• Update - Price Precision Extension

      • To
      • CME ClearPort API Customers
      • From
      • Global Market Solutions and Services
      • #
      • 20180517
      • Notice Date
      • 17 May 2018
    • Update - Price Precision Extension

      † Denotes update to the article

      CME Group is implementing end-to-end technology changes to support increased price granularity. Currently, CME Group systems support a maximum of 7 decimals. With this initiative, products with up to 9 decimals may be listed and traded. Effective Sunday, January 13 (trade date Monday, January 14), pending regulatory approval, the 2 Year Treasury Note futures and spreads will move from 7 decimals to 8 to support trading at 1/8 of 1/32.

      Customers are encouraged to move to support 9 decimals now; but there are no plans to list a product that uses the 9th decimal at this time.

      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 on Monday, June 11.