Change Summary
Discretionary Change
Go-live Date: August 13, 2023
- Effective Sunday, August 13, 2023 (trade date Monday, August 14, 2023), The 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.
- This is an optional change for clients with a discretionary impact on their existing Whisperer implementation.
- Additional details on impacted products, timelines and new attribute value availability can be found in the EBS Size Priority Matching Client Impact Assessment.
Whisperer Client Impact
Discretionary Impact
Size-priority matching is initially applicable to FXNDF.USD/TWD.1M, FXNDF.USD/TWD.1M_SEF and FXSPOT.USD/HKD instruments only.
For clients not trading these instruments, or for clients not interested in making use of the new match algorithm, no changes are necessary.
Change Details
Pricing
Affected venues: ebs_market_mdp3_sbe & ebs_market_mdp3_sbe_udp:
- Clients will receive new
BodyPassthruKeyvalues inSecurityStatusmessages:MatchAlgorithmandSizePriorityMinQty. MatchAlgorithmwill be set toSizePriorityfor in-scope instruments, not populated otherwise.SizePriorityMinQtywill contain the minimum order quantity required to qualify for Size-Priority Matching.- Refer to Passthru Fields for further details.
Trading
Affected venue: ebs_market_ilink3_sbe:
- Clients will receive a new
BodyPassthruKeyvalue inExecutionReportmessages:PriorityIndicator. PriorityIndicatorwill be set to eitherLargeOrderSizePriorityorStandardOrderSizePriority.- The existing
FillYieldTypeBodyPassthruKey will have a newBodyPassthruValue,LargeOrderSize,published for eligible orders. - Refer to Passthru Fields for further details.
Documentation
Overview
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