• CME Reference Data API Notices: November 5, 2020

      • To
      • Reference Data API Customers
      • From
      • Global Market Solutions and Services (GMSS)
      • #
      • 20201105
      • Notice Date
      • 05 November 2020

    • Topics in this issue include:

      New - CME Reference Data API Version 2 Changes

      Effective Sunday, November 22 (trade date Monday, November 23), the following changes will be made to Reference Data APIv2.

      Updated Attribute - Allocation Deadline

      The allocation deadline attribute will now be supported at the instrument level; currently, it is supported at the product level.

      Current
      Product or Instrument      		 New
      Product or Instrument      		 Attribute Name Description
      Product Instrument allocationDeadline General collateral repos collateral allocation deadline. The allocation deadline is provided per the Central time zone (Chicago). The time will be based on the time zone used in the last trade date time.

      Updated Attribute - Bilateral Rejection Interval Indicator

      To provide greater clarity on whether the bilateral rejection interval is applicable to given trade, the bilateral rejection interval indicator will now return null indicating the trade is not eligible. Currently, a value of 0 is returned.

      Product or Instrument Attribute Name Description Current Value New Value
      Instrument

      bilAccRejTimer

      		 Bilateral accept reject timer - number of seconds 0 null

      New Attribute - Spread Pricing Convention

      To better describe the calendar structure of spread futures, Reference Data APIv2 will now support spread pricing convention values of Common and Non-Common.

      Product or Instrument Attribute Name Description Type
      Product

      spreadPricingConvention

      Spread Pricing Convention

      Valid Values:

      • Common - the contract would only be priced on a date when both legs are priced
      • Non-Common - individual legs would continue to take the price for every applicable day, regardless if the other one did not have a good price for that day.
      		 VARCHAR2 (20 Char)

      These changes will be available for customer testing in New Release on Monday, November 16.

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      CME Reference Data API Enhancements for Adjusted Interest Rate Products

      Effective Sunday, November 22 (trade date Monday, November 23), to better support Adjusted Interest Rate products the following changes will be made to Reference Data APIv1 and Reference Data APIv2.  Additional information can also be found in CME Clearing Advisory Notice #20-314.

      Accrued Funding Attributes

      The Accrued and Daily Funding values for the business date, currently available in a CSV-format datafile at ftp.cmegroup.com/pub/settle/air, will be supported in the CME Reference Data API. These new fields on the Instrument service will define the preliminary and final Funding information.

      Product or Instrument Attribute Name Description Type
      Instrument airAccruedFunding  The accrued funding value for this contract for the specified business date, to seven decimal places. Number
      Instrument airDailyFunding   Today’s contribution to that aggregate Accrued Funding value, likewise to seven decimal places. Number
      Instrument airBusinessDate  The business date to which these values pertain. Date
      Instrument airFundingStatus

      An indicator that specifies whether these are the final or preliminary values for the specified business date.

      Valid Values:

      • Prelim
      • Final
      		 VARCHAR2

      The values will cycle throughout the business day:

      • When the final funding values for the day are set, CME Reference Data API will reflect the values with airBusinessDate=current date and airFundingStatus=Final
      • When the final funding values for the day are not yet know, CME Reference Data API will reflect the preliminary values with airBusinessDate=trade date and airFundingStatus=Prelim

      This change will be available for customer testing in New Release on Monday, November 16.

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      CME Reference Data API Version 1 Decommission

      Effective December 31, CME Reference Data API version 1 will be decommissioned.  CME Group recommends customers should migrate to CME Reference Data API version 2 as soon as possible. CME Reference Data API version 2 will require customer authorization using a CME Group Login and a registered OAuth 2.0 API ID to access the service. Customers that require access to BrokerTec content must also complete API ID entitlement registration.

      The Client Impact Assessment is available and provides detailed functionality and message specifications.

      The Reference Data API version 2 service is currently available for customer testing in New Release and has been available in production since June 7, 2020.

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