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CME Gateway

Support For Inter-Exchange Spread Products

Overview

The CME Gateway supports trading of inter-exchange spread (IES) products. Inter-exchange spreads are implied futures spreads with two legs that originate from different exchanges. They consist of buying the front leg (exchange A) and selling the back leg (exchange B), with both legs having the same maturity.

Traders must be authorized to trade the products of both exchanges (e.g., NYMEX & DME) in order to trade the inter-exchange spread.

Available Products

There are four IES products available for trading via the CME Gateway:

NYMEX-DME Inter-Exchange Spread Products
ContractFront Leg (NYMEX)Back Leg (DME)Product Code
Brent / Oman Financial Crude SpreadBrent Crude OilOman Financial Crude OilBZF1-ZGDF1
Sweet / Oman Financial Crude SpreadLight Sweet Crude OilOman Financial Crude OilCLF1-ZGDF1
Brent / Oman Crude SpreadBrent Crude OilOman Crude OilBZF1-OQDF1
Sweet / Oman Crude SpreadLight Sweet Crude OilOman Crude OilCLF1-OQDF1

Client Application Impact

X_TRADER® 7.4.9 or higher supports trading of NYMEX and DME products, and supports trading of the inter-exchange spread crude oil contracts.

Note

In the Market Explorer window, the outright contracts for DME and NYMEX energy products list under Future while the corresponding spreads list under Spread.

Configuring Support for Inter-Exchange Spreads

Trading of IES contracts is supported on the CME Gateway by enabling channels for the two outright futures products in addition to the INTER_EXCHANGE_SPREAD channel in the [price_session] section of the hostinfo.cfg file. For example, enable the following channels to trade NYMEX-DME implied inter-exchange spreads:

  • NYMEX_FAST_OIL_GASOLINE_IPORT
  • DME_FUTURES
  • INTER_EXCHANGE_SPREADS

Trading of DME and NYMEX products are supported on the gateway, so verify that these parameters are enabled.

The three parameters enabled for trading NYMEX-DME inter-exchange spreads are shown in the following example.

Example

FASTSubject9=NYMEX_FAST_OIL_GASOLINE_IPORT

FASTSubject17=DME_FUTURES

FASTSubject18=INTER_EXCHANGE_SPREADS

Because there is a 14 channel limit on CME Gateway Versions 7.12.3 or higher, ensure that the CME Gateway used for trading inter-exchange spreads has enough capacity to add the additional channel. Refer to Recommendations for Optimal Performance.

The channel definitions are provided by CME Group and included in the fast.cfg file provided by TT. The channel for IES products is shown in the following example.

Example

[fastInterface]

Subject=INTER_EXCHANGE_SPREADS

ChannelNumber=201

AddressFeedA=224.0.26.74:10034

AddressFeedB=224.0.27.73:10034

SnapshotAddressFeedA=224.0.26.75:11034

SnapshotAddressFeedB=224.0.27.74:11034

InstrumentAddressFeedA=224.0.26.76:12034

InstrumentAddressFeedB=224.0.27.75:12034

For more information regarding how the CME Gateway uses the fast.cfg file, refer to Example: fast.cfg.