Variable Quantity Products

Effective Sunday, April 26, 2009 (trade date Monday, April 27), the FIX/FAST Security Definition message (tag 35-MsgType=d) will be enhanced to support the upcoming listing of variable quantity energy products on CME Globex®. These products have a fixed contract size and a multiplier, which is applied to the number of lots traded to calculate the total Cleared Quantity. The Cleared Quantity varies within a product based upon the instrument's maturity.

Please review the Client Impact Assessment, which details the FIX/FAST messaging impacts and order entry display considerations to support these new products, including information on the three test products currently available in New Release.

Additional Information

·          The new tag 996-UnitofMeasure will be populated with a unit of measure for the contract size for all outright instruments listed on CME Globex.

·          The name for FIX tag 200 will be changed back to MaturityDate. We recommend that all Quote Vendor systems rely on the tag number, and not the MESSAGE name, for identification.

·          Test products and enhanced Security Definition messages are currently available for testing in New Release.

·          The list of variable quantity products to be listed for on Sunday, May 10, 2009 (trade date Monday, May 11) will be published in an upcoming Market Data Operation Notice.

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