Effective Sunday, December 13, Theoretical Settlement data blocks will be implemented on the following channels only:
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 Settlement 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 document, Section 2.3 –Theoretical Settlement Data Block.
The schedule for rolling out Theoretical Settlement data blocks t for the remaining FIX/FAST Market Data Platform channels will be announced in a future Market Data Operations notice.
Please contact Market Data Operations (MDO) at email@example.com, if you have any questions concerning this notice
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