Page tree
Skip to end of metadata
Go to start of metadata

With the Price Precision Extension initiative, CME products with up to 9 decimals may be listed and traded. CME Group is implementing end-to-end technology changes to support increased price granularity; currently, CME Group systems support a maximum of 7 decimals. On Sunday, January 13 (trade date Monday, January 14), pending regulatory approval, the 2-Year Treasury Note futures, all 2-Year Treasury Future Spreads (including Calendar Spreads, Tail Spreads and Inter-Commodity Spreads with a 2-Year Treasury Future) along with the futures portion of covered options UDS will move from 7 decimals to 8 to support trading at 1/8 of 1/32. After January 13, CME Group will follow a standard product launch cycle for future 8-digit decimal releases.

Customers are encouraged to move to support 9 decimals now; but there are no plans to list a product that uses the 9th decimal at this time.

Starting Sunday, August 12, the price precision extension rollout will begin with MDP 3.0. With this release, customer certification will be required for MDP 3.0 and Streamlined SBE.

On Sunday, November 18, a production test instrument for the 2-Year Treasury Note futures will be launched on CME Globex. This new test instrument will give customers the ability to confirm system readiness for the introduction of 8-digit decimal price precision.

Upon launch of the production test instrument, client systems not prepared to support 8-decimal precision must ignore market data and iLink/Drop Copy execution reports on this new instrument.

Information on other price precision impacts can be found at the following links: 

Watch this video for a technical overview of the price precision extension initiative:

Market and Instrument States


Contents

Revision History

DateUpdate
29 Nov 2017Initial release.
06 Dec 2017Added links to other price precision impacts under intro paragraph.
14 Mar 2018

"Key Events and Dates"

  • Deleted table
  • Added diagram
  • Added four new subsections
    • "2-Year Launch & AutoCert+" 
    • "iLink"
    • "MDP3 and Streamlined"
    • "Referential Data"

"MDP3 and Streamlined SBE Schema Update"

  • Added that template extension will not be supported.

Updated "Public FTP STL Settlement File Impact "

13 Apr 2018

"MDP3 and Streamlined SBE Schema Update"

  • Added the following sections:
    • MDP3 Schema Update Overview
    • Streamlined Schema Update Overview 
9 May 2018Updated timeline and reject description.
16 May 2018

Added

  • "CME Globex Production Test Instrument" section
  • "MDP3 and Streamlined SBE TCP Recovery Version Update" section

Updated

  • Introduction paragraph
  • Diagram in "Key Events and Dates"
  • "2-Year Treasury Futures Launch and AutoCert+" - Updated table

  • "Testing and Certification" - Rewrote section

  • "MDP3 and Streamlined SBE Schema Update" - Added sentence and table about mantissa format

  • "MDP3 Schema Update Overview" - Added note about schema version 9

  • "MDP3 and Streamlined" - Added last 3 rows

11 July 2018
  • updated Schema version 9 available on FTP site: July 22, 2018
  • additional mock trading information
5 Sept 2018Added MDP 3.0: tag 969-MinPriceIncrement column to Price Precision New Release Test Instruments table
7 Nov 2018

"Referential Data"

  • Added naming convention table
  • Updated stlint table of dates
  • Added note with settle directory

Key Events and Dates

An overview of the key events and dates for the price precision extension enhancements is illustrated below.

See the following sections for more specific dates:

PPEdates3



2-Year Treasury Futures Launch and AutoCert+  

The following section outlines dates for the launch of 2-Year Treasury Futures support and related referential data support. AutoCert+ will support the new schemas and a greater price precision.

Name

New Release  Launch

Production Launch

Production Mock

2-Year Treasury Futures Reduced Tick Launch

June 11

January 13

-

2-Year Treasury Futures Reduced Tick Globex Test Instrument Launch

June 11

November 18

October 20

AutoCert+ Test Suite Launch for Mandatory MDP3 Certification

June 17

-

-

AutoCert+ Test Suite Launch for Mandatory Streamlined SBE Certification

June 17

-

-

Key events and dates for the price precision extension enhancement for iLink are shown below.

Group

Name

Market Segment

New Release iLink Reject Message Update

Production iLink Reject Message Update

1

CBOT Treasury Options

58

May 6, 2018

July 1, 2018

1

CBOT and CME Equity Futures excluding E-mini S&P

68

May 6, 2018

July 1, 2018

1

CBOT Commodity Futures

72

May 6, 2018

July 1, 2018

2

CME Eurodollar Options

50

May 20, 2018

July 15, 2018

2

CME Globex FX Futures and Options II

52

May 20, 2018

July 15, 2018

2

CBOT and CME Equity Options

54

May 20, 2018

July 15, 2018

2

CBOT and CME Commodity Options

60

May 6, 2018

July 15, 2018

2

CME E-mini S&P 500 Futures

64

May 20, 2018

July 15, 2018

2

CME Commodity Futures

70

May 20, 2018

July 15, 2018

2

CME Globex FX Futures and Options

88

May 20, 2018

July 15, 2018

3

NYMEX and COMEX Options

56

May 20, 2018

July 28, 2018

3

Hosted Partner Exchange markets and NYMEX Emissions Futures

74

May 20, 2018

July 28, 2018

3

NYMEX and COMEX Metals and Alternative Market Futures

76

May 20, 2018

July 28, 2018

3

NYMEX Non-Crude Energy Futures

78

May 20, 2018

July 28, 2018

3

NYMEX Crude Energy Futures

80

May 20, 2018

July 28, 2018

3

CME Eurodollar Futures

82

May 20, 2018

July 28, 2018

3

CBOT Treasury Futures

84

May 20, 2018

July 28, 2018

MDP3 and Streamlined

Key events and dates for the price precision extension enhancements for MDP3 and streamlined SBE market Data are shown below. The New Release and Production schema files will be available on the FTP site.

Group

Channel Number

 Name

Market Segment

New Release Launch

Production Launch


All

All

Schema Update

All

Schema version 9 available   on FTP site: April 22, 2018

MDP3: Schema version 9 will be renamed to templates_FixBinary.xmlon May 20, 2018.

Streamlined: Schema version 9 will be renamed to streamlinemktdata.xml on May 20, 2018.


Schema version 9 available on FTP site: July 22, 2018

MDP3: Schema version 9 will be renamed to templates_FixBinary.xml on Aug 12, 2018. The previous file will be renamed to templates_FixBinary_v8.xml.

Streamlined: Schema version 9 will be renamed to streamlinemktdata.xml on Aug   26, 2018.  The previous file will be renamed to streamlinemktdata_v8.xml.


GroupChannel NumberNameMarket SegmentNew Release LaunchProduction LaunchProduction Mock

1

340

CBOT Globex Commodity Futures

70

May 20, 2018

August 12, 2018

July 28, 2018

1

346

CBOT Globex Commodity Futures II

72

May 20, 2018

August 12, 2018

July 28, 2018

1

341

CBOT Globex Commodity Options

60

May 20, 2018

August 12, 2018

July 28, 2018

1

460

MGEX Globex Futures

70

May 20, 2018

August 12, 2018

July 28, 2018

1

461

MGEX Globex Options

60

May 20, 2018

August 12, 2018

July 28, 2018

1

342

CBOT Globex Equity Index Futures

68

May 20, 2018

August 26, 2018

July 28, 2018

1

343

CBOT Globex Equity Index Options

54

May 20, 2018

August 26, 2018

July 28, 2018

1

344

CBOT Globex Interest Rate Futures

84

May 20, 2018

August 26, 2018

Schema Launch Mock:
July 28, 2018

&

Globex Test Instrument Mock: October 20, 2018

1

345

CBOT Globex Interest Rate Options

58

May 20, 2018

August 26, 2018

July 28, 2018

1

348

CBOT Globex Interest Rate Futures II

82

June 3, 2018

August 26, 2018

July 28, 2018

1

231

CBOT Block Trades

Streamlined

May 20, 2018

August 26, 2018

-
GroupChannel NumberNameMarket SegmentNew Release LaunchProduction LaunchProduction Mock

2

314

CME Globex FX Futures

88

May 20, 2018

September 30, 2018

August 25, 2018

2

315

CME Globex FX Options

88

May 20, 2018

September 30, 2018

August 25, 2018

2

316

CME Globex Commodity Futures

70

May 20, 2018

September 30, 2018

August 25, 2018

2

317

CME Globex Commodity Options

60

May 20, 2018

September 30, 2018

August 25, 2018

2

320

CME Globex FX Futures II

52

May 20, 2018

September 30, 2018

August 25, 2018

2

321

CME Globex FX Options II

52

May 20, 2018

September 30, 2018

August 25, 2018

2

310

CME Globex Equity Futures

64

June 3, 2018

October 21, 2018

August 25, 2018

2

311

CME Globex Equity Options

54

June 3, 2018

October 21, 2018

August 25, 2018

2

312

CME Globex Interest Rate Futures

82

June 3, 2018

October 21, 2018

August 25, 2018

2

313

CME Globex Interest Rate Options

50

June 3, 2018

October 21, 2018

August 25, 2018

2

318

CME Globex Equity Futures - excludes E-mini S&P 500

68

June 3, 2018

October 21, 2018

August 25, 2018

2

319

CME Globex Equity Options - excludes E-mini S&P 500

54

June 3, 2018

October 21, 2018

August 25, 2018

2

230

CME Block Trades

Streamlined

June 3, 2018

October 21, 2018

-

2

200

CME Credit OTC (OTC Daily)

Streamlined

June 3, 2018

October 21, 2018

-

2

201

CME Cleared OTC (OTC Daily)

Streamlined

June 3, 2018

October 21, 2018

-
GroupChannel NameNameMarket SegmentNew Release LaunchProduction LaunchProduction Mock

3

360

COMEX Globex Futures

76

June 3, 2018

November 18, 2018

October 20, 2018

3

384

NYMEX Globex Metals, Softs, & Alternative Market Futures

76

June 3, 2018

November 18, 2018

October 20, 2018

3

361

COMEX Globex Options

56

June 3, 2018

November 18, 2018

October 20, 2018

3

380

NYMEX Globex Emissions Futures

78

June 3, 2018

November 18, 2018

October 20, 2018

3

381

NYMEX Globex Emissions Options

56

June 3, 2018

November 18, 2018

October 20, 2018

3

383

NYMEX Globex Crude & Crude Refined Options

56

June 3, 2018

November 18, 2018

October 20, 2018

3

385

NYMEX Globex Metals, Softs, & Alternative Market Options

56

June 3, 2018

November 18, 2018

October 20, 2018

3

233

COMEX Block Trades

Streamlined

June 3, 2018

November 18, 2018

-

3

386

NYMEX Globex Nat Gas & other Non-Crude Energy Futures

78

June 3, 2018

December 2, 2018

October 20, 2018

3

387

NYMEX Globex Nat Gas & other Non-Crude Energy Options

56

June 3, 2018

December 2, 2018

October 20, 2018

3

441

DME Globex Options

56

June 3, 2018

December 2, 2018

October 20, 2018

3

382

NYMEX Globex Crude & Crude Refined Futures

80

June 3, 2018

December 2, 2018

October 20, 2018

3

440

DME Globex Futures

80

June 3, 2018

December 2, 2018

October 20, 2018

3

430

BMD Globex Futures

74

June 3, 2018

December 2, 2018

October 20, 2018

3

431

BMD Globex Options

74

June 3, 2018

December 2, 2018

October 20, 2018

3

450

KRX Globex Futures

74

June 3, 2018

December 2, 2018

October 20, 2018

3

232

NYMEX Block Trades

Streamlined

June 3, 2018

December 2, 2018

-

3

234

DME Block Trades

Streamlined

June 3, 2018

December 2, 2018

-

3

-

TCP Recovery Version Update

MDP3

June 3, 2018

December 2, 2018

-

3

-

TCP Recovery Version Update

Streamlined

June 3, 2018

December 2, 2018

-

Referential Data

Fractional display instrument releases that support greater than 7 decimal point price precision will be supported in the public stlint Settlement FTP file. The following table highlights the new fractional display formats that will appear in the upgraded file:

Current TickNew TickDecimalDisplay Format

1/8

.125

108'001

1/4

2/8

.25

108'002


3/8

.375

108'003

2/4

4/8

.5

108'005


5/8

.675

108'006

3/4

6/8

.75

108'007


7/8

.875

108'008

-

8/8

1.000

108'010


The new settlement files will support the following new naming conventions:

SYMBOL

Current Product Names

New Product Names

FUTURES

3YR

3 YEAR US TREASURY NOTE FUTURES

3 YEAR TREASURY NOTE FUTURE

B1U

30-Year USD MAC Swap Futures

30-YEAR USD MAC SWAP FUTURES

BU2

2-Year Eurodollar Bundle Futures

2-YR EURODOLLAR BUNDLE FUTURE

BU3

3-Year Eurodollar Bundle Futures

3-YR EURODOLLAR BUNDLE FUTURE

BU5

5-Year Eurodollar Bundle Futures

5-YR EURODOLLAR BUNDLE FUTURE

E1U

20-Year USD MAC Swap Futures

20-YEAR USD MAC SWAP FUTURES

EB

3 MONTH EURIBOR FUTURES

THREE MONTH EURIBOR FUTURES

ED

CME EURODOLLAR FUTURES

EURODOLLAR FUTURES

EM

1-MONTH EURODOLLAR FUTURE

ONE MONTH EURODOLLAR FUTURES

F1E

5-Year Euro MAC Swap Futures

5-YEAR EURO MAC SWAP FUTURES

F1U

5-Year USD MAC Swap Futures

5-YEAR USD MAC SWAP FUTURES

FF

30 DAY FED FUNDS FUTURES

30 DAY FED FUND FUTURES

FV

5 YEAR US TREASURY NOTE FUTURES

5 YR TREASURY NOTE FUTURES

N1E

10-Year Euro MAC Swap Futures

10-YEAR EURO MAC SWAP FUTURES

N1U

10-Year USD MAC Swap Futures

10-YEAR USD MAC SWAP FUTURES

REX

RESOURCE AMERICA INC.- CL A

DJ US REAL ESTATE BTIC

S1U

7-Year USD MAC Swap Futures

7-YEAR USD MAC SWAP FUTURES

SPX

SYNTH ON ED CAL SPRD

1 YR SYNTHETIC ED FUTURES SPREAD

SR1

1-MONTH SOFR FUTURE

ONE-MONTH SOFR FUTURES

SR3

3-MONTH SOFR FUTURE

THREE-MONTH SOFR FUTURES

T1E

2-Year Euro MAC Swap Futures

2-YEAR EURO MAC SWAP FUTURES

T1U

2-Year USD MAC Swap Futures

2-YEAR USD MAC SWAP FUTURES

TN

Ultra 10-Year U.S. Treasury Note Futures

ULTRA 10-YEAR U S TREASURY NOTE FUT

TU

2 YEAR US TREASURY NOTE FUTURES

2 YEAR TREASURY NOTE FUTURES

TYF

10 YEAR US TREASURY NOTE FUTURES

10Y TREASURY NOTE FUTURES

UL

ULTRA 30 YEAR US TREASURY BOND FUTURES

LONG TERM U.S. TREASURY BOND FUTURE

US

30 YEAR US TREASURY BOND FUTURES

30 YR U.S. TREASURY BOND FUTURES

Equities STL File

XBT

Biotechnology Microsector

BTIC SP 500 MATERIALS SEL SECTOR

XET

SP 500 ENERGY SELECT

BTIC SP 500 ENERGY SELECT SECTOR

XFT

SP 500 FINANCE SELEC

BTIC SP 500 FINANCIAL SECTOR TIC

XIT

SP 500 INDUSTTRIAL S

BTIC SP 500 INDUSTTRIAL SECTOR TIC

XKT

SP 500 TECHNOLOGY SE

BTIC SP 500 TECHNOLOGY SECTOR TIC

XPT

CONSUMER STAPLES SEC

BTIC CONSUMER STAPLES SECTOR TIC

XUT

SP 500 UTILITIES SEL

BTIC SP 500 UTILITIES SEL SECTOR

XVT

SP 500 HEALTH CARE S

BTIC SP 500 HEALTH CARE SECTOR TIC

XYT

E-MINI SP500 CONS DI

BTIC E-MINI SP500 CONS DISCRET TAI

OPTIONS

Eurodollar Options

4K

JUN18 MIDCURVE E0 WEEKLY OPTION 4

EURODOLLAR OPTIONS

5K

JUN18 MIDCURVE E0 WEEKLY OPTION 5

EURODOLLAR OPTIONS

E0

JLY18 MIDCURVE E0 OPTIONS

1-YR EURODOLLAR MIDCURVE OPTION

E2

JLY18 2 Year Eurodollar Midcurve Option

2-YR EURODOLLAR MIDCURVE OPTION

E3

JLY18 3 Year Eurodollar Midcurve Option

3-YR EURODOLLAR MIDCURVE OPTION

E4

JLY18 4 Year Eurodollar Midcurve Option

4-YR EURODOLLAR MIDCURVE OPTION

E5

JLY18 5 Year Eurodollar Midcurve Option

5-YR EURODOLLAR MIDCURVE OPTIONS

EE4

JUN18 MIDCURVE E2 OPT-WK 4

2-YR EURODOLLAR MIDCURVE (WEEKLY)

EE5

JUN18 MIDCURVE E2 OPT-WK 5

2-YR EURODOLLAR MIDCURVE (WEEKLY)

EF4

JUN18 MIDCURVE E3 OPT-WK 4

3-YR EURODOLLAR MIDCURVE

EF5

JUN18 MIDCURVE E3 OPT-WK 5

3-YR EURODOLLAR MIDCURVE

TE2

JLY18 3-Month Eurodollar Midcurve Options

EURODOLLAR 3-MONTH MID-CURVE OPTION

ZE

JLY18 EURODOLLAR OPTIONS

EURODOLLAR OPTIONS

Fed Funds Options

FFC

JUN18 30 DAY FED FUNDS OPTIONS

30 DAY FED FUND OPTIONS

5 Year T-Note options

FP

JLY18 5 YEAR US TREASURY NOTE OPTIONS

5 YR TREASURY NOTE OPTIONS

FV1

JLY18 5 YEAR US TREASURY NOTE WEEK 1 OPTIONS

5 YR TREASURY NOTE OPTIONS

FV2

JLY18 5 YEAR US TREASURY NOTE WEEK 2 OPTIONS

5 YR TREASURY NOTE OPTIONS

FV5

JUN18 5 YEAR US TREASURY NOTE WEEK 5 OPTIONS

5 YR TREASURY NOTE OPTIONS

WF3

JUN18 WK3 WED 5-YR T-NOTES

WK WEDS 5 YR TREASURY NOTE OPTIONS

WF4

JUN18 WK4 WED 5-YR T-NOTES

WK WEDS 5 YR TREASURY NOTE OPTIONS

Ultra 10 Year T-Note Options

OTN

JLY18 Options on Ultra 10-Year U.S. Treasury Note Future

OPTIONS ON ULTRA 10-YEAR U.S. TNOTE

TN1

JLY18 Week-1 Options on Ultra 10-Year U.S. Treasury Note

WKLY OPT ON ULTREA 10-YEAR T NOTE

TN2

JLY18 Week-2 Options on Ultra 10-Year U.S. Treasury Note

WKLY OPT ON ULTREA 10-YEAR T NOTE

TN5

JUN18 Week-5 Options on Ultra 10-Year U.S. Treasury Note

WKLY OPT ON ULTREA 10-YEAR T NOTE

WX3

JUN18 WK3 WED ULT 10YR TNT

WK WEDS ULTRA 10 YR TREASURY NOTE

WX4

JUN18 WK4 WED ULT 10YR TNT

WK WEDS ULTRA 10 YR TREASURY NOTE

2 Year T-Note Options

TUC

JLY18 2 YEAR US TREASURY NOTE OPTIONS

2 YR  TREASURY NOTE OPTIONS

TW1

JLY18 2 YEAR US TREASURY NOTE WEEK 1 OPTIONS

2 YR  TREASURY NOTE OPTIONS

TW2

JLY18 2 YEAR US TREASURY NOTE WEEK 2 OPTIONS

2 YR  TREASURY NOTE OPTIONS

TW5

JUN18 2 YEAR US TREASURY NOTE WEEK 5 OPTIONS

2 YR  TREASURY NOTE OPTIONS

WT3

JUN18 WK3 WED 2-YR T-NOTES

WK WEDS 2 YR TREASURY NOTE OPTIONS

WT4

JUN18 WK4 WED 2-YR T-NOTES

WK WEDS 2 YR TREASURY NOTE OPTIONS

10 Year T-Note Options

TC

JLY18 10 YEAR US TREASURY NOTE OPTIONS

10YR US TREASURY NOTE OPTIONS

TY1

JLY18 10 YEAR US TREASURY NOTE WEEK 1 OPTIONS

10YR US TREASURY NOTE OPTIONS

TY2

JLY18 10 YEAR US TREASURY NOTE WEEK 2 OPTIONS

10YR US TREASURY NOTE OPTIONS

TY5

JUN18 10 YEAR US TREASURY NOTE WEEK 5 OPTIONS

10YR US TREASURY NOTE OPTIONS

WY3

JUN18 WK3 WED 10-YR T-NOTE

WK WEDS 10 YR TREASURY NOTE OPTIONS

WY4

JUN18 WK4 WED 10-YR T-NOTE

WK WEDS 10 YR TREASURY NOTE OPTIONS

Ultra 30 Year T-Note Options

OUL

JLY18 ULTRA 30 YEAR US TREASURY BOND OPTIONS

LONG TERM US TREASURY BOND OPTIONS

UL1

JLY18 ULTRA 30 YEAR US TREASURY BOND WEEK 1 OPTIONS

LONG TERM US TREASURY BOND OPTIONS

UL5

JUN18 ULTRA 30 YEAR US TREASURY BOND WEEK 5 OPTIONS

LONG TERM US TREASURY BOND OPTIONS

WU3

JUN18 WK3 WED ULT 30YR BND

WK WEDS ULTRA TREASURY BOND OPTIONS

WU4

JUN18 WK4 WED ULT 30YR BND

WK WEDS ULTRA TREASURY BOND OPTIONS

30 Year T-Note Options

CG

JLY18 30 YEAR US TREASURY BOND OPTIONS

30Y U.S TREASURY BOND OPTIONS

US1

JLY18 30 YEAR US TREASURY BOND WEEK 1 OPTIONS

30Y U.S TREASURY BOND OPTIONS

US2

JLY18 30 YEAR US TREASURY BOND WEEK 2 OPTIONS

30Y U.S TREASURY BOND OPTIONS

US5

JUN18 30 YEAR US TREASURY BOND WEEK 5 OPTIONS

30Y U.S TREASURY BOND OPTIONS

WB3

JUN18 WK3 WED 3-YR T-BOND

WK WEDS 30 YR TREASURY BOND OPTIONS

WB4

JUN18 WK4 WED 3-YR T-BOND

WK WEDS 30 YR TREASURY BOND OPTIONS


Key events and dates for the price precision extension enhancement for stl referential files are shown below.

NameTesting PeriodTest File DirectoryFile NameProduction Support

Public FTP STL File Solution

October 21, 2018

ftp://ftp.cmegroup.com/settle/precision

stlint-p

December 2, 2018

Additionally, there will be a Datamine solution to obtain this information. Technical details will be announced at a later date.

The stlint file in the settle directory will continue to be generated without price precision extension support.

Testing and Certification

Certification is mandatory for MDP 3.0 and Streamlined systems by August 10. Certification will test customer system handling of the new schema and increased decimal precision.

To ensure client systems can process the market data, CME Group will offer three customer mock trading sessions prior to each schema rollout group and CME Globex test instrument launch. Customers are required to register and join the conference bridge line to participate in the mock trading sessions. Select the dates below to view the respective test scripts:

  • Saturday, July 28 - This mock trading session supports Market Data testing for the new SBE version 9 schema. iLink testing will not be available and a maximum of 7-digit decimal instrument prices will be sent on the market data feeds. End-to-end testing through Clearing will not be available.
  • Saturday, August 25 - This mock trading session supports Market Data testing for the new SBE version 9 schema. iLink testing will not be available and a maximum of 7-digit decimal instrument prices will be sent on the market data feeds. End-to-end testing through Clearing will not be available.
  • Saturday, October 20 - This mock trading session supports iLink Order Entry and Market Data testing. The 8-digit decimal Globex Test Instrument will be available for iLink Order Entry and MDP 3.0 Market Data. End-to-end testing through Clearing will not be available.

On Monday, September 10, CME Group will launch two additional Price Precision test instruments in the New Release environment. These instruments will give customers the ability to perform additional testing on 8 and 9 decimal prices. These instruments will only be available in the New Release environment and will not be launched in the Production and Certification environments.

Price Precision New Release Test Instruments
ProductMDP 3.0: tag 6937-AssetiLink: tag 55-Symbol
MDP 3.0: tag 1151-SecurityGroup
Price PrecisionMDP 3.0: tag 969-MinPriceIncrementMarket Data Channel

E-micro Japanese Yen/American Dollar Futures

099

#J

9-Decimal

0.00000001

314

E-micro Japanese Yen/American Dollar Futures

097

#J

8-Decimal

0.000000001

314

CME Globex Production Test Instrument

On November 18, a CME Globex production test instrument for the 2 Yr Treasury Note future will be provided for the purpose of confirming system readiness for the introduction of 8-digit decimal price precision within directly connected as well as upstream and downstream trading systems.

On the launch date, 8-decimal precision readiness or the ability to ignore market data and iLink/Drop Copy execution reports on this new instrument will be required. 

Conducting performance testing of any kind with these products is strictly prohibited. Messaging in the test instrument resulting in any detrimental or disruptive impacts on the production environment may result in iLink port closure and referral to CME Group Market Regulation. CME Group recommends that clients limit their messaging in the test product to no more than 1 message every 10 seconds.

Good Till Cancel (GTC) and Good Till Date (GTD) will not be supported for the CME Globex production test instrument. The CME Globex production test instrument trading hours will mirror the 2-Year Treasury Note future and will not be available for OTC and clearing system testing. 

Product

iLink: Tag 107-SecurityDesc

MDP 3.0: Tag 55-Symbol

MDP 3.0: tag 6937-Asset

iLink: tag 55-Symbol

MPD 3.0: tag 1151 - Security Group

Market Data Channel

Globex 2-Year T-Note Future Test Instrument

098U9

098

$P

344

Decimal Precision Extension Overview

The following section outlines the impacts of the price precision extension.

Order Entry Impacts

Beginning with this release, iLink order entry systems will be required to send and receive prices with a greater decimal point precision. The following section outlines order entry impacts with price precision extension.

See the iLink message specification for more information.

Order Entry Price Precision Rejection Impacts

With this release iLink will have the following message rejection impacts:

  • With this upcoming release, the current iLink decimal rejection will be modified from rejecting messages with 7 characters to the right of the decimal to rejecting messages with 9 characters to the right of the decimal. 
    • example current 7 decimal rejection text:  58=Business Reject: Required Field Missing '44 (PRICE) price has too many significant digits past the decimal (max 7): 107.50000000
    • example future 9 decimal rejection text:  58=Business Reject: Required Field Missing '44 (PRICE) price has too many significant digits past the decimal (max 9): 107.5000000000  
  • iLink will continue to reject price fields with a character total greater than 20. The length of all iLink price tags will be increased from 17 to 18 digits with +/- signs representing the other two characters.

iLink Message (Client System to CME Globex) Impacts

The following tags on client system to CME Globex iLink will support a 9 decimal point precision. The length of all iLink price tags will be increased from 17 to 18 digits.

Tag

FIX Name

Impacted Inbound Message Types

44

Price

New Order (tag 35-MsgType=D)

New Order Cross (tag 35-MsgType=s)

Order Cancel-Replace Request (tag 35-MsgType=G)

99

StopPx

New Order (tag 35-MsgType=D)

Order Cancel-Replace Request (tag 35-MsgType=G)

132BidPxMass Quotes (tag 35-MsgType=I)
133OfferPxMass Quotes (tag 35-MsgType=i)
566LegPriceSecurity Definition Request (tag 35-MsgType=c)

iLink Message (CME Globex to Client System) Impacts

The following tags on CME Globex to client system iLink will support a 9 decimal point precision. The length of all iLink price tags will be increased from 17 to 18 digits.

Tag

FIX Name

Impacted Outbound Message Types

31

LastPx

Execution Report - Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)

Execution Report - Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H)

44

Price

Execution Report - Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)

Execution Report - Order Status Request Acknowledgment (tag 35-MsgType=8, tag 150-ExecType=I)

Execution Report - Order Elimination (tag 35-MsgType=8, tag 39-OrdStatus=C, tag 150-ExecType=C)

810

UnderlyingPx

Execution Report - Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)

Execution Report - Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H)

1190

RiskFreeRate

Execution Report - Fill Notice (tag 35-MsgType=8, tag 39-OrdStatus=1 or 2)

Execution Report - Trade Cancel (tag 35-MsgType=8, tag 39-OrdStatus=H)

 99 StopPxExecution Report - Order Status Request Acknowledgment (tag 35-MsgType=8, tag 150-ExecType=I)
 566LegPriceSecurity Definition (tag 35-MsgType=d)

Drop Copy Considerations

It is recommended that Drop Copy systems verify processing with the new decimal precision.  

Market Data Impacts  

The following section outlines market data impacts of the extension from 7 decimal digit precision to 9 decimal digit precision suppport.

An SBE schema release schedule to support the extended decimal precision for MDP3 and streamlined SBE market data will be announced in the Globex Notice at a future date.

MDP3 and Streamlined SBE Schema Update

Beginning with this release, MDP3 CME Globex schema, streamlined OTC daily, and streamlined Blocks SBE market data schema will include new message templates to support migration of the exponent from -7 to -9 in the PRICE and PRICENULL fields. Message names will remain consistent with existing message names while the new template ids will be concatenated to the message names. Once the schema version is launched on the channel, applicable templates outlined below will be upgraded. This release will not support template extension, however the order of the fields will be preserved in the new templates.


<composite name="PRICE9" description="PRICE with 9 digit decimal precision">
<type name="mantissa" description="mantissa" primitiveType="int64"/>
<type name="exponent" description="exponent" presence="constant" primitiveType="int8">-9</type>
</composite>

 <composite name="PRICENULL9" description="Price NULL 9 digit decimal precision">
         <type name="mantissa" description="mantissa" presence="optional" nullValue="9223372036854775807" primitiveType="int64"/>
         <type name="exponent" description="exponent" presence="constant" primitiveType="int8">-9</type>
 </composite>

The change from “-7” to “-9” will result in two extra digits in the mantissa for decimal placement. 

 

Current Price Mantissa Format via MDP 3.0 and Streamlined SBE Feed

Result After Combining Price Mantissa and Exponent with -7 Exponent

Future Price Mantissa Format via MDP 3.0 and Streamlined SBE Feed

Result After Combining Price Mantissa and Exponent with -9 Exponent

Example 1 – 2 digit decimal

1082500000

108.2500000

108250000000

108.250000000

Example 2 – 7 digit decimal

1082265625

108.2265625

108226562500

108.226562500

Example 3 – 8 digit decimal (Price Precision Extension)

Not Applicable

Not Applicable

108222656250

108.222656250

The streamlined SBE market data for OTC Daily (MDIncrementalRefreshOTC356) and Blocks channel (template MDIncrementalRefreshTradeBlocks349) will be migrated to the new template id with PRICE9 binary type, while the rest of streamlined SBE market data message templates will continue to use the existing PRICE binary type.

All CME Globex channels will support the new price precision.

MDP3 Schema Update Overview

Below is a summary of CME Globex MDP3 schema updates.

Current MDP 3.0 and Streamlined SBE templates in version 8 that are not decommissioned will remain in the schema version 9 file.

Current Template Name

Current Template IDs

(Version 8)

New Template Name

New Template IDs

(Version 9)

Updates

MDIncrementalRefreshBook32

32

MDIncrementalRefreshBook46

46

  • Update price fields to 9 decimal  
  • Semantic Type for MDDisplayQty (tag 37706) changed from Int to Qty

MDIncrementalRefreshOrderBook43

43

MDIncrementalRefreshOrderBook47

47

  • Update price fields to 9 decimal
  • Semantic Type for OrderID (tag 37) changed from String to Int

MDIncrementalRefreshTradeSummary42

42

MDIncrementalRefreshTradeSummary48

48

  • Update price fields to 9 decimal
  • For NumberOfOrders (tag 346) the type of int32NULL (nullable) will change to Int32 (non-nullable)

MDIncrementalRefreshDailyStatistics33

33

MDIncrementalRefreshDailyStatistics49

49

  • Update price fields to 9 decimal
  • New value for set SettlPriceType (Tag 731) changed from “Final” to “FinalDaily”

MDIncrementalRefreshLimitsBanding34

34

MDIncrementalRefreshLimitsBanding50

50

  • Update price fields to 9 decimal

MDIncrementalRefreshSessionStatistics35

35

MDIncrementalRefreshSessionStatistics51

51

  • Update price fields to 9 decimal

SnapshotFullRefresh38

38

SnapshotFullRefresh52

52

  • Update price fields to 9 decimal
  • Name value for set SettlPriceType (Tag 731) changed from “Final” to “FinalDaily”

SnapshotFullRefreshOrderBook44

44

SnapshotFullRefreshOrderBook53

53

  • Update price fields to 9 decimal
  • Semantic Type for "SecurityID" (tag 48) changed from String to Int32

MDInstrumentDefinitionFuture27

27

MDInstrumentDefinitionFuture54

54

  • Update price fields to 9 decimal
  • New "TriangulationEligible" and "VariableCabEligible" flags added to InstAttribValue (tag 872). More information on these flags will be provided at a future date.
  • New value for set SettlPriceType (Tag 731) changed from “Final” to “FinalDaily”
  • Semantic Type for "OpenInterestQty" (tag 5792) changed from int to Qty
  • Semantic Type for "ClearedVolume" (tag 5791) changed from int to Qty
  • For "DisplayFactor" (tag 9787) replaced binary type FLOAT with Decimal9
  • For "UnitOfMeasureQty" (tag 1147) replaced binary type PRICENULL with Decimal9NULL

MDInstrumentDefinitionOption41

41

MDInstrumentDefinitionOption55

55

  • Update price fields to 9 decimal
  • New "TriangulationEligible" and "VariableCabEligible" flags added to InstAttribValue (tag 872). More information on these flags will be provided at a future date.
  • New value for set SettlPriceType (Tag 731) changed from “Final” to “FinalDaily”
  • For "DisplayFactor" (tag 9787) replaced binary type FLOAT with Decimal9
  • For "UnitOfMeasureQty" (tag 1147) replaced binary type PRICENULL with Decimal9NULL

MDInstrumentDefinitionSpread29

29

MDInstrumentDefinitionSpread56

56

  • Update price fields to 9 decimal
  • New "TriangulationEligible" and "VariableCabEligible" flags added to InstAttribValue (tag 872). More information on these flags will be provided at a future date.
  • New value for set SettlPriceType (Tag 731) changed from “Final” to “FinalDaily”
  • For "DisplayFactor" (tag 9787) replaced binary type FLOAT with Decimal 9
  • For MinPriceIncrement (tag 969) to become nullable. Therefore, with this schema update the price increment will change from ‘0’ to ‘NULL’ for UDS.

MDIncrementalRefreshTrade36

36

NA

NA

Decommissioned


Streamlined Schema Update Overview  

Below is an overview of Streamlined MDP schema updates.

SBE Schema version 9 contains no template updates for the Streamlined Equity Indices and Bitcoin channels.

Current Template Name

Current Template IDs

(Version 8)

New Template Name

New Template IDs

(Version 9)

Updates

MDIncrementalRefreshTradeBlocks349

349

MDIncrementalRefreshTradeBlocks365

365

  • Update price fields to 9 decimal 
  • For UnitOfMeasureQty (tag 1147) replaced float PRICENULL with Decimal64NULL
  • For StrikePrice (tag 202) replaced float PRICENULL with Decimal64NULL 
  • For LegStrikePrice (tag 612) replaced float PRICENULL with Decimal64NULL  
  • For LegUnitOfMeasureQty (tag 1224) replaced float PRICENULL with Decimal64NULL

MDIncrementalRefreshOTC356

356

MDIncrementalRefreshOTC366

366

  • Update price fields to 9 decimal
  • For UnitOfMeasureQty (tag 1147) replaced float PRICENULL with Decimal64NULL
  • For StrikePrice (tag 202) replaced float PRICENULL with Decimal64NULL

MDIncrementalRefreshErisReferenceDataAndDailyStatistics

333

NA

NA

  • New value for set SettlPriceType (Tag 731) changed from “Final” to “FinalDaily”
  • Updated format for charNULL data type

Currently, there are no plans to migrate the streamlined SBE Eris channel to schema version 9.  Effective end of day Friday, November 30, the Eris Exchange streamlined SBE Market Data channel will be decommissioned. 

MDIncrementalRefreshTradeBlocks340

340

NA

NA

  • Decommissioned

CME Globex MDP3 Tag Impacts

The following CME MDP3 message tags' decimal point precision support will increase from 7 to 9.   

Tag

Name

Impacted MDP3 Message Types

270

MDEntryPx

35=X Incremental Refresh

35=W Snapshot Full Refresh

1149

HighLimitPrice

35=X Incremental Refresh

35=W Snapshot Full Refresh

35=d Security Definition

1148

LowLimitPrice

35=X Incremental Refresh

35=W Snapshot Full Refresh

35=d Security Definition

1143

MaxPriceVariation

35=X Incremental Refresh

35=W Snapshot Full Refresh

35=d Security Definition

202StrikePrice35=d Security Definition
566LegPrice 35=d Security Definition
969MinPriceIncrement35=d Security Definition
1150TradingReferencePrice35=d Security Definition
5770PriceRatio35=d Security Definition
9850MinCabPrice35=d Security Definition

Streamlined SBE Market Data Tag Impacts

The following streamlined SBE market data message tags' decimal point precision for template MDIncrementalRefreshTradeBlocks349 will increase from 7 to 9. 

Tag

Name

Impacted MDP3 Message Types

270

MDEntryPx

35=X Incremental Refresh

202

StrikePrice

35=X Incremental Refresh

612

LegStrikePrice

35=X Incremental Refresh

MDP3 and Streamlined SBE TCP Recovery Version Update

The New Release and Production TCP Recovery logon, logout, admin heartbeat messages will be updated to the new SBE schema version 9 in conjunction with the final MDP3 and Streamlined schema channel updates on December 2. All other messages will show the schema version and format applicable to the requested channel.

ITC Market Data Impact

In future releases, instruments that are updated to support decimal point price precision greater than 7 digits WILL NOT BE DISSEMINATED in ITC market data format. Customers are advised to migrate to CME MDP3 for pricing information for the 2-Year Treasury future settlement information.

Public FTP STL Settlement File Impact 

Instrument releases that support greater than 7 decimal point price precision will not be supported in the public STL Settlement FTP files.  Alternative settlement files with a similar format will launch to support an expanded decimal format. Additionally, there will be a Datamine solution to obtain this information. See the Referential Data section for technical details.

2-Year Treasury Futures Tick Reduction

The minimum price increment (MPI) for the 2 Year Treasury Note futures, all 2-Year Treasury Future Spreads (including Calendar Spreads, Tail Spreads and Inter-Commodity Spreads with a 2-Year Treasury Future) along with the futures portion of covered options UDS will be reduced from 1/4th of 1/32nd(0.0078125) to 1/8th of 1/32nd (0.00390625). 

The update to the 2 Year Treasury Futures, Future Spreads and inter-commodity spreads will be subject to regulatory approval.

The following contracts will support the reduced tick:

ProductMDP 3.0: tag 6937-AssetiLink: tag 55-Symbol MPD 3.0 tag 1151 - Security Group

2-Year T-Note Future

ZT

ZT

2-Year U.S. Treasury Note vs Ultra T-BondTULIV
2-Year U.S. Treasury Notes vs. 10-year U.S. Treasury NoteTUTIV
2-Year U.S. Treasury Notes vs. 30-year U.S. Treasury Bond FutureTUBIV
2-Year U.S. Treasury Notes vs. 3-year U.S. Treasury Note FutureTYTIV
2-Year U.S. Treasury Notes vs. 5-year U.S. Treasury Note FutureTUFIV
2-Year U.S. Treasury Notes vs. Ultra 10-Year U.S. Treasury Note FutureTUXIV

2-Year U.S. Treasury Notes vs. 5-year U.S. Treasury Note Future

TFY

IV

2-Year U.S. Treasury Notes vs. 5-year U.S. Treasury Note Future

TAF

IV


Additionally, Covered and Tail Spreads utilizing 2-Year T-Note Future (ZT) will support the 1/8th of 1/32nd tick.

1/8th of 1/32nd Display Example

Below is a suggested updated tick format display for when the impacted contracts move to the new reduced tick.

Current TickUpcoming TickDecimalDisplay Format

1/8.125108'001
1/42/8.25108'002

3/8.375108'003
2/4

4/8

.5108'005

5/8.675108'006
3/46/8.75108'007

7/8.875108'008
-8/81.000108'010

Globex 1/8th of 1/32nd Tick Conversion

The following section provides an example of the display application of the new eighth 32 fractional on CME Globex.

The key for the acronyms in the sections below are:

Tick Display Format

(Tag 37703-SubFraction)

TDF

The fractional format for a given instrument (e.g. 32nds).

Number of Decimals in Displayed Price

(Tag 9800-PriceDisplayFormat)

NDDP

Identifies the number of decimals in the price sent by CME Globex for a given instrument. 
This value is a property of the Display Factor for the given instrument.

1/8th of 1/32nd Fractional Display Example

This section provides an example of the CME Globex processing required for systems that perform a decimal-to-fractional price conversion. See Fractional Pricing for more CME Globex fractional pricing processing information.

Decimal Price: 108.69921875

TDF = '32'

NDDP = '03'

Integer part is 108, fractional part is 0.69921875

Starting fractional part

0.69921875

TDF = 32 

Tick value after conversion

0.69921875 x 32 

= 22.375

Strip decimal separator

= 22375

Apply NDDP

= 22375 
  ^^^ 
 123 (Display places)

Resulting formatted tick value

= 223

To display the full formatted price, append the formatted tick value, '223' to the original integer part, '108'.

Resulting full formatted price:  108'223

1/8th of 1/32nd Decimal to Tick Display Format Table

The following table shows the conversion from the decimal to the tick display format.

TDFT = Tick Display Format Type

  • Tag 37702-MainFraction=32
  • Tag 37703- SubFraction=8

NDDP = Number of Decimals in Display Price

  • Tag 9800-PriceDisplayFormat
Formatted Fractional Tick to Decimal
TDFTEighth 1/32 Tick
NDDP3
Display TicksDecimalDisplay TicksDecimalDisplay TicksDecimalDisplay TicksDecimal

000

0.0000000

080

0.2500000

160

0.5000000

240

0.7500000

001

0.00390625

081

0.25390625

161

0.50390625

241

0.75390625

002

0.0078125

082

0.2578125

162

0.5078125

242

0.7578125

003

0.01171875

083

0.26171875

163

0.51171875

253

0.76171875

005

0.0156250

085

0.2656250

165

0.5156250

245

0.7656250

006

0.01953125

086

0.26953125

166

0.51953125

246

0.76953125

007

0.0234375

087

0.2734375

167

0.5234375

247

0.7734375

008

0.02734375

088

0.27734375

168

0.52734375

248

0.77734375

010

0.0312500

090

0.2812500

170

0.5312500

250

0.7812500

011

0.03515625

091

0.28515625

171

0.53515625

251

0.78515625

012

0.0390625

092

0.2890625

172

0.5390625

252

0.7890625

013

0.04296875

093

0.29296875

173

0.54296875

253

0.79296875

015

0.0468750

095

0.2968750

175

0.5468750

255

0.7968750

016

0.05078125

096

0.30078125

176

0.55078125

256

0.80078125

017

0.0546875

097

0.3046875

177

0.5546875

257

0.8046875

018

0.05859375

098

0.30859375

178

0.55859375

258

0.80859375

020

0.0625000

100

0.3125000

180

0.5625000

260

0.8125000

021

0.06640625

101

0.31640625

181

0.56640625

261

0.81640625

022

0.0703125

102

0.3203125

182

0.5703125

262

0.8203125

023

0.07421875

103

0.32421875

183

0.57421875

263

0.82421875

025

0.078125

105

0.3281250

185

0.5781250

265

0.8281250

026

0.08203125

106

0.33203125

186

0.58203125

266

0.83203125

027

0.0859375

107

0.3359375

187

0.5859375

267

0.8359375

028

0.08984375

108

0.33984375

188

0.58984375

268

0.83984375

030

0.0937500

110

0.3437500

190

0.5937500

270

0.8437500

031

0.09765625

111

0.34765625

191

0.59765625

271

0.84765625

032

0.1015625

112

0.3515625

192

0.6015625

272

0.8515625

033

0.10546875

113

0.35546875

193

0.60546875

273

0.85546875

035

0.1093750

115

0.3593750

195

0.6093750

275

0.8593750

036

0.11328125

116

0.36328125

196

0.61328125

276

0.86328125

037

0.1171875

117

0.3671875

197

0.6171875

277

0.8671875

038

0.12109375

118

0.37109375

198

0.62109375

278

0.87109375

040

0.1250000

120

0.3750000

200

0.6250000

280

0.8750000

041

0.12890625

121

0.37890625

201

0.62890625

281

0.87890625

042

0.1328125

122

0.3828125

202

0.6328125

282

0.8828125

043

0.13671875

123

0.38671875

203

0.63671875

283

0.88671875

045

0.1406250

125

0.3906250

205

0.6406250

285

0.8906250

046

0.14453125

126

0.39453125

206

0.64453125

286

0.89453125

047

0.1484375

127

0.3984375

207

0.6484375

287

0.8984375

048

0.15234375

128

0.40234375

208

0.65234375

288

0.90234375

050

0.1562500

130

0.4062500

210

0.6562500

290

0.9062500

051

0.16015625

131

0.41015625

211

0.66015625

291

0.91015625

052

0.1640625

132

0.4140625

212

0.6640625

292

0.9140625

053

0.16796875

133

0.41796875

213

0.66796875

293

0.91796875

055

0.1718750

135

0.4218750

215

0.6718750

295

0.9218750

056

0.17578125

136

0.42578125

216

0.67578125

296

0.92578125

057

0.1796875

137

0.4296875

217

0.6796875

297

0.9296875

058

0.18359375

138

0.43359375

218

0.68359375

298

0.93359375

060

0.1875000

140

0.4375000

220

0.6875000

300

0.9375000

061

0.19140625

141

0.44140625

221

0.69140625

301

0.94140625

062

0.1953125

142

0.4453125

222

0.6953125

302

0.9453125

063

0.19921875

143

0.44921875

223

0.69921875

303

0.94921875

065

0.2031250

145

0.4531250

225

0.7031250

305

0.9531250

066

0.20703125

146

0.45703125

226

0.70703125

306

0.95703125

067

0.2109375

147

0.4609375

227

0.7109375

307

0.9609375

068

0.21484375

148

0.46484375

228

0.71484375

308

0.96484375

070

0.2187500

150

0.4687500

230

0.7187500

310

0.9687500

071

0.22265625

151

0.47265625

231

0.72265625

311

0.97265625

072

0.2265625

152

0.4765625

232

0.7265625

312

0.9765625

073

0.23046875

153

0.48046875

233

0.73046875

313

0.98046875

075

0.2343750

155

0.4843750

235

0.7343750

315

0.9843750

076

0.23828125

156

0.48828125

236

0.73828125

316

0.98828125

077

0.2421875

157

0.4921875

237

0.7421875

317

0.9921875

078

0.24609375

158

0.49609375

238

0.74609375

318

0.99609375

CME Globex MDP3 Security Definition Update

Beginning with this release, for 1/8th of 1/32nd 2-Year Treasury futures contracts, the value for tag 37703-SubFraction in the CME Globex MDP3 Security Definition (35=d) message will be updated to 8. Additionally, for 1/8th of 1/32 contracts, tag 969-MinPriceIncrement will be updated to 0.00390625.  

Messaging Examples

The following section provides messaging examples for a 2-Year Treasury futures instrument with 8 decimal point price precision.  

CME Globex Example

The following section illustrates an example of iLink and MDP3 messaging with 8 digit decimal precision for a 2-Year Treasury future contract.

New iLink Order Fill

Over iLink, a buy side order for a 2-Year Treasury future instrument is sent and is filled. The order and fill use a price of 108.50390625 with 8 digit precision. 

ilink reduced tick 2

Resulting MDP3 Market Data

Below are the MDP3 results in trade, volume, book data and statistic information. For 1/8th of 1/32nd contracts, systems will often convert the price of 108.50390625 to a display price of 108'161.

Reduced Tick MDP

Streamlined MDP Blocks Example

The following section illustrates an example of a streamlined Blocks SBE market data message with 8 digit precision for a 2-Year Treasury future.

Reduced Tick Streamlined

Contact Information

For technical development support, contact Certification Support for Electronic Trading (CSET).

For production requests, please contact the Global Command Center (GCC).

For all other inquiries, please contact Global Account Management (GAM).

  • No labels