Topics in this issue include:
Effective end of day Friday, March 23, in alignment with the CDS wind-up, the CDS Trade Summary Report will be retired in Production and New Release.
In the second half of 2018, CME ClearPort API will support an increase to the maximum price precision from seven to nine decimal places to provide greater price granularity for future launches.
In Q4 2018, the first application of this new price format functionality, pending regulatory approval, will implemented be for 2-Year Treasury Note Futures, Future Spreads and inter-commodity spreads, with a price precision of eight decimal places.
The attributes listed below will be impacted.
For more on impacted products and CME Globex, iLink messaging, Drop Copy and Market Data impacts, view the CME Globex Client Impact Assessment.
Trade Capture Reports and Acknowledgements
Price will be impacted at the Trade Capture Report and Trade Instrument Leg Group levels.
| Level | Field Name | FIXML Attribute Name |
|---|---|---|
| /TrdCaptRpt - inbound | Trade Price | LastPx |
| /TrdCaptRpt/TrdLeg - inbound | Leg Last Price | LastPx |
| /TrdCaptRptAck - outbound | Trade Price | LastPx |
| /TrdCaptRptAck/TrdLeg - outbound | Leg Last Price | LastPx |
| /TrdCaptRpt - outbound | Trade Price | LastPx |
| /TrdCaptRpt/TrdLeg - outbound | Leg Last Price | LastPx |
Reference Data
| Level | Field Name | FIXML Attribute Name |
|---|---|---|
| /SecDef/Instrmt | MinPriceIncrement | MinPxIncr |
| /DerivSecList/DerivSecDef/DerivInstrmt | MinPriceIncrement | MinPxIncr |
These enhancements will be available for customer testing in New Release in the first half of 2018.