• Matching Algorithm Change - Effective Sunday, December 21, 2008

      • To
      • Quote Vendors
      • From
      • Market Data Operations
      • #
      • Q2008-261
      • Notice Date
      • 25 November 2008
      • Effective Date
      • 21 December 2008

    • Effective Sunday, December 21 (trade date Monday, December 22), to better meet market needs, the matching algorithm for the following Commodity futures and future spreads will be changed to K, Split FIFO/Pro-Rata. Currently, these instruments use the matching algorithm T, Lead Market Maker with TOP. The matching algorithm indicator is sent in the FIX/FAST Security Definition message for each instrument on CME Globex (tag 35-MsgType=d, tag 1142-MatchAlgorithm).

      This change will be available for customer testing in New Release on Monday, December 7.

      Please note the changes below:

       

      PRODUCT

      GROUP

      GLOBEX SYMBOL

      FEEDER CATTLE

      GF

      GF

      LEAN HOGS

       

      HE

      HE

      PORK BELLIES

      GPB

      LIVE CATTLE

      LE

      CLASS III MILK

      DC

      DC

      CLASS IV MILK

      GDK

      NON-FAT DRY MILK

      GNF

      CASH BUTTER

      CB

      CB

      DRY WHEY

      DY

      DY

      SOFTWOOD PULP

       

      WP

      WP

      LUMBER

      LBS

       

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

                     

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