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Table of Contents
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Scheduled CME UAT maintenance window - every Wednesday 5am-12noon CST. Please refrain from testing during this time as the environment may be unavailable, or exhibit erroneous behavior, such as:
These issues are isolated to the New Release environment and will not occur in Production. |
Workflow
CLOB: MarketData
Supported Instruments
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Please refer to Whisperer Enterprise - Supported Instruments for the full Enterprise table across all venues.
SecurityGroup
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The SecurityGroup field is used for symbols where
If the SecurityGroup is populated on SecurityStatus messages, it will be expected to be populated back on all the client requests (Pricing and Orders session). The full list of products with securityGroup populated will be available on the SecurityStatus message on the Pricing Channel. |
ImpliedLiquidity
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| title | Explicit MDEntries |
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If Implied Liquidity is available for the subscribed instrument, then it will be delivered as as separate MDEntries to regular Bids and Offers.
The book update message for a Market by Price (MBP) multiple-depth book reports modifications to prices, quantities, and order count; the data block for an implied prices book reports modifications to prices and quantities only.
The MBP multiple-depth book should be used in conjunction with the implied prices book to create an accurate book for all contracts with implied functionality. To create a consolidated book, the multiple-depth book and the implied book must be built and managed separately, then consolidated to reflect the current state of the market.
On subscription to new symbol supporting the implied liquidity, there will be only one snapshot. The implied Bids and implied offers just come in as individual MDEntries.
When clients recieve MarketDataIncrementals with EmptyBook, It applies to both the implied and regular bids and offers.
Implied Liquidity may or may not be available during the day, depending on market activities. If no Implied updades are delivered, it implies that no Implied Book is currently available for the security.
More information on CME Implied liquidity available at
https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Implied+Book
https://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Orders
TradeDate
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TradeDate may or may not be published on the initial SecurityStatus messages, however it will be updated as it becomes available. |
FX Products
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Clients can chose the CCY pair format eg EUR/USD or the CME Globex Symbols eg, 6E for FX products including Single Leg Futures, Spreads, FXLink. Please contact MarketFactory Support to set up the preference on the sessions. |
Spread Representation
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| title | CME Convention |
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Whilst vanilla FX legs are ordered by value date, our supported CME spread legs typically represent trade side. Whisperer honours the CME convention, with Calendar Spreads (SP, FX, SD, EC) and FXLink supported as per the table below:
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Types of spread as classified by CME
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Leg1 Side
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Leg2 Side
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Leg1 Expiry
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Leg2 Expiry
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Buy Spread
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Sell Spread
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Comment
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SP Standard [SP]
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Buy
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Sell
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Near
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Far
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Buying a Standard Calendar Spread buys leg1, sells leg2
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Selling a Standard Calendar Spread sells leg1, buys leg2
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User Defined Spreads are not supported.
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EC TAS Calendar Spread [EX]
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Buy
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Sell
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Near
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Far
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Buying an EC Calendar Spread buys leg1, sells leg2
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Selling an EC Calendar Spread sells leg1, buys leg2
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Deferred Calendar Spread [FX]
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Buy
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Sell
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Far
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Near
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Buying a Deferred Calendar Spread buys leg1, sells leg2
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Selling a Deferred Calendar Spread sells leg1, buys leg2
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SD Calendar [SD]
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Buy
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Sell
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Far
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Near
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Buying this Calendar buys leg1, sells leg2
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Selling this Calendar sells leg1, buys leg2
Note: EQ Calendar Spread [EQ] is not currently supported.
PartyIDs
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Please refer to Whisperer Enterprise - PartyIDs for the full Enterprise table across all venues.
Regulatory Fields
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Please refer to or Regulatory Fields for the full Enterprise table across all venues.
Passthru Fields
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Please refer to Passthru Fields for the full Enterprise table across all venues.
Overview
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