Market Data Unfair Advantage Posting Status Robert Pelletier 1933-2016

CANADA DOLLAR MINIMUM TICK CHANGE — 2016 JULY 8

Effective Sunday, July 10, 2016 for trade date Monday, July 11, 2016 the Chicago Mercantile Exchange will amend the minimum price increment for Canadian Dollar Futures. The minimum tick is changing from 0.0001 to 0.00005.
Users of UA versions before 2.10.8 will need to refresh the database history for the affected data sets.
Click here for instructions.
CSI issues affected:
#64 CD
#129 CD2
#880 CD1
#100819 MCD

Taiwan Futures Exchange market closed 2016 July 8

Taiwan Futures Exchange announces that the market will be closed on 2016/7/8 due to Typhoon Nepartak. The Final Settlement Day of the 201607 TOPIX Futures contract will be postponed to the next trading day accordingly. The final settlement price of the contract is the TOPIX Special Quotation (TOPIX SQ) calculated on the final settlement price determination day (the TSE business day following the last trading day, 2016/7/8).

This effects the following CSI#s
#644
#645
#646
#448
#751
#100161
#650
#100489
#100492
#100493

FX PRECISION CHANGE — 2016 MAY 2

Effective Monday, May 2, 2016 certain cross-rate quotes will gain an additional digit of precision.
UA users will need to refresh the database history for the affected data sets.
Click here for instructions.
CSI issues affected:

CSI# Delivery Code Old decimals New Decimals Cross  UA Symbol UA Number
171 37 4 5 AUD-GBP AD3 2160
171 39 2 3 AUD-JPY AD4 2162
390 41 3 4 USD-DKK QE4 2254
390 56 3 4 USD-MXP QF5 2269
390 58 3 4 USD-SEK QF1 2271
390 60 1 2 USD-KRW QF3 2273
590 41 3 4 GBP-DKK DR4 2314
590 44 3 4 GBP-HKD DR7 2317
590 46 2 3 GBP-JPY DR9 2319
590 56 3 4 GBP-MXP DR8 2329
590 57 3 4 GBP-ZAR DR0 2330
590 58 3 4 GBP-SEK DR6 2331
591 46 2 3 EUR-JPY EU5 2345
591 55 4 5 EUR-GBP EU7 2347
690 38 4 5 USD-BHD US4 3301
690 41 3 4 USD-CZK US7 3304
690 45 2 4 USD-INR USA 3308
690 46 4 5 USD-KWD USB 3309
690 49 3 4 USD-RUB USE 3312
690 58 3 4 USD-PEN USN 3321
691 44 0 2 EUR-IDR EUH 3331
691 45 2 4 EUR-INR EUI 3332
691 49 3 4 EUR-RUB EUM 3336
691 52 3 4 EUR-THD EUP 3339
691 53 3 4 EUR-TWD EUQ 3340
775 57 2 4 ZAR-JPY JPYXI 3521
776 43 2 3 CHF-HUF CHFX4 3529
776 53 3 4 CHF-THB CHFXE 3539

 

 

You can paste the list below into your refresh history dialog:

 

2160
2162
2254
2269
2271
2273
2314
2317
2319
2329
2330
2331
2345
2347
3301
3304
3308
3309
3312
3321
3331
3332
3336
3339
3340
3521
3529
3539

 

Futures Symbol Changes

In an effort to maintain consistency among CSI platforms, the following futures markets have changed symbols as of April 12, 2016.  Please adjust your software accordingly. If you must use the old symbol, it is possible to modify the symbols in your UA factsheet. Contact CSI customer support if you need assistance.

 

Csinum IsActive? Old Symbol New Symbol Name
55 N LW LWS Sugar #4-CASH-(LCE)-EURONEXT
81 N PE PE9 Euro Bond-(MATIF)-EURONEXT
85 N RD RD? Deutsche Mark Spot Rolling-CME
109 N UD YE mini Eurodollar(3Mth)-CBT(MACE)
118 N HA HAU Gold-Hong Kong-(HKFE)-HKEX
122 N SA SAU Gold-(SIMEX)-SGX
155 N YL YLC Cattle-Live-SFE
163 N ZD PZD Deutsche Mark-PBOT
164 N ZE PZE EuroCurrUnit-PBOT
175 N FS FSE Eurodollar(3Mth)-EURONEXT(LIFFE)
225 Y YT2 YT1 10-Year Australian Govt Bond (6%)-(rounded #381)-SFE
256 N SJ SJ9 Japanese Yen-SGX(SIMEX)
267 N JF JFY Euroyen-1 Yr-TFOREX-(TIFFE)
273 N AP APT Potatoes-EOE
286 N LA LAM Lambs-EURONEXT(LCE)
313 N JC JCT Cotton-TCE
325 N KP KPK Palm Kernel Oil-MDEX
334 N FM? MF? French Medium Govt Bond(3/5Yr)-(MATIF)-EURONEXT
335 N PO POM Potatoes-EURONEXT(MATIF)
358 Y COX COM Rapeseed-EURONEXT(MATIF)
397 N FO FOX FOX Index-HEX
406 Y KLI FKL KLSE Comp Index-MDEX
424 N EV EV9 Electricity-Palo Verde-NYMEX
425 N YW YWH Wheat-SFE
432 Y NP9 NP Henry Hub Natural Gas Penultimate-NYMEX
434 N WH WHE Wheat-EOE
436 N BL BLE Wheat-Milling-(MATIF)-EURONEXT
449 Y SP10 SP0 S&P 500 Index (Divided by 10) -CME
467 N GL GLD JSE All Gold Index-SAFEX
495 N YV YVE Electricity-Victoria-SFE
516 N JD JDT Cocoons-Dried-CCX
535 N ME MFT Govt Bond-Spanish 30 Yr-MEFF
547 N FL FLI Euro LIBOR-3 Mth-EUREX
555 N EB EBJ Euro German Pfand
571 N OC OCU Euro LIBOR-3 M-EURONEXT(LIFFE)
574 N OS OSS Sterling Rate-3 Mth-EURONEXT(LIFFE)
593 N DE DE2 Dow Jones Composite Average-CBT
614 Y YBA2 YB2 90 Day Australian Bank Bills -SFE
615 Y YTT2 YT2 3-Year Australian Govt Bond (6%) -SFE
616 Y YTC2 YT3 10-Year Australian Govt Bond (6%) -SFE
631 N YB YBR Barley-SFE
632 N YC YCN Rapeseed(Canola)-SFE
648 Y SSI2 SS2 Nikkei 225 Index -SGX(SIMEX)
664 N JP JPO Potatoes-YCE
665 N JS JST S&P/Topix 150 Index-TSE
687 N EG EGT Sunflower Seeds-EURONEXT(MATIF)
705 Y F0B FBM Phelix Electricity Base Load-EEX
706 Y F0P FPM Phelix Electricity Peak Load-EEX
707 Y F0C FBQ Phelix Electricity Base Load Qtr-EEX
708 Y F0Q FPQ Phelix Electricity Peak Load Qtr-EEX
709 Y F0D FBY Phelix Electricity Base Load Year-EEX
710 Y F0R FPY Phelix Electricity Peak Load Year-EEX
728 Y YAP2 YA2 SPI 200 Index -SFE
885 Y SP1 SP3 S&P 500 Index-CME
888 N RL1 RL2 Russell 2000 Index -CME
905 N TM TMI Dow Jones Total Market Index-CBT
971 N FA FAP Potatoes-EURONEXT(LIFFE)
977 N TT TTB T-bills (91 Day)-TDE
983 Y WSA WEA Wheat-SAFEX
1056 N AXJ AXJO mini S&P/ASX 200 Index-ASX
1093 N WEI WWR Wheat-RMX
1102 Y GOC QOC miNY Gold-COMEX
1630 Y DJ0 DJO DJS 600 Food & Beverage-EUREX
1631 Y DE0 DEO DJ Stoxx Food & Beverage-EUREX
1651 Y RS0 RSO Refined Soy Oil-NCDEX
1854 Y EDL IED Eurodollar

Option Strike Changes for UA

Option strikes now have an extra 1/2 tick for the following markets:

CSI # Symbol Market
44 US US T-Bond
74 FF 30 Day Federal Funds
150 TY 10 Tear US T-Note
251 FV 5 Year US T-Note
382 TU 2 Year US T-Note
1507 UL2 Ultra T-Bond
1910 UT1 Ultra Bond Week 1
1911 UT2 Ultra Bond Week 2
1912 UT3 Ultra Bond Week 3
1913 UT4 Ultra Bond Week 4
1914 UT5 Ultra Bond Week 5
1915 CG1 30 Year T-Bond Week 1
1916 CG2 30 Year T-Bond Week 2
1917 CG3 30 Year T-Bond Week 3
1918 CG4 30 Year T-Bond Week 4
1919 CG5 30 Year T-Bond Week 5

You will need to refresh your databases.
To refresh, click the Refresh Symbol Database button, and then Copy/Paste the following text into the Select Market tab box:

44(FO),74(FO),150(FO),251(FO),382(FO),1507(FO),
1910(FO),1911(FO),1912(FO),1913(FO),1914(FO),
1915(FO),1916(FO),1917(FO),1918(FO),1919(FO)

(Exclude those you are not interested in)

Then click Download. ( Refer to image below for guidance )

HTML5 Icon

If you’re using the Portfolio Manager to manage your options, you will have to delete all your strikes and re-enter them. I would recommend that instead of re-entering them, that you use the new options export utility which is much more user friendly and much less time consuming.

From within the Export Options Data tool ( Ctrl-O ):

  • Click the Clear Selections button to temporarily clear the list of option markets that you’re tracking
  • Check ALL the items from the above table that you’re interested in tracking
  • Click the Build Selected Option Files button
  • When this process has completed, click the Restore button to reselect your markets
  • Keep your files updated with the Auto Update feature

( Refer to image below for guidance )

HTML5 Icon

HTML5 Icon

HTML5 Icon

EURO FX MINIMUM TICK CHANGE — 2016 JANUARY 6

Effective Sunday, January 10, 2016 for trade date Monday, January 11, 2016 the Chicago Mercantile Exchange will amend the minimum price increment for Euro FX Futures. The minimum tick is changing from 0.0001 to 0.00005.
UA users will need to refresh the database history for the affected data sets.
Click here for instructions.
CSI issues affected:
#524 CU
#454 CU2
#876 CU1

#499 EX

#100415 M6E

MSCI SINGAPORE INDEX MINIMUM TICK CHANGE — 2015 Oct 29

Effective Monday, November 2, 2015, the Singapore Exchange will change the tick size for MSCI Singapore Stock Index futures and options. The minimum tick is changing from 0.1 to 0.05. Additionally, the contract multiplier will change from S$200 to S$100. All open positions will be doubled.
UA users will need to refresh the database history for the affected data sets.
Click here for instructions.
CSI issues affected:
#539 SSG
#100168 SS4
#100169 SS3

CME Group Closes Most Open Outcry Futures Trading in Chicago and New York July 6 — 2015 June 30

The CME Group has closed all pit futures trading as of July 6, 2015 with the exception of the S&P 500 Index futures.  Pit trading of options on futures contracts will remain open.

CSI will continue to report values for the data sets that represent pit-only trading.  There will be only settlement pricing, as well as volumes and open interest.

The volumes will consist of Privately Negotiated Transactions (Exchange Futures for Physicals, Exchange Futures for Risks, Exchange Futures for Swaps), plus open outcry volume related to options trading (futures/options combo orders a.k.a. covered spreads, which are a unique delta-neutral instrument created by combining an outright option or options spread with one or more underlying outright futures instruments. The futures leg of such orders is still allowed to be executed via open outcry provided the whole order is executed simultaneously at the spread’s differential price.  These orders are executed in the open outcry options pits, which are still open.)

The following table lists the various markets affected, with CSI numbers for the electronic trading (ETH), pit trading (RTH), and combined market data:

 

Pit/RTH Globex/ETH Combined
Agricultural
18 894 410 soymeal
19 895 411 soyoil
9 896 412 corn
21 897 413 wheat
11 898 414 oats
130 899 415 rough rice
110 100189 100190 mini wheat
111 100191 100192 mini corn
112 100193 100194 mini soybeans
694 886 2 live cattle
695 887 4 lean hogs
696 889 33 feeder cattle
100364 100365 27 lumber
100227 100228 404 class 3 milk
22 100067 100666 kc wheat
Currency/FX
278 875 23 mexican peso
127 878 25 swiss frac
128 879 26 british pound
129 880 64 canadian dollar
262 877 65 japanese yen
265 884 66 australian dollar
454 876 524 euro
458 100061 100060 south african rand
459 100063 100062 new zealand dollar
100568 100555 100569 fx index
519 100065 100064 russian ruble
Financial
269 881 141 eurodollar
270 883 142 libor
144 801 44 30 yr tbonds
250 802 150 10 yr note
293 803 251 5 yr note
666 804 382/207 2 yr note
750 892 74 fed funds
100506 100508 100507 ultra t bonds
100136 100137 416 euroyen
100835 100834 100833 30yr interest rate swap
100838 100837 100836 10yr interest rate swap
100841 100840 100839 5yr interest rate swap
100844 100843 100842 2yr interest rate swap
Equity index
912 831 99 nikkei US
688 100406 266 goldman sachs index
Metals
8 864 809 copper
16 863 868 silver
30 862 867 gold
Energy
13 379 859 platinum
69 810 849 palladium
89 377 857 heating oil/ny harbor
188 376 856 crude oil
191 860 869 natural gas
975 866 976 rbob gasoline

 

*CSI numbers >100,000 are denoted in UA as >1,000.  e.g. CSI# 100406 is UA# 1406

Japanese Yen minimum tick change — 2015 June 15

Effective Sunday, June 21, 2015 for trade date Monday, June 22, 2015 the Chicago Mercantile Exchange will amend the minimum price increment for Japanese Yen/US Dollar Futures. The minimum tick is changing from 0.000001 to 0.0000005.

UA users will need to refresh the database history for the affected data sets.
Click here for instructions.

CSI issues affected:
#65 JY
#262 JY2
#877 JY1
#498 JT
#1817 MJY

Delisted futures contracts — 2015 June 12

Effective June 19, 2015 the Chicago Mercantile Exchange delisted S&P MidCap 400 futures, Nasdaq 100 Index Futures, and S&P SmallCap 600 Index Futures from CME Globex, CME ClearPort and the CME trading floor.

CSI issues affected:
#104 MD
#429 ND
#882 ND1
#455 ND2
#1221 SMP

Effective June 22, the CBOT delisted Dow Jones Industrial Average Index Futures ($10 multiplier) and companion options from the CBOT trading floor.

CSI issues affected:
#496 DJ
#596 DJ2
#805 DJ3