New Inter-Commodity Ratio Spread
Effective Sunday, September 13 (trade date Monday, September 14), a new exchange-defined Inter-Commodity Ratio spread will be made available for trading on CME Globex. The spread will utilize a new strategy type (EA).
The EA spread is the simultaneous purchase/sale of an inter-commodity spread between two products (initially launching between Nikkei/USD (NKD) and Nikkei/Yen (NIY)) with different pre-determined leg ratios where the spread will trade at a fixed price ratio of 1:1. The EA spread is the net differential between two inter-commodity spreads.
This topic provides technical specifications and additional details on the new EA strategy type.
Contents
Revision History
Date | Description |
|---|---|
August 26, 2026 | Removed the spread type (tag 762-SecuritySubType) change from the Product Change section as the Nikkei/USD (NKD) vs. Nikkei/Yen (NIY) Ratio 1:1 spread will stay as IS spread type. |
August 6, 2026 | Initial Publication |
Key Events and Dates
Date | Milestone |
|---|---|
August 9 | New Release |
September 13 | Production |
Testing and Certification
Certification is not required. Testing is strongly recommended.
Summary of Impacts
New Strategy Type
SecuritySubType=EA
The new Inter-Commodity Ratio spread is the simultaneous purchase/sale of an inter-commodity spread between two different products with different pre-determined, exchange defined leg ratios where the spread will trade at a fixed price ratio of 1:1. The Inter-Commodity Ratio spread is identified by FIX tag 762-SecuritySubType=EA in the MDP 3.0 Security Definition message; and strategyType=EA in the CME Reference Data API.
Product Changes
The product code (tag 6937-Asset) will be updated for the current Nikkei/USD vs. Nikkei/Yen 1:1 spread as follows:
Changes to the current Nikkei/USD vs. Nikkei/Yen 1:1 Spread | |||||
|---|---|---|---|---|---|
Product Name | Current MDP 3.0 Tag 6937-Asset | New MDP 3.0 Tag 6937 -Asset | iLink/MDP 3.0 Tag 1151-SecurityGroup | Leg Ratio | MDP 3.0 Market Data Channel |
Nikkei/USD (NKD) vs. Nikkei/Yen (NIY) Ratio | NKD | NK1N11 | N1 | 1:1 | 318 |
Spread Product Details
The new Inter-Commodity Ratio spread will launch with the following spreads:
New Inter-Commodity Ratio Spreads | |||||
|---|---|---|---|---|---|
Product Name | MDP 3.0 Tag 6937-Asset | iLink/MDP 3.0 Tag 1151-SecurityGroup | Leg Ratio | MDP 3.0 Tag 762-SecuritySubType | MDP 3.0 Market Data Channel |
Nikkei/USD (NKD) vs. Nikkei/Yen (NIY) Ratio | NK1N12 | N1 | 1:2 | EA | 318 |
NK2N13 | 2:3 | ||||
NK4N15 | 4:5 | ||||
NK4N17 | 4:7 | ||||
Note: The product code (MDP 3.0 TAG 6937-Asset) for these spreads are 6 characters.
Security Exchange
The Inter-Commodity Ratio spreads will have tag 207-SecurityExchange=XCME.
Implied Functionality
The EA spread will launch with implied IN and OUT functionality enabled. Additional information and an example of implied in and out orders can be found in Implied Orders.
Construction
The Inter-Commodity Ratio futures spread is an inter-commodity spread involving the simultaneous purchase (sale) of two different products of different pre-determined leg ratios. The EA strategy allows multiple exchange-defined rations (1:1, 1:2, 2:3, 4:5, and 4:7) to be listed concurrently.
A Inter-Commodity Ratio futures spread has:
Two products (initially launching as Nikkei/USD and Nikkei/Yen)
Two legs
Leg1 is the buy leg (NKD) and must have the same futures expiration as leg2.
Leg2 is the sell leg (NIY) and must have the same futures expiration as leg1.
Quantity/side ratios are predetermined and detailed in the outright leg quantities.
Buying the EA spread buys Leg1 (+NKD) and sells Leg2 (-NIY).
Selling the EA spread sells Leg1 (-NKD) and buys Leg2 (+NIY).
Example (2:3 Ratio)
Instrument Symbol = NKDU6-NIYU6 2:3
Leg1 quantity = +2 NKDU6
Leg2 quantity= -3 NIYU6
Note: The spread can trade at a positive, negative, or zero.
Pricing
The below pricing examples are between two real order spreads.
Note: The Pricing of the EA is at a Fixed Price Ratio and does not consider the outright leg quantity ratios.
The Inter-Commodity Ratio futures spread Trade Price is equal to Price of Leg1 - Price of Leg2.
Leg Price Assignment
Leg1 = is calculated
Leg2 = is the anchor and assigned the most recent market price
Leg2 is used as the anchor leg, then Leg1 = Leg2 price + Spread Price
If Leg1 price is calculated outside the daily limits, leg1 will be adjusted to daily limit and leg2 is calculated.
The same leg price will be applied to all legs on the side with a ratio, e.g., for NKD-NIY at 2:3, all 2 NKD legs will be priced at the same price.
Pricing Example (Quantity Side 2:3 Ratio)
Leg2 NIYU6 assigned Fair Market Price
The Inter-Commodity Ratio spread trades at 30
Leg2 = 21245
Leg1 price = Leg2 + Spread price
= 21245 + 30
=21275
Resulting Legs:
Leg1 Buy 2 lots of NKDU6 at 21275
Leg2 Sell 3 lots of NIYU6 at 21245
Price Example (Quantity Side 2:3 Ratio) Leg1 Calculated Outside of Daily Limits
The Inter-Commodity Ratio spread trades at 30
Assuming leg1 daily low limit is 21300
Leg2 = 21245
Leg1 is calculated:
Leg2 + Spread Trade Price
21245 + 30
Leg1 = 21275
Since leg1 is less than low limit, reset leg1 to daily low limit 21300
Leg2 is calculated
Leg1 - Spread Trade Price
21300 - 30 = 21330
Leg1 Buy 2 lots of NGKU6 at 21300
Leg2 Sell 3 lot of NIYU6 at 21330
Partner Exchange Impacts
There are no Partner Exchange Impacts.
Contact Information
For technical development support, contact Certification Support for Electronic Trading (CSET).
For production requests, please contact the Global Command Center (GCC).
For all other inquiries, please contact Global Account Management (GAM).