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  • Type E Record - Standard
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LengthFromToDatatypeFormatDescription and Comments
212ANX(2)Record ID - "E "
638ANX(3)Combined Commodity Code
5913N9(5)Spread Priority
71420N9(7)Charge Rate
42124N9(4)Leg 1 Contract Month as YYMM
32527ANX(3)Leg 1 Remaining Part of Contract Period
62833N9(2)V9(4)Leg 1 Delta Per Spread Ratio
13434AALeg 1 Market Side (A or B)
43538N9(4)Leg 2 Contract Month as YYMM
33941ANX(3)Leg 2 Remaining Part of Contract Period
64247N9(2)V9(4)Leg 2 Delta Per Spread Ratio
14848AALeg 2 Market Side (A or B)
44952N9(4)Leg 3 Contract Month as YYMM
35355ANX(3)Leg 3 Remaining Part of Contract Period
65661N9(2)V9(4)Leg 3 Delta Per Spread Ratio
16262AALeg 3 Market Side (A or B)
46366N9(4)Leg 4 Contract Month as YYMM
36769ANX(3)Leg 4 Remaining Part of Contract Period
67075N9(2)V9(4)Leg 4 Delta Per Spread Ratio
17676AALeg 4 Market Side (A or B)
47780--Filler

Notes:

  1. The record format is the same in both the standard format and the expanded format. In the standard format, however, the combined commodity code will not be larger than 3 bytes.

  2. Up to four legs are supported on one "E" record. If there are more than four legs for a particular spread, additional "E" records for the same spread priority number follow the first one immediately.

  3. The "Remaining Part of Contract Period Code" fields are provided for future expansion in case series to series spread legs are ever specified to the day or week. For the time being, these fields will be blank: Series to series intracommodity spreads will only be specified to the month level.

  4. The Delta Per Spread Ratio fields support the specification of fractional values. Initially, however, the CME will provide these as whole numbers.
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