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TT Impact – January 25th Change to Minimum Price Increment for ICE 3 Month Sterling Interest Rate Futures

Advisory CA004-16
January 15, 2016
Customer Advisory

TT Impact – January 25th Change to Minimum Price Increment for ICE 3 Month Sterling Interest Rate Futures

Effective January 25th, ICE will make a change to the minimum price increment for the Three Month Sterling Interest Rate Futures contract.  As a result, the first quarterly delivery month (which will be Mar16 on the effective date), and any spread, butterfly or condor strategy which includes the first quarterly delivery month as one of its legs, will have a Minimum Price Movement (MPM) of 0.005 (£6.25).

Implied pricing and matching will be disabled for all of the above strategies which include the first quarterly delivery month.  This change will be deployed to production during the maintenance period on Friday, January 22, 2016 with the effective date being Monday, January 25, 2016.

For further information, please see the exchange circular.

TT Impact

X_TRADER versions prior to XT 7.17.60.9 with the “Calculated Implieds” setting enabled, may display incorrect Implied prices on the front month Sterling contract. To correct this issue, users have the following options:

  1. Upgrade to X_TRADER 7.17.60.9 or higher. This results in the correct display of implieds for all months for the Three Month Sterling Interest Rate Futures contract.
  2. Do nothing.  This will result in the display of some non-tradeable implied prices for the Three Month Sterling Interest Rate Futures contract.  If a user attempts to place a trade at a non-tradeable implied price, it will be rejected.
  3. Download the updated ImpliedConfig.cfg file from the TT Download Center, and apply it to all affected workstations.  Customers who choose this option need to be aware of the following:
  • All Implied Prices for all months on the Three Month Sterling Interest Rate Product will be disabled.
  • If the ImpliedConfig.cfg files on X_TRADER and Autospreader SE do not match, spreads containing these products will not launch to the server and will be non-tradable.

Should you have any questions, please contact your local Technical Account manager (TAM).

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