Topics in this issue include:
CME Group is implementing end-to-end technology changes to support increased price granularity. Currently, CME Group systems support a maximum of 7 decimals. With this initiative, products with up to 9 decimals may be listed and traded. Effective Sunday, January 13, 2019 (trade date Monday, January 14), pending regulatory approval, the 2 Year Treasury Note futures and spreads will move from 7 decimals to 8 to support trading at 1/8 of 1/32.
Customers are encouraged to move to support 9 decimals now; but there are no plans to list a product that uses the 9th decimal at this time.
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 are currently available for customer testing in New Release.
Customers must have an entitled CME Group Login to access GCC support for order status and cancellations. Get your CME Group Login now, and ask your FirmSoft Clearing Firm Administrator to ensure it is permissioned for GCC access.