FIX/FAST Enhancements Update – Effective Sunday, August 2, 2009

Effective this Sunday, August 2, 2009 (trade date Monday, August 3), the dissemination of the Open Interest Data, Cleared Volume Data and Fixing Price Data Blocks in the Market Data Incremental Refresh messages (tag 35-MsgType=X) will be resumed for the following channels.  (The messages were previously removed from these channels, along with the theoretical settlements on 7/28/09).

·          Channel 111 CBOT Commodity Futures

·          Channel 112 CBOT Commodity Options

·          Channel 115 CBOT Interest Rate Futures

·          Channel 116 CBOT Interest Rate Options

·          Channel 118 MGEX Futures

·          Channel 119 MGEX Options

·          Channel 120 KCBT Futures

·          Channel 121 KCBT Options

At the same time, the Theoretical Settlement Data Block will no longer be published on any FIX/FAST channel as the result of price formatting issues, which has been identified by CME Group. The theoretical settlement data will continue to be available via ITC 2.1 messaging. The new implementation date for this data block will be announced in forthcoming Market Data Operations notices.

Please be advised that there are no template changes required for this rollback.

For additional information regarding these enhancements, please review the Elimination of ITC-Format CME Globex Market Data Client System Impact.

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