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:

• Duplicate entries in a Price Depth book.
• Receive SnaphotFullRefresh messages without a TradeDate and MDSecurityTradingStatus.
• Incorrect SecurityStatus messages.

These issues are isolated to the New Release environment and will not occur in Production.

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.

The SecurityGroup field is used for symbols where

• globex symbols are of format <Asset><M><YY> => Product code + 1 digit month + 2 digit year. 
• FX Mini or FX Micro instruments will have the SecurityGroup populated with "MINI" or "MICRO"

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.

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/education/courses/introduction-to-equity-sector-futures/understanding-implied-liquidity-in-select-sector-futures.html
• https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Implied+Book
• https://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Orders

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:

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

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: 

• https://www.cmegroup.com/education/courses/introduction-to-futures/price-limits-price-banding.html
• https://www.cmegroup.com/confluence/display/EPICSANDBOX/Product+Examples+for+Daily+Price+%28Trading%29+Limits
• https://www.cmegroup.com/trading/price-limits.html

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:

• https://www.cmegroup.com/education/courses/introduction-to-futures/price-limits-price-banding.html
• https://www.cmegroup.com/confluence/display/EPICSANDBOX/GCC+Price+Banding
• https://www.cmegroup.com/education/demos-and-tutorials/futures-price-banding.html?redirect=/education/futures-price-banding.html