Beginning on clearing date Monday, June 17, 2013 several small changes will be evident on the FIXML Trade Register files for CBT, CME, COMEX, and NYMEX (KCBT and DME are included in CBT and NYMEX, respectively).
The changes are related solely to trade messages that result from exercise and assignment processing.
For FIXML Trade Registers
Trade Capture Report messages (TrdCaptRpt’s) that are present as the result of exercise and assignment processing will now show several attributes that while not new in FIXML, are now present, and with different values than in current Production FIXML Trade Registers. Specifically, you will see:
· VenuTyp=”C” – meaning “generated from clearing”
· VenueTyp=”C” (*)
· SesSub=”C” – meaning “generated from clearing”
· PxSubTyp=”1” – meaning “Final”
· AgrsrInd -- for exercises only, this value will now be “Y”. Formerly, this value was always “N” for both exercises and assignments.
* If you have not done so already, please move to using VenuTyp (no “e” in “Venue”), if you currently use this attribute. CME Group will deprecate the use of this attribute in the future, and it is advised to switch ahead of time, rather than waiting for a deadline.
No changes are expected on the print-format Trade Register.
The new features are available in the New Release environment, so that you may do testing with your own firm data if desired, leading up to the June 17, 2013 date. You are encouraged to run trades and exercises through your New Release environment, and examine the output, to be sure that your systems are not disrupted by the changes.
For questions or further information please contact CME Clearing Services (CCS) at 312-207-2525 or email@example.com.
For the full text of the advisory, please click here