Currently, when a trade is executed on GLOBEX in a pre-defined futures calendar spread product, the firm receives two "type 5" TREX trade confirmation messages, one for each futures leg.  Each of these TREX messages contains a 32-byte "S1" block which provides the spread price.

These 32-byte S1 blocks will be eliminated from these TREX confirmation messages for GLOBEX calendar-spread trades, effective Sunday night, January 18th.

This change is being done in preparation for the planned launch in February of both Pit and Electronic SLEDS (Single-Line Entry of Differential Spreads) processing for CBOT products under the Common Clearing Link.  With SLEDS processing for CBOT products, firms that are receiving a single TREX confirmation message for the entire SLED trade will get a 100-byte S1 block which provides not only the spread price but also identifies the back leg.

Later in the first quarter of 2004, SLEDS processing will be introduced for CME trades on GLOBEX in these pre-defined calendar spread instruments.  At that time, firms electing to receive single SLED-level TREX confirmation messages will again receive the S1 block containing the spread price, but this will be the standard 100-byte S1 block, rather than the abbreviated 32-byte block.

As part of the testing for SLEDS, we will provide firms in early January with "type 5" trade confirmation messages without the abbreviated S1 block, for GLOBEX trades in pre-defined calendar spreads.

For more information please contact Farris Oweimrin at (312) 648-4680 or Mark Cox at (312) 648-8699.