EBS to Speed Up Market Data: Reduce MQLs, Pip Increments
Posted by Colin Lambert. Last updated: September 25, 2023
CME Group’s EBS has published a client advisory laying out a series of changes to EBS Market, starting in October 2023, that will see the platform speed up market data and reduce its minimum quote lifespan (MQL) amongst other changes.
The initial changes will see the latency floor batch optimisation, within the CME Globex matching engine cut from the current 3-5ms, to 1-3ms. This change, to take place in October 2023, will be followed by a sharp reduction in the minimum quote lifespan on EBS Market, from 20ms to 5ms for the platform’s core spot pairs (including e-Fix) and from 500ms to 50ms for its NDFs, both on- and off-SEF.
November will also see EBS Market publish at significantly faster market data updates. The platform will also introduce new market data Ultra channels, which will publish at 1ms intervals for the spot pairs and metals (but not for e-FIX), down from 5ms (trade summaries will be published at 5ms); and at 5ms intervals for NDFs, down from 100ms currently (trade summaries will be published at 300ms). The existing Ultra channels will still be avialble alongside the new channels.
The platform’s credit screen market data interval will also be cut, to 20ms from 50ms for spot and metals (not e-Fix) and to 50ms from 100ms for NDFs pairs.
EBS is also going to introduce new conditional price increments in EUR/USD and AUD/USD. For its core market, EUR/USD, from February 2024, participants will be able to see price increments in ¼ and ¾ pips, in addition to the current ½ pip increments. These come with a 10ms MQL, currently the ½ pip increments have a 5ms MQL. Any currency pair with conditional price increments will also support the use to ¼ pip granularity.
In AUD, not a core currency pair for EBS Market, the platform is also introducing ¼ pip granularity, although with a 5ms MQL. On the current ½ pip increment, there is no MQL.