Variable Quantity Energy Products
Variable Quantity Energy Products have a fixed contract size and a multiplier, which is applied to the number of lots traded to calculate the total Cleared Quantity. The Cleared Quantity varies within a product based upon the instrument's maturity.
Certification is not required for Variable Quantity Energy Products. Complete testing is strongly recommended.
Definitions
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.
Cleared Quantity Calculations For Futures Instrument
A variable quantity energy product's total contract size is calculated using values in the MDP 3.0 - Market Data Security Definition - Futures message.
To calculate the total contract size for an instrument, the formula is:
<value of tag 5849-OriginalContractSize> * <value of tag 231-ContractMultiplier>
To calculate the cleared quantity for a variable quantity product trade, the formula is:
<lots - value of tag 38-OrderQty> * <value of tag 5849-OriginalContractSize> *<value of tag 231-ContractMultiplier>
Variable Quantity Calculations For Options Instrument
Using the values in the MDP 3.0 - Market Data Security Definition - Options message to calculate the Total Cleared Quantity for an option, several key components must be utilized from the security definition.
Using the example TFOU5 C43500 (Dutch TTF Natural Gas Futures-Style Margined Calendar Month Option, September 2025, Call strike 43500), following is an example message and details for the calculation:
Security definition:
35=d|5799=00000000|980=A|779=20250818125158000479|1180=387|1300=56|462=16|207=XNYM|1151=T3|6937=TFO|55=TFOU5 C43500|48=141582|22=8|167=OOF|461=OCEFPS|201=1|200=202509|15=EUR|202=43500.000000000|947=EUR|9850=5.000000000|1142=F|562=1|1140=999|969=5.000000000|1146=3.540000000|9787=0.001000000|996=MWH|1147=720.000000000|1150=78.000000000|731=00000010|5796=20250814|1148=5.000000000|9779=N|37513=0|864=2|865=5|1145=20220829213000000000|865=7|1145=20250827120000000000|1141=2|1022=GBX
Cleared Quantity is 1 future based on the value of 562-MinTradeVol (562=1)
Product Size of the underlying future is 720, based on 1147-UnitOfMeasureQty (1147=720.000000000)
The multiplier 969-MinPriceIncrement (969=5.000000000) is applied
<value of 562-MinTradeVol> * <value of 1147-UnitOfMeasureQty> * <value of 969-MinPriceIncrement>
Total Cleared Qty = 3600 Mwh
An option is flagged as Variable Quantity (VQ) eligible based on the underlying future's Variable Quantity (VQ) eligibility.
Option size values (specifically 1147-UnitOfMeasureQty) will differ depending on the size of the underlying future instrument. The underlying 1147-UnitOfMeasureQty will vary for options with different maturities (e.g., a September option versus a December option) and must be accounted for in calculations.
Display Quantity Calculations
Variable quantity energy product instrument size is calculated using values in the MDP Security Definition (tag 35-MsgType=d) message. Values vary according to product.
To calculate the total contract size for an instrument, the formula is as follows:
Contract size = value of tag 1231-MinLotSize * value of tag 231-ContractMultiplier
To calculate the display and cleared quantity for a variable quantity product trade, the formula is as follows:
Display and Cleared Qty = value of tag 38-OrderQty (Lots) * value of tag 1231-MinLotSize * value of tag 231-ContractMultiplier. Append tag 996-UnitOfMeasure value, eg: 155,000 MMBTU.
Variable Quantity Product Examples
How was your Client Systems Wiki Experience? Submit Feedback
Copyright © 2024 CME Group Inc. All rights reserved.