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Important DCF Changes - Effective December 13, 2009 Updated Information
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- To
- Quote Vendors
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- From
- Market Data Operations
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- #
- Q2009-274
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- Notice Date
- 11 December 2009
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- Effective Date
- 13 December 2009
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Effective Sunday, December 13, changes to tag 9787 values will also be implemented for the following fractional price products. As a reminder, CME Group does not recommend using the DisplayFactor information for any products with fractional prices. Instruments with fractional prices are identified in the Security Definition(tag 35-MsgType=d) message in the repeating group tag 871-InstAttribType=24, tag 872-InstAttribValue=12. In addition, CME Group will also begin sending the
Theoretical Settlement messages for the following products:
Fractional Products Display Factor Changes
Product
Tag 55-Symbol
Tag 1151-SecurityGroup
Current
New
Tag 9787-DisplayFactor
Tag 9787-DisplayFactor
CBOT Commodity Futures & Future Spreads
E-mini Corn
XC
XC
0.01
1
E-mini Soybean
XK
XK
0.01
1
E-mini Wheat
XW
XW
0.01
1
Corn
ZC
ZC
0.01
1
Oat
ZO
ZO
0.01
1
Soybean
ZS
ZS
0.01
1
Wheat
ZW
ZW
0.01
1
CBOT Commodity Options
Corn
OC
OZC
0.01
1
Oat
OO
OZO
0.01
1
Wheat
OW
OZW
0.01
1
Soybean Calendar Spread Options
Q1
12S, SZ5
0.01
1
Corn Calendar Spread Options
Q1
CZS, CZC
0.01
1
Rough Rice
RR
OZR
0.001
1
Soybean
SQ
OZS
0.01
1
Wheat Calendar Spread Options
W1
CZW, WC6
0.01
1
MGEX Futures & Future Spreads
National Corn Index
IC
IC
0.01
1
Hard Red Winter Wheat Index
IH
IH
0.01
1
Hard Red Spring Wheat Index
IP
IP
0.01
1
National Soybean Index
IS
IS
0.01
1
Soft Red Winter Wheat Index
IW
IW
0.01
1
Hard Red Spring Wheat
MW
MWE
0.01
1
MGEX Options
Soft Winter Wheat Options
O3
OIW
0.01
1
Hard Red Spring Wheat Options
O6
OMW
0.1
1
KCBT Futures & Future Spreads
Wheat
KE
KE
0.01
1
KCBT Options
Wheat Options
OK
OKE
0.01
1
These tag 9787-DisplayFactor changes will be available for quote vendor testing in New Release this Monday, November 16.
Important Change: The previously announced changes for tag 9787-DisplayFactorfor the following CME Globex products have been postponed. It is important to note that Theoretical Settlements for these products will NOT be available in the FIX/FAST format of market data. Quote Vendors who need this information can retrieve these settlements from the CME and CBOT Floor Channels. These settlement messages will be disseminated using an Exchange ID of “M” with their corresponding Globex Symbol.
Product
CME Interest Rate Options
1-Year Mid-Curve Eurodollar
1-Year Weekly Mid-Curve Eurodollar
2-Year Mid-Curve Eurodollar
5-Year Mid-Curve Eurodollar
Eurodollar
CME FX Options
American-style CHF/USD
American-style Weekly CHF/USD
American-style JPY/USD
American-style Weekly JPY/USD
American-style CAD/USD
American-style Weekly CAD/USD
American-style GBP/USD
American-style Weekly GBP/USD
American-style AUD/USD
American-style Weekly AUD/USD
European-style AUD/USD
European-style Weekly AUD/USD
CBOT Equity Options
Dow $10
Contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions.
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