Clearing House Advisory Notices
To | Clearing Member Firms and Back Office Managers
From | Clearing House Department
Subject | Averaging Algorithm in the new Average Price System
Notice Date | 2005-02-14
Notice Number | 05-28
Effective Date |
In June 2005 CME will implement a replacement to the existing Average Price System (APS). The new system will be a web based application integrated into existing Front End Clearing System and will contain several key enhancements: The system will round to the nearest outright minimum fluctuation for the given contract being averaged. The minimum fluctuations for the contracts are found in the contract specifications, the daily CME SPAN files. CME: http://www.cme.com/clearing/clr/spec/ CBOT: http://www.cbot.com/cbot/pub/page/0,3181,21,00.html Averaging of cabinet and variable cabinet trades will be allowed in the new system. Specific examples of rounding cabinets will be in a future memo. If all trades composing the averaging group are at the same trade price the system will not perform the step to round to the nearest minimum fluctuation. In this case, the average price and the rounded price will be set to the trade price within the group. The resulting residual will then be zero. This Clearing House advisory shows the steps CME will use to calculate average prices for all products. Specific examples are included. For the full text of this advisory... Contract Value Factors...