EP084 – for CME Floor Generated Market Data

This proposal extends FIX market-data messages so that they can replace the legacy ITC format used for CME and other exchange floor-generated market data. Floor trading requires more detailed reporting than a fully electronic market and can include activity after the normal close while manually reported pit transactions continue to be entered and disseminated.

The changes add first and last session prices to incremental and snapshot market-data messages, introduce a Post-close security-trading status, and add trade type to snapshot entries. The proposal also extends MDEntryType for FX interbank cash rates and FX fixing prices, with supporting rate-source information and NDF settlement usage. It therefore allows existing FIX market-data, security-status and security-definition messages to carry the additional conditions needed for floor and FX-futures data.