GLOBEX Advisory Notices
To |
From | Chicago Mercantile Exchange
Subject | Reminder - Upcoming CME Market Data API Changes
Notice Date | 2004-09-29
Notice Number | 0929-1
Effective Date |
To All Chicago Mercantile Exchange Market Data API Customers, Chicago Mercantile Exchange is upgrading market data capacity by providing increased flexibility for the subscription and processing of GLOBEX® and OneChicago (SSF) market data. OneChicago Market Data Currently, both GLOBEX and SSF market data are sequenced through one stream but disseminated independently. CME is implementing enhancements to disseminate the data independently and on independent sequence numbers. For the processing of SSF market data, the sequence number stream will be migrated to a dedicated feed. These sequence changes for SSF market data are transparent to RVRD and subscription configurations. SSF market data can be subscribed to in the certification environments with ONE_SSFCERT.> for certification data and ONE_SSFCERTPROD.> for production data. Current Sequencing GLOBEX - 1,2,4,5,7,8,9,11 SSF - 3,6,10,12,13 Future Sequencing GLOBEX - 1,2,3,4,5,6,7 SSF - 1,2,3,4,5,6,7 GLOBEX Futures and Options Market Data To provide improved capabilities for subscribing to GLOBEX market data, the subscription convention is being enhanced to differentiate between futures and options contracts. The first node of the subject convention will be enhanced from CME_GB2 to differentiate a future and option contract. All futures contracts will be published with the current convention, but all options contracts will be published by adding _OPT to the first node: CME_GB2_OPT. Current Subscription Method Future - CME_GB2.V20.MA.ES.ESU4 Option - CME_GB2.V20.MA.ES.ESU4 Future Subscription Method Future - CME_GB2.V20.MA.ES.ESU4 Option - CME_GB2_OPT.V20.MA.ES.ESU4 To subscribe to options contracts, customers should add the options import subject to the TIBCO® RVRD configuration: CME_GB2_OPT.> In addition, customers will need to add a subscription for options within their application. If no changes are made, options market data will not be received although there will be no change to the client's futures' market data subscription. Customers can make the RVRD change and application subscription change at any time without impacting their current market data stream. Implementation Information These market data changes are currently available in the certification environment and are targeted for production release on Sunday, October 24, 2004. Please note, when these changes are implemented in the production environment, CME will reduce the price level for options market data from a 5-deep book depth to only the top of book (1-deep). Please see the MD API 2.X Developer's Guide for information related to this change or contact your GLOBEX Account Manager with any questions at 312-634-8700. Thank you. Chicago Mercantile Exchange GLOBEX Account Management 312.634.8700