Three-Deep Options Market Data

Effective Sunday, August 22, the market data book depth for the remaining top-of-book only options channels will change to three deep.

·         CME Interest Rates (Channel 10)

·         CME Commodity (Channel 14)

·         Non-Crude Energy (Channel 36)

·         NYMEX Alternative Markets (Channel 37)

·         CBOT Commodity (Channel 112)

·         MGEX (Channel 119)

·         KCBT (Channel 121)

This change will result in a move to the incremental book management style from the current overlay style, as reflected in tag 279-MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X). Valid values for this tag will now include 0 (New), 1 (Change) and 2 (Delete).

The book depth for every instrument on CME Globex is detailed in tag 264-MarketDepth in the Security Definition (tag 35-MsgType=d). CME Group strongly recommends customer applications utilize tag 264 to identify the supported instrument book depth level dynamically. CME Group also recommends all customer applications should be designed to leverage all possible values for tag 279-MDUpdateAction in the Market Data Incremental Refresh message (tag 35=X) for all markets and channels, to minimize the impact of future book depth changes.

The FIX/FAST Software Development Kit, including details on book management in the Core Functionality module, is available online . Please contact Certification Support for Electronic Trading (CSET) at 312.930.2322 for development assistance.