FXO: Expiration Time Changes Security Definition File

  • 1 Aug 2018
  • By CME Group
  • Topics: FX

How to read the expiration time within the Security Definition file:

→865

EventType

Int

Y

5=Activation 
7=Last eligible trade date

Code to represent the type of event.

→1145

EventTime

UTCTimestamp

Y

 

Date and Time of event expressed in UTC DateTime. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

The two tags that matter are 865 and 1145. When 865=7, then 1145=expiration date and time. Below is an example of tags provided for a particular instrument:

ADUM8 C0635 strike has Last Trade Date = 20180608 and 1900 UTC time which is 2 pm CST. This 1900 will be 1400 for instruments with expiration beyond the target date.

35=d 5799=00000000 980=A 779=20180527160850000421 1180=315 1300=88 462=4 207=XCME 1151=XA 6937=ADU 55=ADUM8 C0635 48=390776 22=8 167=OOF 461=OCEFPS 201=1 200=201806 15=USD 202=6350.0000000 947=USD 9850=0.5000000 1142=F 562=1 1140=9999 1146=0.0000000 9787=0.0001000 6350=2 996=AUD 1147=100000.0000000 1150=1224.0000000 731=00000011 5796=20180530 1148=0.5000000 1149=9999900.0000000 9779=N 864=2 865=5 1145=20170609220000000000 865=7 1145=20180608190000000000 1141=2 1022=GBX 264=3 1022=GBI 264=1 870=1 871=24 872=00000000000011000010000000000111 1234=0 711=1 309=174106 305=8 311=6AM8 1647=1 1650=646551651=8 1649=VXAM8 C0635

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