• Implied Functionality for Live Cattle-Lean Hog Inter-commodity Futures Spreads - Effective April 18, 2010

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2010-55
      • Notice Date
      • 18 March 2010
      • Effective Date
      • 18 April 2010
    • Effective Sunday, April 18, 2010, implied functionality will be enabled for the Live Cattle and Lean Hog futures and

      future spreads, including the inter-commodity future spread.


      The implied functionality integrates bids and offers in both spreads and their outright contracts to provide the most liquid possible markets with the best possible prices. Implied functionality is indicated in the FIX/FAST Security Definition message (tag 35-MsgType=d), in tag 1144-ImpliedMarketIndicator, where 3 indicates Implied In and Out.


      The implied functionality for the Live Cattle and Lean Hog futures and future spreads will be turned on for Quote Vendor testing in New Release Monday, March 29, 2010.



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