...
This section defines variable quantity terminology and the related MDP messaging considerations. The following table provides the definition of these terms used with Variable Quantity Energy Products.
Term | Definition |
|---|---|
Lot | The standard CME Globex trading unit. All iLink and CME Globex Market Data messaging to and from CME Globex and customer systems is processed in lot terms. Following is a sample list of tags which utilize this terminology:
|
Unit | The industry-standard display terms for Variable Quantity Energy Products. This is defined in tag 1231-MinLotSize and 996-UnitofMeasure in the Security Definition (tag 35-MsgType=d) message. |
Variable Quantity Products | Products that have a variable cleared quantity due to the use of a multiplier. |
Contract Multiplier | Number of deliverable units per instrument, e.g., number of peak days or calendar days in maturity month. This is defined in tag 231-ContractMultiplier and tag 1435-ContractMultiplierUnit in the MDP Security Definition (tag 35-MsgType=d) message. |
Original Contract Size | Fixed contract value assigned to each product. This is defined in tag 5849-OriginalContractSize of the MDP Security Definition (tag 35-MsgType=d) message. |
Front End System Display
All iLink (order entry) inbound and outbound message tag values are in terms of 'Lots', i.e., the number of contracts traded, and do not include information on Contract Multiplier, Unit of Measure, MinLotSize, or Cleared Quantity. Client systems must use the values from the MDP Security Definition (tag 35-MsgType=d) message to calculate and populate order entry and market data values in front-end system displays.
...
A variable quantity energy product's total contract size is calculated using values in the MDP Security Definition (tag 35-MsgType=d) message.
To calculate the total contract size for an instrument, the formula is:
...