Change Summary


Background

Effective Sunday, April 13 (trade date Monday, April 14), with the CME FX Spot+ pre-launch, CME FX Link clients will have the following iLink messaging considerations.

Affected Venues

Change

  • iLink3 Quantity fields (e.g. LegLastQty) in the ExecutionReport Trade Spread Leg for all OTC Spot FX legs instruments will contain notional quantity instead of lot size.
  • A new BodyPassthru OrderEventExecID will be available for ExecutionReport on FX Link Spot leg

Timeline

- FXSpot + Go live.


Whisperer Client Impact

Change Details

FX Link Spot Leg

The following fields will now contain the notional quantities on the ExecutionReport. 

  1. LegLastQty
  2. LegCalculatedCcyLastQty
  3. LegAllocQty
  4. LegAllocCalculatedCcyQty

Passthru Fields


VenueMessageParent Group

Passthru Key

Venue CommentMarketFactory Comment
cme_ilink3_sbeExecutionReportNoBodyPassthruFields

OrderEventExecID

This is a unique ID that ties together a specific fill between two orders.

Optional Field: populated on FXLink Spot leg of the order.


Please refer to Passthru Fields to view across all venues.


Documentation