TT CME Gateway System Administration Manual - Trading ...

Product Tables, Point
Values and Tick Tables
Configuring NYMEX
Product Support
NYMEX Supported Order
Types
4 Configuring Market Data
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 TT CME Gateway
31 * 2500 * .001 = 155
The following table defines the values used for calculating NYMEX contract value.
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
TT CME Gateway as the number of delivery days (Lots)
multiplied by the number of units delivered per day. To
determine units per day, the TT 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.
Table 11. Additional Price Data Stored for NYMEX Variable Quantity Products
The TT 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.
After a clean install or upgrade to version 7.5.11 or higher, the TT CME Gateway is
configured to support trading of NYMEX Variable Quantity products.
The following list shows Market and Limit orders a trader can submit through the
TT CME Gateway when trading NYMEX Variable Quantity products; the exchange
natively supports these order types:
• IOC
• FOK
• GTD
• Stop
• GTC
• GTDate
• Iceberg
84 TT CME Gateway System Administration Manual
Trading Technologies International, Inc.