Technology Enhancements

To serve you better and ensure that  CME Group provides the best-in-class technology, we are working constantly to introduce enhanced functionality and improved performance.

Includes the following services:

  • CME ClearPort
  • CME Direct
  • CME Globex
Enhancements Service Production New Release
Triangulation Functionality for Australian Dollar CME Globex
February 26 Available
Streamlined SBE Market Data Protocol CME Globex
February 26 Available
SecurityAltID Update for Eris Exchange CME Globex
March 12 Available
Settlement Enhancements CME Globex
March 12 Available
Market By Order Market Data CME Globex March 26 Available
Indicative Opening Enhancements CME Globex
March 26 Available
Trade Summary OrderID Opt-in Update CME Globex
March 26 Available
Globex Risk Management Enhancements: Inline Credit Controls CME Globex
Q1 2017 Available

Update - Triangulation Functionality for Australian Dollar

† Denotes update to the article

Effective this Sunday, February 26 (trade date Monday, February 27), CME Group will enable Triangulation functionality for Australian Dollar futures and options listed for trading on CME Globex. Additional information on triangulation functionality is available in the Client Systems Wiki.

With this launch, CME Globex will implement functionality that provides liquidity between volatility-quoted options, premium-quoted options, and the related underlying futures market. The liquidity across these order books is supported by implied functionality and standard option pricing model calculations.

†Customer Testing

†Currently, Triangulation is available in Certification for customer testing.  Starting Monday, March 6, Triangulation will also be enabled in New Release to facilitate the upcoming Market By Order Market Data launch for CME Globex FX Futures and CME Globex FX Options on MDP 3.0 channel 314 and 315.

†Triangulation Functionality for Australian Dollar
Environment Now through March 4 Effective March 6
MBO on Channels 314 and 315 Triangulation MBO on Channels 314 and 315 Triangulation
New Release Available Not Available Available Available
Certification Not available Available Not available Available

Streamlined SBE Market Data Protocol

Effective this Sunday, February 26, CME Group will continue implementing Streamlined Simple Binary Encoding (SBE) market data protocol. Streamlined SBE will replace the existing streamlined FIX/FAST market data protocol to align the market data protocol with MDP 3.0 encoding format.

Please refer to the table for the implementation schedule and client impact assessments.

Streamlined SBE Market Data Protocol
SBE Feed Production New Release Client Impact Assessment Availability
Blocks Available Available Blocks Streamlined Conversion to SBE
Equity Indices - S&P & Dow Jones Available Available Equity Indices Streamlined Conversion to SBE
Eris Available Available Eris Exchange Streamlined Conversion to SBE
OTC-EOD Available Available OTC-EOD Streamlined Conversion to SBE
Equity Indices - Bloomberg February 26 Available Equity Indices Streamlined Conversion to SBE

A new SBE config.xml file for production is now available for customer download from CME Group FTP site.

The new Streamlined SBE schema is currently available in New Release.

Customer systems receiving market data via Streamlined SBE must complete a mandatory certification suite for each market type.

Streamlined FIX/FAST and ITC 2 Blocks Decommission

The following streamlined FIX/FAST and ITC 2 Blocks feeds will be decommissioned in the New Release and Production environments as follows:

Streamlined FIX/FAST and ITC 2 Blocks Decommission
SBE Feed Production New Release
FIX/FAST Equity Indices – Bloomberg, S&P & Dow Jones February 24 February 24
FIX/FAST and ITC2 Blocks NYMEX/COMEX/DME March 31 March 31
FIX/FAST Eris Exchange April 21 April 21

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

SecurityAltID Update for Eris Exchange

Effective Monday, March 12, the Eris Exchange SBE Streamlined feed will add tag 455-SecurityAltID support for the Market Data Security Definition (tag 35-MsgType=d) and Market Data Incremental Refresh (tag 35-MsgType=X) trade messages. The Eris Exchange SBE channel will also migrate to SBE schema version 6 to support this change.

Additional details are outlined in the Eris SBE migration client impact.

Tag 455-SecurityAltID will be available in New Release for customer testing Monday, December 5.

Settlement Enhancements

Effective Sunday, March 12 (trade date Monday, March 13), new settlement information will be available on CME MDP 3.0.

  • Tag 731-SettlePriceType (bits 1 and 2) will be fully supported to identify theoretical vs. actual and rounded vs. unrounded settlement prices
    •  Tag 731 is published on the Incremental Refresh, Security Definition and Snapshot Full Refresh messages (35=X, d or W)
  • The Cabinet settlement price will be published in tag 270-MDEntryPx when tag 269-MDEntryType=6 messages for settlements

These settlement enhancements are currently available for customer testing in New Release.

Market By Order Market Data

Effective Sunday, March 26 (trade date Monday, March 27), to increase market transparency and customer choice, CME Group will continue the rollout Market by Order (MBO) for CME Globex markets.

Market Data Platform with MBO will feature:

  • Ability to view individual queue position and size of individual orders at a price while remaining anonymous
  • Existing channels enhanced to provide both MBO and MBP data on a single feed
  • CME Direct support
  • Exchange and asset class roll out model

The client impact assessment provides functionality and messaging information.

MBO is now available in New Release for customer testing. Please view the updated MBO rollout schedule for production.

Please Note: The CBOT channels 342, 343, 344, and 345 MBO production launch date has been moved from April 9 to April 2.

With the introduction of MBO overall incremental feed bandwidth is expected to increase 30-40%. During peak times the number of incremental feed packets per millisecond may increase up to 40-50%.

The MBO certification suite is now available in AutoCert+ for customer testing. Customer systems who choose to process MBO via CME Globex must complete this certification.

Indicative Opening Enhancements

Effective Sunday, March 26 (trade date Monday, March 27), CME Group continues implementing the enhancement to Indicative Opening behavior to increase transparency and provide market participants with Indicative Opening Quantity. With this enhancement, a new MDP3 Indicative Opening Quantity (IOQ) statistic will be sent with the Indicative Opening Price (IOP). The tag will represent the probable aggregated quantity of all orders executed during the opening. The IOQ will include max show and stop order quantity.

Along with this change, the logic for calculating the book quantity during the pre-open and reserve states will also be updated.

The client impact assessment provides dates, functionality and messaging information.

Indicative Opening Enhancements is now available in New Release for customer testing. Please view the Indicative Opening Enhancements Rollout Schedule for production launch dates.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

Trade Summary OrderID Opt-in Update

Effective Sunday, March 26 (trade date Monday, March 27), to increase transparency and simplify CME Globex functionality, all tag 37-OrderID values will be published in the Market Data Incremental Refresh Trade Summary messages.

With this release, iLink will no longer support FIX tag 1091-PreTradeAnonymity. CME Globex will not send tag 1091 to client systems, even when submitted on the original message.

Trade Summary OrderID Opt-in Release Schedule
Channel Number Channel Name Production Date
340 CBOT Globex Commodity Futures Sunday, March 26, 2017
346 CBOT Globex Commodity Futures II
341 CBOT Globex Commodity Options
342 CBOT Globex Equity Index Futures
343 CBOT Globex Equity Index Options
344 CBOT Globex Interest Rate Futures
345 CBOT Globex Interest Rate Options
460 MGEX Globex Futures
461 MGEX Globex Options
310 CME Globex Equity Futures
311 CME Globex Equity Options
312 CME Globex Interest Rate Futures
313 CME Globex Interest Rate Options
318 CME Globex Equity Futures - excludes E-mini S&P 500
319 CME Globex Equity Options - excludes E-mini S&P 500
314 CME Globex FX Futures
315 CME Globex FX Options
316 CME Globex Commodity Futures
317 CME Globex Commodity Options
320 CME Globex FX Futures II
321 CME Globex FX Options II
430 BMD Globex Futures
431 BMD Globex Options
450 KRX Globex Futures

Globex Risk Management Enhancements: Inline Credit Controls

In Q1 2017, in addition to existing risk management controls, CME Group will offer optional, more granular pre-trade risk management capability through the In-Line Credit Control (ICC) tool.

The ICC tool allows Clearing Member Firms and Executing Firms to set daily position limits for CME Globex orders, per product, at the account level through Account Manager.

The new functionality will feature:

  • Daily quantity position limits applied per product at the account level.
  • Positions reset to flat at the end of the day. Good 'Til Cancel (GTC) and Good 'Til Date (GTD) orders will roll-over to be calculated in the next day’s working orders.
  • No latency differential; all orders are subject to the same ICC processing.
  • Both Clearing Member Firm and Executing Firm Risk Admins can register accounts and set limits.
    • The most restrictive limit applies.
    • Clearing Member Firm and Executing Firm Risk Admins can view each other's account limits.
    • Clearing Member Firms and Executing Firms cannot change the other's limit.
  • Email alerts can be set up when pre-set threshold level breaches occur (for example, at 80%).

See more on Viewing and Managing Inline Credit Control Limits and Configuring Alerts and Policies for Inline Credit Controls.

For registered client systems, a new or cancel/replace order that violates specified position limits will be rejected. CME Globex will send a Session Level Reject (tag 35-MsgType=3) message including tag 58=<Reject Reason>.

Reject Reason Tag 58-Text
Position Limit Violation Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by CMF for Product Code: <Product Code>
Position Limit Violation for Account: <Account>, Position Increase: <position> makes position above the BUY Position Limit: <Limit> by amount: <Amount>. Limit set by EF for Product Code: <Product Code>
Account Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered for this Executing Firm
Product Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade Product Code: <Product Code>
UDS Covereds Policy Violation Pre-Trade Registration Violation: Account: <Account> is not Registered to Trade UDS Covereds
Account Deactivation Violation Pre-Trade Registration Violation: Account: <Account> has been Suspended from Trading by the CMF for this Executing Firm

This new functionality is currently available for customer testing in New Release.

Please contact your Global Account Manager with any questions on onboarding and testing In-line Credit Controls functionality in New Release in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010 with any production questions.

Includes the following services:

  • STP
  • Drop Copy
  • ConfirmHub

Includes the following services:

  • CME Globex Credit Controls (GC2)
  • Risk Management Interface (RMI)
  • CME Account Manager

CME Account Manager: CME Globex Inline Credit Controls Available in New Release

New Inline Credit Controls (ICC) functionality for CME Globex will be available for testing in the New Release environment Wednesday, December 28. ICC is an optional risk management tool that allows Clearing Member Firms and Executing Firms to set daily position limits for CME Globex orders, per product, at the account level. Each order will be checked on an in-line, pre-execution basis.

Features:

  • ICC limits apply to CME Globex orders only.
  • Daily quantity position limits are applied per product at the account level.
  • Positions reset to flat at the end of the day. Good 'Til Cancel (GTC) and Good 'Til Date (GTD) orders will roll-over to be calculated in the next day's working orders.
  • No latency differential; all orders are subject to the same ICC processing.
  • Both Clearing Member Firm and Executing Firm Risk Admins can register accounts and set limits.
    • The most restrictive limit applies.
    • Clearing Member Firm and Executing Firm Risk Admins can view each other's account limits.
    • Clearing Member Firms and Executing Firms cannot change the other's limit.
  • Email alerts can be set up when pre-set threshold level breaches occur (for example, at 80%).

This enhancement will be available in Production Q1 2017.

See more on Viewing and Managing Inline Credit Control Limits and Configuring Alerts and Policies for Inline Credit Controls.

Please contact your Global Account Manager for more information about onboarding and testing In-line Credit Controls functionality in New Release.

Please contact Certification Support for Electronic Trading (CSET) in the U.S. at +1 312 930 2322, in Europe at +44 20 3379 3803 or in Asia at +65 6593 5593 with questions while testing in New Release.

Please contact the Global Command Center (GCC) in the U.S. +1 800 438 8616, in Europe at +44 20 7623 4747 or in Asia at +65 6532 5010 with any production questions.

Includes the following services:

  • Firm Admin Dashboard
  • AutoCert+

Contact Us

Global Account Management
U.S.: +1 312 634 8700
Europe: +44 20 3379 3754
Asia: +65 6593 5505

Global Command Center
U.S.: +1 800 438 8616
Europe: +44 20 7623 4747
Asia: +65 6532 5010
GCC Website

Certification Support for Electronic Trading (CSET)
U.S.: +1 312 930 2322
Europe: +44 20 3379 3803
Asia: +65 6593 5593

More in Develop to CME Globex