Date: August 21, 2008
Notice #: Q2008-166
Subject: FIX/FAST Enhancements Sunday, September 29, 2008 – FIX/FAST Users Only
On, Sunday, September 28, 2008, (trade date Monday, September 29), CME Group will introduce the following enhancements to FIX/FAST on the CME Market Data Platform. Please download the new production templates prior to market open on Sunday, September 28, 2008, to ensure you have the most current version of the product templates.
· New FIX tag 5799-MatchEventIndicator added to the Market Data Incremental Refresh (tag 35=X). This tag indicates the beginning of a new match event. The tag will be set to 1 in the trade report block for a new trade event. If there is no value present, then the message is not the beginning of a match event.
o For example, in an Incremental Refresh message reporting trades for the following match events:
1. An order with 10 lots matches against 10 orders of 1 lots
2. An order with 5 lots matches against a 3-lot and a 2-lot order
o The Incremental Refresh message will contain a total of 12 blocks. Blocks 1 and 11 will have tag 5799=1 to indicate that block 1 is the first trade report for event 1 and block 11 is the first trade report for event 2. All other blocks will not have tag 5799.
· New FIX tag 5770-PriceRatio added to the Security Definition (tag 35-MsgType=d). This tag defines the ratios for the new implied Treasury intercommodity spreads. Detailed information on these new products and the messaging change is available in the Implied Functionality Enhancements client impact.
· Changed tag number for the AggressorSide indicator to 5797, for FIX compliancy.
The FIX/FAST changes and the new message templates will be available for customer testing in the New Release environment Thursday, August 28, 2008.