• Book Depth Change for Equity, Commodity, FX and NYMEX Options on CME Globex-Effective Sunday, November 9, 2008

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2008-189
      • Notice Date
      • 11 September 2008
      • Effective Date
      • 09 November 2008
    • Beginning Sunday, November 9, 2008 (trade date Monday, November 10), CME Group will implement three deep market depth on all Equity, Commodity, FX and NYMEX options on futures on CME Market Data Platform (MDP).  The following MDP channels 8, 12, 35, 36, 37, 112 and 114 will change to three deep, which currently support only top-of-book market depth. The three deep market depth changes will be available for customer testing in New Release starting Thursday, September 25, 2008.

      The implementation of three deep market depth will impact both the FIX/FAST- and RLC-format market data books. To review a comprehensive list of impacted products, please visit http://www.cmegroup.com/globex/files/OptionBookDepthII.pdf.

      For FIX/FAST, this change will result in a move to the incremental book management style from the current overlay style, as reflected in tag 279 MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X). Valid values for this tag will now include 0 (New), 1 (Change) and 2 (Delete).

      The book depth for every instrument on CME Globex is detailed in tag 264 MarketDepth in the Security Definition (tag 35=d). CME Group strongly recommends customer applications utilize tag 264 to identify the supported instrument book depth level dynamically. CME Group also recommends all customer applications should be designed to leverage all possible values for tag 279 MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X) for all markets and channels, to minimize the impact of future book depth changes.

      For additional information regarding FIX/FAST including details on book management in the Core Functionality module, please visit http://www.cmegroup.com/cmegroup/globex/resources/fix-fast-market-data-format.html.  

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