Go-live Date
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
Context
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
ExecutionReportwithOrdStatus = Expired. - New behaviour: client receives
ExecutionReportwithOrdStatus = CancelledText=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.
Overview
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