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Decimalization
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ISE Open Interface
Notification of Change

April 19, 2000 Number 2000/3

Software Release 15.7-3 - update

ISE Open interface developers are advised of the following correction to the decimalization changes in the ISE Open Interface reported in the 2000/2 notification dated April 13, 2000.  

  1. A change is being made to the Open Interface to allow for decimalization. While the ISE system is decimal ready, a change has been required to allow decimal price steps to be introduced one symbol at a time.

    Currently the price tick table (or MPV table), and "Decimals In Premium" parameter are included in the Instrument Type Query (e.g., American Calls – DQ203). This is being moved to the Instrument Class Query (e.g., IBM American Calls – DQ210).

  2. The price tick table (or MPV table), and "Decimals In Premium" parameter are also being added to the Update Instrument Class Broadcast (BI210) API message.

  3. When a Symbol is traded in decimal, the number of Decimals In Premium will be 4 digits, not 2 digits as previously reported. Therefore, it will not be possible to determine the trading mode by interrogating the Decimals in Premium (dec_in_premium_n) field.

  4. Both fractional and decimal trading modes will reflect a value of 4.

  5. When a Symbol is traded in fraction, the MPV table in the Instrument Class Query (DQ210) and Update Instrument Class Broadcast (BI210) API messages will contain two entries: 0.0625 to $2.9999, then 0.1250 to $99,999.9999.

  6. The revised method to determine the trading mode is to test the first entry in the MPV table for values of 0.0625 and 0.1250 for fractional trading mode; otherwise trading mode is decimal.

  7. The price ticks are yet to be decided for decimals.


ISE Open interface developers are further advised of the following addition to the changes in the ISE Open Interface reported in the 2000/2 notification dated April 13, 2000.

8. When an EAM enters an order for a Broker/Dealer ("B/D"), the order is to be entered as type "Firm/Pro"; however, resulting trades are considered as type "Customer" for margining purposes within OCC.

9. Trades that result from "Firm/Pro" orders where the first three characters of the field "Client Category" equal "B/D", will be marked as Customer trades when sent to OCC.

 

The changes listed above are scheduled to occur on the ISE member test system on May 1, 2000. The production system is scheduled for implementation on May 8, 2000. Developers will be required to demonstrate that their systems can process the new format of the DQ203 and DQ210 transactions in order to access the production system for live trading. Further Information

An update to the ISE Open Interface Programmer’s Manual will be issued on or before April 19, 2000. For further information, please contact the ISE Member Services department. Jon Nadel, Phone: +1 212 897 0248, or email:[email protected]

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