Effective Sunday, August 4 (trade date Monday, August 5), as part of the ongoing strategy to improve customer experience, CME Group is making updates to Futures, Options and OTC IRS/Forward Rate Agreement (FRA) trade messages in CME Straight Through Processing API (CME STP API). This topic captures related client impacts for CME STP API.

Contents

Revision History

Key Events and Dates 

Testing and Certification

Certification is not required. The impact of these changes are localized to specific products and considered low impact but testing is strongly recommended for customers trading those products.

Summary of CME STP Field Impacts

See additional information in Field Impact Details.

Field Impact Details

Update to LastPx  

Last price format will change for Variable Cabinet Options trades. For Variable Cabinet Options trades denoted by value "11-Variable cabinet price" in Price Type (FIX: tag 423-PriceType, FIXML: /TrdCaptRpt/@PxTyp) in CME STP Trade Capture Report, the Trade Price is being updated as follows:

Update to Maturity Month Year

Clients can request Trade Capture Reports for Spreads on Futures and Options either at Spread level or at individual leg level with Multi-leg reporting type (FIX: tag 442-MultiLegReportingType, FIXML: /TrdCaptRpt/@MLegRptTyp)

In the resulting Trade Capture Reports the Maturity Month Year fields (FIX: tag 200-MaturityMonthYear, FIXML: /TrdCaptRpt/Instrmnt/@MMY) the Spread level message is updated to be consistent between leg level message for these requests types.

Update Aggressor Indicator

For privately negotiated deals submitted through CME ClearPort Clearing system, currently the Aggressor Indicator (FIX: tag 1057-AggressorIndicator, FIXML: /TrdCaptRpt/@AgrsrInd) is not populated. Since neither party is the aggressor in these deals, this field will be populated and defaulted "N" . In addition, for OTC IRS/FRA trades the aggressor indicator will be defaulted to "N".

Amount Block Removal

For CME OTC IRS/FRA trades the Position Amount Data repeating group (FIX: group tag 753-NoPosAmt, FIXML: group /TrdCaptRpt/Amt) is being removed since it is not applicable for these instruments.

Payload update to SecurityXML

For all CME OTC IRS/FRA trades the field <adjustedDate> at  <additionalPayment>/<paymentDate> level within the SecurityXML  payload (FIX: tag-1185 SecurityXML, FIXML: /TrdCaptRpt/Instrmt/@SecXML) will be removed in the CME STP Trade Capture report.

Clients can utilize the field <unadjustedDate> at the same level as <adjustedDate> since it has the same value as Fee dates are unaffected by business day conventions.

Update to PartySubID

The PartySubID (FIX: tag-523 PartySubID, FIXML: /TrdCaptRpt/RptSide/Pty/Sub/@ID) has been updated in a small number of instances where double spacing was present between contact first and last name. This has been replaced with a single space.

This update applies when PartyRole (FIX: tag-452 PartyRole, FIXML: : /TrdCaptRpt/RptSide/Pty/@R) is "36" (Entering Trader) or "62" (Report Originator) with PartySubIDType (FIX: tag-803 PartySubIDType, FIXML://TrdCaptRpt/RptSide/Pty/Sub/@Typ) is equal to "9" (Contact Name).

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).