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 Book
Depth Change for U.S. Treasury, Swap and Fed Fund Options
Effective
Sunday, May 4 (trade date Monday, May 5), in response to customer requests, the
market data book depth for all U.S. Treasury, Swap and Fed Fund options on futures on Market Data
Platform channel 116 will change to
three deep. Currently, these markets only support top-of-book market depth.
This change will impact both the FIX/FAST- and RLC-format market data books. The complete list
of impacted products is available
below.
For FIX/FAST, this change will result in a move to the incremental book management style from
the current overlay style, as reflected in tag 279 MDUpdateAction in the Market Data Incremental
Refresh message (tag 35=X). Valid values for this tag will now include 0 (New), 1 (Change) and 2
(Delete).
The book depth for every instrument on CME Globex is detailed in tag 264 MarketDepth in the
Security Definition (tag 35=d). CME Group strongly recommends customer applications utilize tag 264
to identify the supported instrument book depth level dynamically. CME Group also recommends all
customer applications should be designed to leverage all possible values for tag 279 MDUpdateAction
in the Market Data Incremental Refresh message (tag 35=X) for all markets and channels, to minimize
the impact of future book depth changes.
The FIX/FAST Software Development Kit, including details on book management in the Core
Functionality module, is available
online. Please
contact
Customer Support for Electronic Trading (CSET) at
312.930.2322 for development assistance.
This book depth change will be available for customer testing in New Release Monday, April
14.
Options with Three-Deep Market Data
| Product |
Instrument
Group Code |
Product
Code |
MDP
Channel |
| Binary
Options on the Target Fed Funds Rate Outrights |
C8 |
BUS |
116 |
| Binary
Options on the Target Fed Funds Rate Spreads |
B1 |
| 5-Year
Interest Rate Swap Outrights |
Y5 |
OSA |
| 5-Year
Interest Rate Swap Spreads |
05 |
| 10-Year
Interest Rate Swap Outrights |
AT |
OSR |
| 30-Year
U.S. Treasury Bond Outrights |
UZ |
OZB |
| 30-Year
U.S. Treasury Bond Spreads |
U3 |
| 5-Year
U.S. Treasury Note Outrights |
0N |
OZF |
| 5-Year
U.S. Treasury Note Spreads |
9S |
| 10-Year
U.S. Treasury Note Outrights |
TE |
OZN |
| 10-Year
U.S. Treasury Note Spreads |
T$ |
| 30-Day
Fed Funds Outrights |
CF |
OZQ |
| 30-Day
Fed Funds Spreads |
FO |
| 2-Year
U.S. Treasury Note Outrights |
N2 |
OZT |
| 2-Year
U.S. Treasury Note Spreads |
2$ |
FIX/FAST
Migration
On Sunday, October 14, 2007, CME Group launched the new FIX/FAST market data format on the
CME Globex platform. FIX/FAST is the basis of a new industry standard for market data and improves
bandwidth scalability. The new format is based on FIX and FAST protocols for increased efficiency.
FIX provides the core message structure and syntax while the FAST protocol increases
optimization.
AutoCert+ in New Release is available for customers to complete the
mandatory certification for FIX/FAST. More information is available in the
AutoCert+ User Guide. FIX/FAST is currently available for customer testing in the
New Release and Certification environments.
Customers must complete their migration to FIX/FAST from the legacy RLC format market data by
October 17, 2008. After October 17, support surcharges will be assessed for each
site still receiving RLC format market data.
- $2,000 per week in October
- $4,000 per week in November
- $6,000 per week in December
The legacy RLC format market data will be eliminated no later than the
end of December 2008.
The FIX/FAST Software Development Kit, including Market Data Platform channel definitions and
reference code, is available
online.
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