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10 Deep Futures Market Data Launch - Effective February 8, 2009
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- To
- Quote Vendors
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- From
- Market Data Operations
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- #
- Q2009-017
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- Notice Date
- 23 January 2009
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- Effective Date
- 08 February 2009
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CME Group will begin a phased implementation of 10-deep books for Globex futures in the FIX/FAST format of market data. Currently, CME Globex supports a maximum 5-deep book. This implementation will affect all Quote Vendors’ systems, because all systems must be able to process all 10 levels, even if the choice is to display only 5-deep order books.
In addition, the FIX/FAST Security State (tag 35-MsgType=f) message will be enhanced to provide more detailed information on the market state of an instrument. The Security Definition (tag 35=d), Market Data Incremental Refresh (tag 35=X) and Security State (tag 35=f) messages will also be impacted. More details on the 10-deep order book and the required customer development is available online in the Client Impact Assessment.
Please see the detailed schedule below for channels and dates of the 10-deep launch for both the new release and production:
10 Deep Futures in New Release Environment
2/8/2009
Channel 111 – CBOT Commodities Futures
Channel 113 – CBOT Equity Index Futures
2/22/2009
Channel 115 – CBOT Interest Rate Futures
3/1/2009
Channel 30 – NYMEX Crude Futures
Channel 31 – NYMEX Non-Crude Futures
Channel 32 – NYMEX Metals & COMEX Futures
10 Deep Futures in Production Environment
3/22/2009
Channel 111 – CBOT Commodities Futures
Channel 113 – CBOT Equity Index Futures
3/29/2009
Channel 115 – CBOT Interest Rate Futures
4/5/2009
Channel 30 – NYMEX Crude Futures
Channel 31 – NYMEX Non-Crude Futures
Channel 32 – NYMEX Metals & COMEX Futures
Please contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this notice.
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