EBS Market's Central Limit Order Book, and eFix Matching Service, are migrating to CME Globex. Here we summarise the technical CME Globex platform service’s APIs that are relevant to the EBS Market’s migration that trading operations need to implement, integrate, test, and certify leading up to this migration, and how to support it once live.
From BrokerTec to EBS Markets: A New Focus for the CME
In 2018, the CME acquired NEX Markets. Following this, a migration of the NEX BrokerTec EU and US platforms was the first priority, with the BrokerTec EU market successfully migrated to the CME Globex platform on 18th January 2021, followed by the BrokerTec US markets that went production live for trading on the CME Globex platform on 1st February 2021.
So, having completed the BrokerTec migration, what’s next for the CME?
The answer is a shift in focus to the migration of the EBS Market’s Central Limit Order Book, and eFIX Matching Service, onto the CME Globex platform. These are anticipating a production launch in Q4 2021.
The EBS migration to the CME Globex platform is a hard cutover where there is no parallel run period with the prior NEX Market’s EBS Market exchange platforms. Therefore, there is limited timeline flexibility to be production ready.
The information below summarises the technical CME Globex platform service’s APIs that are relevant to the EBS Market’s migration.
Preparing for EBS Markets Migration
For CME Market Data Protocol 3 (MDP 3) TCP and UDP Conflated feeds:
EBS Market’s data is not available on CME MDP 3.0 Premium channels. The CME have integrated EBS Market products onto CME Globex, and the dissemination of market data is over the CME Market Data Platform (MDP) Conflated UDP and CME Conflated TCP feeds supporting CME EBS Market MDP 3 Ultra MDP and Credit Screen MDP.
The CME MDP Conflated UDP feed is based on 5 millisecond conflated messaging, up to 10 Deep Market By Price (MBP), and Trade Summary messages using CME Globex Simple Binary Encoding (SBE) via UDP multicast network connectivity.
The CME MDP Conflated TCP feed provides 50-100 millisecond conflated messaging, 3-5 Deep Market By Price (MBP), Trade Summary and Top of Book (TOB) prices using Simple Binary Encoding (SBE) via TCP network connectivity.
You can access more information on integrating the CME MDP Conflated UDP and CME MDP Conflated TCP feeds here.
For CME iLink 3 Binary Order Entry for Convenience Gateway (CME iLink 3 CGW), and CME iLink 3 Binary Order Entry for Market Segment Gateways (CME iLink 3 MSGW) Order Entry:
The CME Globex EBS Markets and eFix Matching exchange matching engines are based in New York Equinix Secaucus NY5 and London Equinix Slough LD4.2 with traded products only available in a single location. This requires considerations of access sessions based on access method, traded product and trade matching engine locations.
CME EBS Market Order Routing Gateway supports CME iLink 3 CGW and CME iLink 3 MSGW. Note that usage of CME iLink 3 is mandatory and CME iLink 2 is not supported.
Order Entry for EBS using iLink 3 can route orders to the MSGWs directly, or to the CGWs which will route the orders to the appropriate MSGWs based on product and trade matching engine locations.
For an order submitted over iLink 3 CGW, that order will be routed to the dedicated MSGW to the CME Globex matching engine supporting the given instrument. Orders for EBS Market products can also be submitted over the MSGW directly to the matching engine supporting the given instrument.
This usage context means that iLink 3 CGW order entry provides a single point of order entry for all EBS Market instruments regardless of matching region; CME iLink 3 MSGW order entry is the fastest route for order entry for instruments in the local region over a dedicated MSGW. For CME iLink3 MSGW, orders are not routed to the matching region and any order submitted for an instrument not matched locally will be rejected.
Overall this means that CME ilink3 CGW access is simpler, but slower. CME iLink 3 MSGW is faster, but you need to maintain details of what products are in what matching region.
You can access more information on how to integrate CME iLink 3 Binary Order Entry access to CGW and MSGW, here.
For CME Drop Copy service for EBS Markets on CME Globex:
EBS Markets use the CME Drop Copy service of a FIX ASCII API for real-time risk management using published copies of CME iLink 3 order acknowledgement and trade messages.
There are EBS Market-specific messaging impacts on Drop Copy message payloads from source sessions trading EBS Markets. The message tag status values and tag enumerations have been updated as per available CME specifications.
There are Drop Copy Convenience Gateway (CGW) target sessions, and Drop Copy Market Segment Gateway (MSGW) target sessions, supporting CGW iLink source sessions across all market segments, and MSGW iLink source sessions per unique market segment respectively.
You can access more information on how to integrate the CME Drop Copy service for EBS Markets on CME Globex, here.
Request Evaluation Access
To learn more you can request evaluation access to the OnixS CME Globex EBS SDKs.