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Comment: Published by Scroll Versions from this space and version 1.4.5

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Warning
titleGo-live Date

13th August 2023

Effective Sunday, August 13 (trade date Monday, August 14), The 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

Pricing (ebs_market_mdp3_sbe & ebs_market_mdp3_sbe_udp)

  • Clients will receive MatchAlgorithm and SizePriorityMinQty as a BodyPassthruKey in SecurityStatus

Trading (ebs_market_ilink3_sbe):

  • Clients
Whisperer clients
  • will receive PriorityIndicator as a BodyPassthruKey in ExecutionReport.
 PriorityIndicator value can
  • Associated BodyPassthruValues may be LargeOrderSizePriority or StandardOrderSizePriority.
  • A new
FillYeildType
  • FillYieldType value LargeOrderSize is published for eligible orders as a BodyPassthruValue in ExecutionReport.
In MarketData feed, clients will receive
  • MatchAlgorithm
and SizePriorityMinQty as a BodyPassthruKey in SecurityStatus. MatchAlgorithm
  • is set to SizePriority and SizePriorityMinQty has the minimum order quantity required to qualify for Size-Priority Matching.

Aforementioned The aforementioned changes are only applicable to FXNDF.USD/TWD.1M, FXNDF.USD/TWD.1M_SEF and FXSPOT.USD/HKD products.

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