Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Addition Of New Field To MO (Instrument Creation) Message On Sunday, March 18, 2007
Notice Date | 2007-03-07
Notice Number | Q2007-063
Effective Date | 2007-03-07
Effective Sunday, March 18, 2007 (trade date March 19th), a new field called Negative Price Flag (Boolean) – Position 797 -- will be added to the Instrument Creation (MO) RLC market data message, to indicate whether an instrument supports positive, zero (0) or negative prices. This new position will contain one of the following values: 0 (zero) -- for those instruments that support only positive and zero prices. 1 (one) -- for those instruments that support positive, zero and negative prices. Additionally, Positions 795-796 and 798-811 within the MO messages will be initialized to 0’s (zeroes), which will replace the current spaces. EXAMPLE All CME® Eurodollar futures will contain a 0 (zero) in position 797 of the MO message to indicate positive and zero price support only. All CME Eurodollar spreads contain 1 in position 797 to indicate positive, zero and negative price support. More information on the CME Market Data Platform RLC Message Specifications, including the Instrument Creation (MO) messages, is available online. 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 Thank you!