Inter-Exchange Spreads (IES) are implied futures spreads in which the outright legs are listed on different exchanges. The IES consists of buying the front leg (exchange A) and selling the back leg (exchange B).
Inter-Exchange Spreads are implied IN and OUT, from the individual legs IN to the inter-exchange spread or conversely from the inter-exchange spread OUT to the respective future outrights.
For inter-exchange spreads:
Market Data for Inter-Exchange Spreads
Trade data blocks for spreads and spread legs are currently sent in the Market Data Incremental Refresh (tag 35-MsgType=X) message on the appropriate product channel. The legs are sent on their respective market data platform channels and the spread instrument is disseminated on the channel of the first leg of the spread.
For Market Data Incremental Refresh (tag 35-MsgType=X) messages:
- On the respective market data platform channels for the outright legs, customers receive Trade data blocks in the Market Data Incremental Refresh (tag 35-MsgType=X) message for the spread legs.
- Customers receive Trade data blocks in the Market Data Incremental Refresh (tag 35-MsgType=X) message for the spread on the same channel as the first leg of the spread.
Market data configuration channels are available on the ftp site.
Information about the available products is found in the Market Data Security Definition (tag 35-MsgType=d) message.
The following table describes the FIX tags and valid values that identify inter-exchange spreads.
Identifies the product and exchanges involved in an inter-exchange spread.
Strategy type. IS indicates implied inter-exchange spreads. It is also used for non-implied inter-commodity spreads.
|Inter-exchange spreads are IMPLIED spreads that use IS as the tag 762-SecuritySubType value.|
For inter-exchange spreads, market data for products in a single product group are sent on different market data platform channels to support implied spread functionality on the CME Globex platform.
Security Exchange Code
For inter-exchange spreads, tag 207-SecurityExchange contains a unique value to identify the security exchange code. For instance, for the CME Group versus DME Brent Crude Oil inter-exchange spread, tag 207=NYUM.