Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Attention RLC Message Format Users (Channel 4 of MDN): Effective September 5, 2004 - Implementation of Enhancements to Implied Eurodollar Spread Trading to Include Butterfly Spreads
Notice Date | 2004-07-27
Notice Number | Q2004-94
Effective Date |
Effective Sunday, September 5, 2004, Chicago Mercantile Exchange Inc. will implement enhancements to implied Eurodollar Spread Trading. These enhancements will extend Eurodollar pricing functionality on GLOBEX® to include implied “butterfly” spread trades. Impact on Market Data For Market Data Distributors subscribing to Channel 4 of the Market Data Network (MDN), you can expect to see an increase in the number of MY (Implied Price) messages and MO (Instrument Creation) messages. Below are highlights of the changes to expect: MY (Implied Price) messages will be disseminated for Butterfly Spreads, in addition to Calendar Spreads MO (Instrument Creation) messages will provide an indicator for implied prices on Butterfly Spreads. This indicator is currently populated with the value “1” for instruments that are implied-enabled both for spreads and legs and is left blank for all other instruments CME will populate this field with the value “2” for non-implied spreads that will be returned to the customer with leg fill messages For spreads that will not be returned with leg fill information, this field will continue to be blank For additional information, please go to http://www.cme.com/trading/get/sup/eageurodoll2834.html. If you have any questions regarding this notice, please contact: Marilee Radecki 312.930.8193 mradecki@cme.com Lisa Amato 312.338.2654 lamato@cme.com Thank you.