• CME STP Notices: April 4, 2018

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      • CME STP Customers
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      • Global Market Solutions and Services
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      • 20180404
    • CME STP

      New New - EFR/EFP TAS and TAM Pricing Support  - April 22

      Effective Sunday, April 22 (trade date Monday, April 23), CME Group will offer Exchange for Physical (EFP) and Exchange for Risk (EFR) trades on Trade at Settlement (TAS) and Trade at Marker (TAM) pricing for eligible products.

      CME STP will support trade reporting for these deals.

      The following values should be expected on these trades:

      Trade Type

      • EFP: Trade Type (TrdCaptRpt/TrdTyp) = "2"
      • EFR: Trade Type (TrdCaptRpt/TrdTyp) = "11"

      Trade Sub Type

      • TAS: Trade Sub Type (TrdCaptRpt/TrdSubTyp) = "40"
      • TAM: Trade Sub Type (TrdCaptRpt/TrdSubTyp) = "43"

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

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      Price Precision Extension - Q4 2018

      In Q4 2018, CME STP 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 be implemented for 2-Year Treasury Note futures, future spreads and inter-commodity spreads.

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

      All impacted attributes are on Trade Capture Reports at the Trade Capture Report or Trade Instrument Leg Group level.

      Level Field Name FIXML Attribute Name
      /TrdCaptRpt

       

      Trade Price LastPx
      Average Price AvgPx
      Differential Price DiffPx
      /TrdCaptRpt/TrdLeg Leg Last Price LastPx
      Leg Differential Price DiffPx

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

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      CME STP FIX

      Price Precision Extension - Q4 2018

      In Q4 2018, CME STP FIX 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 be implemented for 2-Year Treasury Note futures, future spreads and inter-commodity spreads.

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

      All impacted attributes are on Trade Capture Reports at the Trade Capture Report or Trade Instrument Leg Group level.

      Level FIX Tag Field Name FIXML Attribute Name
      /TrdCaptRpt

       

      31 Trade Price LastPx
      6 Average Price AvgPx
      10033 Differential Price DiffPx
      /TrdCaptRpt/TrdLeg 637 Leg Last Price LastPx
      2492 Leg Differential Price DiffPx

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

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      Contacts

      Please contact the following support teams for:

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