Go-live Date
13th August 2023
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.
Whisperer Client Impact
Context
Whisperer clients will receive PriorityIndicator as a BodyPassthruKey in ExecutionReport. PriorityIndicator value can be LargeOrderSizePriority or StandardOrderSizePriority.
A new FillYeildType value LargeOrderSize will be published for eligible orders as a BodyPassthruValue in ExecutionReport.
Aforementioned behavior is applicable for FXNDF.USD/TWD.1M, FXNDF.USD/TWD.1M_SEF and FXSPOT.USD/HKD products.
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.
Additional details on impacted products, timelines and new attribute value availability can be found in the EBS Size Priority Matching Client Impact Assessment.
Overview
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