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Dear CME Globex Customers,
Effective this Sunday, May 21, 2006, for RLC format market data messages, and Sunday, June 11 for ITC 2.1 format messages, to simplify and streamline customer processing of CME-listed spreads, CME is implementing new
Spread Type values. These new values can be used to easily determine the spread type and associated listing conventions.
RLC Format
In the Instrument Creation (MO) messages, position 727-728, the following new Spread Type values will be implemented:
| Spread Type |
Current Code |
Revised Code |
| Futures Calendar (CME Equity Futures Only) |
SP |
EQ |
| Futures Calendar (CME Foreign Exchange Futures, CME GSCI and CME GSCI ER Only) |
SP |
FX |
| Futures Calendar (CME HICP and CME CPI Futures Only) |
SP |
EC |
| Futures Pack |
HZ |
PK |
| Futures Bundle |
HZ |
FB |
| Futures Butterfly |
HZ |
BF |
| Futures Condor |
HZ |
CF |
| Futures Pack Spread |
HZ |
PS |
| Futures Pack Butterfly |
HZ |
PB |
These new Spread Type values are currently available for customer testing in the CME certification environment.
More information on MO messages and Spread Type values is available in the CME Market Data Platform RLC Message Specifications.
ITC Format
The following new Spread Type values will be implemented for ITC-format market data messages for both trading floor and electronically
executed trades. Please note: all other calendar spreads will continue to use the "SP" Spread Type value.
| Spread Type |
Current Code |
Revised Code |
| Futures Calendar (CME Equity Futures Only) |
SP |
EQ |
| Futures Calendar (CME Foreign Exchange Futures, CME GSCI and CME GSCI ER Futures Only) |
SP |
FX |
| Futures Calendar (CME HICP and CME CPI Futures Only) |
SP |
EC |
CME will test these new ITC Spread Type values on Friday, June 2 and Friday, June 9 at approximately 4:45 p.m. CT. For questions
during the test, please contact CME Enterprise Technology Operations at 312.930.8160.
More information on ITC 2.1 format messages and Spread Type values is available in the CME Market Data Platform ITC Specifications.
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
©2006 Chicago Mercantile Exchange Inc (CME). All rights reserved.
The Globe Logo, Globex® and CME® are trademarks of CME
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