Effective Sunday, June 2 (trade date Monday, June 3), CME Group will add the optional Cross Exchange spread indicator to CME ClearPort API for block trade strategies involving a CME Group exchange product and a product on any non-CME Group exchange. Such strategies are considered to be outright transactions at the relevant CME Group exchange for purposes of fair and reasonable pricing and timely submission. Use of the indicator, when applicable, will provide additional information about the strategy to the exchange.
| Level | Field Name | FIXML Attribute Name | Values |
|---|---|---|---|
| /TrdCaptRpt -inbound | External Spread Indicator | ExtSprdInd | Y N |
| /TrdCaptRptAck - outbound | |||
| /TrdCaptRpt - outbound |
This change will be available for customer testing in New Release on Wednesday, May 15.
