Effective Sunday, April 18, 2010, pre-execution communications in eligible options products will no longer require that a Request for Quote (RFQ) be entered into CME Globex prior to engaging in the pre-execution communication; the entry of an RFQ prior to the entry of the associated Request for Cross (RFC) order is still required.
Additionally, the matching algorithm currently applicable to RFC transactions in CME and CBOT equity options will be extended to RFC transactions in all eligible options. No changes are being made to the requirements concerning allowable pre-execution communications in futures products.
RFC requires the submission of the New Order Cross (FIX tag 35-MsgType=s) message for a Cross trade.
Additional information on the revised requirements for options transactions executed pursuant to pre-execution communications is available in theMarket Regulation Advisory Notice.
Cross order eligibility is defined where repeating group tag 871-InstAttribType=24, tag 872-InstAttribValue=2, in the Security Definition (tag 35-MsgType=d) message. For more information please review the Cross Order section of the Options module of the iLink SDK.
Customer applications are required to certify for the New Order Cross message before submitting cross orders in production. Please contact your trading application provider for more information.
Contact Market Data Operations (MDO) at email@example.com, if you have any questions concerning this notice. Thank you.