This topic provides information on CME FX Spot Plus (CME FX Spot+) for futures markets.

CME FX Spot+ is a tradable FX spot instrument leveraging CME FX Link liquidity to bring together OTC spot FX and FX futures.

FX Spot+ uses FX Link and Globex implied functionality to connect liquidity across FX futures, FX Link, and FX Spot+. CME FX participants are able to expand access to OTC spot liquidity within an open, transparent, central limit order book.

Contents

Overview

The new FX Spot+ instruments are separate from the EBS Spot instruments:

• Support FX Spot+ CLOB order entry based in notional term

• Support implied functionality across each related FX Link spread, FX Spot+, and FX futures

• New CME MDP User Datagram, Protocol (UDP) Channel 

Connectivity and Access Model

FX Spot+ connectivity and access for order entry and market data are accessible via the standard CME network gateways and connectivity options. CME futures customers can choose to access FX Spot+ markets through the MSGW or CGWs, which route through the MSGWs.

Convenience Gateway

CME customers are able to leverage the existing CME CGWs for trading the FX Spot+ instruments.

Market Segment Gateway

MSGW provides the fastest route for order entry access to the FX Spot+ matching engine, only available over CME networks. 

Client system messaging must specify the market segment for order entry routing. Market Segment ID 88 is defined in tag 1300-MarketSegmentID in the MDP Security Definition message for each FX Spot+ instrument.

Order Entry Service Gateway 

CME customers can use an existing Order Entry Service Gateway (OESGW) to register administrative information:

• No new iLink session is required.

• Customers can use the same iLink 3 session session to connect to the OESGW, and submit Party Details Definition Request messages.

For CGW session, use OESGW "6" to pre-register for FX Spot+ market.

• <marketsegment id="6" label="Globex OESGW for all CGWs">

For MSGW session, use OESGW "12" to pre-register for FX Spot+ market.

• <marketsegment id="12" label="Order Entry Service Gateway ">

New CME FX Spot+ MBO/MBP UDP Channel 

CME FX Spot+ MBO/MBP Real-time Market Data Channel:

• Supported over existing CME network gateways and connectivity circuited access.

• FX Spot+ market data disseminated in notional terms.

• The market data info follows futures-style market data except where noted in the MDP 3.0 Market Data section.

The market data configuration information for the CME FX Spot+ channel are added as follows:

FTP: https://www.cmegroup.com

SFTP: sftpng.cmegroup.com

For additional information on accessing the configuration file, please review the MDP 3.0 - Support services page on the Client System Wiki.

Product

The FX Spot+ tradable instruments are available for select currency spreads.

Product Attributes

Symbol

The FX Spot+ instrument name (MDP 3.0 tag 55-Symbol) remains the same as the current FX Link Spot leg instrument name.

Contract Size

The FX Spot+ contract size (MDP 3.0 tag 1147-UnitOfMeasureQty) is modified to "1" to reflect the change to notional quantity.

Currently, tag 1147 values are suppressed in the FX Link Spot leg Security Definition.

Minimum Order Size/Minimum Order Increment

The FX Spot+ Minimum Order Sizes (MDP 3.0 tag 562-MinTradeVol) and Minimum Order Increments (MDP 3.0 tag 1231-MinLotSize & tag 1093-LotType = 5) are specified in notional terms.

An FX Spot+ order or order modification submitted with a quantity less than the minimum order size are rejected with a reason code indicating the required minimum order size was not met and specifies the minimum order size.

Maximum Order Size

The FX Spot+ Maximum Order Size (MDP 3.0 tag1140-MaxTradeVol) varies by product, but are set lower than the EBS Spot Max Order Sizes.

Minimum Order Cancel Threshold

An order cancel threshold notional value is established and initially equal to the minimum order increment per each FX Spot+ instrument. 

In the event of a partial fill with remaining quantity less than the auto-cancel threshold notional, CME Globex cancels the remainder. Upon cancellation, CME Globex sends an unsolicited Order Cancel Acknowledgment message (tag 35-MsgType=8, tag 39-OrdStatus=4) with tag 378-ExecRestatementReason=108 (Cancel due to resting order quantity less than minimum order size).

The auto-cancel threshold attributes are added to CME Reference Data API Version 3.

Minimum Price Increment

There are differences in the FX Spot+ minimum tick used in FX Link spread to FX Link spread trades, and the minimum tick in FX Spot+ outright and implied trading. 

• Minimum Tick FX Spot+ traded as Outright/Implied Trading is sent in tag 969-MinPriceIncrement in the MDP 3.0 Security Definition (35=d) message.

• Minimum Tick for FX Spot+ leg from FX Link Spread Trading is added to CME Reference Data API Version 3.

Price Precision

Tag 2349 - PricePrecision is sent in the MDP3 Security Definition (35=d) message to specify price decimal precision for FX Spot+ instruments.

Currently, tag 2349 values are suppressed in the FX Link Spot leg Security Definition.

Display Factor

Tag 9787-DisplayFactor is set to 1 in the MDP3 Security Definition (35=d) message for FX Spot+ instrument to use the real economic price in CME Globex.

Additional Considerations

Notional Quantity

FX Spot+ instruments on CME Globex trade in notional terms. iLink Order entry, MDP 3.0 Market Data, and Product and Instrument records on Reference Data API v3 reflect notional terms for all quantity fields and attributes.

Base and Settlement Currency

The values for FX Spot+ tag 15-Currency and tag 120-SettlCurrency in the MDP 3.0 Security Definition (35=d) message is switched to be consistent with EBS FX Spot.

Security Exchange

Tag 207-SecurityExchange value "GLBX" is sent for the FX Spot+ instruments in the MDP 3.0 Security Definition (35=d) message.

Tag 167-SecurityType value "FXSPOT" for the FX Spot+ instruments is populated for iLink and MDP 3.0 Security Definition (35=d) messages.

Security Group

Each FX Spot+ tradable instrument is populated with a new group code (MDP 3.0 tag 1151-SecurityGroup).

Trading Schedules

The FX Spot+ Trading Schedules are as follow, except the New Zealand Dollar/US Dollar (NZD/USD). 

FX Spot+ Matching

Match Algorithm

A FIFO algorithm is applied for matching occurring within FX Spot+ order books. There is no change to the existing match algorithm of the FX Link spread and FX futures books.

Central Limit Order Book (CLOB)

FX Spot+ CLOB orders can directly match against each other. Liquidity across order books is supported by implied functionality.

FX Spot+ implied orders are created by related liquidity from FX futures customer orders and FX Link customer orders.

Self-Match Prevention

Standard CME Globex Self-Match Prevention (SMP) is available for FX Spot+ instruments.

See also the SMP Frequently Asked Questions section.

Matching Priority

FX Futures 

FX futures implied OUTs are sourced from two different implied trading units: 

• Customer orders from the FX futures + FX Calendar Spreads

• Customer orders from FX Link Spread + FX Spot

Within the FX futures order book at a given price--if there are both customer orders and implied orders--then an aggressing FX futures order matches against those orders in the following sequence: 

• 1st matching = all customer resting FX futures orders

• 2nd matching = all implied orders generated from customer orders in FX futures and FX Calendar spreads

• 3rd matching = all implied orders generated from customer orders in FX Link Spread and FX Spot+ orders

FX Spot+ 

For FX Spot+ outright trades, the match quantities must be in notional amounts to the dollar in Base Quantities regardless whether currency pair is inverted or non-inverted. 

For example:

• Quantities in EUR/USD can be matched to 1 EUR (non-inverted pair)

• Quantities in USD/CAD can be matched to 1 USD (inverted pair)

For FX Spot+ implied trades, the match quantities are in notional contract equivalents, as determined by the related FX Link Spreads and FX futures contracts.

Quantity calculations:

1. Non-Inverted currency pair

   1. Base Notional = contract unit * contract qty

   2. Quote Notional = Base Notional * FX Spot+ price

   3. Non-Inverted FX Spot+ example

      1. Buy 5 EUR/USD FX Spot+ contract equivalents @ $1.23401 from an implied match

      2. 1 EUR/USD futures contract unit = 125,000 Euro

      3. FX Spot+ Base Notional = 625,000 EUR (or 125,000 Euro contract unit * 5 contract qty)

      4. FX Spot+ Quote Notional = $771,256.25 (or 625,000 Euro * $1.23401) 

2. Inverted currency pair

   1. Quote Notional = contract unit * contract qty

   2. Base Notional = Quote Notional / FX Spot+ price

   3. Inverted FX Spot+ example

      1. Buy 10 USD/CAD contract equivalents @ C$1.259031 from an implied match

      2. 1 CAD/USD futures contract unit = 100,000 Canadian dollars

      3. Quote Notional = 1,000,000 Canadian dollars (or 100,000 Canadian dollars * 10 contract unit) 

      4. Base Notional = $794,261.62 (or 1,000,000 Canadian dollars / $1.259031) - See next section on rounding

FX Spot+ Execution Report

When FX Spot+ is traded as outright or implied, iLink 3 Fill Quantity and Remaining Quantity are disseminated in notional terms, not in contracts. 

• Fill Quantity (tag 32-LastQty) is always rounded UP on fills to the integer amount.

• Because of the rounding up on Fill Quantity, the Remaining Quantity (tag 115-LeavesQty) is rounded down from each fill.

The Remaining Quantity (tag 115-LeavesQty) is calculated based upon the rounded notional quantity on the Fill Quantity (tag 32-LastQty).

For example:

Given:

A 10 lot USD/CAD FX Link order and a 700K FX Spot+ order @ 1.30001 generate an implied order for 9 lots in the CAD FX Futures order book.

When:

Aggressing for 2 lots hits the CAD FX Futures order book.

Then:

The FX Spot+ implied quantity traded would be calculated as (2*100,000)/1.30001=153,844.97 and would be rounded up to 153,845.

FX Spot+ Execution Report:

• LastQty (tag 32) = 153,845

• LeaveQty (tag 115)=546,155 (700,000 - 153,845)

• GrossTradeAmt (tag381)=153,844.97

• CalculatedCcyLastQty (tag 1056) =200,000

FX Spot+ Fill execution reports include the actual Base and Quote quantities for settlement in notional amounts, rounded to the nearest "penny" (two decimal place equivalent in corresponding currencies), as is the case for FX Link fills.

FX Spot+ Fill Execution Reports also include trade date/value (settlement) date information.

FX Spot+ Implied Functionality

Implied functionality provides liquidity between FX Spot+, FX Link Spread, and the related FX futures market. An instrument is implied-eligible if the market data Security Definition message (tag 35-MsgType=d) contains tag 872-InstAttribValue bit 19-Implied Matching Eligible=1.

Both Implied IN and Implied OUT orders are available. Implied orders are allowed in FX Spot+ by combining FX futures and FX Link resting orders. Only the following combinations are supported:

• FX Spot+ implied order = FX futures customer order + FX Link customer order (blue arrow in below diagram)

• FX Link implied order = FX futures customer order + FX Spot+ customer order (green arrow in below diagram)

• FX futures implied order = FX Spot+ customer order + FX Link customer order (red arrow in below diagram)

Implied Quantity 

FX Spot+ Instruments

FX Spot+ instruments only trade in notional quantity terms.

• The implied notional value is always rounded-up to the closest single unit notional value (always "1" unit).

• A FX Spot+ implied order is only created if its implied notional value is equal to or greater than the FX Spot+ instrument's minimum order size, which is defined as a notional value. 

  • For Example:

    • FX Spot+ Minimum Order Size = 200,000 notional

    • FX Spot+ implied order only created when its notional value is > or = 200,000

FX Futures and FX Link Instruments

FX futures and FX Link instruments only trade in contract quantity terms.

• The implied contract quantity is always rounded down to a positive contract integer increment.

• The implied contract quantity can be less than the contract's standard order minimum size.

Implied OUT Notional Rounding for Inverted

As the quantity fields in MDP are integers, the MDP FX Spot+ Implied out notional quantity from the spread must be rounded. To ensure enough quantity is available to match, the notional quantity on implied orders out from the inverted FX link spreads for the FX Spot+ leg is always rounded up to the nearest whole integer (1 USD, EUR, etc.).

Example:

• 10 Contracts implied out USD/CAD FX Link Spread, FX Spot+ implied price 1.31002

• 10 Contracts = 1,000,000 CAD at price 1.31002 is converted to USD Notional

• 1,000,000 / 1.31002 = 763,347.12

• Round up Implied Out Notional Quantity = 763,348 USD

Implied CLOB Price Rounding 

The calculated Implied IN or OUT can be off-tick due to differing product tick granularity and/or converting contracts to notional or vice versa.

Regardless of contracts or notional:

• Off-tick bid prices are rounded down and published to the nearest on-tick value.

• Off-tick ask prices are rounded up and published to the nearest on-tick value.

• MDP 3.0 Trade Summary is always published on-tick.

Implied Spread Price Improvement

• There is a match event price improvement when an aggressing order matches against a rounded implied price.

• FX Link Spread receives price improvement.

Match Event Price Benefit Overview

Example - FX Link Spread Price Benefit

The below diagram shows all market prices in the economic prices.

Open

FX Spot+ API and Message Impacts

CME Reference Data API Changes

To support the FX Spot+, the following attributes are added to CME Reference Data API Version 3: 

iLink Order Entry

With the FX Spot+ launch, the order entry messaging impacts include:

Supported Order Types & Order Qualifiers

The following order types and order type qualifiers are supported:

Order Types (tag 40-OrderType)

• OrderType=1 (Market order with protection)

• OrderType=2 (Limit order)

• OrderType=3 (Stop order with protection)

• OrderType=4 (Stop limit order)

• OrderType=K (Market limit order)

Order Type Qualifiers (tag 59-TimeInForce)

• TimeInForce=0 (Day)

• TimeInForce=3 (FAK)

The following fields are required for FX Spot+ orders:

• tag 1693-PartyDetailRole=24 (Customer Account)

• tag 582-CustOrderCapacity

• tag 1816-ClearingAccountType

• tag 1031-CustOrderHandlingInst

• tag 9537-Location

Binary Trade Reporting

To reconcile the order entry iLink trade messages to the corresponding STP Trade Capture Report messages, FX Spot+ trades support binary trade reporting (i.e., child trades) on the following messages: 

• iLink Execution Report - Trade Outright

• iLink Execution Report - Trade Spread Leg

The repeating fields of the NoOrderEvents (tag 1795) repeating group are populated with the following values.

Trade Cancellation and Trade Correction

FX Spot+ supports Trade Cancellation and Trade Correction.

If CME Global Command Center (GCC) amends or cancels a FX Spot+ trade, GCC implements the trade correction or cancellation via parties to the transaction, their prime brokers, and the Central FX Prime Broker. Client applications do not receive iLink Trade Cancellation and Trade Correction messages for FX Spot+.

Not Supported Functionalities

The following functionality are not be supported for FX Spot+:

• Security Definition Request

• Mass Quote and Quote Cancel

• Cancel on-behalf 

• Display Quantity Orders

MDP 3.0 Market Data

A new Simple Binary Encoding (SBE) incremental schema version 13 are used on the new FX Spot+ market data channel 330.

The following new templates are used on the new FX Spot+ market data channel 330. 

FX Spot+ instruments have the following market data considerations.

Market data messaging for FX Spot+ products are standard CME market data except where noted.

Summary of Security Definition - Field Changes from Pre-Launch to Production Launch

Security Definition

The following changes are added to FX Spot+ security definition (35=d) template in the new SBE schema version 13.

• Tag 1147-UnitOfMeasureQty is specified as 1 to reflect trading in notional value.

• Minimum Order Size (tag 562-MinTradeVol), Maximum Order Size (tag 1140 - MaxTradeVol), and Minimum Order Increment (tag 1231-MinLotSize & tag 1093-LotType = 5) are specified in notional terms in the security definition message.

Market States

With the exception of the pre-open state, the market schedules are synchronized across FX futures, FX Spot+ and FX Link spreads for most currency pairs, except the New Zealand Dollar/US Dollar schedule.

Pre-Open

1. FX Spot+ market do not have a Pre-Open state to be consistent with the existing EBS Spot market – Open and Close are the only eligible market states.

2. An Indicative Opening Price (IOP) is calculated for the FX futures and FX Link Spread Markets, but is not calculated for Spot+.

Open

1. An Opening Price match calculation is supported for FX futures and FX Link Spread, inclusive only of customer orders in each of the markets, with the applicable trades occurring at the open.

2. No opening price match calculation occurs for FX Spot+, with new orders being accepted only after the Open.

Continuous Trading, Implieds and Matching 

1. After the opening, matches occur and ongoing as the market remains open.

2. Implieds are created within the FX futures, FX Spot+ and FX Link spread CLOBs.

   1. Implied ON/OFF - MDP 3.0 Security Status messages (tag 35-MsgType = f ) is sent for Implied matching state.

Close

• Close for the date. 

• Day orders are eliminated.

Summary of FX Spot+ Group and Instrument Security Status 

Order Book Dissemination

FX Spot+ supports Market By Order (MBO) and 10-Deep Market by Price (MBP) via the Market Data Incremental Refresh (tag 35-MsgType =X) message with tag 269=0 (Bid) or 1 (Offer).

Only 3-deep book is disseminated for FX Spot+ Implied books via the Market Data Incremental (tag 35=X) message with tag 269=E (Implied Bid) or F (Implied Offer). Implied book depth is designated on the Security Definition Message (tag 35-MsgType=d) via tag 1022-MDFeedType=GBI.

Trade Summary

With this launch, FX Spot+ trade quantity (tag271=MDEntrySize) in the Trade Summary market data entry (tag 269-MDEntryType=2) is sent in notional terms on the new CME MDP UDP Channel 330. 

• Summary Level repeating groups (1st repeating group)

  • Trade price (tag 270-MDEntryPx)

  • Trade quantity (tag 271-MDEntrySize)

  • Number of orders (tag 346 - NumberOfOrder)

  • Aggressor side (tag 5797 - AggressorSide) 

  • Trade reference id (tag 37711-MDTradeEntryID)

• Order Detail repeating group (2nd repeating group)

  • Order Id (tag 37-OrderID)

  • Quantity filled (tag 37-LastQty)

Electronic Trade Volume 

The updates to FX Spot+ electronic volume are disseminated on the new CME FX Spot+ MDP UDP channel 330.

• Electronic Volume (in notional Term)

Session Statistics 

FX Spot+ Session Statistics supports:

• Indicative Opening

• Opening Price

• High Bid and Low Ask

• Session High and Low Trade Price

• Session Statistics Reset

Daily Statistics

The following Daily Statistics are not supported:

• Cleared Volume

• Fixing Price

• Settlement Price

• Open Interest