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LME Notes

LME contracts will roll through several different InstrumentID values in the tblInstruments table throughout their lifetimes, with different SeriesKey and Instrument values. This is because the LME Gateway will represent these contracts with “aliases” (3M, TOM, and C) on certain days, for one day per “alias”, based on the number of days away from that contract’s prompt date. See the LME Gateway System Administration Manual for more information regarding the LME Gateway’s representation of LME contracts throughout their lifetime.

On the days when an LME contract is “aliased” (3M, TOM, or C), a new InstrumentID will be created in the tblInstruments table because the contract’s SeriesKey and Instrument values will have changed. The common values in the tblInstruments table for the various InstrumentIDs that will be generated for an LME contract throughout its lifetime on a LME Gateway will be the Gateway, Expiry, ExpirationDate, ProductType, Exchange, and Product.

For LME instruments, the ExpirationDate field is populated with the contract’s prompt date. As such, the ExpirationDate of LME’s “aliased” rolling prompt contracts (3M, TOM, C) changes every day, even though they will have the same SeriesKey and Instrument values in the tblInstruments table. As a result, Trade Tracker will generate a new InstrumentID each day for trades submitted against these “aliased” rolling prompt contracts.