Dow Jones Indices via Streamlined FIX/FAST
Starting on Saturday, November 17, 2012, CME Group will begin disseminating real-time Dow Jones Indices market data via streamlined FIX/FAST.
Streamlined FIX/FAST is an optimized version of the FIX/FAST market data format for non-actionable price data. Streamlined FIX/FAST has a dedicated message specification distinct from the CME Globex FIX/FAST format and new templates. More information on streamlined FIX/FAST is available online.
On Friday, November 16, 2012, Security Definitions will be broadcast for Dow Jones Indices between 11:30 pm Central Time (CT) and 12:30 am CT. The Security Definitions for the Dow Jones Indices will be re-broadcast during the normal window on Saturday evening.
Detailed information on enhanced Dow Jones Indices market data via streamlined FIX/FAST is available Client Impact Assessment.
Starting on Sunday, October 21, we will begin broadcasting heartbeats in the production environment for Market Data Platform (MDP) channel 151. In addition, the new template and the config.xml file will be available in production.
Please Note: CME Group recommends all system providers supporting Dow Jones Indices market data to test these enhancements thoroughly in New Release and complete certification in AutoCert+.
With this change, the dissemination of the 52-week high and lows index values for Dow Jones Indices will be discontinued. In addition, the announcement of new indices will be disseminated through News messages (tag 35-MsgType=B) only.
As of Saturday, November 17, 2012, Dow Jones Indices market data will no longer be disseminated in ITC 2.1 format.
Streamlined FIX/FAST – ERIS Exchange Swapbook 3.0 Upgrade
Effective Sunday, December 2 (trade date Monday, December 3), CME Group will implement an upgrade to the ERIS Exchange market data in streamlined FIX/FAST. The ERIS Exchange Swapbook 3.0 upgrade will provide robust support for spread products and functionality.
This upgrade will include new source IP address changes and templates. The new source IP address will be available in the config.xml from the CME Group FTP site on Sunday, October 21, 2012. The new template will be available on November 4, 2012.
With this upgrade, TCP Replay of Security Definitions functionality will be available for the ERIS Exchange. Detailed information for the ERIS Exchange market data upgrade is available online.
The ERIS Exchange market data upgrade will be available for customer testing in New Release on Monday, November 5, 2012.
New Fixing Prices for Mexican Peso Futures
Effective Sunday, December 2 (trade date Monday, December 3), CME Group will begin disseminating Fixing Prices via FIX/FAST for the Mexican Peso futures.
New Fixing Prices for Mexican Peso
||Market Data Platform Channel
The Mexican Peso price fixing prices will be published Monday through Friday, at 9:00a.m., 11:00 a.m., 2:00 p.m. and 3:00 p.m. Central Time (CT). Fixing Price is a volume-weighted average price for the underlying futures contract and is used to determine which options strikes are in-the-money and exercisable.
Fixing Price data blocks are sent in the FIX/FAST Market Data Incremental Refresh (tag 35-MsgType=X):
- Tag 279- MDUpdateAction will be set to 0 = New
- Tag 269-MDEntryType will be set to W = Fixing Price
- Tag 5790-FixingBracket will display the time that the Fixing Price was calculated
- The new Fixing Price Data Block is now available in New Release for customer testing.
The new Fixing Price Data Block will be available in New Release for customer testing on Monday, November 19.
In addition, the Mexican Peso fixing prices will also be disseminated in ITC 2.1 format down Market Data Platform (MDP) channel 3.
New Fixing Prices for Mexican Peso
|Mexican Peso 9 A.M.
|Mexican Peso 11 A.M.
|Mexican Peso 2 P.M.
|Mexican Peso 3 P.