Support For Inter-Exchange Spread Products
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.
There are four IES products available for trading via the CME Gateway:
|Contract||Front Leg (NYMEX)||Back Leg (DME)||Product Code|
|Brent / Oman Financial Crude Spread||Brent Crude Oil||Oman Financial Crude Oil||BZF1-ZGDF1|
|Sweet / Oman Financial Crude Spread||Light Sweet Crude Oil||Oman Financial Crude Oil||CLF1-ZGDF1|
|Brent / Oman Crude Spread||Brent Crude Oil||Oman Crude Oil||BZF1-OQDF1|
|Sweet / Oman Crude Spread||Light Sweet Crude Oil||Oman Crude Oil||CLF1-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.
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:
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.
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.
For more information regarding how the CME Gateway uses the fast.cfg file, refer to Example: fast.cfg.