On, Sunday, April 19, 2009, (trade date Monday, April 20), the following enhancement will be made to both the FIX/FAST Security State (tag 35-MsgType=f) message, which will contain more detailed information on the market state of an instrument, and the Security Definition (tag 35=d) message which will explicitly identify outright and implied book depth. Please download the new production templates prior to market open on Sunday, April 19, 2009, to ensure you have the most current version of the product templates.
The enhancements for the Security Definition (35=d) and Security State (35=f) messages are currently available for testing in New Release. For additional information regarding these enhancements, please review the Client Impact Assessment.
Please contact Market Data Operations (MDO) at email@example.com, if you have any questions concerning this notice.