VOLUME 20 - BULLETIN #341
TO:
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ALL CLEARING MEMBERS
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FROM:
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BUSINESS SYSTEMS GROUP
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DATE:
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December 4, 2000
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SUBJECT:
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Testing of Reduced Tick Spread Commodities on a/c/e Alliance ETS
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In Mid-January, 2001, the a/c/e Alliance will begin trading in reduced (1/4) ticks for five of the current financial instruments for inter-month differential spreads only. The spread contracts to be traded on the a/c/e Electronic Trading System are listed below.
Contract
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Ticker Symbol on a/c/e
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BOTCC Comm.
Code
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Bond Futures Reduced Tick Spread Contract
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ZB3
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17
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10-Year Treasury Futures Reduced Tick Spread Contract
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ZN3
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21
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5-Year Treasury Futures Reduced Tick Spread Contract
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ZF3
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25
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10-Year Agency Note Futures Reduced Tick Spread Contract
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AN3
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2F
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5-Year Agency Note Futures Reduced Tick Spread Contract
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AF3
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2G
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A trade executed for these contracts will result in a single line entry differential spread (SLEDS). For example, buying a ZB3 Dec will result in a long position for the December contract and a short position in the March contract.
Files Available to Firms
All firms will receive these SLEDS transactions in both the MQM transmission of their a/c/e transactions and in the MQM transmission of the SLEDS legs from OTIS.
a/c/e Transmission
Firms currently receive a/c/e trades via MQM throughout the electronic trading session. Trades executed on the a/c/e Electronic Trading System (ETS) for reduced tick spread contracts will be included in this processing in the SLEDS (single line) format. Firms will receive the S1 Block that will contain the differential information. Individual leg prices will not be in this transmission. The record ID on these trades will be in the 60,000 – 74,999 range indicating that these are ETS trades. These trades, as are all ETS trades, are sent to the firms on a pre-edit basis.
SLEDS Created TREX Records
Firms will also receive the spread leg records resulting from the SLEDS processing of the single line record. These spread legs will be sent to firms in the TREX record format with all other SLEDS legs throughout the trading day. The record ID will be in the 75,000 – 79,999 range indicating that this is a SLEDS record. Firms will receive these records after they have been edited.
Please refer to the link below to view the TREX Record Layout and the S-1 block:
http://www.botcc.com/faq/misc/trexrecord.html
Test Files
The Clearing Corporation can now provide generic (firm 998) test files. These files will be available as MQ messages routed to the firms’ test queues. Please contact BSG to schedule the delivery of the test files.
Simulation System Testing
Firms can also utilize the a/c/e Simulation System to conduct testing. It is necessary to receive and install a Simulation Kit from a/c/e.
The Clearing Corporation will provide test files or reports of a/c/e simulation test transactions entered by participating firms. More information on how to receive this test data will be provided once details of the simulation test schedule are released by a/c/e.
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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