Effective Sunday, November 15, 2009, four NYMEX-DME implied inter-exchange spreads will be listed for trading on CME Globex.
Inter-exchange spreads are implied futures spreads in which the two legs originate from different exchanges. They consist of buying the front leg (exchange A) and selling the back leg (exchange B), with both legs having the same maturity. For inter-exchange spreads, tag 762-SecuritySubType will be set to IS. Inter-exchange spreads are implied IN and OUT, from the individual legs IN to the inter-exchange spread or conversely from the inter-exchange spread OUT to the respective future outrights. These will be the first inter-exchange spreads listed on CME Globex.
Please be advised the listing of the Inter-Exchange Spreads on CME Globex will impact all users of FIX/FAST market data, even if you do not plan on supporting the new spreads. There will be a new FIX/FAST template for the Security Definition (tag 35-MsgType=d) message for this launch. The new template is currently available in the production folder of the CME Group ftp site. Per the normal process, the current template is still available as well.
The messaging and functionality impacts are documented online in the Inter-Exchange Spread Client System Impact Assessment.
A mock trading session for customers interested in trading or supporting these new inter-exchange spreads will be held Saturday, November 7, 2009. Details are available online.
Contact Market Data Operations (MDO) at email@example.com, if you have any questions concerning this notice.