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CME Gateway

Support For NYMEX Variable Quantity Energy Products

Overview

CME Gateway versions 7.5.11 and higher support trading of New York Metals Exchange (NYMEX) Variable Quantity Energy products.

Available Products

The CME Gateway supports trading of futures, calendar spreads, and futures strips for the following NYMEX Variable Quantity Energy products:

  • Henry Hub Swap (NN)
  • PJM Western Hub Peak Calendar-Month Real-Time LMP (L1)
  • PJM Western Hub Peak Calendar-Month Real-Time LMP 50Mwh (4SN)Houston Ship Channel Basis Swap (NHN)Northwest Pipeline, Rockies Basis Swap (NR)
  • Waha, Texas Basis Swap (NW)Texas Eastern Zone M-3 Basis Swap (NX)Natural Gas Pipeline TexOK Basis Swap (PD)Panhandle Basis Swap (PH)TCO Basis Swap (TC)Columbia Gulf Onshore Basis Swap (GL)NGPL Midcontinent Basis Swap (NL)Northern Natural Gas Demarcation Basis Swap (PE)Ventura Basis Swap (PF)

Client Application Impact

X_TRADER® 7.5.2 or higher is required for trading NYMEX Variable Quantity products. X_TRADER® displays quantities for fills as the individual tradeable contract regardless of whether the Show quantity as option equals contracts or flow. This option is set using the Trading tab in the Properties menu.

Note

In the Market Explorer window, the outright contracts for NYMEX Variable Quantity products list under Energy while the corresponding spreads list under Spread.

The Price Server stores Lots and Delivery Unit values parsed from the security definitions for NYMEX futures downloaded from the exchange. These values, along with the calculated Blocks value, aid the CME Gateway in determining the contract size for each NYMEX energy product.

Using the product definitions from the price feed, the CME Gateway calculates Blocks as the number of delivery periods for a product. The Lots value is essentially the number of delivery days in a contract, and the Delivery Unit value is what is displayed in X_TRADER® when trading futures contracts in flow.

Position Limits for all energy contracts should be entered in Lots instead of Contracts. Risk administrators should enter both the Maximum Order Quantity and Maximum Position limits in Lots. For more information about risk checking of Energy Products, please refer to the TT User Login and Risk Administration Reference Guide.

X_RISK, X_STUDY, and FMDS determine P&L and risk based on the calculated total value of the variable quantity futures contract. To calculate the contract value, the client applications multiply Lots * Delivery Unit * Guardian Point Value.

Example The total value of one March 2009 Henry Hub Natural Gas Swap Futures contract:

Lots (delivery days in the month) * Delivery Unit when trading in flow * Point Value calculated by the CME Gateway

31 * 2500 * .001 = 155

The following table defines the values used for calculating NYMEX contract value.

Additional Price Data Stored for NYMEX Variable Quantity Products

Price Server Field

Definition

Lots

The number of delivery days in a contract.

Blocks

The number of delivery periods in a contract. Calculated by the CME Gateway as the number of delivery days (Lots) multiplied by the number of units delivered per day. To determine units per day, the CME Gateway divides the exchange-defined contract value by the minimum, incremental quantity per product (Delivery Unit). The units per day value also is used to calculate the point value for the product.

Delivery Unit

The minimum, incremental quantity per energy product. For example, 2500 MMBTU for gas or 25 MWH for electricity.

Product Tables, Point Values and Tick Tables

The CME Gateway calculates the point value for a variable quantity product by using the following values parsed from the price feed: Exchange-defined contract value, minimum quantity traded per product (Delivery Unit), and a Display Conversion Factor.

Example To calculate the point value for PJM Western Hub Peak Calendar-Month Real-Time LMP 50 MWH (4SN):

Exchange-defined contract value / Delivery Unit when trading in flow * the Display Conversion Factor

800/50 MWH * 0.01 = .16

The point value for all variable quantity spread contracts is set to the point value of the first leg of the spread.

Configuring NYMEX Product Support

After a clean install or upgrade, the CME Gateway is configured to support trading of NYMEX Variable Quantity products.

NYMEX Supported Order Types

The following list shows Market and Limit orders a trader can submit through the CME Gateway when trading NYMEX Variable Quantity products; the exchange natively supports these order types:

  • IOC
  • FOK
  • GTD
  • Stop
  • GTC
  • GTDate
  • Iceberg