Some CME customers have experienced an issue regarding the differences between our market data M0 (zero) message (Last Best Price) and our market data M6 message (Trade).  This is an informational notice to clarify the differences between the two message types and describe, in general, how each should be used.

The M6 message reflects a trade in an instrument for volume purposes (and shows the quantity of each trade), while the M0 message reflects (amongst other things) actual, tradable prices in an instrument.  When a “buy” order in an outright futures contract matches with a “sell” order in an outright futures contract, both messages are equivalent.

However, when a “buy” order in a spread matches against a “sell” order in a spread (i.e., no implied prices), the two messages differ.  In this instance, M6 messages will be produced both for the spread as a whole, as well as for each underlying leg of the spread,  This is necessary in order to accurately reflect the volume for each of the underlying legs.  The M0 message, in contrast, will only be produced for the spread as a whole, and will reflect the actual price at which the spread traded.  The M6 message for each underlying leg of the spread contains a price assigned by the CME, however, the underlying leg may not have actually traded in the market at that price.

GLOBEX^® market data users are cautioned that only M0 messages (which reflect actual traded prices in the market) should be used by customers as the basis for releasing locally held STOP orders.  Using the M6 message for this purpose could result in STOP orders being released based upon the price assigned to an underlying leg of a spread, when no trade at that price actually occurred in the market.  Detailed information about CME market data messages and their uses can be found on www.cme.com/marketdata.

If you have any questions, please contact Marilee Radecki at 312.930.8193 or email mradecki@cme.com, or Lisa Amato at 312.338.2654 or email lamato@cme.com.

Thank you.