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Matching
Algorithm Changes for Legacy CBOT Interest Rate and Commodity Futures
In response to customer feedback and in the interest of the market, CME Group will revise the
Split FIFO/Pro Rata (K) allocation algorithm for selected CBOT markets. With this change, the pro rata
allocation matching behavior will more closely follow the behavior of that on e-cbot by allocating
a quantity of one contract to orders that have an allocation value of less than one (the amount
calculated to allocate). The revised
K algorithm will also be applied to additional products, as detailed below.
Currently, the
K algorithm is only applied to the 2-Year U.S. Treasury Note futures.
| The Split FIFO/Pro Rata algorithm assigns TOP priority to an order that |
- betters the market, and
- meets the minimum volume threshold.
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| The Split FIFO/Pro Rata algorithm also establishes a volume cap that limits the quantity a
priority order can receive. |
| |
| Allocation Sequence |
- TOP Order percentage Allocation (with Minimum/Maximum)
- LMM
- Remaining quantity split - X% FIFO, X% Pro Rata (fields must sum to 100%)
- X% FIFO (based on remaining quantity * FIFO %)
- Pro Rata with Min (based on remaining quantity * Pro Rata %)
-
Pro Rata Leveling (new allocation)
- Timestamp Priority (any remainder from Pro Rata)
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| If a product does not have any registered LMMs, the LMM allocation is skipped. The FIFO
percentage in the third allocation may be set to zero, which will result in a 100% Pro Rata with
Min allocation. Only the 2-Year Treasury Note futures have a FIFO allocation at the third
step. |
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| The new Pro Rata Leveling component within the K algorithm will also be applied to other
products on the following schedule: |
| |
| May 18 |
- 5-, 10- and 30-Year Interest Rate Swap futures, legs and spreads
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| Late June |
- Fed Funds futures, legs and spreads
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More information on this algorithm, including allocation examples, is available in the
CBOT Merger Client
Impact Assessment. |
| |
| Customers can determine the matching algorithm assigned to each product from FIX tag 1142-Match
Algorithm, in the FIX/FAST Security Definition (tag 35=d) market data message. |
Butterfly
and Condor Spreads for KCBT and MGEX Futures
Effective
this Sunday, May 18 (trade date Monday, May 19), Butterfly (Strategy Type Code
BF) and Condor (CF) future spreads listings will be expanded on the following products:
Butterfly and Condor Spreads Listings
| Futures |
CME
Globex
Product Code |
Current
Butterfly
Spreads Listings |
New
Butterfly
Spreads Listings |
Current
Condor
Spreads Listings |
New
Condor
Spreads Listings |
| MGEX
Hard Red Spring Wheat |
MWE |
2 |
5 |
2 |
7 |
| KCBT
Wheat |
KE |
3 |
5 |
3 |
7 |
These new futures spreads are now available in New Release for customer testing.
E-mini
S&P MidCap 400 - E-mini Russell 2000 Intercommodity Spread
Effective
this Sunday, May 18, 2008 (trade date Monday, May 19), a new intercommodity spread
for the E-mini S&P® MidCap 400® versus E-mini Russell 2000® futures will be available for
trading on the CME Globex platform. Three spreads will be listed upon launch:
- June 2008 E-mini S&P MidCap 400 future - June 2008 E-mini Russell 2000 future
(EMDM8-ER2M8)
- September 2008 E-mini S&P MidCap 400 future - September 2008 E-mini Russell 2000 future
(EMDU8-ER2U8)
- September 2008 E-mini S&P MidCap 400 future - June 2008 E-mini Russell 2000 future
(EMDU8-ER2M8)
These 1:1 ratio intercommodity spreads will use Strategy Type Indicator
EC and Group Code
ME. They will be available in New Release for customer testing this Monday, May
12.
CME Group is launching these intercommodity spreads to help customers looking for a way to
transfer their E-mini Russell 2000 open interest to a liquid trading alternative. Traders can go
long or short the spread, which enables you to simultaneously establish a one-to-one position on
the underlying futures contracts. For more information, visit
www.cmegroup.com/equities.
 Security
Description Naming Convention Change for Binary Options Strategies on Target Federal Funds Rate
Futures
Effective
Sunday, June 1, in all customer-facing environments, the Security Description
naming convention for strategies on the Binary Options on Target Federal Funds Rate futures will
change to use the left-most three bytes for strike price. The Security Description currently uses
the right-most three bytes for the strike price. This change will ensure unique Security
Descriptions can be maintained regardless of market movement. There is no impact on option
outrights; this change only affects the exchange-defined options strategies.
For example, currently the Security Description for a Christmas Tree strategy, with leg strike
prices of 6000, 6125 and 6250, is
BUS:XTU8C000 125 250. With this change, the Security Description for the same
strategy will be
BUS:XTU8C600 612 625.
This change will affect the iLink and FIX/FAST tag 107-SecurityDesc; and the RLC Instrument
Creation (MO) message position 72-91, Complete Instrument Code.
Please note, CME Group strongly recommends customers do not parse the Security Description.
Complete instrument information for all products is available in the FIX/FAST Security Definition
(tag 35-MsgType=d) and RLC MO messages.
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