The Lab

Expand all   Collapse all

Versions Compared

Old Version 13

changes.mady.by.user Matthew Whitaker

Saved on

compared with

New Version Current

changes.mady.by.user Sadat Tafader

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.
Comment: Published by Scroll Versions from this space and version 1.5.55

...

Expand


Table Filter
totalrow,,,,,,,,,,,,
hidelabelsfalse
sparkNameSparkline
hidePanetrue
sparklinefalse
defaultebs_market_mdp3_sbe,ExecutionVenue&&OrdType(OrderSession)&&TimeInForce(OrderSession)&&Comments&&client_role&&OrdType (SessionType == Orders)&&target_platform&&TimeInForce (SessionType == Orders)&&OrdType&&TimeInForce
isFirstTimeEnterfalse
cell-width250,250
hideColumnstrue
disabledfalse
enabledInEditorfalse
globalFilterfalse
id1687961833651_-444016852
order0,1
hideControlsfalse
inversefalse,false
columnVenue
disableSavefalse
separatorPoint (.)
labelsVenue‚Hide columns
ddOperatorOR
datepatterndd M yy
updateSelectOptionsfalse
worklog365|5|8|y w d h m|y w d h m
isORAND

Table Excerpt Include
nameSupportedInstruments
merge-tablestrue
pageSupported Instruments
typepage


Please refer to Supported Instruments to view across all venues.

...

The SecurityGroup field is used to identify eFix, FXSpot+ and Precious Metals instruments. If the SecurityGroup is populated on SecurityStatus messages, it will be expected to be populated in all client MarketDataRequest messages.

...

Note
titleLegSettlDate/LegMaturityDate

For products which have an early trade date roll which moves the trade date to the following week, eg, PHP, CME will not publish updated instrument definition until start of the new session on Sunday.

In this case, the LegSettlDate and MaturityDate will be be NULL for these products for the intervening period from the trade date roll to Friday close.


Warning
titleUnknown price updates from EBS

Due to Credit exhaustion, EBS can send a duplicate new price level or a change or a delete event for a price level that did not exist in the book. MarketFactory book manager will handle the unknown updates as described in the table below:

ScenarioEBS MDUpdateAction [to MF]MF MDUpdateAction [to Client]

Duplicate New

Received a New price level from EBS, and EBS failed to send a Delete due to credit issues, followed by a New for the same price level.

NewChange

Unknown Change

MF did not receive the New price level from EBS but received the Change event.

ChangeNew

Unknown Delete

MF did not receive the New price level due to credit issues but received the Delete event for the price that did not exist in the book.

DeleteDropped, not published to client.


Precious Metals

If you wish to trade Precious Metals, you must ensure that you specify the correct Symbol and SecurityGroup combination for the instrument. 

The allowed symbol and security group combinations for Metals are as per the table below:

MetalSymbolSecurityGroupComment
SilverXAG/USDUnpopulatedStandard
Small SilverXAG/USDXAG/USD SMUsed to be traded as SAG/USD prior to EBS migration.
Gold (EUR)XAU/EURUnpopulatedDoes not exist!
Small Gold (EUR)XAU/EURXAU/EUR SMUsed to be traded as SAU/EUR prior to EBS migration.
GoldXAU/USDUnpopulatedDoes not exist!
Small GoldXAU/USDXAU/USD SMUsed to be traded as SAU/USD prior to EBS migration.
Palladium (Zurich)XPD/USDUnpopulatedSettles via loco Zurich.
Palladium (London)XPD/USDXPD/USD LNSettles via loco London. Used to be traded as LPD/USD prior to EBS migration.
Platinum (Zurich)XPT/USDUnpopulatedSettles via loco Zurich.
Platinum (London)XPT/USD

XPT/USD LN

Settles via loco London.  Used to be traded as LPT/USD prior to EBS migration.

CME FX Spot+

The SecurityGroup field must be populated with the string "FXSpot+" to trade these instruments.

The CME FX Spot+ tradable instruments will be available for the select currency pairs.

Product Name

Symbol

SecurityGroup

Euro / US Dollar Spot FXEUR/USDFXSpot+
US Dollar / Canadian Dollar Spot FXUSD/CADFXSpot+
British Pound / US Dollar Spot FXGBP/USDFXSpot+
Australian Dollar / US Dollar Spot FXAUD/USDFXSpot+
US Dollar / Japanese Yen Spot FXUSD/JPYFXSpot+
US Dollar/Swiss Franc Spot FXUSD/CHFFXSpot+
New Zealand Dollar/US Dollar Spot FXNZD/USDFXSpot+
US Dollar / Mexican Peso Spot FXUSD/MXNFXSpot+


Note
  • The product thresholds and limits published in SecurityStatus message are specified in base currency.
  • Liquidity for FXSpot+ orders can be from other FXSpot+ orders, or from FXLink spread orders. It is therefore possible for MDEntrySize to be a non-rounded amount indicating implied liquidity.
  • If an order is partially filled, and the remaining quantity falls below the Minimum Order cancel threshold for the product, the remaining order will be canceled by CME.


Conditional Price Increment

Note

Whisperer clients will receive the below fields as BodyPassthru in the SecurityStatus messages for the products eligible for Conditional Price Increment:

  • AltMinPriceIncrement
  • AltMinQuoteLife
  • AltPriceIncrementConstraint
  • MaxBidAskConstraint

Supported instruments, minimum tick, and minimum quote life as per the Conditional Price Increment CME confluence page.

With this launch, the price dissemination precision for the eligible EBS products will be increased from 5dp to 6dp.

Test Instruments

Please note that clients should ignore test instruments that contain # or $. 

...