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Change Summary

Discretionary Change

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

Discretionary 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.

Documentation

  File Modified
PDF File EBS Market on CME Globex Notice: May 25, 2023.pdf Aug 11, 2023 by Matthew Whitaker
PDF File EBS Markets on CME Globex Update June 20 2024.pdf Jun 21, 2024 by Renghanath Natarajan

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