Effective Sunday, August 3, (trade date Monday, August 4), to align the FX futures calendar spreads matching behavior, the allocation algorithm for the Israeli Shekel calendars will be changed from FIFO (F) to Currency Calendars (C). With this change, all FX futures calendar spreads will use C.
The allocation algorithm is defined in FIX tag 1142-MatchAlgorithm, in the FIX/FAST Security Definition message (35=d).
Please contact Market Data Operations (MDO) at email@example.com, if you have any questions concerning this notice.
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