• COMEX and NYMEX Block Spread Dissemination - Effective November 2, 2009

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2009-247
      • Notice Date
      • 30 October 2009
      • Effective Date
      • 02 November 2009

      As a reminder, effective with the migration of COMEX and NYMEX floor data to the CME version of ITC 2.1 message format, block spread messages will be disseminated in the same manner as CME/CBOT block spread data.  They are sent with a Product Classification Code of “L” (Combinations with Legs) and a Category Code of “E” (Exceptional Message).   The Category Code E messages will be disseminated with a 7-byte volume field for the following


      Block Spreads (IDs):

      ·          BF

      ·          CF          

      ·          DN

      ·          FB

      ·          OB

      ·          OR

      ·          PB

      ·          PK

      ·          PS

      ·          SP

      ·          SR


      Note:  The exception to this is the Block Spread ID of FO, which will have a 5-byte volume field.


      CME Group plans to change the Block Spreads that are sent with a 7-byte volume field to a Category Code “e” (in alignment with Category Code “t” messages) message in the upcoming weeks.  We will send notification allowing enough time for testing and implementation.


      Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.