Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Timestamp Issue For RTH Spreads - Effective Monday, April 28, 2003.
Notice Date | April 23, 2003
Notice Number | Q2003-32
Effective Date |
Effective Monday April 28, 2003, CME will implement a change to spread dissemination during Regular Trading Hours (RTH). Spread transactions often occur earlier in the day than they are reported, based on the trading floor activity and complexity of the spread transaction. Right now, the timestamp reflects the time the transaction is sent, rather than the time it actually took place on the floor. Starting on Monday, the timestamp will reflect the actual time the transaction took place. This applies to delete messages for spreads during RTH as well. (CME currently does not support As-of-Sequence numbers for spread delete and insert messages.) We felt it was important to notify you of this change in case your system applications are timestamp sensitive. You will get spread messages that are out of time order. This change will not affect the sequence numbers. Thank you. __________________________________________ Questions regarding this notice may be directed to: Marilee Radecki 312-930-8193 mradecki@cme.com