Client Management Advisory Notice
To | CME and CBOT Member Firm Personnel, Service Bureaus
From | Client Management
Subject | CBOT Price Formats Reference, and Trade Register File Format
Effective Date | 07/17/03
Notice Number | CCL#0306
Attached please find two important documents relating to the CBOT-CME Common Clearing Link: Clearing Codes and Price Formats for CBOT Products This document provides a comprehensive reference to clearing codes and TREX and SPAN clearing price formats for CBOT products as they will be used when the Common Clearing Link is implemented beginning on November 24, 2003. Note that the TREX and SPAN formats for Dow-Jones futures and options prices are being changed to have two implied decimal places. This will eliminate the need for special price shifting once per quarter to accomodate special settlement prices, while keeping the TREX format and SPAN formats identical. Note also that the TREX format for strike prices for Fed Funds options is being changed to truncate the third and fourth decimal places. This will ensure that the TREX format strike price for all standard options requires only four significant digits. The SPAN format for these strike prices will continue to have four decimal places, requiring six significant digits. Click here to view the full text of the Clearing Code and Price Formats For CBOT Products Document. Trade Register File Format This document provides the complete layout for the Trade Register File and details the several enhancements to it to support the Common Clearing Link. These consist of: Adding the exchange code field to identify whether the trade or position record is for a CBOT or a CME product, and Adding a "Trade Price Cabinet Indicator" field and a "Settlement Price Cabinet Indicator" field to denote a variable cabinet option trade price for CBOT products, and to provide an alternate means of identifying a fixed cabinet option trade or settlement price for CME products. Click here to view the Trade Register File Layout .