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Table of Contents

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Warning
titleGo-live Date

13th August 2023

Effective Sunday, August 13 (trade date Monday, August 14), CME Reference Data API will be enhanced to support EBS Size Priority Matching. EBS Market on CME Globex will offer a new match algorithm, Size Priority Matching, which prioritizes Large Order Size (LOS) orders to be matched before smaller orders.

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Whisperer Client Impact

Warning
titleContext

Whisperer clients will receive PriorityIndicator as a BodyPassthruKey in ExecutionReport. PriorityIndicator value can be LargeOrderSizePriority or StandardOrderSizePriority.

A new FillYeildType value LargeOrderSize will be published for eligible orders as a BodyPassthruValue in ExecutionReport.

Aforementioned behavior is applicable for FXNDF.USD/TWD.1M, FXNDF.USD/TWD.1M_SEF and FXSPOT.USD/HKD products.

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Change Overview from CME

EBS Size Priority Matching

Effective Sunday, August 13 (trade date Monday, August 14), CME Reference Data API will be enhanced to support EBS Size Priority Matching. EBS Market on CME Globex will offer a new match algorithm, Size Priority Matching, which prioritizes Large Order Size (LOS) orders to be matched before smaller orders.

Additional details on impacted products, timelines and new attribute value availability can be found in the  EBS Size Priority Matching Client Impact Assessment.