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Effective Monday August 14th, changes will be made to the way leg-prices are assigned in SLEDS for CBOT Treasury products.
Currently, there are some inconsistencies in leg-price assignments based on the venue (e-cbot or Pit) the spread was traded.
Further inconsistencies exist depending on whether the differential price was at a whole 32nd'or a fractional of a 1/32nd.
For the full text of this advisory... |