Effective Monday, June 30, 2003, CME will implement a change to the Category Code “I” message, Prior Day Actual Volume and Open Interest.  This change should not affect how you process this message.  The Category Code “I” messages are sent every morning at around 6:45 a.m. (Central Daylight Time), and contains the prior day actual volume and open interest for all CME contracts.   For the Session ID field in the header of this message, CME currently fills this field with an “R”, which indicates that this message comes from the trading floor.  However, this Session ID normally indicates where the contract is traded, either on the trading floor (“R”) or on GLOBEX^® (“G”).   To alleviate any confusion about how to process this message, CME will now leave that field blank - therefore indicating that this is an informational type message rather than a message specific to any given session.

Thank you. 

Questions regarding this notice may be directed to:

Marilee Radecki
312-930-8193
mradecki@cme.com