All UDS on CME Globex are constructed with the iLink Security Definition Request (tag 35-MsgType=c) message and acknowledged with the iLink 2 Security Definition message.
Once a spread is created, it is identified as a CME Globex exchange-recognized or unrecognized spread type by the value in tag 762-SecuritySubType broadcast in the market data Security Definition (tag 35-MsgType=d) message.
All defined and active spreads are disseminated at the beginning of the week, or at initial creation on the market data Incremental feeds, and looped on the market data Instrument Definition feeds.
UDS Creation and Market States
For a Security Definition Request (tag 35-MsgType=c) submitted during the CME Group maintenance window (4 pm - 4:45 pm CST Monday thru Friday), CME Globex will send a Security Definition Reject (tag 35-MsgType=d) message including tag 58=<User-defined functionality not available at this time>.
If a UDS is created in a non-open group state:
- the RFQ will not be auto-generated—clients must submit the RFQ when the destination group state returns to Open.
- the implied book will not be generated; the implied book will be auto-generated at market Open.
CME Globex allows a User Defined Spread (UDS) to be composed of instruments from multiple related security groups; the resulting UDS instrument then belongs to the UDS security group (U$) as indicated in tag 1151-Security Group in the market data Security Definition message. For example, instruments from the following security groups may be used in a single UDS: