• Israeli Shekel Calendar Spreads Algorithm Change – Effective August 3, 2008

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2008-152
      • Notice Date
      • 31 July 2008
      • Effective Date
      • 03 August 2008

    • Effective Sunday, August 3, (trade date Monday, August 4), to align the FX futures calendar spreads matching behavior, the allocation algorithm for the Israeli Shekel calendars will be changed from FIFO (F) to Currency Calendars (C). With this change, all FX futures calendar spreads will use C.

      The allocation algorithm is defined in FIX tag 1142-MatchAlgorithm, in the FIX/FAST Security Definition message (35=d).

       

      Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.

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