REVISED IMPORTANT: Support for Increased Precision of Settlement Prices - Effective Monday, May 3, 2010

Support for increased precision of settlement prices

Except for credit-default-swaps, until now settlement prices for CME-cleared products have always required no more than seven digits in total.  We shortly expect to introduce products, however, where eight or more digits are required.  And in general, clearing firm bookkeeping systems already support prices with this greater level of precision.

There are two file formats used by CME to publish data, but these currently support only seven total digits:  the positional (“flat”) format settlement price file, and the positional format SPAN® file.  This advisory describes two very simple enhancements which will allow these files to support prices with up to fourteen total digits of precision.

In the positional-format (“pa2” format) SPAN file

There are two new fields in previously unused space on the type “81” record for each contract:

• The High-Precision Settlement Price in the fourteen bytes from position 109 through 122.
  
  
• The High-Precision Settlement Price Flag in a single byte in position 123.

The fields will be used as follows:

• The High-Precision Settlement Price will always be populated.
  
  
• The regular Settlement Price field, in bytes 111-117 of the type “82” record, will also always be populated, except if the price requires more than seven total digits.  In this latter case, zeros will be present in the regular Settlement Price field.
  
  
• A value of Y in the High Precision Settlement Price Flag field allows you to identify contracts where the value in the regular price field has been zero’d out, and you must use the new high-precision field to read the price.

Note that we have not added a new field for the sign for the high-precision settlement price.  The existing Settlement Price Sign field, in byte 118 on the type “82” record, applies to the price regardless of how many digits it requires.

In the positional-format settlement price file

Things work in exactly the same way in the settlement price file, except that:

• The High Precision Settlement Price field is provided in the fourteen bytes in positions 113 through 126.
  
  
• The High Precision Settlement Price flag is provided in byte 127.

As with the SPAN  file, the existing Settlement Price Sign field in byte 103 applies to the price regardless of how many digits it requires.

Implementation schedule

These changes will be made to the production SPAN and settlement price files on Monday May 3.

It will not be necessary to read the new fields, however, until Friday May 14.  That is the day on which we will first have products with prices requiring that the new fields be read.

Updated file layouts

The updated description of the type “8” records for the SPAN file is at:

http://www.cme-ch.com/span/spanl318.htm

The updated description of the Settlement Price File is at:

http://www.cmegroup.com/clearing/files/s_setlmntpricelayout.pdf

Sample product

In the New Release environment, we have a new NYMEX cash-settled product, CSF futures. 

These will have trade and settlement prices which typically range from 50,000 to 150,000, with a minimum fluctuation of 1.0.  At maturity, however, the final special settlement price may go out to two decimal places – for example, 123,456.78. 

Prices will be formatted in the SPAN files and settlement price files with two implied decimal places.  Hence, at final settlement, eight total digits may be required.

Sample files

Two sets of sample SPAN files are now available every day.

“Production parallel” SPAN files are available daily at ftp.cmegroup.com/pub/span/data/cme/test.  Select the “s” (final end-of-day) versions of the files – for example, cme.test.20100331.s.pa2.zip.  These are exactly identical to the normal production files, , except that they have the expanded price fields added on the type “81” records.

“New Release” SPAN files are available daily at ftp.cmegroup.com/pub/span/data/ccl/cert.  For example, select ccl.cert.20100401.s.pa2.zip. 

Contracts and prices here are not precisely identical to the production files.  However, you can check the CSF futures to see examples of the prices which require more than seven total digits.

Sample positional-format settlement price files for NYMEX will shortly be available at ftp.cmegroup.com/pub/settle/cert.  Files that begin with nymex.test.settle are production-parallel files, and files that begin with nymex.nr.settle are the “new release” version of the files.

Switching to XML

We recommend that firms switch to the FIXML version of the settlement price file, if they haven’t already done so.  In XML, numeric values have no limits on their precision, and can have as many digits as are required.  Firms will also find that the XML versions of the settlement price file and the SPAN file have many other advantages over the old formats.

For more information, please contact CME Clearing at 312-207-2525.