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Workflow and Supported Messages
The gateway will accept MarketDataRequest and send MarketDataIncrementalRefresh and EndMarker messsages.
After logon the gateway will send SecurityStatus messages as they are received from the venue.
The gateway will send an EndMarket message at the end of the initial batch of SecurityStatus messages to indicate all instruments known at logon time have been sent. Further SecurityStatus messages should be expected during the week for various reasons, including trade date rolls or trading halts.
The MarketDataRequest MDBookType should always be PriceDepth.
The EBS symbol is unique to each security on the EBS venue. The EBS symbol, eg "EUR/USD BFIX 2030 LN", is not the same as the MarketFactory symbol which in this example would be only "EUR/USD".
To determine the EBS symbol the gateway uses the Symbol, SecurityType, LegSettlType and RegulatoryBodies.SEF flag from the MarketDataRequest message for spots and NDFs.
The MarketDataRequest SecurityGroup field, if populated, overrides this and is used directly as the EBS symbol. All mentioned fields expected in the MarketDataRequest are published in the SecurityStatus message corresponding to the given instrument and may be copied from there.
Examples:
...
55=EUR/USD
167=SPT
587=SPT
20021=N N N N N
...
55=EUR/USD
167=SPT
587=SPT
20021=N N N N N
...
55=USD/PHP
167=NDF
587=M1
20021=N N N N N
...
55=USD/PHP
167=NDF
587=M1
20021=N N N N N
...
55=USD/INR
167=NDF
587=M1
20021=Y N Y N N
...
55=USD/INR
167=NDF
587=M1
20021=Y N Y N N
...
on-SEF NDF
(note the MiFID flag is also set based on the information received from EBS however this is not used at the moment)
55=EUR/USD
167=SPT
587=SPT
20021=N N N N N
1151=EUR/USD WMR 0955 TK
| Warning | ||
|---|---|---|
| ||
Scheduled CME UAT maintenance window - every Wednesday 5am-12noon CST. Please refrain from testing during this time as environment may be unstable. |
Workflow
CLOB: MarketData
Supported Instruments
| SecurityType | LegSettlType | MDBookType | MDEntryType |
|---|---|---|---|
| SPT | SPT | PriceDepth | Bid Offer BestBid BestOffer Trade TradePaid TradeGiven |
| NDF | M1, M2, M3 | PriceDepth | Bid Offer BestBid BestOffer Trade TradePaid TradeGiven |
SecurityGroup
The SecurityGroup field is used to discriminate eFix and Precious Metals instruments.
eFix
The SecurityGroup field must be populated as per the format "BaseCCY/TermCCY <Benchmark Fixing details>"
- Eg:
EUR/USD BFIX 1030 LN - Available benchmark fixing details:
| Note | ||
|---|---|---|
| ||
| Not all combinations of Benchmark/fixing time might be available for all instruments. This will be validated at runtime. |
| Note | ||
|---|---|---|
| ||
MarketData subscriptions for eFIX instruments are of limited value, since there is by definition no published book. However the SecurityStatus information does still provide the user with Important SecurityStatus information. |
Precious Metals
Allowed symbol and security group combinations for Metals are as per the table below:
| Metal | Symbol | SecurityGroup |
|---|---|---|
| Silver | XAG/USD | |
| Silver | XAG/USD | XAG/USD SM |
| Gold | XAU/EUR | XAU/EUR SM |
| Gold | XAU/USD | XAU/USD SM |
| Palladium | XPD/USD | |
| Palladium | XPD/USD | XPD/USD LN |
| Platinum | XPT/USD | |
| Platinum | XPT/USD | XPT/USD LN |
55=EUR/USD
167=SPT
587=SPT
20021=N N N N N
1151=EUR/USD WMR 0955 TK
...
MarketDataRequest with SecurityGroup (1151)
this is used to override the EBS symbol irrespective of other fields
however other fields may be validated, eg 55=EUR/USD
The gateway will publish MarketDataIncrementalRefresh messages with multiple MDEntry-s with the following MDEntryTypes:
...
Regulatory Fields
The RegulatoryBodies.SEF flag is used to signal SEF vs non-SEF instruments in SecurityStatus and MarketDataRequest, see examples above. Although the MiFID flag is populated in SecurityStatus messages this flag is currently ignored in MarketDataRequest messages as there are no MiFID exclusive EBS symbols.
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Overview
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