• Theoretical Settlements via FIX/FAST on November 22, 2009 - Updated Information

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      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2009-255
      • Notice Date
      • 20 November 2009
      • Effective Date
      • 22 November 2009
    • This notice contains new information concerning an upcoming change.


      As a reminder, effective Sunday, November 22, theoretical settlement data blocks will be implemented on the following channels only:


                     7, CME Equity futures

                     11, CME FX futures

                     113, CBOT Equity futures

                     115, CBOT Interest Rate futures

                     116, CBOT Interest Rate options



      However, the theoretical settlement data blocks for the following channels, will be postponed until a later date:

                     119, MGEX options

                     121, KCBT options


      Theoretical settlement data blocks will contain the theoretical settlement price for an instrument, which will be disseminated daily by product group following the close of the trading session. The theoretical data blocks are similar to the Closing and Settlement Price data blocks, but will contain tag 64-SettlDate and tag 286-OpenCloseSettlFlag.


      Tag 279-MDUpdateAction will be set to 0 = New and tag 269-MDEntryType will be set to 6 = Settlement Price. Tag 64-SettlDate will be present and tag 286-OpenCloseSettlFlag will be set to 5 = Theoretical Price.


      Detailed information is available in the Elimination of ITC-format Market Data client impact, Section 2.3 Theoretical Settlement Data Block.


      Theoretical settlement blocks will be rolled out for the remaining FIX/FAST Market Data Platform channels. The schedule will be announced ina future Market Data notice.


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