Market Data Advisory Notices
To | Quote Vendors
From | Market Vendors
Subject | Israeli Shekel Calendar Spreads Algorithm Change - Effective August 3, 2008
Notice Date | 2008-07-31
Notice Number | Q2008-152
Effective Date | 2008-08-03
Effective Sunday, August 3, (trade date Monday, August 4), to align the FX futures calendar spreads matching behavior, the allocation algorithm for the Israeli Shekel calendars will be changed from FIFO (F ) to Currency Calendars (C ). With this change, all FX futures calendar spreads will use C. The allocation algorithm is defined in FIX tag 1142-MatchAlgorithm, in the FIX/FAST Security Definition message (35=d). Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.