|Topics in this issue include:
|Market Data Updates|
Book Depth Change for U.S. Treasury, Swap and Fed Fund Options
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.
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.
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.