To clarify CA025-17, which outlined the behavior of CME GTD orders and fills for the Independence Day holiday, customers are advised that day orders placed on July 3rd for the next session will be for the trade date of Wednesday, July 5th, and will not expire until Wednesday’s close. The recommended configuration changes in the original advisory are accurate and should be used if customers want to maintain fill records over this extended session.
Due to the observance of the Independence Day Holiday, CME day orders placed on Monday, July 3rd will be for the trade date of Wednesday, July 5th, and will not expire until Wednesday’s close.
In order to maintain fill records over this extended session, the TT CME Fill Server must be configured to not rollover on Tuesday, July 4th. To perform this configuration change, open the \TT\config\CME_Rollover_Schedule.ini file and comment out Tuesday’s line.
#sunday = 22:37:00,21:37:00
Revert this configuration change on Wednesday, July 5th.
- This configuration change will impact all products that trade via TT CME Gateways. If any contracts are not observing adjusted trade dates due to the holiday, fill records for those contracts will remain visible over multiple trade dates.
- Customers using Drop Copy FIX Adapters should verify that their systems will not pull fill records in a way that will result in the same fill being pulled twice, as fill records will not be purged on Monday as usual.
For more information regarding the exchange schedule please click here, and refer to the “Compact Excel” file for the Independence Day Holiday.
NOTE: Due to CME’s observance of the following holidays in 2017, “TT CME Fill Server” configuration changes must be carried out for each holiday. We will send updated Customer Advisories in the days leading up to each, which will include specifics for that particular holiday.
||September 4, 2017
||October 9, 2017
||November 10, 2017
||November 23, 2017
||December 25, 2017
|New Year’s Day
||January 1, 2018
Should you have any questions, please contact your local TAM