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Comment: Published by Scroll Versions from this space and version 1.4.29

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Info
titleExplicit MDEntries

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:

TradeDate

Info
titleDeferred Delivery
TradeDate may or may not be published on the initial SecurityStatus messages, however it will be updated as it becomes available.

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Info
titleCME Convention

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:


Types of spread as classified by CME

Leg1 Side

Leg2 Side

Leg1 Expiry

Leg2 Expiry

Buy  Spread

Sell Spread

Comment

SP Standard [SP]

Buy

Sell

Near

Far

Buying a Standard Calendar Spread buys leg1, sells leg2

Selling a Standard Calendar Spread sells leg1, buys leg2

User Defined Spreads are not supported.

EC TAS Calendar Spread [EX]

Buy

Sell

Near

Far

Buying an EC Calendar Spread buys leg1, sells leg2

Selling an EC Calendar Spread sells leg1, buys leg2

 

Deferred Calendar Spread [FX]

Buy

Sell

Far

Near

Buying a Deferred Calendar Spread buys leg1, sells leg2

Selling a Deferred Calendar Spread sells leg1, buys leg2


SD Calendar [SD]

Buy

Sell

Far

Near

Buying this Calendar buys leg1, sells leg2

Selling this Calendar sells leg1, buys leg2



Note: EQ Calendar Spread [EQ] is not currently supported. 


Price Limits and Price Banding

CME rules for price limits and banding are outlined below.

It is important to note that traders can place trades outside the daily price limits. These trades will be executed when price limits and price bands move within the specified range.  So, traders still have the ability to place good-till-canceled or good-till-date orders inside and outside daily price limits.


Info
titlePrice Limits

Price limits are the maximum price range permitted for a futures contract in each trading session. These price limits are measured in ticks and vary from product to product:

  • When markets hit the price limit, different actions occur depending on the product being traded. Some markets may temporarily halt until price limits can be expanded or trading may be stopped for the day based on regulatory rules.
  • Different futures contracts will have different price limit rules; e.g. Equity Index futures have different rules than Agricultural futures.
  • When price reaches any of those levels the market will go "limit up" or "limit down".

When populated by the CME, these values are available as the following BodyPassthruFields in SecurityStatus messages:

  • HighLimitPrice
  • LowLimitPrice


More information on this is available at: 

Info
titlePrice Banding

Price banding is a similar mechanism which subjects all orders to price validation and rejects orders outside the given band to maintain orderly markets:

  • Bands are calculated dynamically for each product based on the last price (TradingReferencePrice), plus or minus a fixed band value (MaxPriceVariation).
  • Thus, if markets quickly move in one direction, the price bands dynamically adjust to accommodate new trading ranges.

When populated by the CME, these values are available as the following BodyPassthruFields in SecurityStatus messages:

  • TradingReferencePrice
  • MaxPriceVariation


More information on this is available at: