Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Market Data (M0) Message Enhancements and Change To Market Data Depth for GLOBEX eFX Futures - Effective Sunday, February 22, 2004
Notice Date | 2004-02-20
Notice Number | Q2004-22
Effective Date |
The following information is applicable to distributors receiving market data via channel four of the MDN -- GLOBEX market depth data. Market Data (MO) Message Enhancements Effective Sunday, February 22, 2004, (trade date February 23rd), CME will implement an enhancement to the MO (instrument characteristics) message to help distributors facilitate adding new contracts earlier to their production environments. Currently, the MO message lists only those contracts that are currently traded on GLOBEX. As new products are added, the MO message is updated on the Sunday when the contract goes live. Starting this Sunday, we will make a change to add contracts to the MO message two weeks before they go live in our production environment. The newly populated activation date field in the MO message will define the future date the contract will go live. Change to Market Data Depth for eFX Futures Products Also starting with this Sunday’s GLOBEX session, CME will provide only “Best Five (5) Bids/Offers” market data (the “MA” message) for all eFX futures products. CME currently provides both “Best Five (5) Bids/Offers” (the “MA” message) and “Full Depth of Book” (the “MC” and “MF” messages) for eFX futures products. Liquidity in these products has increased to a level where many market participants feel that full depth of book is no longer beneficial and consumes excessive network bandwidth. For questions concerning this notice, please contact Market Data Operations at 312/930-8193.