Market Data Advisory Notices
To | Market Data Distributors -- Attention: RLC Message Users Only
From | Market Data Operations
Subject | CME Globex Enhancements: Enhanced Execution Reports and USD: Combos -- Effective Sunday, March 25, 2007
Notice Date | 2007-03-05
Notice Number | Q2007-060
Effective Date | 2007-03-05
Effective Sunday, March 25, 2007, CME is implementing the two functionality improvements below to CME Globex. New FIX Tags for Enhanced Execution Reports Enhanced Execution Reports on all products traded on the CME Globex platform will be available starting on Sunday, March 25, 2007. These enhanced reports will take advantage of new FIX tags as follows: 442 – MultiLegReportingType 393 – TotalNUmSecurities 527 - SecondaryExecID These new FIX tags will result in the following benefits to customers, enabling customers to use the enhanced Fill and Trade Cancellation messages to: Differentiate messages for outrights, legs and spreads. Correlate legs with the spread to which they belong. Identify the number of legs associated with a spread. RLC messages users are urged to test the enhanced execution reports, which are currently available for customer testing in the CME certification environment. UDS: Combos UDS: Combos functionality will be implemented on CME Globex. This new functionality will enable customers to define and trade the following combinations intra-day. These instruments can be composed of any, or all of the following: Exchange-defined outright option(s) Exchange-defined option spread(s) Existing user-defined spreads In order to support listing and trading of these unique instruments, customer systems: Must be capable of processing Security Definition (MU) messages with up to 40 spread legs. Should configure their market data buffer size to accommodate up to 5120 bytes. Must certify via CME AutoCert+, for front-end trading applications. For access to AutoCERT+, please contact your Market Data Operations Account Representative. This functionality is currently available in the CME certification environment for customer testing. Additional information on these enhancements is available in the UDS: Combos and Enhanced Execution Reports Client Impact Assessment document. 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.