Clearing House Advisory Notices
To | Clearing Member Firm Back Office, Operations and Programming Managers, Bookeeping Service Bureaus, and Software Providers
From | Clearing House Department & Client Management
Subject | CBOT "Project Denali" to be launched October 25th
Notice Date | 2004-08-12
Notice Number | 04-143
Effective Date |
The attached notice from the Chicago Board of Trade describes an important new initiative called Project Denali, scheduled for launch on October 25th. The CME Clearing House will work closely with CBOT and with member firms to facilitate the testing and launch of this new system, which will apply to “electronic-device” trades – those recorded either through Order-Routing (OR) devices or Hand-Held-Terminals (HHT’s). Project Denali introduces a new status for such pit trades, called “on hold”, and indicated by a value of HOLD in the Trade Status field on the M2 block of the TREX record. When the OR or HHT trade is originally recorded in the device, firms will receive an “add” TREX trade confirmation message from the clearing system, indicating that the trade is on hold. “On hold” means that the trade is under the control of the new CBOT matching system, and that changes to match-critical fields such as price and quantity may only be made via the electronic devices. While the trade is on hold, firms may change only origin, CTI code and customer account number, or they may mark the trade for giveup or average-price processing. Firms will then subsequently receive “change” TREX trade confirmation messages from the clearing system for these trades. These messages may change trade data, or they may indicate that the trade is now matched, or they may indicate that the trade has been removed from the on-hold status and is now an ordinary unmatched trade, under the full control of the firm. Note that if the trade matches in the CBOT system very quickly, it is possible that the initial “add” message the firm will receive will indicate that the trade is matched. In other words, rather than receiving an “add” message for the trade in the on-hold state and then a subsequent “change” message indicating that the trade is now matched, in some cases the firm will receive only one message indicating that the trade is matched. In any event, firms can be confident that the first message they receive for the trade will always be an “add”, and that any subsequent messages for that trade will be “changes”. With Project Denali, Order-Routing trades will be treated quite analogously to the way that HHT trades are today. In particular, the trade ID will be assigned by CBOT, and the trade will already be loaded to the clearing system when firms receive the initial trade confirmation message. A new value of STP for the Trade Source Code will be used to indicate an Order Routing trade, while ETC will continue to be the value used for HHT trades. Trade ID’s assigned by CBOT for either Order Routing or HHT trades will be in the range of 12,500 up to 50,000. The range reserved for firms to assign their own trade ID’s for pit trades not captured via electronic devices, will be from 1 to 12,499. For Order-Routing trades, firms will receive a T1 block on the initial “add” trade confirmation message, containing a subset of the fields supported on that block. For more information, please see the following: For the full text of the CBOT Advisory about Project Denali: http://www.cbot.com/cbot/docs/51163.pdf For the updated TREX layout: click here.