13th August 2023

Effective Sunday, August 13 (trade date Monday, August 14), CME Group will implement enhancements to iLink 3 EBS Fill and Kill (FAK) and Fill or Kill (FOK) order behavior where credit is insufficient. With this change, if an FAK/FOK order cannot match due to insufficient bilateral credit, it will be accepted and then cancelled. Currently, if an FAK/FOK order cannot match due to insufficient bilateral credit, the order is accepted and eliminated.



Whisperer Client Impact

Should the client submit an order with TimeInForce = IOC/FOK  that EBS cannot match due to insufficient bilateral credit, EBS will terminate the unfilled order.

  • Original behaviour: client receives ExecutionReport with OrdStatus = Expired.
  • New behaviour: client receives ExecutionReport with OrdStatus = Cancelled with Text = CancelOnGlobexCreditControlsViolation.

Please note that this change cannot be tested in New Release due to the unavailability of credit systems in this environment.



Change Overview from CME

iLink 3 FAK/FOK Credit Enhancements

Effective Sunday, August 13 (trade date Monday, August 14), CME Group will implement enhancements to iLink 3 EBS Fill and Kill (FAK) and Fill or Kill (FOK) order behavior where credit is insufficient. With this change, if an FAK/FOK order cannot match due to insufficient bilateral credit, it will be accepted and then cancelled.  The Execution Reports for order cancels (35=8, 39=4) will be sent out to customers with cancel reason (tag 378 =104 (Cancel from CME Globex Credit Controls violation)).

Currently, if an FAK/FOK order cannot match due to insufficient bilateral credit, the order is accepted and eliminated.

Additional information on this change is available on the FAK - FOK Credit Enhancements page.

These changes will be available in New Release for customer testing on Thursday, June 15.