The Lab

Expand all   Collapse all

Versions Compared

Old Version 5

changes.mady.by.user Matthew Whitaker

Saved on

compared with

New Version 6

changes.mady.by.user Matthew Whitaker

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.
Comment: Published by Scroll Versions from this space and version 1.4.9

Table of Contents

...

Change Summary

section
Warningnote
titleDiscretionary Change

Go-live Date

13th

:  August 13, 2023

  • Effective Sunday, August 13, 2023 (trade date Monday, August 14, 2023), 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.

  • This is an optional change for clients with a discretionary impact on their existing Whisperer implementation.
  • Additional details on impacted products, timelines and new attribute value availability can be found in the EBS Size Priority Matching Client Impact Assessment.

Whisperer Client Impact

Pricing (
Warningnote
titleContext
Discretionary Impact

Size-priority matching is initially applicable to FXNDF.USD/TWD.1M, FXNDF.USD/TWD.1M_SEF and FXSPOT.USD/HKD instruments only. 

For clients not trading these instruments, or for clients not interested in making use of the new match algorithm, no changes are necessary.

Change Details

Pricing

Affected venues: ebs_market_mdp3_sbe & ebs_market_mdp3_sbe_udp

...

:

  • Clients will receive

...

  • new BodyPassthruKey values in SecurityStatus

...

Trading (ebs_market_ilink3_sbe):

  • messages:  MatchAlgorithm and SizePriorityMinQty.
  • MatchAlgorithm will be set to SizePriority for in-scope instruments, not populated otherwise.
  • SizePriorityMinQty will contain

...

  • the minimum order quantity required to qualify for Size-Priority Matching.

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

Trading

Affected venue: ebs_market_ilink3_sbe:

  • Clients will receive a new BodyPassthruKey value in ExecutionReport messages: PriorityIndicator.
  • PriorityIndicator will be set to either LargeOrderSizePriority or StandardOrderSizePriority.
  • The existing FillYieldType BodyPassthruKey will have a new BodyPassthruValue, LargeOrderSize, published for eligible orders.
  • Refer to Passthru Fields for further details.

Documentation

Attachments

...

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.

...