Market Data Advisory Notices
To Quote Vendors
From Market Data Operations
Subject Book Depth Change for U.S. Treasury, Swap and Fed Fund Options - Effective May 4, 2008
Notice Date 2008-04-07
Notice Number Q2008-068
Effective Date 2008-05-04
In response to several requests from CME Group customers, beginning Sunday, May 4 (trade date Monday, May 5), the market data book depth for all U.S. Treasury, Swap and Fed Fund options on futures sent via the MDP -- channel 116 -- will change to three deep . Currently, these markets only support top-of-book market depth. This change will impact both the FIX/FAST and RLC-format market data books. The complete list of impacted products is available in the attached table. This change will be available for customer testing in the New Release environment on Monday, April 14.