• CME STP FIX Notices: April 14, 2016

      • To
      • CME STP FIX Customers
      • #
      • 20160414fix
      • Notice Date
      • 18 April 2016
    • Topics in this issue include:

      New - CME STP FIX Tag Updates for Multiple Fields

      Effective Sunday April 24 (trade date Monday April 25), the tags listed below will be added to or updated for CME STP FIX Trade Capture Report messages, bringing them into alignment with the FIXML Trade Capture Report messages for CME STP.

      New or Updated?(N / U) Tag Fix Name Message Component Level Req Format Description
      N 999 LegUnitofMeasure Instrument Leg N String The leg unit of measure of the product upon which the contract is based. It is also referred to as the trading unit.
      N 1716 UnitofMeasureCurrency Instrument N Currency Currency of the unit of measure. Conditionally available when UOM=Ccy. Will be populated where appropriate.
      N 1720 LegUnitOfMeasureCurrency Instrument Leg N Currency Currency of the leg unit of measure. Conditionally available when UOM=Ccy. Will be populated where appropriate.

      N (Prod)

      and

      U (NR)

      1224

      LegUOMQty Instrument Leg N Float

      Contract’s defined quantity, used to calculate total traded notional quantity per spread leg.

      Note: Currently tag is 10044 in NR, and value is not in Prod.
      U (Prod) 6070 PriceMultiplier Instrument N Float

      Price unit of measure used to convert the change in price (sell – buy) into P&L per contract.

      Note: Currently value is correct in NR, but 231 in Prod.
      U (Prod) 10045 LegPriceMultiplier Instrument Leg N Float

      Price unit of measure used to convert the change in price (sell – buy) into P&L per contract leg.

      Note: Currently value is correct in NR, but 614 in Prod.
      U 865 EventType Events Bloc N Int Event Type Note: Tag was 866
      U 866 EventDate Events Block N 50:1 Event Date Note: Tag was 865

      These changes will be available in the New Release environment Wednesday, April 13.

      Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

      New - Swaption Trade Support on CME STP FIX

      Effective Sunday, April 24 (trade date Monday, April 25), support for Swaption trades will be enabled on CME STP FIX, allowing for more effective management of a risk portfolio.

      With this change, the Security Type field in the Instrument block of the Trade Capture Report will include a new SWAPTION enumeration. Customers will be able to retrieve their Swaption trades via CME STP FIX by specifying tag 167-SecType = ‘SWAPTION’ in the CME STP FIX Trade Capture Report Request.

      TrdCaptRpt/Instrmt/
      Tag Abbr Datatype Description New Enumeration
      167 SecTyp String Instrument LegIndicates type of instrument or security. ‘SWAPTION’ (Swaption)

      Swaption trades will be FpML embedded in the Trade Capture Report messages. Please see a sample message.

      The following message tags are not included in Trade Capture Report Messages for Swaptions:

      Tag Level and FIXML Abbreviation
      17

      /TrdCaptRpt/@ExecID

      • ExecID will be present for on-exchange trades and Blocks, including Invoice Swap Spreads
      • ExecID will not be present for off-exchange IRS/FRA/SWAPTION trades
      1003 /TrdCaptRpt/@TrdID
      880 /TrdCaptRpt/@MtchID
      31 /TrdCaptRpt/@LastPx
      60 /TrdCaptRpt/@TxnTm
      423 /TrdCaptRpt/@PxTyp
      15 /TrdCaptRpt/RptSide/@Ccy
      1013 /TrdCaptRpt/RptSide/TrdRegTS/@TS[@@Typ="1"]

      This enhancement will be available for testing in New Release on Wednesday, April 13.

      Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

      Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 800 898 013 or in Asia at +65 6532 5010 with production questions