• CME ClearPort API Notices: April 3, 2018

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      • CME ClearPort API Customers
      • From
      • Global Market Solutions and Services
      • #
      • 20180403api
      • Notice Date
      • 03 April 2018
    • Topics in this issue include:

      New - EFR and EFP Trade Support for TAS and TAM Pricing

      Effective Sunday, April 22 (trade date Monday, April 23), pending all relevant CFTC regulatory review periods, CME ClearPort will support Trade at Settlement (TAS) and Trade at Marker (TAM) pricing for Trade Types: Exchange for Physical (EFP) and Exchange for Risk (EFR) on TAS/TAM eligible products.

      Spreads and combinations may be executed at TAS/TAM pricing provided all the legs are eligible.

      This enhancement will be available in New Release for customer testing on Wednesday, April 11.

      New - Non-Functional Software Update

      Effective Sunday, April 22 (trade date Monday, April 23), CME ClearPort is implementing a non-functional software update.

      Clients are strongly encouraged to login to CME ClearPort API in New Release now to ensure no business interruption.

      Price Precision Extension

      In the Q4 2018, CME ClearPort API will support an increase to the maximum price precision from seven to nine decimal places to provide greater price granularity for future launches.

      Also in Q4 2018, the first application of this new price format functionality, pending regulatory approval, will implemented be for 2-Year Treasury Note  Futures, Future Spreads and inter-commodity spreads, with a price precision of eight decimal places.

      The attributes listed below will be impacted.

      For more on impacted products and CME Globex, iLink messaging, Drop Copy and Market Data impacts, view the CME Globex Client Impact Assessment.

      Trade Capture Reports and Acknowledgements

      Price will be impacted at the Trade Capture Report and Trade Instrument Leg Group levels.

      Level Field Name FIXML Attribute Name
      /TrdCaptRpt - inbound Trade Price LastPx
      /TrdCaptRpt/TrdLeg - inbound Leg Last Price LastPx
      /TrdCaptRptAck - outbound Trade Price LastPx
      /TrdCaptRptAck/TrdLeg - outbound Leg Last Price LastPx
      /TrdCaptRpt - outbound Trade Price LastPx
      /TrdCaptRpt/TrdLeg - outbound Leg Last Price LastPx

      Reference Data

      Level Field Name FIXML Attribute Name
      /SecDef/Instrmt MinPriceIncrement MinPxIncr
      /DerivSecList/DerivSecDef/DerivInstrmt MinPriceIncrement MinPxIncr

      These enhancements will be available for customer testing in New Release in the Q2 2018.