GLOBEX Advisory Notices
To | CME Globex Customers
From | CME Globex Account Management
Subject | CME Trade (M6) Message Aggregation
Notice Date | 2005-11-28
Notice Number | 112805-1
Effective Date | 2005-11-28
Dear CME Globex Customers, CME continually strives to improve the electronic trading experience for our customers. Recent enhancements, along with the overall increase in electronic trading, have increased the volume of CME market data. The introduction of mass quoting functionality for CME options on futures has nearly doubled peak message rates since early October 2005. CME also recently implemented an upgrade for CME Eurodollars on the CME Globex platform, doubling the quantity of orders processed per second but also increasing the number of implied quotes disseminated. Effective Sunday, December 18, 2005 (trade date Monday, December 19), to reduce the volume of CME market data messages, particularly during peak trading periods, CME is implementing a change to the Trade (M6) market data message. The new M6 Message Aggregation model reduces the time required to process each M6 message and reduces latency in CME market data dissemination. This CME market data change does not require any customer development or certification. Current State An M6 message is generated for every trade component, disseminating a new message for each contra-party quantity. Future State - M6 Message Aggregation Model CME will immediately disseminate the first M6 message for each trade of each instrument at a particular price. Subsequent M6 messages are aggregated for each trade, by price, instrument, side variation, and trade type, disseminating a message for the largest contra-party quantity. The subsequent M6 messages are aggregated until an M6 is triggered for dissemination by: Change of order; Change of price; or, A Last Best Price (M0) message is disseminated. For example, currently, one 5-lot matching against five resting 1-lots generates five M6 messages. The new M6 Message Aggregation model recognizes the M6 messages are generated by the single 5-lot order and publishes the first M6 for the first 1-lot fill on the 5-lot order. The market data generated by the remaining four 1-lot fills is aggregated in a single M6 message with the Trade Quantity field (position 70-81) equal to four. This change will greatly reduce the number of M6 messages sent during peak trading periods, and will have corresponding bandwidth and processing savings for the customer. The M6 Message Aggregation model is currently available for testing in the CME certification environment. As explained in the CME Market Data Developer's Guide, page 29, the M6 message should be used to obtain volume information only; the M0 (zero) message should be used to discover last best price. For more information on the M6 Message Aggregation model, please see the CME Client Impact Assessment. If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700; or in Europe at +44.207.623.2550. Thank you, CME ©2005 Chicago Mercantile Exchange Inc (CME). All rights reserved. The Globe Logo, Globex®, and CME® are trademarks of CME.