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Go-live Date

13th August 2023

Effective Sunday, August 13 (trade date Monday, August 14), 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.


Whisperer Client Impact

Context

Pricing (ebs_market_mdp3_sbe & ebs_market_mdp3_sbe_udp)

  • Clients will receive MatchAlgorithm and SizePriorityMinQty as a BodyPassthruKey in SecurityStatus

Trading (ebs_market_ilink3_sbe):

  • Clients will receive PriorityIndicator as a BodyPassthruKey in ExecutionReport. Associated BodyPassthruValues may be LargeOrderSizePriority or StandardOrderSizePriority.
  • A new FillYieldType value LargeOrderSize is published for eligible orders as a BodyPassthruValue in ExecutionReport.
  • MatchAlgorithm is set to SizePriority and SizePriorityMinQty has the minimum order quantity required to qualify for Size-Priority Matching.

The aforementioned changes are only applicable to FXNDF.USD/TWD.1M, FXNDF.USD/TWD.1M_SEF and FXSPOT.USD/HKD products.


Change Overview from CME

EBS Size Priority Matching

Effective Sunday, August 13 (trade date Monday, August 14), 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.

Additional details on impacted products, timelines and new attribute value availability can be found in the  EBS Size Priority Matching Client Impact Assessment.

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