Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | New ITC 2.1 Message - Effective Sunday, February 12, 2006
Notice Date | 2006-01-10
Notice Number | Q2006-04
Effective Date | 2006-01-10
Effective Sunday, February 12, 2006, CME® will begin transmitting a new ITC 2.1 message type. This new message type will be identified by Category Code "Q" with a Type Code "A". CME currently transmits Category Code "Q" and Type Code "blank" messages to disseminate settlement prices. Market data distributors will need to continue to process the Category Code "Q", Type Code "blank" messages for the purpose of calculating net change. The new Category Code "Q" and Type Code "A" messages will provide "actual" settlement prices for E-mini products, such as the E-mini S&P 500 futures contracts. These new messages will be sent out in addition to existing "Q" settlement messages, after the close of the markets. The record layout of the new message type will be identical to the existing "Q" message, with the exception of the Type Code field, which will contain the "A" indicator to signify that this is an "actual" settlement for an E-Mini product. This new message type is needed because, for some E-mini products, the minimum tick increment differs from the minimum tick of the full-size contract. Since these contracts are fungible, the E-mini contracts must settle to the same price as the full-size counterpart. Ticker Testing Ticker testing will take place on Friday, January 27 2006 and Friday, February 3, 2006 at approximately 4:45 p.m. If you have questions during the ticker test, please direct them to Enterprise Computer Operations at 312.930.8160. Sample Category Code Q, Type Code A Messages The following data represents some sample Category Code "Q", Type Code "A" messages: aM FQA90000010 1043270 b EMD H06GH062 0076850+T 9 9c aM FQA90000011 1043280 b EMD M06FM062 0077500+T 9 9c aM FQA90000012 1043280 b ER2 H06GH062 0070375+T 9 9c aM FQA90000013 1043280 b ER2 M06FM062 0070925+T 9 9c aM FQA90000014 1043280 b ES H06GH062 0129180+T 9 9c If you have any questions regarding this notice, please contact: Marilee Radecki 312.930.8193 mradecki@cme.com Kevin Brady 312.648.3653 kbrady@cme.com