Effective Sunday, November 18th, CME will modify the TIBCO subject portion of the iLinksm Market Data API (MD API) message with respect to the E-mini Russell 2000 contract. The E-mini Russell 2000 is the first implementation of a three character commodity code (ER2) by CME. The change will ensure that the message convention is consistent throughout all CME products.
Currently, the market data message is read by a feedhandler at CME, enclosed in a TIBCO wrapper, and published to subscribers. The subject that the message is published on is dependent on information contained in the market data message. Specifically, the fifth and sixth elements of the TIBCO subject name for the E-mini Russell 2000 contract are ER.ER2Z. Because the E-mini Russell 2000 contract employs a three character commodity code, the convention for subscribing to it using MD API is inconsistent with all other (2 character) CME commodity codes.
For example, the message subject for a December �01 E-mini S&P (ESZ1) contract would appear as the following:
CME.PROD.GB2.M0.ES.ESZ1
However, due to the three character commodity code used by the E-mini Russell contract, the message subject currently appears as follows for a December �01 (ER2Z1):
CME.PROD.GB2.M0.ER.ER2Z
The change that will be implemented Sunday November 18th will recognize the E-mini Russell 2000 as a three character commodity code and the message subject will appear as follows:
CME.PROD.GB2.M0.ER2.ER2Z1
This change will impact users who currently subscribe to the E-mini Russell 2000 contracts. Please note, if you are currently subscribing to all GLOBEX2 products, this change will not impact you.
