• CME Globex Market Data Updates

      • To
      • CME Globex Customers
      • From
      • CME Globex Account Management
      • #
      • 20080407
      • Notice Date
      • 07 April 2008
    • Topics in this issue include:
      Market Data Updates


      Market Data Updates

      NEW Book Depth Change for U.S. Treasury, Swap and Fed Fund Options
      Effective Sunday, May 4 (trade date Monday, May 5), in response to customer requests, the market data book depth for all U.S. Treasury, Swap and Fed Fund options on futures on Market Data Platform channel 116 will change to three deep. Currently, these markets only support top-of-book market depth.

      This change will impact both the FIX/FAST- and RLC-format market data books. The complete list of impacted products is available  below.

      For FIX/FAST, this change will result in a move to the incremental book management style from the current overlay style, as reflected in tag 279 MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X). Valid values for this tag will now include 0 (New), 1 (Change) and 2 (Delete).

      The book depth for every instrument on CME Globex is detailed in tag 264 MarketDepth in the Security Definition (tag 35=d). CME Group strongly recommends customer applications utilize tag 264 to identify the supported instrument book depth level dynamically. CME Group also recommends all customer applications should be designed to leverage all possible values for tag 279 MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X) for all markets and channels, to minimize the impact of future book depth changes.

      The FIX/FAST Software Development Kit, including details on book management in the Core Functionality module, is available   online. Please contact Customer Support for Electronic Trading (CSET) at 312.930.2322 for development assistance.

      This book depth change will be available for customer testing in New Release Monday, April 14.

      Options with Three-Deep Market Data

      Product Instrument
      Group Code
      Product Code MDP Channel
      Binary Options on the Target Fed Funds Rate Outrights C8 BUS 116
      Binary Options on the Target Fed Funds Rate Spreads B1
      5-Year Interest Rate Swap Outrights Y5 OSA
      5-Year Interest Rate Swap Spreads 05
      10-Year Interest Rate Swap Outrights AT OSR
      30-Year U.S. Treasury Bond Outrights UZ OZB
      30-Year U.S. Treasury Bond Spreads U3
      5-Year U.S. Treasury Note Outrights 0N OZF
      5-Year U.S. Treasury Note Spreads 9S
      10-Year U.S. Treasury Note Outrights TE OZN
      10-Year U.S. Treasury Note Spreads T$
      30-Day Fed Funds Outrights CF OZQ
      30-Day Fed Funds Spreads FO
      2-Year U.S. Treasury Note Outrights N2 OZT
      2-Year U.S. Treasury Note Spreads 2$

      FIX/FAST Migration
      On Sunday, October 14, 2007, CME Group launched the new FIX/FAST market data format on the CME Globex platform. FIX/FAST is the basis of a new industry standard for market data and improves bandwidth scalability. The new format is based on FIX and FAST protocols for increased efficiency. FIX provides the core message structure and syntax while the FAST protocol increases optimization.

      AutoCert+ in New Release is available for customers to complete the mandatory certification for FIX/FAST. More information is available in the  AutoCert+ User Guide. FIX/FAST is currently available for customer testing in the New Release and Certification environments.

      Customers must complete their migration to FIX/FAST from the legacy RLC format market data by October 17, 2008. After October 17, support surcharges will be assessed for each site still receiving RLC format market data.

      • $2,000 per week in October
      • $4,000 per week in November
      • $6,000 per week in December

      The legacy RLC format market data will be eliminated no later than the end of December 2008.

      The FIX/FAST Software Development Kit, including Market Data Platform channel definitions and reference code, is available  online.