The implementation of three- deep market depth will impact FIX/FAST market data books only (As a reminder, RLC goes away November 14, 2008.) Click on http://www.cmegroup.com/globex/files/OptionBookDepthII.pdf to view a complete of list of products that will be affected.
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).
When implemented, these MDP channels will change to three-deep from the currently supported top-of-book market depth:
8, 12, 35, 36, 37, 112 and 114.
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 email@example.com, if you have any questions concerning this notice.