill (FAK)

A FAK order is immediately executed against any available quantity and any remaining quantity is eliminated.

Example: Fill and Kill (FAK) with Insufficient Credit

If an FAK order can match only partially due to insufficient bilateral credit, then it matches up to the quantity within the credit limit. Any remaining quantity is cancelled and the Execution Report (tag 35-MsgType=8, tag 39-OrdStatus=4) with tag 378-ExecRestatementReason = 104 (Cancel from CME Globex Credit Controls violation)  sent to the client system is for a cancelled order.

• Given - FAK order quantity > available credit and available credit > 0.

• Result - The FAK order would fill as much as possible, then cancel the remaining quantity. 

Fill or Kill (FOK)

A FOK order is either immediately and completely filled against resting orders or eliminated.

Example: Fill or Kill (FOK) with Insufficient Credit

If an FOK order cannot completely match due to insufficient bilateral credit, it is cancelled. When an FOK order is unfilled and the order is cancelled, the Execution Report (tag 35-MsgType=8, tag 39-OrdStatus=4) with tag 378-ExecRestatementReason = 104 (Cancel from CME Globex Credit Controls violation)  sent to the client system is for a cancelled order.

This example shows how an FOK order processes when there is insufficient bilateral credit available to completely fill the order. 

• Given - FOK order quantity > available credit and available credit > 0.

• Result - The FOK order is cancelled with no fills.

Display Quantity Order

EBS Display Quantity orders utilize tag 1138-DisplayQty to control the portion of the order’s quantity that is displayed to the market. The display quantity is the quantity shown to the market as specified by the customer, gradually exposing the remaining quantity until the entire order quantity is depleted.

For EBS Market, a resting display quantity order (tag 1138-DisplayQuantity >0) cannot be modified to a non-display quantity (tag 1138-DisplayQuantity=0), and vice versa.

Price Discretion Order

Price Discretion (PD) allows an order to rest and automatically improve its Limit price for matching opportunity while maintaining a given visible Limit price. For examples please see EBS Price Discretion Scenarios.

A new field has been added the following messages to support Price Discretion:

• New Order Single

• Order Cancel Replace Request

• Execution Report New

• Execution Report Reject

• Execution Report Modify

• Execution Report Cancel

• Execution Report Elimination

• Execution Report Trade Outright

• Execution Report Status 

New tag will be added to support Price Discretion orders:

Maximum Order Size

Customers have the ability to configure maximum order size for each product code across multiple Globex User Signatures (GUS) within the same Globex Firm ID (GFID) in the CME Customer Center.   

Orders with a tag 38-Order Quantity value greater than the maximum order size will be rejected. CME Globex will send a Business Reject (tag 35-MsgType=j) message with tag 380-BusinessRejectReason = 139 and tag 58-Text = Max Order Size Violation Trader:  '<Sender Sub ID>', Order Quantity: <order quantity>breaches Max Order Size Limit: <max quantity>for Product Code: <Product Code>.

Maximum order size functionality is optional. If the maximum order size is not configured for a GUS, the default maximum order size sent in tag 1140-MaxTradeVol from the Security Definition (tag 35-MsgType=d) message will apply.

The maximum order size is enforced for the following message types:

• New Order Single (35=D)

• Order Cancel Replace Request (35-G)

• Request for Quote (35=R)

This feature only applies to EBS Market and eFix Matching Service instruments.

Order Cancel and Cancel/Replace Requests by ClOrdID 

EBS supports cancellation and modification of orders by ClOrdID (tag 11). EBS customers can cancel and/or modify their orders without providing an OrderID (tag 37). 

ClOrdID (tag 11) Uniqueness

To support order cancellation and order modification by tag 11-CIOrdID, this value must be unique per SenderComp (Session ID + Firm ID) on the same market segment when submitting a new order.

For a New Order tag 11-ClOrdID:

• CME Globex will reject an order having the same ClOrdID and SenderComp as a currently working order on the given market segment.

For a Cancel/Replace tag 11-ClOrdID:

• CME strongly recommends that clients do not change the ClOrdID value on a working order, as Minimum Quote Life (MQL) can cause unexpected results. 

  • Example: A resting order can match during a Cancel/Replace MQL "pending" state, and the client will receive a fill for the original Client Order ID.

OrderID (tag 37)

OrderID is an optional tag in Order Cancel and Order Cancel/Replace Request messages for EBS orders.

• If Order Cancel Replace Request or Order Cancel Request contains both CIOrdID and OrderID, OrderID will be used to lookup the original order.

• If ClOrdID in Order Cancel/Replace Request or Order Cancel Request is changed from what was in original order:

  • Customer should send Order Cancel/Replace or Order Cancel Request with the latest CIOrdID accepted by CME Globex.

  • Customer sending Order Cancel/Replace or Order Cancel Request with the previous CIOrdID must provide OrderID as well; otherwise, Order Cancel/Replace will be rejected.

• Execution Report Cancel and Execution Report Modify will return both ClOrdID and OrderID values.

• Order Cancel Replace Reject and Order Cancel Reject will return both ClOrdID and OrderID.

MSGW Safeguards

iLink - EBS on MSGW supports the CME Globex Market Segment Gateway Safeguards, including tag 9553-SplitMsg and tag 7552-DelayToTime. With MSGW safeguards, a Market Segment Gateway (MSGW) iLink EBS session sends a network packet with an incomplete message, that session will be subject to additional processing to ensure the stability of the platform. This processing results in at least 3 microseconds before the message(s) can be sent to the match engine.

CME Globex will enforces the MSGW Safeguards to split inbound iLink messages on a MSGW connection that is routed to the same trading region: 

• London MSGW routing to London Region

• NY MSGW routing to NY Region

CME Globex does not enforce the MSGW Safeguards to split inbound iLink messages on a CGW connection:

• Tokyo CGW routing to London and NY Regions

• London CGW routing to London and NY Regions

• NY CGW routing to the NY and London Regions

For full details, please review the CME Globex Market Segment Gateway Safeguards.

Self Match Prevention

EBS on CME Globex supports standard Self-Match Prevention (SMP), including tag 2362-SelfMatchPreventionID, with Locked Markets.

In the event that two orders from the same SMP ID would match, 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 price level as the resting order(s). Market data will reflect the crossed book. 

• Clients can configure as many Self-Match Prevention IDs as desired. SMP IDs may be shared across GFIDs only if the GFIDs are part of the same Institutional Group.

• Tag 8000-SelfMatchPreventionInstruction are not supported for EBS SMP.

  • if populated on EBS orders, CME Globex will ignore the value in tag 8000.

For complete details, please see the CME Globex Self-Match Prevention topic.

Example 1 - SMP with GFS (Good for Session)

Starting Book

• Firm A submits Sell 50 @1.63 SMP_id XX GFS