Support Board
Date/Time: Sun, 24 Nov 2024 03:37:58 +0000
Post From: Futures Spreads: CBOT Denali -- Missing Data
| [2024-07-05 17:47:04] |
| User198125 - Posts: 38 |
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Hello, Please see below reply I received from the exchange - they are stating that implied prices should be present and are not dependent upon trades being done so there should be no gaps. Their replay is below: ============= Hello M Patel, Thank you for contacting the CME Global Command Center (GCC). Checking for market data updates on the relevant MDP channel for example instrument BOB 02-01 U4 - T-Bond vs. Ultra T-Bond, we see numerous implied Bid and Offer updates disseminated, which would suggest the updates are not limited in the market data to trade summary updates only. However, we cannot say conclusively whether this is the market data feed that the vendor you refer to is consuming - perhaps you could clarify this with them. We're also attaching for your reference an information sheet that describes broadly the pricing calculations for Treasury ICS products. If you'd like to know more about the pricing methodology itself, you can also reach out to the product specialist team at InterestRates@cmegroup.com. If you have any further questions, please call the GCC in the U.S. at +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010 or email at GCC@cmegroup.com. Note: Due to an upgrade to our email system, we now require that a new email be sent for all new requests. Customers should not re-use old email threads for new requests. Thank you. Regards, ============= |