GLOBEX Advisory Notices
To | CME(R) Globex(R) Customers
From | CME Globex Account Management
Subject | CME(R) Market Data Change
Notice Date | 2005-08-19
Notice Number | 081905-1
Effective Date |
Dear CME® Globex® Customers, To reduce the volume of CME market data messages, particularly during peak trading periods, CME will implement a change to the M6 (Trade) market data message. This CME market data change does not require any customer development or certification. M6 messages are currently distributed for every trade, after the first, per instrument per day. 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. Current State Each trade after the first is reported as a new M6 message. Future State CME will immediately report the first trade at a particular price via an M6 message. All subsequent trades for the same instrument at the same price will have volume summed and sent via a single M6 message. 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. Timeline CME Certification Environment Deployment: August 23, 2005 Target CME Production Environment Deployment: September 23, 2005 (phased in over multiple weekends) 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 800.331.3332