Page History

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CLOB: MarketData

Supported Instruments

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MDBookType

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MDEntryType

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PriceDepth

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Bid

Offer

BestBid

BestOffer

Trade

TradePaid

TradeGiven

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M1, M2, M3,

EOMF, EOMG, EOMH, EOMJ,

EOMK, EOMM, EOMN, EOMQ,

EOMU, EOMV, EOMX, EOMZ

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PriceDepth

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Table Filter

totalrow	,,,,,,,,,,,,
hidelabels	false
sparkName	Sparkline
hidePane	true
sparkline	false
default	ebs_market_mdp3_sbe,ExecutionVenue&&OrdType(OrderSession)&&TimeInForce(OrderSession)&&Comments&&client_role&&OrdType (SessionType == Orders)&&target_platform&&TimeInForce (SessionType == Orders)&&OrdType&&TimeInForce
isFirstTimeEnter	false
cell-width	250,250
hideColumns	true
disabled	false
enabledInEditor	false
globalFilter	false
id	1687961833651_-444016852
order	0,1
hideControls	false
inverse	false,false
column	Venue
disableSave	false
separator	Point (.)
labels	Venue‚Hide columns
ddOperator	OR
datepattern	dd M yy
updateSelectOptions	false
worklog	365\|5\|8\|y w d h m\|y w d h m
isOR	AND

Table Excerpt Include

name	SupportedInstruments
merge-tables	true
page	Supported Instruments
type	page

Please refer to Supported Instruments to view across all venues.

PartyIDs

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Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	ebs_market_mdp3_sbe
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1657201282598_252338680
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PartyIDs
page	PartyIDs
type	page

Please refer to PartyIDs to view across all venues.

Regulatory Fields

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Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	ebs_market_mdp3_sbe
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1657201298664_-1711636476
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	RegulatoryFields
page	Regulatory Fields
type	page

Please refer to Regulatory Fields to view across all venues.

Passthru Fields

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Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	ebs_market_mdp3_sbe
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1657201313105_1041493330
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PassthruFields
page	Passthru Fields
type	page

Please refer to Passthru Fields to view across all venues.

Details

Configuration

Tip

title	Market Data Groups

The client needs to provide clear requirements as to which of the various Market Data Groups they wish to subscribe against. The table EBS on CME Globex Market Data Services Overview should be referenced and provides details such as:

Conflation Interval
Book Depth (see also PassthruFields, below)
Credit Screened, or not
Etc

Bid

Offer

BestBid

BestOffer

Trade

TradePaid

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SecurityGroup

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

eFix

The SecurityGroup field must be populated as per the format "BaseCCY/TermCCY <Benchmark Fixing details>"

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Note

title	LegSettlDate/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

title	Unknown 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:

Scenario

EBS 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.

New

Change

Unknown Change

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

Change

New

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.

Delete

Dropped, 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:

Metal	Symbol	SecurityGroup	Comment
Silver	XAG/USD	Unpopulated	Standard
Small Silver	XAG/USD	XAG/USD SM	Used to be traded as SAG/USD prior to EBS migration.
Gold (EUR)	XAU/EUR	Unpopulated	*Does not exist!*
Small Gold (EUR)	XAU/EUR	XAU/EUR SM	Used to be traded as SAU/EUR prior to EBS migration.
Gold	XAU/USD	Unpopulated	*Does not exist!*
Small Gold	XAU/USD	XAU/USD SM	Used to be traded as SAU/USD prior to EBS migration.
Palladium (Zurich)	XPD/USD	Unpopulated	Settles via loco Zurich.
Palladium (London)	XPD/USD	XPD/USD LN	Settles via loco London. Used to be traded as LPD/USD prior to EBS migration.
Platinum (Zurich)	XPT/USD	Unpopulated	Settles 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.

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CME FX Spot+

The SecurityGroup field must be populated

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with the

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E.g. INR EOM NOV 21
E.g. BRL EOM MAY 22 SEF

PartyIDs

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Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	ebs_market_mdp3_sbe
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1657201282598_252338680
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PartyIDs
page	PartyIDs
type	page

Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.

Regulatory Fields

...

Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	ebs_market_mdp3_sbe
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1657201298664_-1711636476
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	RegulatoryFields
page	Regulatory Fields
type	page

Please refer to or Regulatory Fields for the full Enterprise table across all venues.

Passthru Fields

...

Table Filter

hideControls	true
inverse	false
sparkName	Sparkline
hidePane	true
isNew	false
separator	Point (.)
ddSeparators	true
default	ebs_market_mdp3_sbe
isFirstTimeEnter	false
userfilter	Venue
datepattern	dd M yy
id	1657201313105_1041493330
worklog	5\|8\|w d h m\|w d h m
isOR	AND
order	0

Table Excerpt Include

copytable	true
name	PassthruFields
page	Passthru Fields
type	page

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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 FX	EUR/USD	FXSpot+
US Dollar / Canadian Dollar Spot FX	USD/CAD	FXSpot+
British Pound / US Dollar Spot FX	GBP/USD	FXSpot+
Australian Dollar / US Dollar Spot FX	AUD/USD	FXSpot+
US Dollar / Japanese Yen Spot FX	USD/JPY	FXSpot+
US Dollar/Swiss Franc Spot FX	USD/CHF	FXSpot+
New Zealand Dollar/US Dollar Spot FX	NZD/USD	FXSpot+
US Dollar / Mexican Peso Spot FX	USD/MXN	FXSpot+

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 $.

Eg: BRS36# EOM MAY 22 S

Versions Compared

Old Version 8

New Version Current

Key

Supported Instruments

PartyIDs

Regulatory Fields

Passthru Fields

Details

Configuration

SecurityGroup

eFix

Precious Metals

CME FX Spot+

Regulatory Fields

Passthru Fields

Conditional Price Increment

Test Instruments