Change Summary

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

Size-priority matching is initially applicable to FXNDF.USD/TWD.1M, FXNDF.USD/TWD.1M_SEF and FXSPOT.USD/HKD instruments only.

On the 14th of July 2024, EBS will extend the Size priority matching algorithm to additional NDF instruments - FXNDF.USD/KRW.1M_SEF, FXNDF.USD/KRW.1M, FXNDF.USD/INR.1M_SEF, and FXNDF.USD/INR.1M.

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 BodyPassthruKey values in SecurityStatus messages: MatchAlgorithm and SizePriorityMinQty.
MatchAlgorithm will be set to SizePriority for in-scope instruments, not populated otherwise.
SizePriorityMinQty will 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 BodyPassthruKey value in ExecutionReport messages: PriorityIndicator.
PriorityIndicator will be set to either LargeOrderSizePriority or StandardOrderSizePriority.
The existing FillYieldType BodyPassthruKey will have a new BodyPassthruValue, LargeOrderSize, published for eligible orders.
Refer to Passthru Fields for further details.

Change Summary

Whisperer Client Impact

Change Details

Pricing

Trading

Documentation