The CME are running a change program for increased price precision on price fields that impacts multiple CME platforms. This change supports 9 decimals to provide greater price granularity as compared to the current 7 decimals. OnixS directConnect: CME solutions have been updated and certified to support this mandated change...
There are current no plans for any CME products to use the full 9 decimal point price precision, but the 2 Year Treasury Futures and spreads will trade with 8 decimal point precision from 13th January 2019. This change is wide ranging in that it impacts all CME platform APIs in addition to MDP 3.0 and Streamlined i.e. iLink, Drop Copy 4.0, and STP API.
The phased roll out of this change to CME MDP 3.0 and Streamlined market data feeds started on 12th August 2018 with the CME MDP 3.0 feed on channels 340, 341, 346, 460 and 461. This phases channel based roll out continues through to the 18th November 2018.
This staggered roll out by MDP 3.0 and Streamlined channel requires support of both the version 8 SBE decoding templates (7 decimals) and the version 9 SBE decoding templates (9 decimals) in production during the coexistence period up to 18th November 2018.
Formal certification is mandated for vendor or internally implemented CME MDP 3.0 and Streamlined software solutions.
The OnixS directConnect: CME MDP 3.0 Market Data Handlers C++, C#/.NET and Java implementations have been updated and have completed formal CME certification. For reference to specific version release notes:
OnixS directConnect: CME MDP 3.0 Market Data Handlers C++ v4.8
OnixS directConnect: CME MDP 3.0 Market Data Handlers C#/.NET v3.16
OnixS directConnect: CME MDP 3.0 Market Data Handlers Java v3.17
Access to the updated OnixS directConnect distributions are communicated to existing OnixS customers via the OnixS Support email list service, and release note alerts are communicated via web site, including RSS and Twitter feeds.
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For more information on OnixS directConnect: CME SDK solutions, and to download an evaluation
