CME to reduce Latency Floor batch window for FX SPOT and NDFs on EBS Market
Effective Sunday, October 22 (trade date Monday, October 23), the Latency Floor batch window for all Spot and NDF products traded on EBS Market on CME Globex will be reduced to 1-3 milliseconds.
Currently, the Latency Floor batch window is set to 3-5 milliseconds.
This change will be available for customer testing in New Release on Monday, October 2.
Latency Floor functionality is only applicable to EBS Market and all products listed on EBS Market utilize this functionality. The Latency Floor enables broader trading participation and moderates unwanted executions by prioritizing order cancel processing before aggressing order matching.
With Latency Floor, when an EBS Market order arrives to the MSGW, it is batched with any other orders that have arrived within the same batch window. Each order is assigned to an Institutional Group queue within the Latency Floor batch. The Institutional Group queues are released in random order. The orders within each queue are released in FIFO priority.
All Order Cancel messages will be prioritized and released first, in FIFO priority before the institution rows are processed. All remaining orders are then released in a round-robin style (i.e. the first order from the first row is released, the first order from the second row is released, and so on for all rows, then the second order from the first row is released, the second order from the second row is released, and so on until all orders are released).