MARKET REGULATION ADVISORY NOTICE

Exchanges NEXSEF

Subject CME Globex Operator ID Requirements

Rule References Rules 208, 302, 309

Advisory Date March 8, 2022

Advisory Number NEX SEF 2022-02

Effective Date April 4, 2022

This Advisory Notice being issued to inform market participants of the regulatory requirements attendant 

to operator IDs on Globex, effective on trade date April 4, 20221 , and pending all relevant CFTC 

regulatory review periods. Note, all capitalized terms shall have the meaning outlined in the Rulebook.

Participants are responsible for ensuring that all Operator IDs (also referred to as Trader IDs) active on the 

NEX SEF markets are unique at the Globex Firm ID (“GFID”) level and that all non-administrative 

messages (“messages”), inclusive of orders, sent to Globex are properly submitted with the correct 

Operator ID. Operator IDs are not case sensitive and firms must ensure that uniqueness is achieved by 

means other than solely modifying the letter case between different Operator IDs (For example, “ABC” and 

“abc” would be viewed as the same Operator ID). Further, all Operator IDs must be 3 bytes (characters) in 

length2, and the Market Regulation Department (“Market Regulation”) strongly encourages the use of 

alphanumeric characters only. If the Operator ID contains non-alphanumeric characters, the only 

characters permitted are as follows: 

_ underscore

- dash

: colon

@ (commercial) at

. period

Participants must provide the identity of the “Individual” or “Team” assigned to each Operator ID 

immediately upon request by Market Regulation. Participants must maintain or cause to be maintained 

historical records related to the identity of the “Individual” or “Team” assigned to each Operator ID for a 

minimum of five years.

The Participant must ensure that each Operator ID is properly registered in the CME Request Center

(ESS). All registrations must be current and accurate at all times.

Required Registration of Operator IDs

Registration of Operator IDs is required for all Participants who submit messages to NEX SEF.

Participants must provide accurate and up-to-date registration information about their operator IDs 

within ESS. The Operator ID that is registered in ESS must exactly match the Operator ID that is

submitted on all messages sent to NEX SEF. 

Operator IDs Identifying an Individual

1 This is a tentative date subject to change. 

2 NEX SEF will require 3 bytes for all Operator IDs until such a time when all users have moved to STP and there is 

no longer a technology constraint to vary the character length.
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An Operator ID identifying an individual is used if the person meets one of the descriptions below:

• A single person who is a manual trader, which refers to a person who physically submits 

messages directly using a front-end system, typically via keyboard, mouse, or touchscreen, and 

the messages are then routed in their entirety to the match engine at the time of submission.

• A single person who is solely responsible for, and actively monitors at all times, the administration 

and operation of an Automated Trading System (“ATS”). An ATS refers to a computer system 

which generates and/or routes messages without human intervention. This includes any 

messages generated by a computer system or routed using functionality that manages the 

submission of an order through automated means (i.e. execution algorithm). The person in this 

role typically initiates or disables particular algorithms or strategies, adjusts the parameters of any 

automated program(s), and monitors the live trading of the ATS. All messages must be submitted 

with the “Individual” Operator ID assigned to the person present at the time of operation.

• A single person who engages in a combination of the trading methods described above. The 

person must ensure that all messages are submitted with the correct manual order indicator to 

differentiate between manual and automated activities.

Operator IDs Identifying a Team

Operator IDs identifying a team must only be used to submit automated messages to NEX SEF. Should a 

situation occur where a team needs to submit a manual message (i.e. during maintenance downtime, 

system malfunction, etc.), the message must be submitted with an operator ID registered to the specific 

single person submitting the message, rather than the operator ID associated with the team. In this 

scenario, a person would be acting in the capacity of an “individual” manual trader. 

The firm must register a second operator ID for lead operators who also submit messages manually as an 

individual. Lead operators must not use the Operator ID submitted by the automated trading system for 

their individual manual trading.

Team Operator ID registration will take place in two steps:

1. The name of the individuals who are administering, operating, and monitoring an ATS while it 

is operational must be captured in the Algorithmic Trading Certification Form. If there are

changes to the composition of the team, it is the responsibility of the firm to ensure that those

changes are promptly and accurately reflected through the submission of a new Algorithmic 

Trading Certification Form.

2. Each team Operator ID must have a lead operator. The firm must register an Operator ID that 

identifies the lead operator of the team in ESS, and this Operator ID must be used on every 

message sent by the automated trading system while the team is monitoring it. If the automated 

trading system is monitored by more than one team (i.e. shifts), the automated trading system 

must send messages carrying the Operator ID of the lead operator of the team currently 

monitoring it. 

Each person is required to submit messages using their own operator ID and may not, under any

circumstances, permit another person to enter messages using their operator ID.

Frequently Asked Questions (FAQ)

Identification and Registration of Globex Operator IDs (operator IDs)
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1. What is an administrative message?

Administrative messages, which are not subject to the requirements set forth in this Advisory Notice, 

include the following: Logon, Heartbeat, Test Request, Resend Request, Session Level Reject, 

Business Level Reject, Sequence Reset, and Logout. 

2. Do messages submitted to Globex require the submission of an accurate Operator ID?

Yes. All messages other than administrative messages referenced in the answer to Question 1 above 

must include the unique operator ID of the “Individual” or “Team” submitting such messages to 

Globex.

3. What is an Operator ID?

An operator or Operator ID or a Trader ID is a user ID that uniquely identifies a party that accesses 

and/or submits messages to Globex. Operator IDs are issued by Participants, or in some 

circumstances, by the GCC. Please note that Operator ID and Trader ID are synonymous. For 

Operator ID registration please contact Business Systems Integration @cmegroup.com. 

4. Is the Operator ID submitted on a message visible to other market participants?

No. Trading on NEX SEF is anonymous. 

5. Is it permissible for an individual to have multiple operator IDs?

Yes, an individual may have multiple Operator IDs. However, each firm must be able to uniquely 

identify the individual assigned to a particular Operator ID or identify the individuals assigned in the 

case of a team Operator ID.

6. Are firms responsible for ensuring that operator IDs are unique at the firm level?

All Operator IDs must be unique at the executing firm level or floor code

7. Is there any circumstance in which a person may use the Operator ID of another person?

No. Each message submitted to NEX SEF must reflect the Operator ID of the person or the lead 

operator of the team of persons who submitted the message or caused the message to be submitted.

8. If a person deploys an ATS and someone else monitors the operation of the ATS during 

certain hours, does the Operator ID of the person monitoring the ATS have to be entered on 

new messages?

Yes. The Operator ID on all messages must be the Operator ID of the person responsible for 

monitoring the operation of the ATS at that time. NEX SEF requires Participants to identify all 

members of the ATS team via the Algorithmic Trader Certification Form through ESS. For questions 

on completing this Form please contact Business Systems Integration @cmegroup.com. Participants 

are required to maintain this information and provide to NEX SEF upon request. 

9. If a person deploys an ATS that operates for extended time periods, for example during 

Regular Trading Hours in addition to European and/or Asian trading hours, may that person’s 

Operator ID be sent on all messages?

The Operator ID on the messages must reflect the person responsible for operating and monitoring 

the ATS at the time the messages are sent to NEX SEF. To the extent a single individual is 
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responsible for operating and monitoring the ATS over any given timeframe (e.g. more than one 

trading session or more than a typical work shift), the individual’s Operator ID is required to be 

submitted on all messages. However, upon request, the individual must be able to demonstrate an 

effective means to monitor the ATS during all times it is operating. During the times that a person is 

not actively either operating or monitoring the trading operation of the ATS, their name should not be 

reflected as the active operator.

Additionally, only one individual / natural person short code may be associated with a given Operator 

ID. One or more computer algorithm short codes may be associated with an Operator ID which 

represents an Individual overseeing the administration and operation of an ATS. 

In the event the ATS is monitored by a team, a head Operator ID should be reflected in the message 

sent to NEX SEF provided that each individual part of the ATS team is identified in the Algorithmic 

Trader Certification Form. 

10. If a trader enters manual messages but also uses automated spreading functionality, may all 

of those messages be submitted under a single Operator ID?

Yes, in this situation, a single Operator ID may be used for both manual and automated messages. 

The manual order indicator value submitted with each message must appropriately identify whether 

the message was submitted via automated or manual means.

11. If a member of a team that monitors the operation of an ATS needs to submit manual 

messages, should the team Operator ID be submitted on those messages?

No. The team Operator ID may be used only for messages that are generated from the ATS. To the 

extent the team needs to submit manual messages, the individual Operator ID of the person who 

manually submits the message must be used. The lead trader will need to use a unique Operator ID 

separate from the team Operator ID that maps to that lead trader. 

12. If an individual act as lead operator of an ATS, and trades also as an individual trader, can 

he/she use the same Operator ID used by the ATS to send messages to NEX SEF?

No, the lead operator must register a separate Operator ID, registered in his/her name, for submitting 

manual messages as support of the ATS (i.e. during maintenance downtime, system malfunction, 

etc.) or for submission of messages for individual trading. 

13. Is an Operator ID the same as a short code?

No, short codes are used to identify the person or computer algorithm responsible for the investment 

decision for each order and for the execution of each transaction. Short codes are associated to 

individuals / natural persons (manual traders) or to computer algorithms. In the case of individuals / 

natural persons, the short code is used on order messages in lieu of a personal identifier. 

In the case of computer algorithms, the short code should be a designation which meets the following 

conditions:

 (a) it is unique for each set of code or trading strategy that constitutes the algorithm;

 (b) it is used consistently when referring to the algorithm or version of the algorithm once 

assigned to it; 

 (c) it is unique over time.
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As mentioned in FAQ 9, only one individual / natural person short code may be associated with a 

given Operator ID. One or more computer algorithm short codes may be associated with an Operator 

ID which represents an Individual overseeing the administration and operation of an ATS.

14. What types of violations related to Operator IDs will Market Regulation seek to identify?

Market Regulation’s review of Operator IDs will be focused on, but not be limited, identifying the 

following types of violations:

• Missing or Inaccurate Registration

• Non-Identifiable Operators

• Invalid Use of Operator ID

• Invalid Operator ID Format

• Inaccurate Manual Order Indicator Submission

Questions regarding this Advisory Notice may be directed to the following individuals in Market 

Regulation: 

Terry Quinn, Manager, Data Investigations, 312.341.3753

Lou Abarcar, Data Investigations Architect, Data Investigations, 312.341.3236

Laetizia Moreau, Senior Director, Data Investigations, 312.435.3619

For media inquiries concerning this Advisory Notice, please contact CME Group Corporate Communications at 312.930.3434 or 

news@cmegroup.com.
 

MARKET REGULATION ADVISORY NOTICE

From NEX SEF Limited (“NEX SEF”)

To All EBS NDF Platform Participants

Subject User Maintenance and Access

Rule References 901

Effective Date April 4, 2022

Notice Date March 8, 2022

Notice Number 2022-03

NEX SEF | User Maintenance and Access

Overview

This MRAN is being issued to inform market participants of user access criteria and how the information is 

maintained. This MRAN is pending all relevant CFTC regulatory review periods. Note, all capitalized terms 

shall have the meaning outlined in the Rulebook.

User Maintenance and Access

Initial login information: The Trading Floor Administrator (“TFA”) is responsible for allocating an initial ID to 

each Authorised Trader. The NEX SEF Dealing Service will allocate default password to the Authorised 

Trader. When an Authorised Trader first signs on using this default password, he/she is required to change 

the password immediately. For Global Access, in addition to the above, the Facility will complete the user 

authentication process on behalf of the TFA. 

Password Procedures: An Authorised Trader shall:

A. change passwords regularly;

B. never use another Authorised Trader’s ID to sign on;

C. never disclose passwords to other Authorised Traders or any 

other person;

D. only sign in at one Workstation at any one time

E. always sign off at the end of a trading session;

F. never automate the sign on process (unless as part of the EBS Ai 

Client Application); and

G. never turn off the monitor while signed on.

Login Issues: It is the responsibility of an Authorised Trader to contact the TFA if problems arise during sign 

on or if a password is forgotten. If an Authorised Trader believes that someone else has obtained his or her 

password, he or she must change his password and notify the TFA.

An Authorised Trader is given three opportunities to enter a correct password prior to having his or her 

Trader ID disabled. In the event that an Authorised Trader’s ID is disabled, the Authorised Trader must 

contact his or her TFA who will reset his or her Trader ID. If the TFA is not available, the Authorised Trader 

may contact the Facility for assistance.
 

Message of the Day: After the sign on procedure has been successfully completed, the Authorised Trader 

will receive the date and time of his or her last sign on. At this time the Authorised Trader may receive a 

“message of the day”. The Authorised Trader is responsible for contacting the TFA if the date and time 

displayed does not correspond to when he or she last signed on.

Facility Discretion: At the discretion of the Facility, any Workstation may be signed off by the Facility. In 

these instances, any outstanding Bids/Offers will be removed by the NEX SEF Dealing Service 

automatically.
MARKET REGULATION ADVISORY NOTICE

From NEX SEF Limited (“NEX SEF”)

To All EBS NDF Platform Participants

Subject Error Trade Review Request Process

Rule References 315(b), 315(c), 315(d), 318

Effective Date April 4, 2022

Notice Date March 8, 2022

Notice Number 2022-04

NEX SEF | Error Trade Review Request Process

This is an amendment to and supersedes the MRAN 2020-05.

Overview

It is important to NEX SEF that all Participants have a rewarding experience on the NEX SEF Platform. It benefits 

the market participants to better understand the rules set out in NEX SEF Rulebook as well as NEX SEF 

processes. In order to continue to maintain an orderly and transparent market, NEX SEF is outlining its Error

Trade Review Request process, pursuant to NEX SEF Rule 315(b). 

Error Trade Review Process

NEX SEF REVIEW REQUEST

Participants who wish to dispute a price to a trade executed on NEX SEF and would like NEX SEF to review 

the transaction’s price under Rule 315(b) must contact EBS Support (CME Global Command Center) (see 

Exhibit A for contact information) within 8 minutes of the trade execution. To be eligible for NEX SEF Review, 

the trade must be in a product listed in Exhibit A. 

If NEX SEF determines to review the trade price, EBS Support will notify all Participants that the trade is 

under review. 

FAIR VALUE PRICE CALCULATION

In reviewing the trade price, pursuant to Rule 315(c), NEX SEF will assess the fair value price at the time of 

the transaction under review. Please see Exhibit A for an example of how the fair value price is calculated.

EBS Support will ultimately notify all Participants whether the trade will stand, be adjusted, or cancelled. 

BILATERAL ERROR TRADE RESOLUTION

Alternatively, Participants may settle the price dispute bilaterally pursuant to Rule 315(d), provided the 

Participants follow the relevant procedures outlined in Exhibit A.

Counterparty Information

Upon request, and subject to NEX SEF Rule 318, EBS Support will provide counterparty details.
Exhibit A 

NEX SEF ERROR TRADE REVIEW REQUEST – NDF

To comply with CFTC and MiFID II rules, the SEF NDF trading offered by NEX SEF Limited through the EBS 

Market platform is required to have a trade review procedure to address potential erroneous trades. 

Customers are required to contact EBS Support within 8 minutes of the disputed trade if they wish for Rule 

315(b) (Determination to Review a Transaction's Price) of the NEX SEF Limited Facility Rulebook 

(“Rulebook”) to be invoked. Under Rule 315(c), NEX SEF will assess the fair value price at the time of the 

transaction under review. Please see below for an example of how the fair value price is calculated. 

Subject to NEX SEF Rule 318, EBS Support can provide counterparty contact details on request. 

EBS Support Contact Information:

Email: ebssupport@cmegroup.com 

T UK 0800 012 8011 | US 8772780643 | Japan 00531 122527 

International numbers here: https://www.cmegroup.com/tools-information/contacts-list/ebs-support.html

Fair Value Range 

Tier 1 Liquid pairs or hours 0.5% from market reference price

Tier 2 Illiquid pairs or hours 1.0% from market reference price

 

Products

ON SEF NDF 00:00 GMT to 10:59 

GMT 11:00 GMT to 23:59 GMT

ARS 1MS Tier 2 Tier 2

BRL EOMS Tier 2 Tier 2

CLP 1MS Tier 2 Tier 2

CNY 1MS Tier 2 Tier 2

CNY 1YS Tier 2 Tier 2

CNY 3MS Tier 2 Tier 2

CNY 6MS Tier 2 Tier 2

COP 1MS Tier 2 Tier 2

EGP 1MS Tier 2 Tier 2

EGP 2MS Tier 2 Tier 2

EGP 3MS Tier 2 Tier 2

GHS 1MS Tier 2 Tier 2

IDR 1MS Tier 2 Tier 1

INR 1MS Tier 2 Tier 1

INR EOMS Tier 2 Tier 2

KES 1MS Tier 2 Tier 2

KRW 1MS Tier 2 Tier 1

MYR 1MS Tier 2 Tier 1

NGN 1MS Tier 2 Tier 2

PEN 1MS Tier 2 Tier 2

PEN 61DS Tier 2 Tier 2
PHP 1MS Tier 2 Tier 1

RUB 1MS Tier 2 Tier 2

TRY 1MS Tier 2 Tier 2

TWD 1MS Tier 2 Tier 1

VND 1MS Tier 2 Tier 2

ZMW 1MS Tier 2 Tier 2

Calculation Example: 

a. Disputed trade: USDKRW executed at 1099.00 at 12:00 GMT 

b. Reference Rate: EBS Market Trade prior to Error Trade that;

• Was completed within the preceding 10 minutes

• Was not part of the same sweep/Error Trade event

• Is not also under an Error Trade Process review

• Is eligible for Market Data publication (i.e. not Intra Floor, not mid-PD etc.)

If b) is unavailable;

1) EBS Market Mid immediately prior to Error Trade assuming;

• Two-way price is available

c. Relevant Tier to apply: Tier 1. 0.5% from reference rate. 

d. Calculation from the 1095.00 reference: 

0.5% above reference rate: 1095 x 1.005 = 1100.475 

0.5% below reference rate: 1095 x 0.995 = 1089.525 

As the executed rate of 1099.00 is within 0.5% from the reference rate this trade would not be escalated to 

NEX SEF Compliance function for review. 

Alternative Resolution to Price Discrepancy 

Rule 315(d)(1) permits Counterparties to mutually decide to amend or cancel a trade. Counterparties doing so 

must: (i) report such action to the same SDR to which NEX SEF reported the original transaction, in 

accordance with Part 45 of the CFTC’s Regulations and Rule 316; and (ii) inform EBS Support in writing as 

soon as possible and no later than within one (1) Business Day (and maintain a record of such adjustment) as 

per Rule 315(d)(4) of the Rulebook. 
MARKET REGULATION ADVISORY NOTICE

From NEX SEF Limited (“NEX SEF”)

To All EBS NDF Platform Participants

Subject Error Trade Review Request Process

Rule References 315(b), 315(c), 315(d), 318

Effective Date April 4, 2022

Notice Date March 87, 2022

Notice Number 2022-04

NEX SEF | Error Trade Review Request Process

This is an amendment to and supersedes the MRAN 2020-05.

Overview

It is important to NEX SEF that all Participants have a rewarding experience on the NEX SEF Platform. It benefits 

the market participants to better understand the rules set out in NEX SEF Rulebook as well as NEX SEF 

processes. In order to continue to maintain an orderly and transparent market, NEX SEF is outlining its Error

Trade Review Request process, pursuant to NEX SEF Rule 315(b). 

Error Trade Review Process

NEX SEF REVIEW REQUEST

Participants who wish to dispute a price to a trade executed on NEX SEF and would like NEX SEF to review 

the transaction’s price under Rule 315(b) must contact EBS Support (CME Global Command Center) EBS 

Customer Support (see Exhibit A for contact information) within 8 minutes of the trade execution. To be 

eligible for NEX SEF Review, the trade must be in a product listed in Exhibit A. 

If NEX SEF determines to review the trade price, EBS Support NEX SEF will notify all Participants that the 

trade is under review. 

FAIR VALUE PRICE CALCULATION

In reviewing the trade price, pursuant to Rule 315(c), NEX SEF will assess the fair value price at the time of 

the transaction under review. Please see Exhibit A for an example of how the fair value price is calculated.

EBS Customer SupportEBS Support will ultimately notify all Participants whether the trade will stand, be 

adjusted, or cancelled. 

BILATERAL ERROR TRADE RESOLUTION

Alternatively, Participants may settle the price dispute bilaterally pursuant to Rule 315(d), provided the 

Participants follow the relevant procedures outlined in Exhibit A.

Counterparty Information

Upon request, and subject to NEX SEF Rule 318, EBS Support EBS Customer will provide counterparty 

details.
Exhibit A 

NEX SEF ERROR TRADE REVIEW REQUEST – NDF

To comply with CFTC and MiFID II rules, the SEF NDF trading offered by NEX SEF Limited through the EBS 

Market platform is required to have a trade review procedure to address potential erroneous trades. 

Customers are required to contact EBS Support EBS Customer Support within 8 minutes of the disputed trade 

if they wish for Rule 315(b) (Determination to Review a Transaction's Price) of the NEX SEF Limited Facility 

Rulebook (“Rulebook”) to be invoked. Under Rule 315(c), NEX SEF will assess the fair value price at the time 

of the transaction under review. Please see below for an example of how the fair value price is calculated. 

Subject to NEX SEF Rule 318, EBS Support EBS Customer Support can provide counterparty contact details 

on request. 

EBS Customer Support Contact Information:

Email: customersupport@ebs.com ebssupport@cmegroup.com 

T UK 0800 012 8011 | US 8772780643 | Japan 00531 122527 

Click here for Iinternational numbers here: https://www.cmegroup.com/tools-information/contacts-list/ebssupport.html

Fair Value Range 

Tier 1 Liquid pairs or hours 0.5% from market reference price

Tier 2 Illiquid pairs or hours 1.0% from market reference price

 

Products

ON SEF NDF 00:00 GMT to 10:59 

GMT 11:00 GMT to 23:59 GMT

ARS 1MS Tier 2 Tier 2

BRL EOMS Tier 2 Tier 2

CLP 1MS Tier 2 Tier 2

CNY 1MS Tier 2 Tier 2

CNY 1YS Tier 2 Tier 2

CNY 3MS Tier 2 Tier 2

CNY 6MS Tier 2 Tier 2

COP 1MS Tier 2 Tier 2

EGP 1MS Tier 2 Tier 2

EGP 2MS Tier 2 Tier 2

EGP 3MS Tier 2 Tier 2

GHS 1MS Tier 2 Tier 2

IDR 1MS Tier 2 Tier 1

INR 1MS Tier 2 Tier 1

INR EOMS Tier 2 Tier 2

KES 1MS Tier 2 Tier 2

KRW 1MS Tier 2 Tier 1

MYR 1MS Tier 2 Tier 1
NGN 1MS Tier 2 Tier 2

PEN 1MS Tier 2 Tier 2

PEN 61DS Tier 2 Tier 2

PHP 1MS Tier 2 Tier 1

RUB 1MS Tier 2 Tier 2

TRY 1MS Tier 2 Tier 2

TWD 1MS Tier 2 Tier 1

VND 1MS Tier 2 Tier 2

ZMW 1MS Tier 2 Tier 2

Calculation Example: 

a. Disputed trade: USDKRW executed at 1099.00 at 12:00 GMT 

b. Reference Rate: EBS Market Trade prior to Error Trade that;

• Was completed within the preceding 510 minutes

• Was not part of the same sweep/Error Trade event

• Is not also under an Error Trade Process review

• Is eligible for Market Data publication (i.e. not Intra Floor, not mid-PD etc.)

If b) is unavailable;

1) EBS Market Mid immediately prior to Error Trade assuming;

• Two-way price is available

c. Relevant Tier to apply: Tier 1. 0.5% from reference rate. 

d. Calculation from the 1095.00 reference: 

0.5% above reference rate: 1095 x 1.005 = 1100.475 

0.5% below reference rate: 1095 x 0.995 = 1089.525 

As the executed rate of 1099.00 is within 0.5% from the reference rate this trade would not be escalated to 

NEX SEF Compliance function for review. 

Alternative Resolution to Price Discrepancy 

Rule 315(d)(1) permits Counterparties to mutually decide to amend or cancel a trade. Counterparties doing so 

must: (i) report such action to the same SDR to which NEX SEF reported the original transaction, in 

accordance with Part 45 of the CFTC’s Regulations and Rule 316; and (ii) inform EBS Customer Support in 

writing as soon as possible and no later than within one (1) Business Day (and maintain a record of such 

adjustment) as per Rule 315(d)(4) of the Rulebook. 
MARKET REGULATION ADVISORY NOTICE

______________________________________________________________________

Exchange NEX SEF

Subject Order Routing/Front-End Audit Trail Requirements

Rule References Rule 208, 302, 309

Advisory Date March 8, 2022

Advisory Number NEX SEF 2022-01

Effective Date April 4, 2022

This Market Regulation Advisory Notice is being issued to inform market participants of the regulatory 

requirements attendant to order routing and the creation and maintenance of front-end audit trail, effective 

on trade date April 4, 20221 and pending all relevant CFTC regulatory review periods. Note, all capitalized 

terms shall have the meaning outlined in the Rulebook.

NEX SEF Rule 208 (“Recordkeeping”) requires that the electronic audit trail associated with any system 

that accesses the NEX SEF platform contain a complete and accurate record of all activity through that 

connection, and account for every electronic communication by the order routing or front-end system from 

the time such order routing or front-end system receives or generates an electronic communication until it 

is communicated to NEX SEF. Further, the Rule requires that Participants accessing the Facility are 

responsible for maintaining, or causing to be maintained, the electronic audit trail for a minimum of 5 

years. 

Participants responsible for the order routing/front-end audit trail must have the ability to provide data in 

the required format irrespective of the method used to connect to the Facility. Further, the connected 

entity must ensure that all trading functionality supported by the system is appropriately reflected in 

the audit trail. For the convenience of those responsible for such order routing or front-end systems, the 

NEX SEF has updated the CME Group Client Systems Wiki with data definitions, required format, and 

validation rules applied through the certification process of the minimum acceptable audit trail elements 

that such systems must capture.

An option for market participants to be compliant with these requirements is to download NEX SEF Front 

End Audit Trail - FEAT100 reports. This report is created by the exchange by capturing and formatting 

audit trail for all market participants. Market Participants can be compliant with rule 208 by downloading 

audit trail files via CME Enterprise Reporting Portal (EREP) and via CME SFTP service and storing these 

files for 5 years. The files will be available for download at the end of each business day. Each file will 

remain available for a maximum of 30 days.

CME Group Market Regulation performs annual reviews of order routing/front-end audit trails to validate 

that certified systems capture data in accordance with the minimum acceptable audit trail elements.

Responsibility for Preserving Audit Trails

NEX SEF Participants are responsible for maintaining or causing to be maintained the order routing/frontend system audit trail for all electronic orders, including order entry, modification, cancellation, and 

responses to such messages (referred to as the “electronic audit trail”), entered into the NEX SEF

platform. 

Within 10 days of the new system being deployed in the live environment, the Participant is required to 

provide the Market Regulation Department with a full production audit trail report. The purpose of this 

review is to verify that the Participant’s audit trail meets the minimum data requirements, and that it can 

1 This is a tentative date subject to change. 
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Page 2 of 2

be produced in a standard human readable format. Questions regarding the submission of sample or 

production audit trail reports should be sent to AuditTrail@CMEGroup.com.

Questions regarding this Advisory Notice may be directed to the following individuals in Market 

Regulation:

Terry Quinn, Manager, 312.435.3753

Laetizia Moreau, Senior Director, 312.435.3619

For media inquiries concerning this Market Regulation Advisory Notice please contact CME Group Corporate Communications at 

312.930.3434 or news@cmegroup.com.
 

MARKET REGULATION ADVISORY NOTICE

From NEX SEF Limited (“NEX SEF”)

To All Participants

Subject NEX SEF Operational Parameters Annex

Rule References 104, 205, 206, 310

Effective Date April 4, 2022

Notice Date March 8, 2022

Notice Number 2022-05

NEX SEF | Operational Parameters Annex

This MRAN supersedes MRAN 2021-05. The policy part of Appendix 1 the NEX SEF Operational 

Parameters Annex which describes various other arrangements NEX SEF has put in place to ensure 

the fair and orderly functioning of the market as required under MiFID II / MiFIR and relevant secondary 

legislation is hereby updated. 
cmegroup.com 2 of 10

Appendix 1

NEX SEF

Operational Parameters Annex

April 2022

Version 1.2
cmegroup.com 3 of 10

Introduction and Background

The NEX SEF is a Multilateral Trading Facility under MiFID II. Under MiFID II legislation (Directive 

2014/65/EU ("MiFID II") and Regulation 600/2014 ("MiFIR")), and relevant secondary legislation 

including regulatory technical standards ("RTS"), in particular Commission Delegated Regulation (EU) 

2017/584 (“RTS 7”), as retained in UK law under the European Union (Withdrawal) Act 2018, NEX SEF 

Limited (“the Operator”) is required to have in place effective systems, procedures and arrangements 

to ensure the fair and orderly functioning of the markets that it operates. 

This Annex describes the various arrangements the Operator has put in place to meet its obligations. 

Where relevant, further technical details of each arrangement are set out within the Operator’s internal 

operational procedures. 

1. Pre-Trade and Post-Trade Controls

1.1. Pre-Trade controls

As per RTS 7 requirements, the NEX SEF governs the use of its electronic order systems through pretrade controls on price, value of orders and order entry messaging thresholds. 

1.1.1. Price Controls

For iLink, NEX SEF maintains an allowable price range for a given order based on the most recent 

reference price. Orders submitted outside of the allowable price range are automatically rejected. On 

the EBS Workstation, participants can set additional price bands which can be clicked-through if 

necessary. Allowable price ranges are set out in the Reference Data API.

1.1.2. Value Controls

NEX SEF validates order submissions prior to their release to the matching engine. 

 Minimum and maximum order values are set per instrument and available in the Reference Data 

API. 

 Participants are able to configure maximum order size for each instrument across multiple GUS 

within the same GFID. Further details are available in the Client Systems Wiki. 

1.1.3. Message Transmission Controls

1.1.3.1. Order Throttling

Orders can be rejected if more than a predefined number of messages are sent during a rolling 

window. If a Participant reaches an initial threshold, new messages are rejected. After a second 
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threshold, the customer's connection is terminated. Messaging thresholds are explained and set out in 

the Client Systems Wiki. 

1.1.3.2. Minimum Quote Life

 A ‘Minimum Quote Life’ (MQL) is enforced for selected instruments/pairs and is applied to quotes 

submitted through iLink.

 MQL is designed to increase the likelihood of a viewed quote being available to trade and reduce 

hyper-active order book participation by implementing a minimum time limit before an order may 

be modified or cancelled. With MQL, a new order must rest for a pre-defined duration (“MQL 

timer”) before it can be cancelled or modified. The length of time is defined for each instrument / 

pair individually and communicated via the Reference Data API. 

 Further details available in the Client Systems Wiki.

1.1.3.3. Self-Match Prevention 

 Through iLink, orders submitted using the same GFID and GUS can be submitted with different 

SMP IDs and are able to Match. Orders submitted with the same SMP ID will not Match. SMP IDs 

can be created at a Participant level, and a single SMP ID can be assigned to multiple GFIDs. 

SMP applies on a per-Order basis on Globex. 

 Further details are available in the Client System Wiki.

1.2. Post-Trade Controls

1.2.1. Unexecuted Orders to Transactions Ratio

NEX SEF calculates the ratio of unexecuted orders to transaction for each of its participants at the end 

of every trading session in both volume terms and in number terms:

Volume terms: (Total volume of orders/Total volume of transactions) - 1

Number terms: (Total number of orders/Total number of transactions) - 1

Unexecuted orders to transaction ratios are monitored against the maximum thresholds, which have 

been determined taking into account the nature and liquidity of instruments on the NEX SEF and normal 

trading patterns. 

The thresholds are subject to ongoing review and calibration and participants will be notified via the 

appropriate channels of any changes to these thresholds. 

1.2.2. Other Fill Ratios

NEX SEF operated Quote Fill Ratios (“QFR”) on selected NDF currency pairs. The QFR is a minimum 

percent of passive Bid/Offer submissions. The Operator monitors and enforces the QFR as set out in 

the EBS Quote Fill Ratio MRAN. 
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Details of the calculation methodology for QFR can found in Rule 901(j)7(ii) of the NEX SEF Rulebook 

and relevant MRANs.

2. Volatility Interruptions 

Article 48(5) MiFID II requires regulated markets to be able to temporarily halt or constrain trading if 

there is a significant price movement during a short period of time in a financial instrument on that 

market or a related market.

NEX SEF will monitor for significant price movements during short periods of time. In the event a price 

movement exceeds either a pre-defined static or dynamic threshold in a specific instrument, NEX SEF 

will review and determine whether to introduce a trading halt.

3. Testing Facilities

3.1. Overview 

All algorithmic participants trading on the NEX SEF are required, prior to trading in production, to test 

their algorithmic trading systems for both conformance to NEX SEF specifications as well as to ensure 

their trading systems will be able to handle, and not contribute to, disorderly trading conditions.

The NEX SEF testing environment is strictly separated from the production environment and is offered 

to participants, and prospective participants, on a scheduled basis to facilitate testing of their algorithms 

for conformance and for disorderly trading conditions. 

Test conditions representative of production are recreated in the testing environment. Within that 

environment, in addition to testing all aspects of conformance with NEX SEF specifications, participants 

can test their algorithms against a number of disorderly market conditions. 

3.2. Fair Usage

NEX SEF makes the testing environment available to participants and prospective participants for the 

purpose of conformance testing and to facilitate testing against disorderly trading conditions. There is 

no charge for the use of the testing facilities. 

It is not intended that participants and prospective participants use the NEX SEF testing facilities to

evaluate and iterate on the profitability of their trading models. 

The NEX SEF reserves the right to restrict access to the testing facilities if usage is considered to be 

outside of expectations. 

4. Trading Venue Self-assessment 

RTS 7 sets out requirements for regulated market operators to assess at least once a year their 

compliance with the provisions of Article 48 of MiFID II including those relating to business continuity 

arrangements. 

The following parameters are taken into consideration in the self-assessment:

Nature

• Nature of trading venue, instruments offered and their liquidity status
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• Role of the trading venue in the market, whether instruments covered can be traded elsewhere

Scale

• Potential impact of NEX SEF on the fair and orderly functioning of the market

• Number of algorithms operating on the venue

• Messaging capacity

• Trading volumes

• Percentage of algorithmic trading and traded volume vs total activity

• Percentage of HFT activity and traded volume vs total activity

• Number of participants

• Ratio of unexecuted orders to transactions

• Number and percentage of API trading members

• Number of co-location sites provided

• Number of countries with business activity

• Volatility management mechanisms, dynamic or static trading limits used to halt trading or reject 

orders

Complexity

• Complexity of the NEX SEF offering and technical infrastructure

• Asset classes offered

• Trading protocols supported (order book, auction, hybrid)

• Pre-trade transparency waivers used

• Trading system diversity and level of control of parameters, software versions, testing and 

reviews

• Trading system ownership, governance, operation and physical location

• Level of technical and operational outsourcing

• Frequency of changes to protocols, system and membership

5. Participant Due Diligence 

Prospective participants of the NEX SEF are required to meet the eligibility criteria and participant 

obligations set out in the NEX SEF Rulebook upon onboarding and on an on-going basis. 

Upon onboarding, NEX SEF will undertake KYC/AML checks and participants are required to complete 

a participant questionnaire to enable NEX SEF to review and assess the arrangements the participant 

has in place to meet the rules of the NEX SEF.

In accordance with MiFID II, NEX SEF requires each participant and prospective participant to maintain 

adequate organisational procedures relating to:

• Pre-trade controls on price and value of orders

• Post-trade controls on credit/clearing and market risk

• Usage controls on message transmission via API

• Software development control and conformance testing to the NEX SEF

• Ability to cancel one or all live orders via use of kill functionality

• Qualified and experienced staff in key positions

NEX SEF conducts a periodic risk-based assessment of its participants to review whether participants 

continue to meet the participant obligations set out above and in the NEX SEF Rulebook. 

6. Disorderly Trading Conditions 
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6.1. Overview

In accordance with MiFID II, NEX SEF has put in place arrangements to prevent disorderly trading 

including:

• Pre-trade controls on price and value of orders;

• Usage controls on message transmission via iLink;

• Unexecuted orders to transactions ratios; 

• Mechanisms to manage volatility; and

• Kill functionality

All algorithmic participants trading on the NEX SEF are required, prior to trading in production, to test 

their algorithmic trading systems or strategies to ensure that they do not contribute to disorderly trading

conditions.

In the event of disorderly trading conditions, NEX SEF is required to notify the UK Financial Conduct

Authority, to inform participants that are subject to market making agreements that their obligations are 

suspended and to consider and communicate any further action to halt or constrain trading. 

6.2. Disorderly Trading Indicators

The NEX SEF Rulebook defines disorderly trading conditions as a situation where the maintenance of 

fair, orderly and transparent execution of trades is compromised. 

NEX SEF will consider a number of indicators to determine disorderly trading conditions including but 

not limited to the following:

• the price discovery process is interfered with over a significant period of time; 

• the capacities of the NEX SEF’s trading systems are reached or exceeded; and

• failure of mechanisms designed to protect against the risk of algorithmic trading. 

6.3. Process Overview

6.3.1. Monitoring

NEX SEF monitors in real-time order entry rates and significant processes for its trading systems. 

Automated alerts are distributed when thresholds are breached based on defined internal procedures. 

6.3.2. Communication Protocol

Participants will be notified of disorderly trading conditions through the publication of a market-wide 

broadcast message. 

Participants that have entered into a market making agreement for the NEX SEF will be informed of the 

suspension of their obligations under their market making agreement until normal trading is resumed. 

NEX SEF will notify its national competent authority of the disorderly trading conditions via email to the 

usual supervisory contact. 

NEX SEF will consider and communicate any necessary additional measures such as trading halts or 

messaging restrictions. 
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6.3.3. Resumption of normal trading 

Upon resumption of normal trading the communication protocol will be repeated and market making 

agreement obligations will apply to relevant participants. 

6.3.4. Post-mortem

The appropriate internal teams conduct a post-mortem incident review for the NEX SEF management 

body to include the following points:

• Key findings

• Customer experience

• Process improvement 

7. Kill Functionality 

7.1. Overview

NEX SEF participants must be able to cancel immediately, as an emergency measure, any or all of 

their unexecuted orders by means of its kill functionality. 

In accordance with RTS 7, NEX SEF operates a kill functionality to cancel unexecuted orders submitted 

by participants. Unexecuted orders may be cancelled at a single order level, at an instrument level or 

participant firm level. 

NEX SEF’s policy on the use of its kill functionality can be divided into three authorities:

• participant initiated;

• venue initiated; and

• regulator initiated 

7.2. Participant Initiated 

Participants may request the cancellation of unexecuted orders where the participant is technically 

unable to delete its own orders. Participants may call into Customer Support and request cancellation 

of one or many unexecuted orders.

Any such request must be made by an appropriately authorised individual and should include all 

necessary information relating to the orders to be cancelled. 

Participants may be asked to provide further information relating to any technical failures that may 

have rendered their own kill functionality inoperable. 

7.3. Venue Initiated 

NEX SEF may use its kill functionality where required to preserve market integrity in the event of the 

order book containing erroneous duplicated orders or following a suspension initiated by a market 

operator or competent authority. 

7.4. Regulator Initiated 

NEX SEF may use its kill functionality at the initiative of its national competent authority following an 

instrument suspension or further to an instruction to suspend a specific participant’s access to the 

trading systems. 
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8. Suspension and removal of instruments 

The NEX SEF may suspend or remove an instrument from trading, unless such a step would be likely 

to cause significant damage to the interest of investors or the orderly functioning of the market. 

Furthermore, the competent authority may demand the suspension of an instrument from trading on the 

NEX SEF. 

8.1. Venue Initiated 

NEX SEF may decide to suspend or remove an instrument from trading under certain conditions 

including but not limited to the following:

• An International Securities Identification Number (ISIN – ISO 6166) is no longer assigned to the 

instrument

• The instrument is no longer available for trading, for example under foreign exchange restrictions

• There is little or no liquidity in an instrument over a significant period of time

• The suspension or removal is unlikely to cause significant damage to investors’ interest or the 

orderly functioning of the market

• If an instrument is suspended or removed, then any derivatives that reference that instrument will 

also be suspended or removed 

NEX SEF may seek the views of participants and the UK Financial Conduct Authority prior to 

suspending or removing an instrument in order to determine the potential for significant damage to 

investors’ interests or the orderly functioning of the market including the potential to increase systemic 

risk or where continued availability of the instrument on the NEX SEF is necessary to perform critical 

post-trade risk management functions. 

8.2. Regulator Initiated 

NEX SEF may be required to suspend or remove a specific instrument from trading upon notification 

from the UK Financial Conduct Authority. In this event, NEX SEF is also required to consider whether 

to extend the decision to include related derivatives or other instruments. 

NEX SEF will communicate any instrument suspension or removal to participants through the 

appropriate channels. 

9. Business Clock Synchronisation 

NEX SEF and its participants are required to ensure that the business clocks they use to record the 

date and time of any reportable event are synchronised with the Coordinated Universal Time (UTC) 

issued and maintained by the timing centres listed in the latest Bureau International des Poids et 

Mesures. 

NEX SEF adheres to the levels of accuracy set out below taking into account that the gateway-togateway latency time of its trading system is above 1 millisecond. 

Gateway-to-gateway latency time of the 

trading system

Maximum divergence 

from UTC

Granularity of the 

timestamp

> 1 millisecond 1 millisecond 1 millisecond or better
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Participants must ensure that their business clocks adhere to the level of accuracy prescribed in RTS 

25 Annex Table 2, which is reproduced below.

Type of trading activity Description Maximum divergence 

from UTC

Granularity of the 

timestamp

Activity using high frequency 

algorithmic trading technique

High frequency 

algorithmic trading 

technique

100 microseconds 1 microsecond or 

better

Activity on voice trading systems

Voice trading 

systems as defined 

in Article 5(5) of 

Commission 

Delegated 

Regulation (EU) 

2017/583

1 second 1 second or better

Activity on request for quote 

systems where the response 

requires human intervention or 

where the system does not allow 

algorithmic trading

Request for quotes 

systems as defined 

in Article 5(4) of 

Delegated 

Regulation (EU) 

2017/583

1 second 1 second or better

Activity of concluding negotiated 

transactions

Negotiated 

transaction as set 

out in Article 4(1)(b) 

of Regulation (EU) 

No 600/2014.

1 second 1 second or better

Any other trading activity

All other trading 

activity not covered 

by this table.

1 millisecond 1 millisecond or 

better
 

MARKET REGULATION ADVISORY NOTICE

From NEX SEF Limited (“NEX SEF”)

To All Participants

Subject NEX SEF Operational Parameters Annex

Rule References 104, 205, 206, 310

Effective Date April 4, 2022

Notice Date March 8, 2022

Notice Number 2022-05

NEX SEF | Operational Parameters Annex

This MRAN supersedes MRAN 2021-05. The policy part of Appendix 1 the NEX SEF Operational 

Parameters Annex which describes various other arrangements NEX SEF has put in place to ensure 

the fair and orderly functioning of the market as required under MiFID II / MiFIR and relevant secondary 

legislation is hereby updated. 
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Appendix 1

NEX SEF

Operational Parameters Annex

April 2022

Version 1.2
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Introduction and Background

The NEX SEF is a Multilateral Trading Facility under MiFID II. Under MiFID II legislation (Directive 

2014/65/EU ("MiFID II") and Regulation 600/2014 ("MiFIR")), and relevant secondary legislation 

including regulatory technical standards ("RTS"), in particular Commission Delegated Regulation (EU) 

2017/584 (“RTS 7”), as retained in UK law under the European Union (Withdrawal) Act 2018, NEX SEF 

Limited (“the Operator”) is required to have in place effective systems, procedures and arrangements 

to ensure the fair and orderly functioning of the markets that it operates. 

This Annex describes the various arrangements the Operator has put in place to meet its obligations. 

Where relevant, further technical details of each arrangement are set out within the Operator’s internal 

operational procedures. 

1. Pre-Trade and Post-Trade Controls

1.1. Pre-Trade controls

As per RTS 7 requirements, the NEX SEF governs the use of its electronic order systems through pretrade controls on price, value of orders and order entry messaging thresholds. 

1.1.1. Price Controls

For iLink, NEX SEF maintains an allowable price range for a given order based on the most recent 

reference price. Orders submitted outside of the allowable price range are automatically rejected. On 

the EBS Workstation, participants can set additional price bands which can be clicked-through if 

necessary. Allowable price ranges are set out in the Reference Data API.

1.1.1.1. Price Check - AI

AI customers have several price check validations which are on (“Y”) by default, however, can be turned 

off (“N”) by the users via the logon response message. Hardcoded parameters such as X-Pips are 

hardcoded and cannot be controlled by the user.

Control Optional (Y/N)

Large DifferenceCheck Y

PriceCheck Y

WideSpreadCheck Y

X-pips N

LargeDifferenceCheck: The AI server will reject a bid/offer price that varies (higher or lower) from the 

current Dealable Best bid/offer by more than the large difference pips for the currency pair. The default 

setting is “Y”. The Large Difference value is set and hard coded by the MTF per pair.

PriceCheck: If “Y” when submitting a bid/offer, a check is performed to determine if the price is inverted. 

If “Y”, orders with inverted prices are rejected (bid is greater than offer and vice versa). If “N”, and the 

order deviates from the market price by more than the X-Pips amount, the order is rejected. The default 

setting is “Y”. The X-Pips value is set per pair and hard coded by the MTF.
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WideSpreadCheck: If “Y”, the Ai server ensures that a bid price less than the current Dealable Best 

Offer by more than the wide spread pips is rejected, and an offer that exceeds the current dealable Best 

Bid by more than the wide spread pips is rejected. If “N”, no restriction is in effect and the order is 

accepted. The default setting is “Y”. The Wide Spread value is set and hard coded by the MTF per pair.

X-Pips: Prevents the user submitting a Bid/Offer greater than the X-pips value through the other side 

best. The X-Pips value is stated per pair and hardcoded by the MTF and is not controlled by the 

customer. This parameter systematically prevents a GTC order being submitted that breaches the 

coded values.

Price Check - Manual 

Manual customers have several price check validations / warnings, some of which are enabled by the 

users. Hardcoded parameters such as X-Pips are hardcoded and cannot be controlled by the user.

Control Optional (Y/N)

Large Difference N

Check Rate N

Wide Spread Y

Bid > Dealable Offer Y

X-pips N

Large Difference: The GUI will provide a warning on the order request panel stating ‘Large Difference’ 

if the user attempts to enter an order which varies from the current Dealable Best bid / offer. The user 

can enter this order by clicking or pressing the ‘SEND’ button a second time following the warning.

Check Rate: The GUI will provide a warning when the market rate and the Bid/Offer pips entered by 

the user varies by more than the Check Rate pips. The Check Rate value is set per pair and hard coded 

by the MTF. The user can enter this order by clicking or pressing the ‘SEND’ button a second time 

following the warning.

Wide Spread: The GUI will provide a warning when:

(Bid Side) The difference between the EBS Market Bid and the submitted Bid price is greater than the 

Wide Spread pips.

(Offer Side) The difference between the EBS Market Offer and the submitted Offer price is greater than 

the Wide Spread pips.

The Wide Spread value is set per pair and hard coded by the MTF. The user can enter this order by 

clicking or pressing the ‘SEND’ button a second time following the warning.

1.1.2. Value Controls

NEX SEF validates order submissions prior to their release to the matching engine. 

 The mMinimum and maximum trade sizesorder values are set per and hard coded by the 

MTFinstrument and available in the Reference Data API. 

 Participants are able to configure maximum order size for each instrument across multiple GUS 

within the same GFID. Further details are available in the Client Systems Wiki. 

 Order value minimums are market specific and set-out in the EBS Market – Guide to Pair 

Parameters which can be requested through EBS Customer Support. 

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1.1.3. Message Transmission Controls

1.1.3.1. Order Throttling

Orders can be rejected if more than a predefined number of messages are sent during a rolling 

window. If a Participant reaches an initial threshold, new messages are rejected. After a second 

threshold, the customer's connection is terminated. Messaging thresholds are explained and set out in 

the Client Systems Wiki. 

Ai

 EBS Market on a per AI session basis, enforces a throughput limit, defined as the number of new 

orders per rolling 5 seconds and the number of maximum active orders. 

 If a participant reaches this threshold then new order submissions will be rejected.

 Cancellation requests of existing orders will still be permitted.

 The current AI servers allow up to 3 sessions per server.

Manual

 The GUI does not have a systematically enforced throughput limit.

1.1.3.2. Minimum Quote Life

AI

 A ‘mMinimum Qquote lLife’ (MQL) is enforced for selected instruments/pairs and is applied to

quotes submitted through iLink.at the AI server.

 MQL is designed to increase the likelihood of a viewed quote being available to trade and reduce 

hyper-active order book participation by implementing a minimum time limit before an order may 

be modified or cancelled. With MQL, a new order must rest for a pre-defined duration (“MQL 

timer”) before it can be cancelled or modified. The length of time is defined for each instrument / 

pair individually and communicated via the Reference Data API. 

 Both cancellation and order amend requests are subject to the MQL value.

 If a participant submits a cancellation for a quote pre the MQL expiry period, that order will be 

held at the AI server until its expiry.

 The MQL values are specified on a per pair basis in the EBS Market – Guide to Pair Parameters

which can be requested through EBS Customer Support.

 The MQL values can be customised per AI session and thus per participantFurther details 

available in the Client Systems Wiki.

1.1.4. Counterparty Controls

1.1.4.1.1.1.3.3. Self-Match Prevention 
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 Intra-floor dealing (IFD) is a parameter available on a per floor code basis which prevents two 

Trader IDs under that floor code from trading with one another. If the value is enabled then this will 

be permitted.

 IFD can be permissioned by the EBS Customer Support team.

1.1.4.2. Counterparty Restrictions

 The GUI will display a white price if the Best Bid/Offer available has been submitted by a user 

from the same floor code.

 Prices from counterparties which do not have a bilateral credit relationship with the user will not 

be shown on the GUI, unless that price is features as the EBS Best bid or offer above the creditscreened prices.

 Participants are required to maintain their own credit counterparty matrices through the Trading 

Floor Administrator utility.

 Through iLink, orders submitted using the same GFID and GUS can be submitted with different 

SMP IDs and are able to Match. Orders submitted with the same SMP ID will not Match. SMP IDs 

can be created at a Participant level, and a single SMP ID can be assigned to multiple GFIDs. 

SMP applies on a per-Order basis on Globex. 

 Further details are available in the Client System Wiki.

1.2. Post-Trade Controls

1.2.1. Unexecuted Orders to Transactions Ratio

NEX SEF calculates the ratio of unexecuted orders to transaction for each of its participants at the end 

of every trading session in both volume terms and in number terms:

Volume terms: (Total volume of orders/Total volume of transactions) - 1

Number terms: (Total number of orders/Total number of transactions) - 1

Unexecuted orders to transaction ratios are monitored against the maximum thresholds, which have 

been determined taking into account the nature and liquidity of instruments on the NEX SEF and normal 

trading patterns. 

The thresholds are subject to ongoing review and calibration and participants will be notified via the 

appropriate channels of any changes to these thresholds. 

1.2.2. Other Fill Ratios

NEX SEF operated Quote Fill Rations (“QFR”) on selected NDF currency pairs. The QFR is a minimum 

percent of passive Bid/Offer submissions. The Operator monitors and enforces the QFR as set out in 

the EBS Quote Fill Ratio MRAN. 

Details of the calculation methodology for QFR can found in Rule 901(j)7(ii) of the NEX SEF Rulebook 

and relevant MRANs.

Details of the calculation methodology for QFR can found in Rule 901(j)7(ii) of the NEX SEF Rulebook 

and relevant MRANs. may calculate and monitor other fill ratios to promote the orderly functioning of its 

markets. These would also be communicated by Market Notice.
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Currently NEX SEF operates NDF Quote Fill Thresholds calculated over a rolling four week interval as 

follows:

Volume of Good Till Cancelled ("GTC") orders traded in USD millions / Number of GTC orders submitted

During any rolling 4-week calculation window, NEX SEF will inform participants if they are not meeting 

the fill ratio thresholds. Following this notification, the participant will be given a two-week warning period 

to bring their fill ratios into compliance with the thresholds.

After the warning period, should the participant fail to meet the established fill ratio requirement for the 

currency pair, this would be deemed to be disruptive behaviour. Participants will be formally notified 

that their behaviour has been flagged as disruptive and instructed to desist trading within 24 hours via 

API in that currency pair for all timezones for a period of two weeks, after which they may resume 

trading.

2. Volatility Interruptions 

Article 48(5) MiFID II requires regulated markets to be able to temporarily halt or constrain trading if 

there is a significant price movement during a short period of time in a financial instrument on that 

market or a related market.

NEX SEF will monitor for significant price movements during short periods of time. In the event a price 

movement exceeds either a pre-defined static or dynamic threshold in a specific instrument, NEX SEF 

will review and determine whether to introduce a trading halt.

3. Testing Facilities

3.1. Overview 

All algorithmic participants trading on the NEX SEF are required, prior to trading in production, to test 

their algorithmic trading systems for both conformance to NEX SEF specifications as well as to ensure 

their trading systems will be able to handle, and not contribute to, disorderly trading conditions.

The NEX SEF testing environment is strictly separated from the production environment and is offered 

to participants, and prospective participants, on a scheduled basis to facilitate testing of their algorithms 

for conformance and for disorderly trading conditions. 

Test conditions representative of production are recreated in the testing environment. Within that 

environment, in addition to testing all aspects of conformance with NEX SEF specifications, participants 

can test their algorithms against a number of disorderly market conditions. 

3.2. Fair Usage

NEX SEF makes the testing environment available to participants and prospective participants for the 

purpose of conformance testing and to facilitate testing against disorderly trading conditions. There is 

no charge for the use of the testing facilities. 

It is not intended that participants and prospective participants use the NEX SEF testing facilities to

evaluate and iterate on the profitability of their trading models. 

The NEX SEF reserves the right to restrict access to the testing facilities if usage is considered to be 

outside of expectations. 
cmegroup.com 8 of 12

4. Trading Venue Self-assessment 

RTS 7 sets out requirements for regulated market operators to assess at least once a year their 

compliance with the provisions of Article 48 of MiFID II including those relating to business continuity 

arrangements. 

The following parameters are taken into consideration in the self-assessment:

Nature

• Nature of trading venue, instruments offered and their liquidity status

• Role of the trading venue in the market, whether instruments covered can be traded elsewhere

Scale

• Potential impact of NEX SEF on the fair and orderly functioning of the market

• Number of algorithms operating on the venue

• Messaging capacity

• Trading volumes

• Percentage of algorithmic trading and traded volume vs total activity

• Percentage of HFT activity and traded volume vs total activity

• Number of participants

• Ratio of unexecuted orders to transactions

• Number and percentage of API trading members

• Number of co-location sites provided

• Number of countries with business activity

• Volatility management mechanisms, dynamic or static trading limits used to halt trading or reject 

orders

Complexity

• Complexity of the NEX SEF offering and technical infrastructure

• Asset classes offered

• Trading protocols supported (order book, auction, hybrid)

• Pre-trade transparency waivers used

• Trading system diversity and level of control of parameters, software versions, testing and 

reviews

• Trading system ownership, governance, operation and physical location

• Level of technical and operational outsourcing

• Frequency of changes to protocols, system and membership

5. Participant Due Diligence 

Prospective participants of the NEX SEF are required to meet the eligibility criteria and participant 

obligations set out in the NEX SEF Rulebook upon onboarding and on an on-going basis. 

Upon onboarding, NEX SEF will undertake KYC/AML checks and participants are required to complete 

a participant questionnaire to enable NEX SEF to review and assess the arrangements the participant 

has in place to meet the rules of the NEX SEF.

In accordance with MiFID II, NEX SEF requires each participant and prospective participant to maintain 

adequate organisational procedures relating to:

• Pre-trade controls on price and value of orders

• Post-trade controls on credit/clearing and market risk

• Usage controls on message transmission via API
cmegroup.com 9 of 12

• Software development control and conformance testing to the NEX SEF

• Ability to cancel one or all live orders via use of kill functionality

• Qualified and experienced staff in key positions

NEX SEF conducts a periodic risk-based assessment of its participants to review whether participants 

continue to meet the participant obligations set out above and in the NEX SEF Rulebook. 

6. Disorderly Trading Conditions 

6.1. Overview

In accordance with MiFID II, NEX SEF has put in place arrangements to prevent disorderly trading 

including:

• Pre-trade controls on price and value of orders;

• Usage controls on message transmission via APIiLink;

• Unexecuted orders to transactions ratios; 

• Mechanisms to manage volatility; and

• Kill functionality

All algorithmic participants trading on the NEX SEF are required, prior to trading in production, to test 

their algorithmic trading systems or strategies to ensure that they do not contribute to disorderly trading

conditions.

In the event of disorderly trading conditions, NEX SEF is required to notify its national competentthe UK 

Financial Conduct aAuthority, to inform participants that are subject to market making agreements that 

their obligations are suspended and to consider and communicate any further action to halt or constrain 

trading. 

6.2. Disorderly Trading Indicators

The NEX SEF Rulebook defines disorderly trading conditions as a situation where the maintenance of 

fair, orderly and transparent execution of trades is compromised. 

NEX SEF will consider a number of indicators to determine disorderly trading conditions including but 

not limited to the following:

• the price discovery process is interfered with over a significant period of time; 

• the capacities of the NEX SEF’s trading systems are reached or exceeded; and

• failure of mechanisms designed to protect against the risk of algorithmic trading. 

6.3. Process Overview

6.3.1. Monitoring

NEX SEF monitors in real-time order entry rates and significant processes for its trading systems. 

Automated alerts are distributed when thresholds are breached based on defined internal procedures. 

6.3.2. Communication Protocol
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Participants will be notified of disorderly trading conditions through the publication of a market-wide 

broadcast message. 

Participants that have entered into a market making agreement for the NEX SEF will be informed of the 

suspension of their obligations under their market making agreement until normal trading is resumed. 

NEX SEF will notify its national competent authority of the disorderly trading conditions via email to the 

usual supervisory contact. 

NEX SEF will consider and communicate any necessary additional measures such as trading halts or 

messaging restrictions. 

6.3.3. Resumption of normal trading 

Upon resumption of normal trading the communication protocol will be repeated and market making 

agreement obligations will apply to relevant participants. 

6.3.4. Post-mortem

The appropriate internal teams conduct a post-mortem incident review for the NEX SEF management 

body to include the following points:

• Key findings

• Customer experience

• Process improvement 

7. Kill Functionality 

7.1. Overview

NEX SEF participants must be able to cancel immediately, as an emergency measure, any or all of its 

their unexecuted orders by means of its kill functionality. 

In accordance with RTS 7, NEX SEF operates a kill functionality to cancel unexecuted orders submitted 

by participants. Unexecuted orders may be cancelled at a single order level, at an instrument level or 

participant firm level. 

NEX SEF’s policy on the use of its kill functionality can be divided into three authorities:

• participant initiated;

• venue initiated; and

• regulator initiated 

7.2. Participant Initiated 

Participants may request the cancellation of unexecuted orders where the participant is technically 

unable to delete its own orders. Participants may call into Customer Support and request cancellation 

of one or many unexecuted orders.

Any such request must be made by an appropriately authorised individual and should include all 

necessary information relating to the orders to be cancelled. 

Participants may be asked to provide further information relating to any technical failures that may 

have rendered their own kill functionality inoperable. 
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7.3. Venue Initiated 

NEX SEF may use its kill functionality where required to preserve market integrity in the event of the 

order book containing erroneous duplicated orders or following a suspension initiated by a market 

operator or competent authority. 

7.4. Regulator Initiated 

NEX SEF may use its kill functionality at the initiative of its national competent authority following an 

instrument suspension or further to an instruction to suspend a specific participant’s access to the 

trading systems. 

8. Suspension and removal of instruments 

The NEX SEF may suspend or remove an instrument from trading, unless such a step would be likely 

to cause significant damage to the interest of investors or the orderly functioning of the market. 

Furthermore, the competent authority may demand the suspension of an instrument from trading on the 

NEX SEF. 

8.1. Venue Initiated 

NEX SEF may decide to suspend or remove an instrument from trading under certain conditions 

including but not limited to the following:

• An International Securities Identification Number (ISIN – ISO 6166) is no longer assigned to the 

instrument

• The instrument is no longer available for trading, for example under foreign exchange restrictions

• There is little or no liquidity in an instrument over a significant period of time

• The suspension or removal is unlikely to cause significant damage to investors’ interest or the 

orderly functioning of the market

• If an instrument is suspended or removed, then any derivatives that reference that instrument will 

also be suspended or removed 

NEX SEF may seek the views of participants and its national competentthe UK Financial Conduct

aAuthority prior to suspending or removing an instrument in order to determine the potential for 

significant damage to investors’ interests or the orderly functioning of the market including the potential 

to increase systemic risk or where continued availability of the instrument on the NEX SEF is necessary 

to perform critical post-trade risk management functions. 

8.2. Regulator Initiated 

NEX SEF may be required to suspend or remove a specific instrument from trading upon notification 

from the UK Financial Conduct Aits national competent authority. In this event, NEX SEF is also 

required to consider whether to extend the decision to include related derivatives or other instruments. 

NEX SEF will communicate any instrument suspension or removal to participants through the 

appropriate channels. 

9. Business Clock Synchronisation 

NEX SEF and its participants are required to ensure that the business clocks they use to record the 

date and time of any reportable event are synchronised with the Coordinated Universal Time (UTC) 
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issued and maintained by the timing centres listed in the latest Bureau Iinternational des pPoids et 

Mmesures. 

NEX SEF adheres to the levels of accuracy set out below taking into account that the gateway-togateway latency time of its trading system is above 1 millisecond. 

Gateway-to-gateway latency time of the 

trading system

Maximum divergence 

from UTC

Granularity of the 

timestamp

> 1 millisecond 1 millisecond 1 millisecond or better

Participants must ensure that their business clocks adhere to the level of accuracy prescribed in RTS 

25 Annex Table 2, which is reproduced below.

Type of trading activity Description Maximum divergence 

from UTC

Granularity of the 

timestamp

Activity using high frequency 

algorithmic trading technique

High frequency 

algorithmic trading 

technique

100 microseconds 1 microsecond or 

better

Activity on voice trading systems

Voice trading 

systems as defined 

in Article 5(5) of 

Commission 

Delegated 

Regulation (EU) 

2017/583

1 second 1 second or better

Activity on request for quote 

systems where the response 

requires human intervention or 

where the system does not allow 

algorithmic trading

Request for quotes 

systems as defined 

in Article 5(4) of 

Delegated 

Regulation (EU) 

2017/583

1 second 1 second or better

Activity of concluding negotiated 

transactions

Negotiated 

transaction as set 

out in Article 4(1)(b) 

of Regulation (EU) 

No 600/2014.

1 second 1 second or better

Any other trading activity

All other trading 

activity not covered 

by this table.

1 millisecond 1 millisecond or 

better