This Advisory outlines several important enhancements beginning for trade date May 5, 2008. These changes are:
- Clearing Trade ID's Greater than 999,999
- Addition of Mult and MatDt to FIXML messages
- Input Source "EOS" for FIXML C360 messages
- Globex SLEDS FIXML Tag MMY corrected
Trade ID's Greater than 999,999
The Firm Trade ID is a number used to identify trades in the clearing system. Trade ID's are unique by exchange, firm ("trading member firm", "TMF"), and trade date. Currently, the Trade ID is a six-byte numeric value, which cannot go higher than 999,999. Some clearing firms are approaching this limit. Accordingly, we are expanding the trade ID field to ten digits (vastly more than are needed.)
We're preserving the distinction between trade ID's from 1 to 100,000, and from 100,001 on up, in that the lower range is used for special purposes. Trade ID's from 100,001 on up will continue to be assigned by the clearing system, sequentially. The only difference is that if and when the system hits 1,000,000 for a given TMFon a given day, it will keep going.
On the FIXML Trade Register file, trade ID's are provided in the RptID attribute as a six-digit value, zero-filled on the left as needed. To make sure that firm systems which may not need to support more than one million trade ID's per day are unaffected, we will continue to provide this value as a six-digit zero-filled number, unless the value goes above 999,999.
Testing opportunities are available now. If you would like to test trade ID's over 999,999, please contact CCS. Testing requires special setup and must be coordinated with CCS@cmegroup.com
Addition of Mult and MatDt to FIXML Messages
To accommodate firm requests, we are adding two attributes to outbound (to firms) FIXML messages. Beginning trade date May 5, 2008, attributes MaturityDate (MatDt) and ContractMultiplier (Mult) will be added to all outbound messages. These contain the clearing settlement date -- the date the contract gets its final settlement price (for options, the expiration date) -- and the contract value factor (the multiplier applied to a price to convert it to its monetary value.)
You are not required to send MatDt or Mult to CME Clearing on inbound FIXML messages.
Please verify that the addition of these new fields will not cause issues with the way you handle trades and allocations.
Input Source "EOS" for FIXML messages for C360 trades entered via EOS Trader
CME's EOS Trader application is now available for market participants to submit block trades and other privately-negotiated transactions to the new Clearing 360 API. When both clearing firms on such transactions have accepted them, firms receive FIXML trade confirmation messages to load these trades to books.
Beginning on Monday, May 5, 2008, the Input Source (InptSrc) for these trades will have the value "EOS".
Globex SLEDS FIXML Tag MMY Corrected
Globex SLEDS trades have been carrying an incorrect value in the MaturityMonthYear (MMY) attribute of the main Instrument (Instrmt) block of SLEDS trades. This has been corrected, and beginning trade date Monday, May 5, 2008, you will see the lead month of the SLEDS trade in the top-level Instrument block, rather than "00."
Firms can test these changes now in the Clearing Certification and/or New Release environments.
If you have any questions or concerns about any of these changes, please contact CCS at CCS@cmegroup.com, or call CCS at 312-207-2525.