• FIXML Settlement Price Files Now Available

      • To
      • Clearing Member Firms; Clearing Firms Software Providers
      • From
      • CME Clearing
      • #
      • 08-414
      • Notice Date
      • 24 December 2008
      • Effective Date
      • 24 December 2008
    • For some time now, CME Group has been producing FIXML settlement price files. The positional-format (“flat”) files which have been used for many years are still being produced, and we have no immediate plans to discontinue them. The FIXML versions of these files are a great improvement, however, and we encourage all users of the settlement price files to switch. Also, for new product types such as interest-rate swaps, only the FIXML-format file is available.
      This Advisory highlights where you can find these FIXML format settlement price files, and shows the usage of the data within the messages, so that you may begin using the files.
      FIXML settlement price files are available to the general public at ftp.cme.com/pub/settle , as well as the firm/pub/settle directory on our private network, used by clearing firms. Final FIXML settlement price files are available for the following exchanges/venues:
      • CBT Exchange, file name cbt.settle.YYYYMMDD.s.xml
      • CME Exchange, file name cme.settle.YYYYMMDD.s.xml
      • CME Interest Rate Swaps, file name cme.sws.usd.YYYYMMDD.xml
      You will notice that some of the files have “.s.” near the end of the file name. This stands for “final settlement prices.” These files have “early settlement” versions of the file, denoted with “.e.” and containing preliminary final settlements for all agricultural, FX, and interest rate products. The “.s.” files contain all final settlements, including index products. For Interest Rate Swaps users, note that there is a “.eur.” version of the file, which contains final settlements for EUR-based products, but yesterday’s settlement prices for USD-based products.
      Also, in the samples that follow, note that CFI code still exists in some files. CME Group plans to deprecate this field as soon as reasonably possible, replacing the CFI Code with two new tags, Security Type (SecTyp), and Put or Call Code (PutOrCall) where appropriate.
      Finally, a full FIXML Settlement Price File specification will be made available on the CME Group website within the next month.

      If you have any questions or concerns, please contact CCS at CCS@cmegroup.com, or call CCS at 312-207-2525. Examples follow on the next two pages of this document.

      For the full text of this advisory...