Change Summary
Mandatory Change
Background
To enhance liquidity and market data quality, EBS will introduce the Conditional Price Increments feature to a selected few Spot instruments.
- CPI will allow the submission of orders with sub-pip prices when trading the eligible Spot instruments - FXSPOT.AUD/USD and FXSPOT.EUR/USD.
Affected Venues
Change
- In addition to the current Standard Globex Minimum Tick for EBS Market products, EBS will publish an "Alternate Globex Minimum Tick".
- Orders that use the Alternate Globex Minimum Tick will be subject to a different Minimum Quote Life [MQL] value compared to the Standard Globex Minimum Tick.
- Price Discretion orders [PD orders that rest at a limit price but would accept fills at another price to improve matching opportunity] will support Alternate Globex Minimum Tick values on the DiscretionPrice field to interact with other sub-pip price orders.
- New iLink3 Reject Codes and Reject Text for orders rejected due to Conditional Price Increments.
Timeline
- 23rd October 2023 - New Release - The new CPI for products subject to this change will be available for customer testing in New Release.
- 22nd November 2023 - UAT- MarketFactory changes to support CPI will be rolled out to UAT.
- 03rd December 2023 - Prod - EBS will go live with Conditional Price Increments for product "FXSPOT.AUD/USD".
- 24th February 2024 - Prod - EBS will go live with Conditional Price Increments for product "FXSPOT.EUR/USD".
Whisperer Client Impact
Impact to Clients
Whisperer clients will receive the new Conditional Price Increment fields in the SecurityStatus messages for the products eligible.
Client will be able to place sub-pip price orders for eligible instruments.
Clients will start to receive new Reject text in ExecutionReport for orders rejected due to Conditional Price Increments.
Clients are advised to contact the MarketFactory Delivery Team to ensure that they are upgraded to <> version or later before the 03rd of December, as per the timeline above.
Change Details
Whisperer clients will receive the below fields as BodyPassthru in the SecurityStatus messages for the products eligible for Conditional Price Increment:
AltMinPriceIncrementAltMinQuoteLifeAltPriceIncrementConstraintMaxBidAskConstraint
The eligible instrument are listed below:
- FXSPOT.AUD/USD
- FXSPOT.EUR/USD
AltPriceIncrementConstraint and MaxBidAskConstraint
The below listed fields are set to Null initially by EBS to allow orders placed with any AltMinPriceIncrement [without any price constraints].
AltPriceIncrementConstraintMaxBidAskConstraint
If EBS provided anything other than a Null value, clients will receive AltPriceIncrementConstraint and MaxBidAskConstraint in SecurityStatus messages in the BodyPassthru.
Reject Reason
The clients will receive new order reject reasons in the Text field in ExecutionReport for orders rejected due to Conditional Price Increments. The CPI order reject reasons are:
- TOB spread BidOffer not available to evaluate spread constraint for Conditional Price Increments
- TOB spread exceeds max allowed for Conditional Price Increments
- Order does not improve TOB by min allowed for Conditional Price Increment
These reasons will be populated once the AltPriceIncrementConstraint and MaxBidAskConstraint are set by the venue.
Documentation
Overview
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